misc
This commit is contained in:
43
.vscode/launch.json
vendored
43
.vscode/launch.json
vendored
@ -204,6 +204,49 @@
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],
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"console": "integratedTerminal",
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"justMyCode": true
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},
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{
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"name": "Realtime RL Training + TensorBoard + Web UI",
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"type": "python",
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"request": "launch",
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"program": "train_realtime_with_tensorboard.py",
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"args": [
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"--episodes",
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"50",
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"--symbol",
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"ETH/USDT",
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"--balance",
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"1000.0",
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"--web-port",
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"8051"
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],
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"console": "integratedTerminal",
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"justMyCode": true,
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"env": {
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"PYTHONUNBUFFERED": "1",
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"ENABLE_REAL_DATA_ONLY": "1"
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},
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"preLaunchTask": "Kill Stale Processes"
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},
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{
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"name": "Quick CNN Test (Real Data + TensorBoard)",
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"type": "python",
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"request": "launch",
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"program": "test_cnn_only.py",
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"console": "integratedTerminal",
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"justMyCode": true,
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"env": {
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"PYTHONUNBUFFERED": "1"
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},
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"preLaunchTask": "Kill Stale Processes"
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},
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{
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"name": "TensorBoard Monitor (All Runs)",
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"type": "python",
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"request": "launch",
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"program": "run_tensorboard.py",
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"console": "integratedTerminal",
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"justMyCode": true
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}
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]
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}
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|
332
TENSORBOARD_MONITORING.md
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332
TENSORBOARD_MONITORING.md
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@ -0,0 +1,332 @@
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# TensorBoard Monitoring Guide
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## Overview
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The trading system now uses **TensorBoard** for real-time training monitoring instead of static charts. This provides dynamic, interactive visualizations that update during training.
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## 🚨 CRITICAL: Real Market Data Only
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All TensorBoard metrics are derived from **REAL market data training**. No synthetic or generated data is used.
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## Quick Start
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### 1. Start Training with TensorBoard
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```bash
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# CNN Training with TensorBoard
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python main_clean.py --mode cnn --symbol ETH/USDT
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# RL Training with TensorBoard
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python train_rl_with_realtime.py --episodes 10
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# Quick CNN Test
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python test_cnn_only.py
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```
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### 2. Launch TensorBoard
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```bash
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# Option 1: Direct command
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tensorboard --logdir=runs
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# Option 2: Convenience script
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python run_tensorboard.py
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```
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### 3. Access TensorBoard
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Open your browser to: **http://localhost:6006**
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## Available Metrics
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### CNN Training Metrics
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#### **Training Progress**
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- `Training/EpochLoss` - Training loss per epoch
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- `Training/EpochAccuracy` - Training accuracy per epoch
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- `Training/BatchLoss` - Batch-level loss
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- `Training/BatchAccuracy` - Batch-level accuracy
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- `Training/BatchConfidence` - Model confidence scores
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- `Training/LearningRate` - Learning rate schedule
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- `Training/EpochTime` - Time per epoch
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|
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#### **Validation Metrics**
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- `Validation/Loss` - Validation loss
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- `Validation/Accuracy` - Validation accuracy
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- `Validation/AvgConfidence` - Average confidence on validation set
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- `Validation/Class_0_Accuracy` - BUY class accuracy
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- `Validation/Class_1_Accuracy` - SELL class accuracy
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- `Validation/Class_2_Accuracy` - HOLD class accuracy
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#### **Best Model Tracking**
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- `Best/ValidationLoss` - Best validation loss achieved
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- `Best/ValidationAccuracy` - Best validation accuracy achieved
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#### **Data Statistics**
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- `Data/TotalSamples` - Number of training samples from real data
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- `Data/Features` - Number of features (detected from real data)
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- `Data/Timeframes` - Number of timeframes used
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- `Data/WindowSize` - Window size for temporal patterns
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- `Data/Class_X_Count` - Sample count per class
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- `Data/Feature_X_Mean/Std` - Feature statistics
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#### **Model Architecture**
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- `Model/TotalParameters` - Total model parameters
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- `Model/TrainableParameters` - Trainable parameters
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#### **Training Configuration**
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- `Config/LearningRate` - Learning rate used
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- `Config/BatchSize` - Batch size
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- `Config/MaxEpochs` - Maximum epochs
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|
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### RL Training Metrics
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#### **Episode Performance**
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- `Episode/TotalReward` - Total reward per episode
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- `Episode/FinalBalance` - Final balance after episode
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- `Episode/TotalReturn` - Return percentage
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- `Episode/Steps` - Steps taken in episode
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#### **Trading Performance**
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- `Trading/TotalTrades` - Number of trades executed
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- `Trading/WinRate` - Percentage of profitable trades
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- `Trading/ProfitFactor` - Gross profit / gross loss ratio
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- `Trading/MaxDrawdown` - Maximum drawdown percentage
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|
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#### **Agent Learning**
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- `Agent/Epsilon` - Exploration rate (epsilon)
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- `Agent/LearningRate` - Agent learning rate
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- `Agent/MemorySize` - Experience replay buffer size
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- `Agent/Loss` - Training loss from experience replay
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#### **Moving Averages**
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- `Moving_Average/Reward_50ep` - 50-episode average reward
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- `Moving_Average/Return_50ep` - 50-episode average return
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#### **Best Performance**
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- `Best/Return` - Best return percentage achieved
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## Directory Structure
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```
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runs/
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├── cnn_training_1748043814/ # CNN training session
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│ ├── events.out.tfevents.* # TensorBoard event files
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│ └── ...
