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Copy pathRayLiquidForex.py
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RayLiquidForex.py
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import matplotlib.pyplot as plt
import random, shutil, pickle, sys, os, glob, argparse, sqlite3, secrets, time, csv, codecs, json, datetime, math, ray, gym, keras
import numpy as np
from collections import deque
from keras import Sequential
from IPython.display import display, clear_output
from PIL import Image
import pandas as pd
from keras import Model
import tensorflow as tf
from keras.layers import Layer, Dense, Conv2D, Flatten, RepeatVector,Dropout, LayerNormalization, MultiHeadAttention, GlobalAveragePooling1D
from keras.layers import Activation, LSTM, Bidirectional , Dropout
from keras import layers
from tabulate import tabulate
from tensorflow.keras.optimizers import Adam
from ray import air, tune
from ray.rllib.env.env_context import EnvContext
from ray.rllib.models import ModelCatalog
from ncps.tf import CfC
from ray.rllib.algorithms.ppo import PPO
from ray.tune.registry import register_env
from ray.rllib.models.modelv2 import ModelV2
from ray.rllib.models.tf.recurrent_net import RecurrentNetwork
from ray.rllib.utils.annotations import override
class ChartDecorator:
def __init__(self):
self.balance_limit = 300
self.standard_balance = 1000
self.prev_trade = None
def add_top_bottom_bar(self, img, draw_context):
# Define the coor dinates of the black bar
x1, y1 = 0, 204
x2, y2 = 200, 224
# Draw the black bar bottom bar
draw_context.rectangle([x1, y1, x2, y2], fill=(0, 0, 0))
# Draw the black bar top bar
x1, y1 = 0, 0
x2, y2 = 224, 14
draw_context.rectangle([x1, y1, x2, y2], fill=(0, 0, 0))
def draw_account_balance(self, img, draw_context, account_balance = 1000):
balance = self.balance_limit + (account_balance - self.standard_balance)
if balance == self.balance_limit:
x1, y1 = 3, 204
x2, y2 = 75 , 224
# Draw the green bar for account
draw_context.rectangle([x1, y1, x2, y2], fill=(110, 235, 131))
elif balance < self.balance_limit:
health_bar = int((balance * 75) / self.balance_limit )
lost_bar = 75 - health_bar
#issue 1
# print(f"issue 1 balance {balance}")
# print(f"health bar {health_bar}")
# print(f"lost bar {lost_bar}")
#current_balnace
x1, y1 = 3, 204
x2, y2 = max(3,health_bar), 224
draw_context.rectangle([x1, y1, x2, y2], fill=(110, 235, 131))
#lost bar
x1, y1 = health_bar, 204
x2, y2 = 75 , 224
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 0, 0))
elif balance > self.balance_limit:
x1, y1 = 3, 204
x2, y2 = 75 , 224
# Draw the green bar for account
draw_context.rectangle([x1, y1, x2, y2], fill=(110, 235, 131))
#Draw the profit section on account_bar
profit = int(((balance - self.balance_limit) * 75) / self.balance_limit)
x1, y1 = 80, 204
x2, y2 = 80 + profit , 224
# Draw the green bar for account
draw_context.rectangle([x1, y1, x2, y2], fill=(0,0,255))# fill=(71, 44, 27))
#draw start separator
#draw Account Separator and end separator
x1, y1 = 0, 204
x2, y2 = 3 , 224
# Draw the green bar for account
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 87, 20))
#draw Account Separator and end separator
x1, y1 = 76, 204
x2, y2 = 80 , 224
# Draw the green bar for account
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 87, 20))
#draw Account Separator and end separator
x1, y1 = 155, 204
x2, y2 = 160 , 224
# Draw the green bar for account
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 87, 20))
def draw_current_trade(self,img, draw_context, position=None):
if position == "buy":
x1, y1 = 160, 204
x2, y2 = 175, 224
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 255, 0))
elif position == "sell":
x1, y1 = 180, 204
x2, y2 = 195, 224
draw_context.rectangle([x1, y1, x2, y2], fill=(0, 255, 0))
else:
x1, y1 = 200, 204
x2, y2 = 215, 224
draw_context.rectangle([x1, y1, x2, y2], fill=(255,0,255))
#Draw position separator icons
x1, y1 = 175, 204
x2, y2 = 180, 224
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 255, 255))
x1, y1 = 195, 204
x2, y2 = 200, 224
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 255, 255))
x1, y1 = 215, 204
x2, y2 = 220, 224
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 255, 255))
def draw_profit_bar(self, img, draw_context, profit = 0, account_balance = 1000, position = None):
pnl_parts = int(abs(profit) / 10)
for segment in range(0, 200, 10):
f = segment + 10
x1, y1 = segment+10, 0
x2, y2 = f + 1, 9
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 255, 255))
#display profit on the chart
if profit > 0 and pnl_parts > 0 and segment >= 100:
if segment < pnl_parts * 10 + 100:
x1, y1 = segment, 0
x2, y2 = segment + 10, 9
draw_context.rectangle([x1, y1, x2, y2], fill=(27, 152, 224))
elif profit < 0 and pnl_parts > 0 and segment <= 90 and segment >= 100 - abs(profit):
x1, y1 = segment, 0
x2, y2 = segment + 10, 9
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 0, 0))
#draw progressive account balance below profit bar
