Trading Gym is an open source project for the development of reinforcement learning algorithms in the context of trading.

Related tags

Deep Learning Trading-Gym
Overview

Trading Gym

Trading Gym is an open-source project for the development of reinforcement learning algorithms in the context of trading. It is currently composed of a single environment and implements a generic way of feeding this trading environment different type of price data.

Installation

pip install tgym

We strongly recommend using virtual environments. A very good guide can be found at http://python-guide-pt-br.readthedocs.io/en/latest/dev/virtualenvs/.

The trading environment: SpreadTrading

SpreadTrading is a trading environment allowing to trade a spread (see https://en.wikipedia.org/wiki/Spread_trade). We feed the environment a time series of prices (bid and ask) for n different products (with a DataGenerator), as well as a list of spread coefficients. The possible actions are then buying, selling or holding the spread. Actions cannot be taken on one or several legs in isolation. The state of the environment is defined as: prices, entry price and position (whether long, short or flat).

Create your own DataGenerator

To create your own data generator, it must inherit from the DataGenerator base class which can be found in the file 'tgym/core.py'. It consists of four methods. Only the private _generator method which defines the times series needs to be overridden. Example can be found at examples/generator_random.py. For only one product, the _generator method must yield a (bid, ask) tuple, one element at a time. For two or more products, you must return a tuple consisting of bid and ask prices for each product, concatenated. For instance for two products, the method should yield (bid_1, ask_1, bid_2, ask_2). The logic for the time series is encoded there.

Compatibility with OpenAI gym

Our environments API is strongly inspired by OpenAI Gym. We aim to entirely base it upon OpenAI Gym architecture and propose Trading Gym as an additional OpenAI environment.

Examples

Some examples are available in tgym/examples/

To run the dqn_agent.py example, you will need to also install keras with pip install keras. By default, the backend will be set to Theano. You can also run it with Tensorflow by installing it with pip install tensorflow. You then need to edit ~/.keras/keras.json and make sure "backend": "tensorflow" is specified.

Comments
  • examples/trading_environment.py line 27 action = raw_input(

    examples/trading_environment.py line 27 action = raw_input("Action: Buy (b) / Sell (s) / Hold (enter): ") NameError: name 'raw_input' is not defined

    python3 ./trading_environment.py Traceback (most recent call last): File "./trading_environment.py", line 27, in action = raw_input("Action: Buy (b) / Sell (s) / Hold (enter): ") NameError: name 'raw_input' is not defined

    raw_input() function not present when I executed the script on python v3.5.2 and openai gym v0.12.1.

    Thanks

    opened by dragon28 1
  • Inconsistent results

    Inconsistent results

    Hi, multiple runs of keras_example.py are producing inconsistent results:

    Correct result: screen shot 2018-01-01 at 3 31 36 pm

    Incorrect results: screen shot 2018-01-01 at 3 28 22 pm and screen shot 2018-01-01 at 3 27 27 pm

    I'm running Python 3.6.4 with Tensorflow 1.4.1 and Keras 2.1.2

    Ideas on why I'm seeing this? Is this because DQN is unstable, or is there some error?

    opened by sohels 0
  • Close handler

    Close handler

    The dqn example at the end loops through render while playing. If I close the plot, I want to exit the program, this gives me info necessary to detect close action

    opened by pm-beba 0
  • ModuleNotFoundError: No module named 'csvstream'

    ModuleNotFoundError: No module named 'csvstream'

    Good morning, I have the following issue: when I try to run the following code:

    import random
import sys
sys.path.append('.\dqMM')
import numpy as np
import matplotlib.pyplot as plt
from tgym.gens.csvstream import CSVStreamer
from tqdm import tqdm

    I get the following error: ` 4 import numpy as np 5 import matplotlib.pyplot as plt ----> 6 from tgym.gens.csvstream import CSVStreamer 7 from tqdm import tqdm 8 #To ignore warnings that are annoying.

    /usr/local/lib/python3.6/dist-packages/tgym/gens/init.py in ----> 1 from csvstream import * 2 from deterministic import * 3 from random import *

    ModuleNotFoundError: No module named 'csvstream'`

    I have already tried to modify the mentioned file with: from tgym.gens.csvstream import * but without results. I use python 3.6 on ubuntu 18.04. If you need any further details I'll be happy to provide them. Thank you for your kind attention.

    opened by G10VA 0
  • matplotlib dependency soft package version

    matplotlib dependency soft package version

    It is not required to have a hard matplotlib version for install. Removing this hard version dependency makes it compatible with newer python environments.

    opened by pranjaldhole 0
  • core.py

    core.py", line 71, in next return next(self.generator) StopIteration

    After some episode I get this error. Some times it happens in later episodes, some time sooner. Can't understand where does it come from.

    There is any way to communicate with you directly, even buy payment.

    Kind Regards.

    opened by Kalelv45 0
Owner
Dimitry Foures
Dimitry Foures
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