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├── rl_training_1748043920/ # RL training session
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│ ├── events.out.tfevents.*
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│ └── ...
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└── ... # Other training sessions
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```
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## TensorBoard Features
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### **Scalars Tab**
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- Real-time line charts of all metrics
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- Smoothing controls for noisy metrics
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- Multiple run comparisons
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- Download data as CSV
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### **Images Tab**
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- Model architecture visualizations
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- Training progression images
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### **Graphs Tab**
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- Computational graph of models
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- Network architecture visualization
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### **Histograms Tab**
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- Weight and gradient distributions
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- Activation patterns over time
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### **Projector Tab**
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- High-dimensional data visualization
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- Feature embeddings
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|
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## Usage Examples
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### 1. Monitor CNN Training
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```bash
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# Start CNN training (generates TensorBoard logs)
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python main_clean.py --mode cnn --symbol ETH/USDT
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# In another terminal, start TensorBoard
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tensorboard --logdir=runs
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# Open browser to http://localhost:6006
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# Navigate to Scalars tab to see:
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# - Training/EpochLoss declining over time
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# - Validation/Accuracy improving
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# - Training/LearningRate schedule
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```
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### 2. Compare Multiple Training Runs
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```bash
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# Run multiple training sessions
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python test_cnn_only.py # Creates cnn_training_X
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python test_cnn_only.py # Creates cnn_training_Y
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# TensorBoard automatically shows both runs
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# Compare performance across runs in the same charts
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```
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### 3. Monitor RL Agent Training
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```bash
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# Start RL training with TensorBoard logging
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python main_clean.py --mode rl --symbol ETH/USDT
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# View in TensorBoard:
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# - Episode/TotalReward trending up
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# - Trading/WinRate improving
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# - Agent/Epsilon decreasing (less exploration)
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```
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## Real-Time Monitoring
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### Key Indicators to Watch
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#### **CNN Training Health**
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- ✅ `Training/EpochLoss` should decrease over time
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- ✅ `Validation/Accuracy` should increase
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- ⚠️ Watch for overfitting (val loss increases while train loss decreases)
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- ✅ `Training/LearningRate` should follow schedule
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#### **RL Training Health**
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- ✅ `Episode/TotalReward` trending upward
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- ✅ `Trading/WinRate` above 50%
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- ✅ `Moving_Average/Return_50ep` positive and stable
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- ⚠️ `Agent/Epsilon` should decay over time
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### Warning Signs
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- **Loss not decreasing**: Check learning rate, data quality
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- **Accuracy plateauing**: May need more data or different architecture
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- **RL rewards oscillating**: Unstable learning, adjust hyperparameters
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- **Win rate dropping**: Strategy not working, need different approach
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## Configuration
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||||
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||||
### Custom TensorBoard Setup
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```python
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from torch.utils.tensorboard import SummaryWriter
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# Custom log directory
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writer = SummaryWriter(log_dir='runs/my_experiment')
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# Log custom metrics
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writer.add_scalar('Custom/Metric', value, step)
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writer.add_histogram('Custom/Weights', weights, step)
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```
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### Advanced Features
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```bash
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# Start TensorBoard with custom port
