# Copyright 2019 The TensorTrade Authors.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License
from abc import abstractmethod, ABCMeta
from typing import List, Tuple
from itertools import product
from gym.spaces import Discrete
from tensortrade import Component
from tensortrade.orders import Order
[docs]class ActionScheme(Component, metaclass=ABCMeta):
"""A discrete action scheme for determining the action to take at each timestep within a trading environments."""
registered_name = "actions"
def __init__(self):
pass
@property
def actions(self):
return self._actions
@actions.setter
def actions(self, actions):
self._actions = actions
[docs] def set_pairs(self, exchange_pairs: List[Tuple['Exchange', 'Pair']]):
self.actions = list(product(exchange_pairs, self.actions))
self.actions = [None] + self.actions
[docs] def __len__(self) -> int:
"""The discrete action space produced by the action scheme."""
return len(self.actions)
[docs] def reset(self):
"""An optional reset method, which will be called each time the environment is reset."""
pass
def __add__(self, other):
return AddActions(self, other)
[docs] @abstractmethod
def get_order(self, action: int, portfolio: 'Portfolio') -> Order:
"""Get the order to be executed on the exchange based on the action provided.
Arguments:
action: The action to be converted into an order.
exchange: The exchange the action will be executed on.
portfolio: The portfolio of wallets used to execute the action.
Returns:
The order to be executed on the exchange this time step.
"""
raise NotImplementedError()
[docs]class AddActions(ActionScheme):
def __init__(self, left: ActionScheme, right: ActionScheme):
super().__init__()
self.left = left
self.right = right
self.actions = [None]
[docs] def set_pairs(self, exchange_pairs):
self.left.set_pairs(exchange_pairs)
self.right.set_pairs(exchange_pairs)
left_size = len(self.left.actions)
right_size = len(self.right.actions)
self.actions += [("left", i) for i in range(1, left_size)]
self.actions += [("right", i) for i in range(1, right_size)]
[docs] def get_order(self, action, portfolio):
if action == 0:
return None
side, action = self.actions[action]
if side == "left":
order = self.left.get_order(action, portfolio)
return order
order = self.right.get_order(action, portfolio)
return order