account_balance_bar = (200*account_balance)/2000
x1, y1 = 0, 10
x2, y2 = account_balance_bar, 14
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 119, 0))
#Add a closing indication at the top of the
if position == "close" and profit > 0 and self.prev_trade[2] == 1:
x1, y1 = 200, 0
x2, y2 = 224, 14
draw_context.rectangle([x1, y1, x2, y2], fill=(255, 255, 0))
elif position == "close" and profit > 0 and self.prev_trade == 2:
x1, y1 = 200, 0
x2, y2 = 224, 14
draw_context.rectangle([x1, y1, x2, y2], fill=(0, 255, 0))
elif position == "close" and profit < 0 and self.prev_trade in [2,1]:
x1, y1 = 200, 0
x2, y2 = 224, 14
draw_context.rectangle([x1, y1, x2, y2], fill=(255,0, 0))
def draw_buy_bar(self, img2, start_lines, end_lines, position = None, profit = 0, prev_trade=None, account_balance = 1100,highest=0 ):
self.prev_trade = prev_trade
from PIL import Image, ImageDraw
d = ImageDraw.Draw(img2)
self.add_top_bottom_bar(img2, d)
self.draw_account_balance(img2, d, account_balance)
if position == "sell" and 2 in [self.prev_trade[3]]:
#draw icon for trade setup
self.draw_current_trade(img2, d, "sell")
fixed_ratio = False
#issue fix bug
#a situation where there is profit but since the trade was entered there were pertuabations of zooming and changing of window prices indicated on the subwindow
#fix this by giving a ratio use profit to check if we are profitable, then check if end lines are lower than start lines , use a ratio of 1px for 3 points
#when scaling the bar check the distance remaining behind you at the top of the window. start from index 14 your calculations
if profit >= 0 and start_lines["ask_line"] > end_lines["ask_line"] :
# print(f"\nRatio bug found {end_lines}\n")
ratio = 15 #int((start_lines["ask_line"] - end_lines["ask_line"] ) / 3)
if end_lines["ask_line"] - ratio < 14:
start_lines["ask_line"] = 14
start_lines["bid_line"] = 18
else:
start_lines["ask_line"] = end_lines["ask_line"] - ratio
start_lines["bid_line"] = end_lines["bid_line"] - ratio
fixed_ratio = True
# Draw indicator of trade start
line_color = (200,200,200)
top = (200, end_lines["ask_line"])
bottom = (200, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=20)
#Draw start marker for the trade
line_color = (0, 255, 0)
top = (200, start_lines["ask_line"])
bottom = (200, start_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=30)
#Draw start line for trade entry
line_color = (0, 255, 0)#(252, 81, 48)
top = (50, start_lines["ask_line"])
bottom = (50, start_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=250)
#Draw profit indicator of sell
if profit < 0:
#Draw the main bar of the trade position
if fixed_ratio:
line_color = (255, int(ratio/2+10), 0)
top = (200, start_lines["ask_line"])
bottom = (200,end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=int(ration/5)+10)
fixed_ratio = False
else:
line_color = (255, 0, 0)
top = (200, start_lines["ask_line"])
bottom = (200,end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
else:
#fix the highest issue to be visible on the map
if profit > 30:
line_color = (255, 0 , 0)
top = (200, start_lines["ask_line"])
profit_line = abs(start_lines["ask_line"] - end_lines["bid_line"])
profit_line = int((profit_line * highest)/profit)
bottom = (200, start_lines["bid_line"] + profit_line)
d.line([top, bottom], fill=line_color, width=5)
line_color = (0, 255, 0)
top = (200, start_lines["ask_line"])
bottom = (200,end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
#Draw loss indicator for sell
self.draw_profit_bar(img2, d, profit)
elif position == "buy" and 1 in [self.prev_trade[3]]:
#issue fix bug 2
if profit >= 0 and end_lines["ask_line"] > start_lines["ask_line"]:
ratio = 15
if end_lines["bid_line"] + ratio > 204:
start_lines["ask_line"] = 200
start_lines["bid_line"] = 204
else:
start_lines["ask_line"] = end_lines["ask_line"] + ratio
start_lines["bid_line"] = end_lines["bid_line"] + ratio
#draw bottom right trade status sell , buy , close
self.draw_current_trade(img2, d, "buy") #
#Draw indicator of trade start
#Draw end marker
line_color = (65, 64, 102)
top = (200, end_lines["ask_line"])
bottom = (200, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=20)
#Draw start marker for buy
line_color = (255, 255, 0)
top = (200, start_lines["ask_line"])
bottom = (200, start_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=30)
#Draw start buy line across the chart
line_color = (255, 255, 0)#(255,0,200)
top = (50, start_lines["ask_line"])
bottom = (50, start_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=250)
if profit < 0:
line_color = (255, 0, 0)
top = (200, start_lines["ask_line"])
bottom = (200, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
else:
#fix highest price on chart
if profit > 30:
line_color = (255, 0 , 0)
top = (200, start_lines["ask_line"])
profit_line = abs(end_lines["bid_line"] - start_lines["ask_line"])
profit_line = int((profit_line * highest)/profit)
bottom = (200, start_lines["ask_line"] - profit_line)
d.line([top, bottom], fill=line_color, width=5)