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tensorboard --logdir=runs --port=6007
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# Enable debugging
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||||
tensorboard --logdir=runs --debugger_port=6064
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||||
# Profile performance
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tensorboard --logdir=runs --load_fast=false
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```
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||||
## Integration with Training
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||||
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||||
### CNN Trainer Integration
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||||
- Automatically logs all training metrics
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||||
- Model architecture visualization
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||||
- Real data statistics tracking
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||||
- Best model checkpointing based on TensorBoard metrics
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||||
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||||
### RL Trainer Integration
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||||
- Episode-by-episode performance tracking
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||||
- Trading strategy effectiveness monitoring
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||||
- Agent learning progress visualization
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- Hyperparameter optimization guidance
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||||
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||||
## Benefits Over Static Charts
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||||
### ✅ **Real-Time Updates**
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- See training progress as it happens
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- No need to wait for training completion
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||||
- Immediate feedback on hyperparameter changes
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||||
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||||
### ✅ **Interactive Exploration**
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- Zoom, pan, and explore metrics
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||||
- Smooth noisy data with built-in controls
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- Compare multiple training runs side-by-side
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||||
### ✅ **Rich Visualizations**
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||||
- Scalars, histograms, images, and graphs
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||||
- Model architecture visualization
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- High-dimensional data projections
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||||
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||||
### ✅ **Data Export**
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||||
- Download metrics as CSV
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- Programmatic access to training data
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||||
- Integration with external analysis tools
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||||
|
||||
## Troubleshooting
|
||||
|
||||
### TensorBoard Not Starting
|
||||
```bash
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# Check if TensorBoard is installed
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pip install tensorboard
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||||
# Verify runs directory exists
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||||
dir runs # Windows
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ls runs # Linux/Mac
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||||
# Kill existing TensorBoard processes
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||||
taskkill /F /IM tensorboard.exe # Windows
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||||
pkill -f tensorboard # Linux/Mac
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```
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||||
### No Data Showing
|
||||
- Ensure training is generating logs in `runs/` directory
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||||
- Check browser console for errors
|
||||
- Try refreshing the page
|
||||
- Verify correct port (default 6006)
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||||
|
||||
### Performance Issues
|
||||
- Use `--load_fast=true` for faster loading
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||||
- Clear old log directories
|
||||
- Reduce logging frequency in training code
|
||||
|
||||
## Best Practices
|
||||
|
||||
### 🎯 **Regular Monitoring**
|
||||
- Check TensorBoard every 10-20 epochs during CNN training
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||||
- Monitor RL agents every 50-100 episodes
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||||
- Look for concerning trends early
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||||
|
||||
### 📊 **Metric Organization**
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||||
- Use clear naming conventions (Training/, Validation/, etc.)
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- Group related metrics together
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||||
- Log at appropriate frequencies (not every step)
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||||
|
||||
### 💾 **Data Management**
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- Archive old training runs periodically
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||||
- Keep successful run logs for reference
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||||
- Document experiment parameters in run names
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||||
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||||
### 🔍 **Hyperparameter Tuning**
|
||||
- Compare multiple runs with different hyperparameters
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||||
- Use TensorBoard data to guide optimization
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||||
- Track which settings produce best results
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||||
|
||||
---
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||||
|
||||
## Summary
|
||||
|
||||
TensorBoard integration provides **real-time, interactive monitoring** of training progress using **only real market data**. This replaces static plots with dynamic visualizations that help optimize model performance and catch issues early.
|
||||
|
||||
**Key Commands:**
|
||||
```bash
|
||||
# Train with TensorBoard logging
|
||||
python main_clean.py --mode cnn --symbol ETH/USDT
|
||||
|
||||
# Start TensorBoard
|
||||
python run_tensorboard.py
|
||||
|
||||
# Access dashboard
|
||||
http://localhost:6006
|
||||
```
|
||||
|
||||
All metrics are derived from **real cryptocurrency market data** to ensure authentic trading model development.
