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View Code? Open in Web Editor NEWBaselines of reinforcement learning trading agents for China stock market
Home Page: https://tradingai.github.io/tbase/
License: MIT License
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gitter-badger nhu2000 1767019640 lgh0504 zenithez ilikepuppies noke8868 libiya2000 purpleyoung wweevv-johndpopetbase's Issues
Serving
使用TF-Serving做模型部署
PPO实现
默认的训练和评估时间窗口调整
默认的评估时间窗口太短了，适当调整以增强实验的说服力 @iminders
支持在tweb平台上运行
根据: https://github.com/tradingAI/proto/tree/master/model 中的输入输出， 将结果转换成相应的proto文件存储到s3中
具体实现 trunner(>=1.0.1)中的upload方法
hotfix
remove bazel
使用tensorflow2实现
调整为T0交易的模型
T0场景下，已经拥有持仓h, 不管当天如何交易，在收盘时，一定要保证持仓仍然是h
Ubuntu GPU 环境下多进程运行时内存增长问题
origin issue: iminders/tbase#6
系统环境
Ubuntu 18.04
GPU: GTX 1080
Memory: 8G
运行命令： python3 -m tbase.run --num_env 2
错误信息：
Traceback (most recent call last): File "/usr/lib/python3.6/runpy.py", line 193, in _run_module_as_main "main", mod_spec) File "/usr/lib/python3.6/runpy.py", line 85, in _run_code exec(code, run_globals) File "/home/ubuntu/gopath/src/github.com/iminders/tbase/tbase/run.py", line 56, in main() File "/home/ubuntu/gopath/src/github.com/iminders/tbase/tbase/run.py", line 50, in main agent.learn() File "/home/ubuntu/gopath/src/github.com/iminders/tbase/tbase/agents/ddpg/agent.py", line 152, in learn sample_size=self.args.sample_size) File "/home/ubuntu/gopath/src/github.com/iminders/tbase/tbase/agents/ddpg/agent.py", line 63, in explore worker.start() File "/usr/lib/python3.6/multiprocessing/process.py", line 105, in start self._popen = self._Popen(self) File "/usr/lib/python3.6/multiprocessing/context.py", line 223, in _Popen return _default_context.get_context().Process._Popen(process_obj) File "/usr/lib/python3.6/multiprocessing/context.py", line 284, in _Popen return Popen(process_obj) File "/usr/lib/python3.6/multiprocessing/popen_spawn_posix.py", line 32, in init super().init(process_obj) File "/usr/lib/python3.6/multiprocessing/popen_fork.py", line 19, in init self._launch(process_obj) File "/usr/lib/python3.6/multiprocessing/popen_spawn_posix.py", line 59, in _launch cmd, self._fds) File "/usr/lib/python3.6/multiprocessing/util.py", line 417, in spawnv_passfds False, False, None) OSError: [Errno 12] Cannot allocate memory Segmentation fault (core dumped)
用attention替代lstm
如题
添架pytest-cov
portfolio抖动现象
可能的原因：当模型在最优解附近时，再使用梯度下降或其他的基于梯度的最优化方法求解时，很有可能直接跳过最优解，从而导致交易失败。
例如：000001.SZ(平安银行), 2020.02.27日最高价: 15.15, 最低价:14.89
如果模型这时的输出决策：15.15卖出，14.89买入，再往梯度方向调整，很有可能就会出现卖出价格过高，买进价格过低，无法达成交易，最终使收益率阶梯式下降
如何避免这种现象？
或者证明无法避免这种现象
600237.SH 运行错误
Mac os
python3 -m tbase.run --alg ddpg --codes "600237.SH" --num_env 1 --gamma 0.53 --seed 9 --max_iter_num 1000 --tensorboard_dir=./logs/ --eval_end '20200331' --print_action
Error
2020-04-01 17:00:43,908 run.py[40] INFO tbase.run set global_seeds: 9
2020-04-01 17:00:45,220 reward.py[138] INFO tenvs.envs.reward use reward function: daily_return_with_chl_penalty
********************************************************************************
2020-04-01 17:00:45,221 run.py[45] INFO Initializing agent by parameters:
2020-04-01 17:00:45,221 run.py[46] INFO Namespace(activation='tanh', alg='ddpg', clear_memory_interval=5, codes='600237.SH', data_dir='/tmp/tenvs', debug=False, device=None, end='20191231', entropy_coef=0.1, eval=False, eval_end='20200331', eval_start='20200101', explore_size=400, gamma=0.53, indexs='000001.SH,399001.SZ', investment=100000, log_deals=False, log_interval=10, look_back_days=10, lr=0.001, max_grad_norm=5, max_iter_num=1000, model_dir='/tmp/tbase/models', num_env=1, opt_fn='rmsprop', play=False, policy_net='LSTM_MLP', print_action=True, reward_fn='daily_return_with_chl_penalty', run_id=1, sample_size=200, scenario='average', seed=9, start='20190101', t_max=10, tau=0.95, tensorboard_dir='./logs/', value_loss_coef=0.5, value_net='LSTM_Merge_MLP', warm_up=10000)
2020-04-01 17:00:46,631 reward.py[138] INFO tenvs.envs.reward use reward function: daily_return_with_chl_penalty
2020-04-01 17:00:46,632 run.py[49] INFO Training agent
2020-04-01 17:00:46,632 ac_agent.py[143] INFO warmming up: explore 10000 days in enviroment
Traceback (most recent call last):
File "/Applications/Xcode.app/Contents/Developer/Library/Frameworks/Python3.framework/Versions/3.7/lib/python3.7/runpy.py", line 193, in _run_module_as_main
"__main__", mod_spec)
File "/Applications/Xcode.app/Contents/Developer/Library/Frameworks/Python3.framework/Versions/3.7/lib/python3.7/runpy.py", line 85, in _run_code
exec(code, run_globals)
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tbase/tbase/run.py", line 59, in <module>
main()
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tbase/tbase/run.py", line 50, in main
agent.learn()
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tbase/tbase/agents/ddpg/agent.py", line 69, in learn
self.warm_up()
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tbase/tbase/agents/base/ac_agent.py", line 147, in warm_up
self.simple_explore(self.args.warm_up, self.args.sample_size)
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tbase/tbase/agents/base/ac_agent.py", line 84, in simple_explore
self.policy, explore_size, self.args.print_action)
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tbase/tbase/agents/base/explore.py", line 53, in simple_explore
next_state, reward, done, info, _ = env.step(action)
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tenvs/tenvs/envs/base.py", line 220, in step
only_update)
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tenvs/tenvs/envs/average.py", line 85, in do_action
sell_cash_change, ok = self.sell(i, sell_price, 0)
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tenvs/tenvs/envs/base.py", line 92, in sell
bid_price=price)
File "/Users/liuwen/Google/liulishuo/workspace/go/gopath/src/github.com/tradingAI/tenvs/tenvs/market.py", line 265, in sell_check
if low == high and pct_change < -self.top_pct_change:
AttributeError: 'Market' object has no attribute 'top_pct_change'
用wandb替代tensorboard
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