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Runtime error
| import numpy as np | |
| import pandas as pd | |
| class Environment: | |
| def __init__(self, data, history_t=90): | |
| self.data = data | |
| self.history_t = history_t | |
| self.reset() | |
| def reset(self): | |
| self.t = 0 | |
| self.done = False | |
| self.profits = 0 | |
| self.positions = [] | |
| self.position_value = 0 | |
| self.history = [0 for _ in range(self.history_t)] | |
| return [self.position_value] + self.history # obs | |
| def step(self, act): | |
| reward = 0 | |
| # act = 0: stay, 1: buy, -1: sell | |
| if act == 1: | |
| self.positions.append(self.data.iloc[self.t, :]['Close']) | |
| elif act == 2: # sell | |
| if len(self.positions) == 0: | |
| reward = -1 | |
| else: | |
| profits = 0 | |
| for p in self.positions: | |
| profits += (self.data.iloc[self.t, :]['Close'] - p) | |
| reward += profits | |
| self.profits += profits | |
| self.positions = [] | |
| # set next time | |
| self.t += 1 | |
| self.position_value = 0 | |
| for p in self.positions: | |
| self.position_value += (self.data.iloc[self.t, :]['Close'] - p) | |
| self.history.pop(0) | |
| self.history.append(self.data.iloc[self.t, :]['Close'] - self.data.iloc[(self.t-1), :]['Close']) | |
| # clipping reward | |
| if reward > 0: | |
| reward = 1 | |
| elif reward < 0: | |
| reward = -1 | |
| return [self.position_value] + self.history, reward, self.done # obs, reward, done | |
| if __name__ == "__main__": | |
| data = pd.read_csv('./data/EURUSD_Candlestick_1_M_BID_01.01.2021-04.02.2023.csv') | |
| # data['Local time'] = pd.to_datetime(data['Local time']) | |
| data = data.set_index('Local time') | |
| print(data.index.min(), data.index.max()) | |
| date_split = '19.09.2022 17:55:00.000 GMT-0500' | |
| train = data[:date_split] | |
| test = data[date_split:] | |
| print(train.head(10)) | |
| env = Environment(train) | |
| print(env.reset()) | |
| for _ in range(3): | |
| pact = np.random.randint(3) | |
| print(env.step(pact)) | |