|
1
TRAINING_STATUS.md
Normal file
1
TRAINING_STATUS.md
Normal file
@ -0,0 +1 @@
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|
@ -82,72 +82,50 @@ def run_data_test():
|
||||
logger.error(traceback.format_exc())
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||||
raise
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||||
|
||||
def run_cnn_training():
|
||||
"""Train CNN models only with comprehensive pipeline"""
|
||||
def run_cnn_training(config: Config, symbol: str):
|
||||
"""Run CNN training mode with TensorBoard monitoring"""
|
||||
logger.info("Starting CNN Training Mode...")
|
||||
|
||||
# Initialize data provider and trainer
|
||||
data_provider = DataProvider(config)
|
||||
trainer = CNNTrainer(config)
|
||||
|
||||
# Use configured symbols or provided symbol
|
||||
symbols = config.symbols if symbol == "ETH/USDT" else [symbol] + config.symbols
|
||||
save_path = f"models/cnn/scalping_cnn_trained.pt"
|
||||
|
||||
logger.info(f"Training CNN for symbols: {symbols}")
|
||||
logger.info(f"Will save to: {save_path}")
|
||||
logger.info(f"🔗 Monitor training: tensorboard --logdir=runs")
|
||||
|
||||
try:
|
||||
logger.info("Starting CNN Training Mode...")
|
||||
# Train model with TensorBoard logging
|
||||
results = trainer.train(symbols, save_path=save_path)
|
||||
|
||||
# Initialize components
|
||||
data_provider = DataProvider(
|
||||
symbols=['ETH/USDT', 'BTC/USDT'],
|
||||
timeframes=['1s', '1m', '5m', '1h', '4h']
|
||||
)
|
||||
|
||||
# Import and create CNN trainer
|
||||
from training.cnn_trainer import CNNTrainer
|
||||
trainer = CNNTrainer(data_provider)
|
||||
|
||||
# Configure training
|
||||
trainer.num_samples = 20000 # Training samples
|
||||
trainer.batch_size = 64
|
||||
trainer.num_epochs = 100
|
||||
trainer.patience = 15
|
||||
|
||||
# Train the model
|
||||
symbols = ['ETH/USDT', 'BTC/USDT']
|
||||
save_path = 'models/cnn/scalping_cnn_trained.pt'
|
||||
|
||||
logger.info(f"Training CNN for symbols: {symbols}")
|
||||
logger.info(f"Will save to: {save_path}")
|
||||
|
||||
results = trainer.train(symbols, save_path)
|
||||
|
||||
# Log results
|
||||
logger.info("CNN Training Results:")
|
||||
logger.info(f" Best validation accuracy: {results['best_val_accuracy']:.4f}")
|
||||
logger.info(f" Best validation loss: {results['best_val_loss']:.4f}")
|
||||
logger.info(f" Total epochs: {results['total_epochs']}")
|
||||
logger.info(f" Training time: {results['total_time']:.2f} seconds")
|
||||
logger.info(f" Training time: {results['training_time']:.2f} seconds")
|
||||
logger.info(f" TensorBoard logs: {results['tensorboard_dir']}")
|
||||
|
||||
# Plot training history
|
||||
try:
|
||||
plot_path = 'models/cnn/training_history.png'
|
||||
trainer.plot_training_history(plot_path)
|
||||
logger.info(f"Training plots saved to: {plot_path}")
|
||||
except Exception as e:
|
||||
logger.warning(f"Could not save training plots: {e}")
|
||||
logger.info(f"📊 View training progress: tensorboard --logdir=runs")
|
||||
logger.info("Evaluating CNN on test data...")
|
||||
|
||||
# Evaluate on test data
|
||||
try:
|
||||
logger.info("Evaluating CNN on test data...")
