/// <summary>
/// Initializes a new instance of the <see cref="StockExchangeParameters"/> class.
/// </summary>
public StockExchangeParameters()
{
PeriodTypes = new PeriodType[] { PeriodType.Day, PeriodType.Week, PeriodType.Month };
EpisodeLength = 7;
NumberOfPeriods = 14;
InitialCapital = 100000;
TransactionCost = 0.01;
SimulationVelocity = 0;
RewardCalculator = RewardCalculator.Use(RewardCalculatorType.WinningsOverLoosings);
}
/// <summary>
/// Executes the specified action.
/// </summary>
/// <param name="action">The action.</param>
/// <returns></returns>
private double Execute(ActionType action, double inOutStrategy)
{
var actionPrice = CurrentState.Today.Close;
var capital = CurrentState.Today.CurrentCapital;
var position = CurrentState.Today.ActualPosition;
var previuosPosition = position;
if (action == ActionType.Buy && capital > 0)
{
var availableMoney = inOutStrategy * capital;
if (availableMoney >= actionPrice)
{
VolumeOperated = (int)Math.Truncate(availableMoney / actionPrice);
var actionsCost = VolumeOperated * actionPrice;
TransactionCost = actionsCost * Parameters.TransactionCost;
var operationCost = actionsCost + TransactionCost;
if (operationCost <= capital)
{
CurrentState.Today.ActualPosition += VolumeOperated;
CurrentState.Today.CurrentCapital -= operationCost;
}
}
}
else if (action == ActionType.Sell && position > 0)
{
VolumeOperated = (int)Math.Truncate(inOutStrategy * position);
var actionsCost = VolumeOperated * actionPrice;
if (VolumeOperated == 0)
{
VolumeOperated = position;
}
TransactionCost = actionsCost * Parameters.TransactionCost;
CurrentState.Today.ActualPosition -= VolumeOperated;
CurrentState.Today.CurrentCapital += actionsCost - TransactionCost;
}
else if (action == ActionType.Wait)
{
VolumeOperated = 0;
}
// We need to calculate Earnings first before update the current position
Earnings = previuosPosition * (CurrentState.Today.Close - CurrentState.Today.Open);
return(RewardCalculator.Calculate(this));
}
/// <summary>
/// Initialize the agent and the stock exchange
/// </summary>
/// <param name="agentId"></param>
protected void Initialize(long?agentId)
{
using (var DbContext = new DeepQStockContext())
{
if (agentId.HasValue)
{
var agentParameters = DbContext.DeepRLAgentParameters
.Include(a => a.QNetwork)
.Include(a => a.StockExchange)
.Single(a => a.Id == agentId.Value);
if (agentParameters.Status == AgentStatus.Completed)
{
DbContext.ClearAgent(agentParameters);
DbContext.SaveChanges();
}
Parameters = agentParameters.StockExchange;
RewardCalculator = RewardCalculator.Use(RewardCalculatorType.WinningsOverLoosings);
DailyIndicators = InitializeIndicators(DbContext, PeriodType.Day);
WeeklyIndicators = InitializeIndicators(DbContext, PeriodType.Week);
MonthlyIndicators = InitializeIndicators(DbContext, PeriodType.Month);
Agent = new DeepRLAgent(agentParameters);
Agent.OnTrainingEpochComplete += (e, args) => RedisManager.Publish(RedisPubSubChannels.OnTrainingEpochComplete, JsonConvert.SerializeObject(args));
var experiences = DbContext.Experiences.Where(e => e.AgentId == agentParameters.Id).ToList();
Agent.SetExperiences(experiences);
DataProvider = new CsvDataProvider(Parameters.CsvDataFilePath, Parameters.EpisodeLength);
if (agentParameters.Status == AgentStatus.Paused)
{
CurrentState = DbContext.States.Include(s => s.InternalPeriods).Single(s => s.StockExchangeId == Parameters.Id);
DataProvider.Seek(CurrentState.Today.Date.AddDays(1));
}
if (agentParameters.Status == AgentStatus.Completed)
{
DbContext.ClearAgent(agentParameters);
}
agentParameters.Status = AgentStatus.Running;
DbContext.SaveChanges();
}
}
}
