# Copyright 2019 The TensorTrade Authors.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License
import numpy as np
from typing import Union, List
from gym.spaces import Discrete
from tensortrade.actions import ActionStrategy, TradeActionUnion, DTypeString
from tensortrade.trades import Trade, TradeType
[docs]class MultiDiscreteActionStrategy(ActionStrategy):
"""Discrete strategy, which calculates the trade amount as a fraction of the total balance for each instrument provided."""
[docs] def __init__(self, instrument_symbols: List[str], actions_per_instrument: int = 20, max_allowed_slippage_percent: float = 1.0):
"""
Arguments:
instrument_symbols: The exchange symbols of the instruments being traded.
actions_per_instrument: The number of bins to divide the total balance by. Defaults to 20 (i.e. 1/20, 2/20, ..., 20/20).
max_allowed_slippage: The maximum amount above the current price the strategy will pay for an instrument. Defaults to 1.0 (i.e. 1%).
"""
total_actions = len(instrument_symbols) * actions_per_instrument
super().__init__(action_space=Discrete(total_actions), dtype=np.int64)
self._instrument_symbols = instrument_symbols
self._actions_per_instrument = actions_per_instrument
self._max_allowed_slippage_percent = max_allowed_slippage_percent
@property
def dtype(self) -> DTypeString:
"""A type or str corresponding to the dtype of the `action_space`."""
return self._dtype
@dtype.setter
def dtype(self, dtype: DTypeString):
raise ValueError(
'Cannot change the dtype of a `SimpleDiscreteStrategy` due to the requirements of `gym.spaces.Discrete` spaces. ')
[docs] def get_trade(self, action: TradeActionUnion) -> Trade:
"""The trade type is determined by `action % len(TradeType)`, and the trade amount is determined by the multiplicity of the action.
For example, 0 = HOLD, 1 = LIMIT_BUY|0.25, 2 = MARKET_BUY|0.25, 5 = HOLD, 6 = LIMIT_BUY|0.5, 7 = MARKET_BUY|0.5, etc.
"""
instrument_index = int(action / self._actions_per_instrument)
instrument_symbol = self._instrument_symbols[instrument_index]
n_splits = int(self._actions_per_instrument / len(TradeType))
trade_type = TradeType(action % len(TradeType))
trade_amount = int(action / len(TradeType)) * \
float(1 / n_splits) + (1 / n_splits)
trade_amount = trade_amount - instrument_index
current_price = self._exchange.current_price(symbol=instrument_symbol)
base_precision = self._exchange.base_precision
instrument_precision = self._exchange.instrument_precision
amount = self._exchange.instrument_balance(instrument_symbol)
price = current_price
if trade_type is TradeType.MARKET_BUY or trade_type is TradeType.LIMIT_BUY:
price_adjustment = 1 + (self._max_allowed_slippage_percent / 100)
price = max(round(current_price * price_adjustment, base_precision), base_precision)
amount = round(self._exchange.balance * 0.99 *
trade_amount / price, instrument_precision)
elif trade_type is TradeType.MARKET_SELL or trade_type is TradeType.LIMIT_SELL:
price_adjustment = 1 - (self._max_allowed_slippage_percent / 100)
price = round(current_price * price_adjustment, base_precision)
amount_held = self._exchange.portfolio.get(instrument_symbol, 0)
amount = round(amount_held * trade_amount, instrument_precision)
return Trade(instrument_symbol, trade_type, amount, price)