|
||||
test_symbols = ['ETH/USDT'] # Use subset for testing
|
||||
eval_results = trainer.evaluate_model(test_symbols)
|
||||
|
||||
logger.info("CNN Evaluation Results:")
|
||||
logger.info(f" Test accuracy: {eval_results['test_accuracy']:.4f}")
|
||||
logger.info(f" Test loss: {eval_results['test_loss']:.4f}")
|
||||
logger.info(f" Average confidence: {eval_results['avg_confidence']:.4f}")
|
||||
|
||||
except Exception as e:
|
||||
logger.warning(f"Could not run evaluation: {e}")
|
||||
# Quick evaluation on same symbols
|
||||
test_results = trainer.evaluate(symbols[:1]) # Use first symbol for quick test
|
||||
logger.info("CNN Evaluation Results:")
|
||||
logger.info(f" Test accuracy: {test_results['test_accuracy']:.4f}")
|
||||
logger.info(f" Test loss: {test_results['test_loss']:.4f}")
|
||||
logger.info(f" Average confidence: {test_results['avg_confidence']:.4f}")
|
||||
|
||||
logger.info("CNN training completed successfully!")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error in CNN training: {e}")
|
||||
import traceback
|
||||
logger.error(traceback.format_exc())
|
||||
logger.error(f"CNN training failed: {e}")
|
||||
raise
|
||||
finally:
|
||||
trainer.close_tensorboard()
|
||||
|
||||
def run_rl_training():
|
||||
"""Train RL agents only with comprehensive pipeline"""
|
||||
@ -404,7 +382,7 @@ async def main():
|
||||
if args.mode == 'test':
|
||||
run_data_test()
|
||||
elif args.mode == 'cnn':
|
||||
run_cnn_training()
|
||||
run_cnn_training(get_config(), args.symbol)
|
||||
elif args.mode == 'rl':
|
||||
run_rl_training()
|
||||
elif args.mode == 'train':
|
||||
|
83
monitor_training.py
Normal file
83
monitor_training.py
Normal file
@ -0,0 +1,83 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
Training Monitor Script
|
||||
|
||||
Quick script to check the status of realtime training and show key metrics.
|
||||
"""
|
||||
|
||||
import os
|
||||
import time
|
||||
from pathlib import Path
|
||||
from datetime import datetime
|
||||
import glob
|
||||
|
||||
def check_training_status():
|
||||
"""Check status of training processes and logs"""
|
||||
print("=" * 60)
|
||||
print("REALTIME RL TRAINING STATUS CHECK")
|
||||
print("=" * 60)
|
||||
|
||||
# Check TensorBoard logs
|
||||
runs_dir = Path("runs")
|
||||
if runs_dir.exists():
|
||||
log_dirs = list(runs_dir.glob("rl_training_*"))
|
||||
recent_logs = sorted(log_dirs, key=lambda x: x.name)[-3:] # Last 3 sessions
|
||||
|
||||
print("\n📊 RECENT TENSORBOARD LOGS:")
|
||||
for log_dir in recent_logs:
|
||||
# Get creation time
|
||||
stat = log_dir.stat()
|
||||
created = datetime.fromtimestamp(stat.st_ctime)
|
||||
|
||||
# Check for event files
|
||||
event_files = list(log_dir.glob("*.tfevents.*"))
|
||||
|
||||
print(f" 📁 {log_dir.name}")
|
||||
print(f" Created: {created.strftime('%Y-%m-%d %H:%M:%S')}")
|
||||
print(f" Event files: {len(event_files)}")
|
||||
|
||||
if event_files:
|
||||
latest_event = max(event_files, key=lambda x: x.stat().st_mtime)
|
||||
modified = datetime.fromtimestamp(latest_event.stat().st_mtime)
|
||||
print(f" Last update: {modified.strftime('%Y-%m-%d %H:%M:%S')}")
|
||||
print()
|
||||
|
||||
# Check running processes
|
||||
print("🔍 PROCESS STATUS:")
|
||||
try:
|
||||
import subprocess
|
||||
result = subprocess.run(['tasklist'], capture_output=True, text=True, shell=True)
|
||||
python_processes = [line for line in result.stdout.split('\n') if 'python.exe' in line]
|
||||
print(f" Python processes running: {len(python_processes)}")
|
||||
for i, proc in enumerate(python_processes[:5]): # Show first 5
|
||||
print(f" {i+1}. {proc.strip()}")
|
||||
except Exception as e:
|
||||
print(f" Error checking processes: {e}")
|
||||
|
||||
# Check web services
|
||||
print("\n🌐 WEB SERVICES:")
|
||||
print(" TensorBoard: http://localhost:6006")
|
||||
print(" Web Dashboard: http://localhost:8051")
|
||||
|
||||
# Check model saves
|
||||
models_dir = Path("models/rl")
|
||||
if models_dir.exists():
|
||||
model_files = list(models_dir.glob("realtime_agent_*.pt"))
|
||||
print(f"\n💾 SAVED MODELS: {len(model_files)}")
|
||||
for model_file in sorted(model_files, key=lambda x: x.stat().st_mtime)[-3:]:
|
||||
modified = datetime.fromtimestamp(model_file.stat().st_mtime)
|
||||
print(f" 📄 {model_file.name} - {modified.strftime('%Y-%m-%d %H:%M:%S')}")
|
||||
|
||||
print("\n" + "=" * 60)
|
||||
print("✅ MONITORING URLs:")
|
||||
print("📊 TensorBoard: http://localhost:6006")
|
||||
print("🌐 Dashboard: http://localhost:8051")
|
||||
print("=" * 60)
|
||||
|
||||
if __name__ == "__main__":
|
||||
try:
|
||||
check_training_status()
|
||||
except KeyboardInterrupt:
|
||||
print("\nMonitoring stopped.")