line_color = (255, 255, 0)
top = (200, start_lines["ask_line"])
bottom = (200, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
self.draw_profit_bar(img2, d, profit)
elif position in ["buy", "sell"] and self.prev_trade[3] == 0:
# print(f"Draw buy bar \n\nElse{position}\n\n:")
#draw main vertical bar
self.draw_current_trade(img2, d, "close")
line_color = (255,0,255)
top = (200, start_lines["ask_line"])
bottom = (200, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=15)
#draw end bar
line_color = (255,0,255)
top = (200, end_lines["ask_line"])
bottom = (200, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=30)
#Draw start marker and line
line_color = (255,0,255)
top = (200, start_lines["ask_line"])
bottom = (200, start_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=30)
line_color = (2, 8, 135)
top = (50, start_lines["ask_line"])
bottom = (50, start_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=250)
# self.draw_profit_bar(img2, d, profit)
if self.prev_trade[2] == 2 and profit > 0:
#print right bar for the trade that has closed
line_color = (0, 255, 0)
top = (213, start_lines["ask_line"])
bottom = (213, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
line_color = (241, 254, 198)
top = (190, start_lines["ask_line"])
bottom = (190, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
elif self.prev_trade[2] == 2 and profit < 0:
line_color = (0, 255, 0)
top = (213, start_lines["ask_line"])
bottom = (213, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
line_color = (255,0,0)
top = (190, start_lines["ask_line"])
bottom = (190, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
elif self.prev_trade[2] == 1 and profit > 0:
# print(f"\n\nHey I was here\n\n{self.prev_trade}")
line_color = (255, 255, 0)
top = (213, start_lines["ask_line"])
bottom = (213, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
line_color = (241, 254, 198)
top = (190, start_lines["ask_line"])
bottom = (190, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
elif self.prev_trade[2] == 1 and profit < 0:
line_color = (255, 255, 0)
top = (213, start_lines["ask_line"])
bottom = (213, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
line_color = (255,0,0)
top = (190, start_lines["ask_line"])
bottom = (190, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=10)
else :#:position == "close" and self.prev_trade[2] == 0:
self.draw_current_trade(img2, d, "close")
# print("I run for position Close")
line_color = (255,0,255)
top = (200, end_lines["ask_line"])
bottom = (200, end_lines["bid_line"])
d.line([top, bottom], fill=line_color, width=30)
self.draw_profit_bar(img2, d, profit, account_balance, position)
return img2
class Spec:
def __init__(self, id = None):
self.id = int(list(np.random.random(1))[0]*1000000)
self.max_episode_steps = 200
class ForexCustomEnv(gym.Env):
def __init__(self, config: EnvContext):
self.m1short = config["m1short"]
self.m5short = config["m5short"]
self.m1long = config["m1long"]
self.m5long = config["m5long"]
self.chart_decorator = config["chart_decorator"]
self.trade_queue_m5_short = deque(maxlen=4)
self.image_queue_m5_short = deque(maxlen=4)
self.image_queue_m5_long = deque(maxlen=4)
self.trade_queue_m5_long = deque(maxlen=4)
self.dataset_directory = "M1M5Charts/"#"colabM1M5/episode2/"
self.account_balance = 1000
self.env_draw = config["env_draw"]
self.chart_decorator = chart_decorator
self.prev_trade = deque(maxlen=4)
self.prev_trade.append(0)
self.prev_trade.append(0)
self.prev_trade.append(0)
self.prev_trade.append(0)
self.current_step = 4
self.action = 0
self.position = "close"
self.spec = Spec()
self.reward_ma = deque(maxlen=3)
self.reward_Q = deque(maxlen=2)
self.observation_space = gym.spaces.Box(low=0, high=255,shape=(224,224,3))
self.action_space = gym.spaces.Discrete(3)
def get_ask_bid_lines(self, image_path):
ask_bid_lines = {"ask_line":None, "bid_line":None, "key": 0}
img = Image.open(f"{self.dataset_directory}{image_path}")
img_data = np.array(img)
last_part = Image.fromarray(img_data[:,200:201,:])
img1_pixels = last_part.load()
ask_color = (255,0,0)
bid_color = (119, 136, 153)
for y in range(224):
if img1_pixels[0,y] == ask_color:
ask_bid_lines["ask_line"] = y
if img1_pixels[0,y] == bid_color:
ask_bid_lines["bid_line"] = y
if ask_bid_lines["ask_line"] == None:
# print("Gotcha")
ask_bid_lines["ask_line"] = ask_bid_lines["bid_line"] + 3
ask_bid_lines["bid_line"] = ask_bid_lines["bid_line"] + 6
return ask_bid_lines , img
def reset(self, current_step = 1, step = 50, seed = 0):
self.current_step = current_step
self.step_size = step
# print(f"DBG reset {self.m1short.iloc[self.current_step - 4]['image_path']}")
linesq_m5_short, imageq_m5_short = self.get_ask_bid_lines(f"{self.m5short.iloc[self.current_step - 4]['image_path']}")
linesq_m5_short["key"] = current_step - 4
linest_m5_short, imaget_m5_short = self.get_ask_bid_lines(f"{self.m5short.iloc[self.current_step - 3]['image_path']}")
linest_m5_short["key"] = current_step - 3
