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mt5_AI_trading_bot/utils.py
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Nguyen Viet Tuan 6230ed4e3d Add files via upload
2022-07-04 22:39:17 +07:00

384 lines
14 KiB
Python

import itertools
import logging
import numpy as np
import tensorflow
import tensorflow.compat.v1 as tf
import time
import os
import pandas as pd
import subprocess
def check_dir(cur_dir):
if not os.path.exists(cur_dir):
return False
return True
def copy_file(src_dir, tar_dir):
cmd = 'cp %s %s' % (src_dir, tar_dir)
subprocess.check_call(cmd, shell=True)
def find_file(cur_dir, suffix='.ini'):
for file in os.listdir(cur_dir):
if file.endswith(suffix):
return cur_dir + '/' + file
logging.error('Cannot find %s file' % suffix)
return None
def init_dir(base_dir, pathes=['log', 'data', 'model']):
if not os.path.exists(base_dir):
os.mkdir(base_dir)
dirs = {}
for path in pathes:
cur_dir = base_dir + '/%s/' % path
if not os.path.exists(cur_dir):
os.mkdir(cur_dir)
dirs[path] = cur_dir
return dirs
def init_log(log_dir):
logging.basicConfig(format='%(asctime)s [%(levelname)s] %(message)s',
level=logging.INFO,
handlers=[
logging.FileHandler('%s/%d.log' %
(log_dir, time.time())),
logging.StreamHandler()
])
def init_test_flag(test_mode):
if test_mode == 'no_test':
return False, False
if test_mode == 'in_train_test':
return True, False
if test_mode == 'after_train_test':
return False, True
if test_mode == 'all_test':
return True, True
return False, False
class Counter:
def __init__(self, total_step, test_step, log_step):
self.counter = itertools.count(1)
self.cur_step = 0
self.cur_test_step = 0
self.total_step = total_step
self.test_step = test_step
self.log_step = log_step
self.stop = False
# self.init_test = True
def next(self):
self.cur_step = next(self.counter)
return self.cur_step
def should_test(self):
test = False
if (self.cur_step - self.cur_test_step) >= self.test_step:
test = True
self.cur_test_step = self.cur_step
return test
def should_log(self):
return (self.cur_step % self.log_step == 0)
def should_stop(self):
if self.cur_step >= self.total_step:
return True
return self.stop
class Trainer():
def __init__(self, env, model, global_counter, summary_writer, run_test, output_path=None):
self.cur_step = 0
self.global_counter = global_counter
self.env = env
self.agent = self.env.agent
self.model = model
self.sess = self.model.sess
self.n_step = self.model.n_step
self.summary_writer = summary_writer
self.run_test = run_test
self.data = []
self.output_path = output_path
if run_test:
self.test_num = self.env.test_num
logging.info('Testing: total test num: %d' % self.test_num)
self._init_summary()
def _init_summary(self):
self.train_reward = tf.placeholder(tensorflow.float32, [])
self.train_summary = tf.summary.scalar(
'train_reward', self.train_reward)
self.test_reward = tf.placeholder(tensorflow.float32, [])
self.test_summary = tf.summary.scalar('test_reward', self.test_reward)
def _add_summary(self, reward, global_step, is_train=True):
if is_train:
summ = self.sess.run(self.train_summary, {
self.train_reward: reward})
else:
summ = self.sess.run(self.test_summary, {self.test_reward: reward})
self.summary_writer.add_summary(summ, global_step=global_step)
def explore(self, prev_ob, prev_done):
ob = prev_ob
done = prev_done
rewards = []
for _ in range(self.n_step):
policy, value = self.model.forward(ob, done)
# need to update fingerprint before calling step
self.env.update_fingerprint(policy)
action = []
for pi in policy:
action.append(np.random.choice(
np.arange(len(pi)), p=pi))
next_ob, reward, done, global_reward = self.env.step(action)
rewards.append(global_reward)
global_step = self.global_counter.next()
self.cur_step += 1
if self.agent.endswith('a2c'):
self.model.add_transition(ob, action, reward, value, done)
else:
self.model.add_transition(ob, action, reward, next_ob, done)
# logging
if self.global_counter.should_log():
logging.info('''Training: global step %d, episode step %d,
ob: %s, a: %s, pi: %s, r: %.2f, train r: %.2f, done: %r''' %
(global_step, self.cur_step,
str(ob), str(action), str(policy), global_reward, np.mean(reward), done))
if done:
break
ob = next_ob
if self.agent.endswith('a2c'):
if done:
R = 0 if self.agent == 'a2c' else [0] * self.model.n_agent
else:
R = self.model.forward(ob, False, 'v')
else:
R = 0
return ob, done, R, rewards
def inference(self, ob, policy_type='default'):
# note this done is pre-decision to reset LSTM states!
done = False
# self.model.reset()
# policy-based on-poicy learning
policy = self.model.forward(ob, done, 'p')
self.env.update_fingerprint(policy)
action = []
for pi in policy:
if policy_type != 'deterministic':
action.append(np.random.choice(
np.arange(len(pi)), p=pi))
else:
action.append(np.argmax(np.array(pi)))
return action
def perform(self, policy_type='default'):
ob = self.env.reset()
