T-1000 Advanced Prototype

Deep reinforcement learning multi-agent algorithmic trading framework that learns to trade from experience and then evaluate with brand new data

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Prerequisites

• Miniconda or Anaconda

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Setup

Ubuntu

# make sure you have these installed
sudo apt-get install gcc g++ build-essential python-dev python3-dev htop
# create env
conda env create -f linux_env.yml
# activate it
conda activate ray-0.8.0

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Using

# instatiate the environment
T_1000 = CreateEnv(assets=['OMG','BTC','ETH'],
                  currency='USDT',
                  granularity='day',
                  datapoints=600)

# define the hyperparams to train
T_1000.train(timesteps=5e4,
              checkpoint_freq=10,
              lr_schedule=[
                  [
                      [0, 7e-5],  # [timestep, lr]
                      [100, 7e-6],
                  ],
                  [
                      [0, 6e-5],
                      [100, 6e-6],
                  ]
              ],
              algo='PPO')

Once you have a sattisfatory reward_mean benchmark you can see how it performs with never seen data

# same environment
T_1000 = CreateEnv(assets=['OMG','BTC','ETH'],
                  currency='USDT',
                  granularity='day',
                  datapoints=600)

# checkpoint are saved in /results
# it will automatically use a different time period from trainnig to backtest
T_1000.backtest(checkpoint_path='path/to/checkpoint_file/checkpoint-400')

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Features

• state of the art agents
• hyperparam grid search
• multi agent parallelization
• learning rate schedule
• result analysis

"It just needs to touch something to mimic it." - Sarah Connor, about the T-1000

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Monitoring

Some nice tools to keep an eye while your agent train are (of course) tensorboard, gpustat and htop

# from the project home folder
$ tensorboard --logdir=results

# show how your gpu is going
$ gpustat -i

# show how your cpu and ram are going
$ htop

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Customizing

Edit the commision and initial balance values in /variables.json

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Credits

• Papers
• Analyzing cryptocurrency markets using python
• Q-trader
• Trading-Gym
• Tensor Trade

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To do

• Bind the agent's output with an exchange place order API