liness_m5_short, images_m5_short = self.get_ask_bid_lines(f"{self.m5short.iloc[self.current_step - 2]['image_path']}")
liness_m5_short["key"] = current_step - 2
linesc_m5_short, imagec_m5_short = self.get_ask_bid_lines(f"{self.m5short.iloc[self.current_step - 1]['image_path']}")
linesc_m5_short["key"] = current_step - 1
linesq_m5_long, imageq_m5_long = self.get_ask_bid_lines(f"{self.m5long.iloc[self.current_step - 4]['image_path']}")
linesq_m5_long["key"] = current_step - 4
linest_m5_long, imaget_m5_long = self.get_ask_bid_lines(f"{self.m5long.iloc[self.current_step - 3]['image_path']}")
linest_m5_long["key"] = current_step - 3
liness_m5_long, images_m5_long = self.get_ask_bid_lines(f"{self.m5long.iloc[self.current_step - 2]['image_path']}")
liness_m5_long["key"] = current_step - 2
linesc_m5_long, imagec_m5_long = self.get_ask_bid_lines(f"{self.m5long.iloc[self.current_step - 1]['image_path']}")
linesc_m5_long["key"] = current_step - 1
self.trade_queue_m5_short.append(linesq_m5_short)
self.trade_queue_m5_short.append(linest_m5_short)
self.trade_queue_m5_short.append(liness_m5_short)
self.trade_queue_m5_short.append(linesc_m5_short)
self.image_queue_m5_short.append(imageq_m5_short)
self.image_queue_m5_short.append(imaget_m5_short)
self.image_queue_m5_short.append(images_m5_short)
self.image_queue_m5_short.append(imagec_m5_short)
self.trade_queue_m5_long.append(linesq_m5_long)
self.trade_queue_m5_long.append(linest_m5_long)
self.trade_queue_m5_long.append(liness_m5_long)
self.trade_queue_m5_long.append(linesc_m5_long)
self.image_queue_m5_long.append(imageq_m5_long)
self.image_queue_m5_long.append(imaget_m5_long)
self.image_queue_m5_long.append(images_m5_long)
self.image_queue_m5_long.append(imagec_m5_long)
self.done = 0
self.reward = 0
self.position = "close"
self.reset_current_trade()
next_state = self.get_obs()
self.episode_profit = 0
self.prev_trade = deque(maxlen=4)
self.prev_trade.append(0)
self.prev_trade.append(0)
self.prev_trade.append(0)
self.prev_trade.append(0)
self.action = 0
self.reward_ma = deque(maxlen=3)
self.reward_Q = deque(maxlen=3)
#reset standard limit in chart decorator
self.chart_decorator.standard_limit = self.account_balance
return next_state#self.current_trade
def reset_current_trade(self ):
self.current_trade = {}
self.current_trade["current_step"] = self.current_step
self.current_trade["ask_bid_lines_m5_short"] = None
self.current_trade["ask_bid_lines_m5_long"] = None
self.current_trade["entry_price"] = None
self.current_trade["current_price"] = None
self.current_trade["timesteps"] = 0
self.current_trade["position"] = "close"
self.current_trade["profit"] = 0
self.current_trade["parent_ask_bid_lines_m5_short"] = None
self.current_trade["parent_ask_bid_lines_m5_long"] = None
self.current_trade["reward"] = 0
self.current_trade["balance"] = self.account_balance
self.current_trade["episode_profit"] = 0
#this code is to add dimensions to 8 of them 4 for m1short 4 for m5short remaining to draw on m5 charts
self.current_trade["ask_bid_lines_m5_short"] = None
self.current_trade["highest"] = 0
self.current_trade["price_ma"] = deque(maxlen=3)
self.current_trade["reward_ma"] = deque(maxlen=3)
self.account_balance = 1000
self.old_balance = 1000
def display_stacked_horizontally(self,imageq, imaget,images,imagec):
# # Calculate the required dimensions for the new image
new_width = imageq.width * 4
new_height = imageq.height
# # Create a new image with the required dimensions
new_image = Image.new("RGB", (new_width, new_height))
# # Paste the individual images side by side
new_image.paste(imageq, (0, 0))
new_image.paste(imaget, (imageq.width, 0))
new_image.paste(images, (imageq.width + imaget.width, 0))
new_image.paste(imagec, (imageq.width + imaget.width + images.width, 0))
def reset_collection(self, t_q, i_q):
_queue = deque(maxlen=4)
for i in range(0, 4):
_lines_c, _image_c = self.get_ask_bid_lines(f"{self.dataset_directory}{self.m1short.iloc[t_q[i]['key']]['image_path']}")
_image_c = self.draw_buy_bar(_image_c, _lines_c, _lines_c, position="close", profit = 0)
_queue.append(_image_c)
return t_q, _queue
def draw_collection(self,q, q2):
# # Calculate the required dimensions for the new image
new_width = q[0].width * 4
new_height =q[0].height
# # Create a new image with the required dimensions
new_image = Image.new("RGB", (new_width, new_height))
# # Paste the individual images side by side
# new_image.paste(q[0], (0, 0))
# new_image.paste(q2[1], (0, 0))
# new_image.paste(q2[2], (q[0].width, 0))
new_image.paste(q2[3], (q[0].width + q[0].width, 0))
# new_image.paste(q[3], (q[0].width + q[0].width + q[0].width, 0))
display(q2[3])
def draw_buy_bar(self, current_image, start_lines, end_lines, position = None, profit = 0, prev_trade=None, highest=0):
return self.chart_decorator.draw_buy_bar(current_image, start_lines, end_lines, self.position, profit, prev_trade, self.account_balance, highest)