# note this done is pre-decision to reset LSTM states!
done = True
self.model.reset()
rewards = []
while True:
# policy-based on-poicy learning
policy = self.model.forward(ob, done, 'p')
self.env.update_fingerprint(policy)
action = []
for pi in policy:
if policy_type != 'deterministic':
action.append(np.random.choice(
np.arange(len(pi)), p=pi))
else:
action.append(np.argmax(np.array(pi)))
next_ob, reward, done, global_reward = self.env.step(action)
rewards.append(global_reward)
if done:
break
ob = next_ob
mean_reward = np.mean(np.array(rewards))
std_reward = np.std(np.array(rewards))
return mean_reward, std_reward
def run_thread(self, coord):
'''Multi-threading is disabled'''
ob = self.env.reset()
done = False
cum_reward = 0
while not coord.should_stop():
ob, done, R, cum_reward = self.explore(ob, done, cum_reward)
global_step = self.global_counter.cur_step
if self.agent.endswith('a2c'):
self.model.backward(R, self.summary_writer, global_step)
else:
self.model.backward(self.summary_writer, global_step)
self.summary_writer.flush()
if (self.global_counter.should_stop()) and (not coord.should_stop()):
self.env.terminate()
coord.request_stop()
logging.info('Training: stop condition reached!')
return
def run(self):
while not self.global_counter.should_stop():
# test
if self.run_test and self.global_counter.should_test():
rewards = []
global_step = self.global_counter.cur_step
self.env.train_mode = False
for test_ind in range(self.test_num):
mean_reward, std_reward = self.perform(test_ind)
self.env.terminate()
rewards.append(mean_reward)
log = {'agent': self.agent,
'step': global_step,
'test_id': test_ind,
'avg_reward': mean_reward,
'std_reward': std_reward}
self.data.append(log)
avg_reward = np.mean(np.array(rewards))
self._add_summary(avg_reward, global_step, is_train=False)
logging.info('Testing: global step %d, avg R: %.2f' %
(global_step, avg_reward))
# train
self.env.train_mode = True
ob = self.env.reset()
# note this done is pre-decision to reset LSTM states!
done = True
self.model.reset()
self.cur_step = 0
rewards = []
while True:
ob, done, R, cur_rewards = self.explore(ob, done)
rewards += cur_rewards
global_step = self.global_counter.cur_step
if self.agent.endswith('a2c'):
self.model.backward(R, self.summary_writer, global_step)
else:
self.model.backward(self.summary_writer, global_step)
# termination
if done:
# self.env.terminate()
break
rewards = np.array(rewards)
mean_reward = np.mean(rewards)
std_reward = np.std(rewards)
log = {'agent': self.agent,
'step': global_step,
'test_id': -1,
'avg_reward': mean_reward,
'std_reward': std_reward}
self.data.append(log)
self._add_summary(mean_reward, global_step)
self.summary_writer.flush()
df = pd.DataFrame(self.data)
df.to_csv(self.output_path + 'train_reward.csv')
class Tester(Trainer):
def __init__(self, env, model, global_counter, summary_writer, output_path):
super().__init__(env, model, global_counter, summary_writer)
self.env.train_mode = False
self.test_num = self.env.test_num
self.output_path = output_path
self.data = []
logging.info('Testing: total test num: %d' % self.test_num)
def _init_summary(self):
self.reward = tf.placeholder(tensorflow.float32, [])
self.summary = tf.summary.scalar('test_reward', self.reward)
def run_offline(self):
# enable traffic measurments for offline test
is_record = True
record_stats = False
self.env.cur_episode = 0
self.env.init_data(is_record, record_stats, self.output_path)
rewards = []
for test_ind in range(self.test_num):
rewards.append(self.perform(test_ind))
self.env.terminate()
time.sleep(2)
self.env.collect_tripinfo()
avg_reward = np.mean(np.array(rewards))
logging.info('Offline testing: avg R: %.2f' % avg_reward)
self.env.output_data()
def run_online(self, coord):
self.env.cur_episode = 0
while not coord.should_stop():
time.sleep(30)
if self.global_counter.should_test():
rewards = []
global_step = self.global_counter.cur_step
for test_ind in range(self.test_num):
cur_reward = self.perform(test_ind)
self.env.terminate()
rewards.append(cur_reward)
log = {'agent': self.agent,
'step': global_step,
'test_id': test_ind,
'reward': cur_reward}
self.data.append(log)
avg_reward = np.mean(np.array(rewards))
self._add_summary(avg_reward, global_step)
logging.info('Testing: global step %d, avg R: %.2f' %
(global_step, avg_reward))
# self.global_counter.update_test(avg_reward)
df = pd.DataFrame(self.data)
df.to_csv(self.output_path + 'train_reward.csv')
class Predictor(Tester):
def __init__(self, env, model, demo=False, policy_type='default'):
self.env = env
self.model = model
self.agent = self.env.agent
self.env.train_mode = False
self.test_num = self.env.test_num
self.demo = demo
self.policy_type = policy_type
def run(self, state):
self.env.cur_episode = 0
time.sleep(1)
for test_ind in range(self.test_num):
action = self.inference(state, policy_type=self.policy_type)
time.sleep(2)
return action
class Evaluator(Tester):
def __init__(self, env, model, output_path, demo=False, policy_type='default'):
self.env = env
self.model = model
self.agent = self.env.agent
self.env.train_mode = False
self.test_num = self.env.test_num
self.output_path = output_path
self.demo = demo
self.policy_type = policy_type
def run(self):
is_record = True
record_stats = False
self.env.cur_episode = 0
self.env.init_data(is_record, record_stats, self.output_path)
time.sleep(1)
for test_ind in range(self.test_num):
reward, _ = self.perform(policy_type=self.policy_type)
logging.info('test %i, avg reward %.2f' % (test_ind, reward))
time.sleep(2)
self.env.output_data()