DiscreteActions

Simple discrete scheme, which calculates the trade size as a fraction of the total balance.

Key Variables

• instruments
  • The exchange symbols of the instruments being traded.
• actions_per_instrument
  • The number of bins to divide the total balance by. Defaults to 20 (i.e. 1/20, 2/20, …, 20/20).
• max_allowed_slippage_percent
  • The maximum size above the current price the scheme will pay for an instrument. Defaults to 1.0 (i.e. 1%).

Setters & Properties

Each property and property setter.

• dtype
  • A type or str corresponding to the dtype of the action_space.
• exchange
  • The exchange being used by the current trading environment.
  • This will be set by the trading environment upon initialization. Setting the exchange causes the scheme to reset.
• action_space
  • The shape of the actions produced by the scheme. This takes in a gym.space and is different for each given scheme.

Functions

• reset
  • Optionally implementable method for resetting stateful schemes.
• get_trade
  • Get the trade to be executed on the exchange based on the action provided.
  • Usually this is the way we distill the information generated from the action_space.

Use Cases

from tensortrade.actions import DiscreteActions

action_scheme = DiscreteActions(n_actions=20, instrument='BTC')

This discrete action scheme uses 20 discrete actions, which equates to 4 discrete sizes for each of the 5 trade types (market buy/sell, limit buy/sell, and hold). E.g. [0,5,10,15]=hold, 1=market buy 25%, 2=market sell 25%, 3=limit buy 25%, 4=limit sell 25%, 6=market buy 50%, 7=market sell 50%, etc…