def enter_trade(self, ask_bid_lines_m1_short=None, ask_bid_lines_m5_short = None, ask_bid_lines_m1_long = None, ask_bid_lines_m5_long = None, current_image_m1_short=None, current_image_m5_short=None, current_image_m1_long=None, current_image_m5_long = None):
self.current_trade["position"] = self.position
self.current_trade["ask_bid_lines_m5_short"] = ask_bid_lines_m5_short
self.current_trade["ask_bid_lines_m5_long"] = ask_bid_lines_m5_long
self.current_trade["entry_price"] = float(f"{self.m5short.iloc[self.current_step]['Ask']}") if self.position == "buy" else float(f"{self.m5short.iloc[self.current_step]['Bid']}")
self.current_trade["profit"] = 0
self.current_trade["current_price"] = float(f"{self.m5short.iloc[self.current_step]['Ask']}")
self.current_trade["timesteps"] = 1
self.current_trade["parent_ask_bid_lines_m5_short"] = ask_bid_lines_m5_short
self.current_trade["parent_ask_bid_lines_m5_long"] = ask_bid_lines_m5_long
self.current_trade["balance"] = self.account_balance
self.current_trade["highest"] = 0
self.current_trade["price_ma"] = deque(maxlen=2)
self.current_trade["reward_ma"] = deque(maxlen=2)
self.current_trade["price_ma"].append(0)
self.current_trade["price_ma"].append(0)
self.current_trade["price_ma"].append(0)
self.current_trade["reward_ma"].append(0.10)
self.current_trade["reward_ma"].append(0.10)
self.current_trade["reward_ma"].append(0.10)
current_image_m5_short = self.draw_buy_bar(current_image_m5_short, ask_bid_lines_m5_short, ask_bid_lines_m5_short, self.position , self.current_trade["profit"], self.prev_trade, self.current_trade["highest"] )
current_image_m5_long = self.draw_buy_bar(current_image_m5_long, ask_bid_lines_m5_long, ask_bid_lines_m5_long, self.position, self.current_trade["profit"], self.prev_trade, self.current_trade["highest"])
self.trade_queue_m5_short.append(ask_bid_lines_m5_short)
self.trade_queue_m5_long.append(ask_bid_lines_m5_long)
self.image_queue_m5_short.append(current_image_m5_short)
self.image_queue_m5_long.append(current_image_m5_long)
if self.env_draw:
self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
# self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
self.reward = 0.1# self.get_reward(self.current_trade) #self.account_balance/self.account_balance
self.reward_Q.append(self.reward)
self.reward_Q.append(self.reward)
self.reward_Q.append(self.reward)
self.current_trade["reward"] = self.reward
# print(f"DBG: enter trade_ current_trade {self.current_trade}")
def enter_idle_mode(self, ask_bid_lines_m1_short=None, ask_bid_lines_m5_short = None, ask_bid_lines_m1_long = None, ask_bid_lines_m5_long = None, current_image_m1_short=None, current_image_m5_short=None, current_image_m1_long=None, current_image_m5_long = None):
self.current_trade["ask_bid_lines_m5_short"] = ask_bid_lines_m5_short
self.current_trade["ask_bid_lines_m5_long"] = ask_bid_lines_m5_long
self.current_trade["entry_price"] = float(f"{self.m5short.iloc[self.current_step]['Ask']}")
self.current_trade["current_price"] = float(f"{self.m5short.iloc[self.current_step]['Ask']}")
self.current_trade["position"] = self.position
self.current_trade["reward"] = 0
self.current_trade["timesteps"] = 1
self.current_trade["profit"] = -3
self.current_trade["parent_ask_bid_lines_m5_short"] = None
self.current_trade["parent_ask_bid_lines_m5_long"] = None
self.current_trade["balance"] = self.account_balance
self.current_trade["price_ma"].append(0.10)
self.current_trade["price_ma"].append(0.10)
self.current_trade["price_ma"].append(0.10)
self.current_trade["price_ma"].append(0.10)
self.current_trade["reward_ma"].append(0.00)
self.current_trade["reward_ma"].append(0.00)
self.current_trade["reward_ma"].append(0.00)
self.current_trade["reward_ma"].append(0.00)
current_image_m5_short = self.draw_buy_bar(current_image_m5_short, ask_bid_lines_m5_short, ask_bid_lines_m5_short, self.position, self.current_trade["profit"], self.prev_trade, self.current_trade["highest"])
current_image_m5_long = self.draw_buy_bar(current_image_m5_long, ask_bid_lines_m5_long, ask_bid_lines_m5_long, self.position, self.current_trade["profit"], self.prev_trade, self.current_trade["highest"])
self.trade_queue_m5_short.append(ask_bid_lines_m5_short)
self.trade_queue_m5_long.append(ask_bid_lines_m5_long)
self.image_queue_m5_short.append(current_image_m5_short)
self.image_queue_m5_long.append(current_image_m5_long)
if self.env_draw:
self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
# self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
self.reward = 0#self.get_reward(self.current_trade)
self.current_trade["reward"] = self.reward
# print(f"DBG: enter idle_ current_trade {self.current_trade}")
def hold_position(self, ask_bid_lines_m1_short=None, ask_bid_lines_m5_short = None, ask_bid_lines_m1_long = None, ask_bid_lines_m5_long = None, current_image_m1_short=None, current_image_m5_short=None, current_image_m1_long=None, current_image_m5_long = None):
self.current_trade["current_price"] = float(f"{self.m5short.iloc[self.current_step]['Bid']}") if self.position == "buy" else float(f"{self.m5short.iloc[self.current_step]['Ask']}")
self.current_trade["profit"] = self.current_trade["current_price"] - self.current_trade["entry_price"] if self.position == "buy" else self.current_trade["entry_price"] - self.current_trade["current_price"]
self.current_trade["timesteps"] += 1
self.current_trade["current_timestep"] = self.current_step
self.current_trade["balance"] = self.account_balance
self.current_trade["highest"] = self.current_trade["profit"] if self.current_trade["profit"] > self.current_trade["highest"] else self.current_trade["highest"]
#self.current_trade["highest"] -= 15
current_image_m5_short = self.draw_buy_bar(current_image_m5_short, self.current_trade["parent_ask_bid_lines_m5_short"], ask_bid_lines_m5_short, self.position , self.current_trade["profit"], self.prev_trade, self.current_trade["highest"])
current_image_m5_long = self.draw_buy_bar(current_image_m5_long, self.current_trade["parent_ask_bid_lines_m5_long"], ask_bid_lines_m5_long, self.position, self.current_trade["profit"], self.prev_trade, self.current_trade["highest"])
self.trade_queue_m5_short.append(ask_bid_lines_m5_short)
self.trade_queue_m5_long.append(ask_bid_lines_m5_long)
self.image_queue_m5_short.append(current_image_m5_short)
self.image_queue_m5_long.append(current_image_m5_long)
#fix price variance with ma for each trade
self.current_trade["price_ma"].append(self.current_trade["profit"])
if len(self.current_trade["price_ma"]) < 2:
if self.current_trade["profit"] < 0 and self.current_trade > -10:
self.current_trade["price_ma"].append(1)
self.current_trade["price_ma"].append(1)
# self.current_trade["price_ma"].append(1)
# self.current_trade["price_ma"].append(1)
elif self.current_trade["price_ma"] > 0 and self.current_trade["profit"] > 0:
self.current_trade["price_ma"].append(self.current_trade["profit"])
self.current_trade["price_ma"].append(self.current_trade["profit"])
# self.current_trade["price_ma"].append(self.current_trade["profit"])
# self.current_trade["price_ma"].append(self.current_trade["profit"])
# print(f"DBG: hold_position {self.current_trade['price_ma']}")
if self.env_draw:
self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
# self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
if self.current_trade["profit"] >= 0:
self.reward = 0.2#self.get_reward(self.current_trade)#(self.account_balance + self.current_trade["profit"])/self.account_balance
self.current_trade["reward"] = self.reward
else:#refactor introduce a penalty for the magnitude of losses
if self.current_trade["profit"] > -50:
self.done = True
self.reward = -1
else:
self.reward = -1 * self.get_reward(abs(self.current_trade["profit"]))
if self.current_trade["profit"] * 80 < self.current_trade["highest"]:
self.reward = - (self.current_trade["highest"] - self.current_trade["profit"])/(1+self.current_trade["highest"])
# print(f"DBG::hold positio n_ current_trade {self.current_trade}")
self.current_trade["reward_ma"].append(self.reward)
# self.reward = 0#sum(self.current_trade["reward_ma"])/len(self.current_trade["reward_ma"])
self.reward_Q.append(self.reward)
# self.reward = sum(self.reward_Q)/len(self.reward_Q)
self.current_trade["reward"] = self.reward
def get_reward(self, profit):
if profit < 50:
return profit / 50
elif profit < 100:
return profit / 100
elif profit < 150:
return profit / 150
elif profit < 200:
return profit / 200
elif profit < 250:
return profit / 250
elif profit < 300:
return profit / 300
elif profit < 350 :
return profit / 350
elif profit < 400:
return profit / 400
elif profit < 450:
return profit / 450
elif profit < 500:
return profit / 500
def close_position(self, ask_bid_lines_m1_short=None, ask_bid_lines_m5_short = None, ask_bid_lines_m1_long = None, ask_bid_lines_m5_long = None, current_image_m1_short=None, current_image_m5_short=None, current_image_m1_long=None, current_image_m5_long = None, prev_trade = None):
# print(f"self.position {self.position}")
self.current_trade["current_price"] = float(f"{self.m5short.iloc[self.current_step]['Bid']}") if self.position == "buy" else float(f"{self.m5short.iloc[self.current_step]['Ask']}")
self.current_trade["profit"] = self.current_trade["current_price"] - self.current_trade["entry_price"] if self.position == "buy" else self.current_trade["entry_price"] - self.current_trade["current_price"]
self.current_trade["highest"] = self.current_trade["profit"] if self.current_trade["profit"] > self.current_trade["highest"] else self.current_trade["highest"]
#self.current_trade["highest"] += 5
current_image_m5_short = self.draw_buy_bar(current_image_m5_short, self.parent_ask_bid_lines_m5_short, ask_bid_lines_m5_short, self.position, self.current_trade["profit"] , prev_trade, self.current_trade["highest"])
current_image_m5_long = self.draw_buy_bar(current_image_m5_long, self.parent_ask_bid_lines_m5_long, ask_bid_lines_m5_long, self.position, self.current_trade["profit"], prev_trade, self.current_trade["highest"])
self.trade_queue_m5_short.append(ask_bid_lines_m5_short)
self.trade_queue_m5_long.append(ask_bid_lines_m5_long)
self.image_queue_m5_short.append(current_image_m5_short)
self.image_queue_m5_long.append(current_image_m5_long)
self.account_balance += self.current_trade["profit"]
#fix high variance for the price
self.current_trade["price_ma"].append(self.current_trade["profit"])
if self.env_draw:
self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
# self.draw_collection(self.image_queue_m5_short,self.image_queue_m5_long)
if self.current_trade["profit"] >= 0:
if self.current_trade["profit"] * 80 < self.current_trade["highest"]:
self.reward = - (self.current_trade["highest"] - self.current_trade["profit"])/(self.current_trade["highest"]+1)#self.get_reward(self.current_trade["profit"]
else:
self.reward = self.get_reward(self.current_trade["profit"])
else:
self.reward = -self.get_reward(abs(self.current_trade["profit"]))
self.current_trade["reward_ma"].append(self.reward)
self.current_trade["reward"] = self.reward
self.current_trade["current_timestep"] = self.current_step
self.current_trade["timesteps"] += 1
self.current_trade["position"] = "close"
self.current_trade["balance"] = self.account_balance
self.current_trade["episode_profit"] = self.episode_profit
self.position = "close"
self.parent_ask_bid = None
def step(self, action):
self.reward = 0
self.done = False
ask_bid_lines_m5_short, current_image_m5_short = self.get_ask_bid_lines(f"{self.m5short.iloc[self.current_step]['image_path']}")
ask_bid_lines_m5_long, current_image_m5_long = self.get_ask_bid_lines(f"{self.m5long.iloc[self.current_step]['image_path']}")
ask_bid_lines_m5_short["key"] = self.current_step
ask_bid_lines_m5_long["key"] = self.current_step
if self.position == "close":
if action == 1:
self.position = "buy"
self.prev_trade.append(1)
self.parent_ask_bid_lines_m5_short = ask_bid_lines_m5_short
self.parent_ask_bid_lines_m5_long = ask_bid_lines_m5_long
self.enter_trade(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long)
elif action == 2:
self.position = "sell"
self.prev_trade.append(2)
self.parent_ask_bid_lines_m5_short = ask_bid_lines_m5_short
self.parent_ask_bid_lines_m5_long = ask_bid_lines_m5_long
self.enter_trade(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long)
elif action == 0:
self.position = "close"
self.prev_trade.append(0)
self.parent_ask_bid_lines_m5_short = ask_bid_lines_m5_short
self.parent_ask_bid_lines_m5_long = ask_bid_lines_m5_long
self.enter_idle_mode(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long)
elif self.position == "buy":
if action == 1:
self.prev_trade.append(1)
self.hold_position(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long)
elif action in [2]:
self.prev_trade.append(0)
self.close_position(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long, prev_trade = self.prev_trade)
#fix standard limit and standard balance on chart
if self.account_balance > int((2/3) * self.chart_decorator.balance_limit) + self.chart_decorator.standard_balance:
self.chart_decorator.standard_balance = self.account_balance
elif action in [0]:
self.prev_trade.append(0)
self.close_position(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long=current_image_m5_long, prev_trade = self.prev_trade)
#fix standard limit and standard balance on chart
if self.account_balance > int((2/3) * self.chart_decorator.balance_limit) + self.chart_decorator.standard_balance:
self.chart_decorator.standard_balance = self.account_balance
elif self.position == "sell":
if action == 2:
self.prev_trade.append(2)
self.hold_position(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long)
#this reward is to penalize it not to change the position without closing the position
elif action in [1]:
self.prev_trade.append(0)
self.close_position(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long, prev_trade = self.prev_trade)
#fix standard limit and standard balance on chart
if self.account_balance > int((2/3) * self.chart_decorator.balance_limit) + self.chart_decorator.standard_balance:
self.chart_decorator.standard_balance = self.account_balance
elif action == 0:
self.prev_trade.append(0)
self.close_position(ask_bid_lines_m5_short = ask_bid_lines_m5_short, ask_bid_lines_m5_long = ask_bid_lines_m5_long, current_image_m5_short = current_image_m5_short, current_image_m5_long = current_image_m5_long, prev_trade = self.prev_trade)
if self.account_balance > int((2/3) * self.chart_decorator.balance_limit) + self.chart_decorator.standard_balance:
self.chart_decorator.standard_balance = self.account_balance
self.current_step += self.step_size
print(f"step {self.current_step}, action: {action}, profit {self.current_trade['profit']} balance : {self.account_balance}")
next_state = self.get_obs()
if self.account_balance < 1000 or self.current_step > 9800:#:self.old_balance:
self.done = True
return next_state, self.reward, self.done, self.current_trade
def get_obs(self):
return np.asarray(self.image_queue_m5_long[3])
class ConvCfCModel(RecurrentNetwork):
"""Example of using the Keras functional API to define a RNN model."""
def __init__(
self,
obs_space,
action_space,
num_outputs,
model_config,
name,
cell_size=64,
):
super(ConvCfCModel, self).__init__(
obs_space, action_space, num_outputs, model_config, name
)
self.cell_size = cell_size
# Define input layers
input_layer = tf.keras.layers.Input(
shape=(None, obs_space.shape[0] * obs_space.shape[1] * obs_space.shape[2]),
name="inputs",
)
state_in_h = tf.keras.layers.Input(shape=(cell_size,), name="h")
seq_in = tf.keras.layers.Input(shape=(), name="seq_in", dtype=tf.int32)
# Preprocess observation with a hidden layer and send to CfC
self.conv_block = tf.keras.models.Sequential(
[
tf.keras.Input(
(obs_space.shape[0] * obs_space.shape[1] * obs_space.shape[2])
), # batch dimension is implicit
tf.keras.layers.Lambda(
lambda x: tf.cast(x, tf.float32) / 255.0
), # normalize input
tf.keras.layers.Reshape(
(obs_space.shape[0], obs_space.shape[1], obs_space.shape[2])
),
tf.keras.layers.Conv2D(
64, 5, padding="same", activation="relu", strides=2
),
tf.keras.layers.Conv2D(
128, 5, padding="same", activation="relu", strides=2
),
tf.keras.layers.Conv2D(
128, 5, padding="same", activation="relu", strides=2
),
tf.keras.layers.Conv2D(
256, 5, padding="same", activation="relu", strides=2
),
tf.keras.layers.GlobalAveragePooling2D(),
]
)
self.td_conv = tf.keras.layers.TimeDistributed(self.conv_block)
dense1 = self.td_conv(input_layer)
cfc_out, state_h = CfC(
cell_size, return_sequences=True, return_state=True, name="cfc"
)(
inputs=dense1,
mask=tf.sequence_mask(seq_in),
initial_state=[state_in_h],
)
# Postprocess CfC output with another hidden layer and compute values
logits = tf.keras.layers.Dense(
self.num_outputs, activation=tf.keras.activations.linear, name="logits"
)(cfc_out)
values = tf.keras.layers.Dense(1, activation=None, name="values")(cfc_out)
# Create the RNN model
self.rnn_model = tf.keras.Model(
inputs=[input_layer, seq_in, state_in_h],
outputs=[logits, values, state_h],
)
self.rnn_model.summary()
@override(RecurrentNetwork)
def forward_rnn(self, inputs, state, seq_lens):
model_out, self._value_out, h = self.rnn_model([inputs, seq_lens] + state)
return model_out, [h]
@override(ModelV2)
def get_initial_state(self):
return [
np.zeros(self.cell_size, np.float32),
]
@override(ModelV2)
def value_function(self):
return tf.reshape(self._value_out, [-1])
ModelCatalog.register_custom_model("cfc", ConvCfCModel)
env_config = {}
m5short_step_4 = pd.read_csv("final_complete_m5short_timestep_4.csv")
m1short_step_4 = pd.read_csv("final_complete_m1short_timestep_4.csv")
m1long_step_4 = pd.read_csv("final_complete_m1long_timestep_4.csv")
m5long_step_4 = pd.read_csv("final_complete_m5long_timestep_4.csv")
chart_decorator = ChartDecorator()
env_config["m1short"]= m1short_step_4
env_config["m5short"]= m5short_step_4
env_config["m1long"] = m1long_step_4
env_config["m5long"] = m5long_step_4
env_config["chart_decorator"] = chart_decorator
env_config["env_draw"] = False
register_env("forexcustomenv", lambda env_config : ForexCustomEnv(env_config))
ppo_config = {
"log_level":"INFO",
"monitor":True,
"env": "forexcustomenv",
"env_config": env_config,
"preprocessor_pref": None,
"gamma": 0.99,
"num_gpus": 0,
"num_workers": 4,
"num_envs_per_worker": 1,
"create_env_on_driver": True,
"lambda": 0.95,
"kl_coeff": 0.5,
"clip_rewards": True,
"clip_param": 0.1,
"vf_clip_param": 10.0,
"entropy_coeff": 0.01,
"horizon": 200,
"rollout_fragment_length": 200,
"sgd_minibatch_size": 100,
"train_batch_size": 4000,
"num_sgd_iter": 10,
"lr":0.001,
"recreate_failed_workers":True,
"ignore_worker_failures":True,
"batch_mode": "truncate_episodes",
"observation_filter": "NoFilter",
"model": {
"vf_share_layers": True,
"custom_model": "cfc",
"max_seq_len": 20,
"custom_model_config": {
"cell_size": 64,
},
},
"framework": "tf2",
}
model_path = f"rl_ckpt_forex/forexcustomenv/policies/default_policy/policy_state.pkl"
algo = PPO(config=ppo_config)
if os.path.exists(model_path):
algo.load_checkpoint(model_path)