|
||||
except Exception as e:
|
||||
print(f"Error: {e}")
|
35
readme.md
35
readme.md
@ -80,24 +80,53 @@ gogo2/
|
||||
|
||||
## Training Modes
|
||||
|
||||
### CNN Training
|
||||
### CNN Training with TensorBoard
|
||||
```bash
|
||||
# Train on real ETH/USDT data
|
||||
# Train on real ETH/USDT data with TensorBoard monitoring
|
||||
python main_clean.py --mode cnn --symbol ETH/USDT
|
||||
|
||||
# Monitor training in real-time
|
||||
tensorboard --logdir=runs
|
||||
|
||||
# Or use the convenience script
|
||||
python run_tensorboard.py
|
||||
|
||||
# Quick test with real data
|
||||
python test_cnn_only.py
|
||||
```
|
||||
|
||||
### RL Training
|
||||
### RL Training with TensorBoard
|
||||
```bash
|
||||
# Train RL agent with real data
|
||||
python main_clean.py --mode rl --symbol ETH/USDT
|
||||
|
||||
# Real-time RL training
|
||||
python train_rl_with_realtime.py --episodes 10
|
||||
|
||||
# Monitor RL training metrics
|
||||
tensorboard --logdir=runs
|
||||
```
|
||||
|
||||
## TensorBoard Monitoring
|
||||
|
||||
All training sessions are logged to TensorBoard for real-time monitoring:
|
||||
|
||||
```bash
|
||||
# Start TensorBoard server
|
||||
tensorboard --logdir=runs
|
||||
|
||||
# Or use the convenience script
|
||||
python run_tensorboard.py
|
||||
```
|
||||
|
||||
**Metrics Available:**
|
||||
- **CNN Training**: Loss, accuracy, confidence scores, feature statistics
|
||||
- **RL Training**: Rewards, returns, win rates, epsilon values, trading metrics
|
||||
- **Model Architecture**: Parameter counts, memory usage
|
||||
- **Real-time Updates**: Batch-level and epoch-level metrics
|
||||
|
||||
Access TensorBoard at: http://localhost:6006
|
||||
|
||||
## Performance
|
||||
|
||||
- **Memory Usage**: <2GB per model
|
||||
|
@ -1,69 +1,74 @@
|
||||
import os
|
||||
import sys
|
||||
import subprocess
|
||||
import webbrowser
|
||||
import time
|
||||
import argparse
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
TensorBoard Launch Script
|
||||
|
||||
def run_tensorboard():
|
||||
"""Run TensorBoard server and open browser"""
|
||||
parser = argparse.ArgumentParser(description='TensorBoard Launcher')
|
||||
parser.add_argument('--port', type=int, default=6006, help='Port for TensorBoard server')
|
||||
parser.add_argument('--logdir', type=str, default='runs', help='Log directory for TensorBoard')
|
||||
parser.add_argument('--no-browser', action='store_true', help='Do not open browser automatically')
|
||||
args = parser.parse_args()
|
||||
Starts TensorBoard server for monitoring training progress.
|
||||
"""
|
||||
|
||||
import subprocess
|
||||
import sys
|
||||
import os
|
||||
import time
|
||||
import webbrowser
|
||||
from pathlib import Path
|
||||
|
||||
def main():
|
||||
"""Launch TensorBoard"""
|
||||
|
||||
# Create log directory if it doesn't exist
|
||||
os.makedirs(args.logdir, exist_ok=True)
|
||||
# Check if runs directory exists
|
||||
runs_dir = Path("runs")
|
||||
if not runs_dir.exists():
|
||||
print("❌ No 'runs' directory found.")
|
||||
print(" Start training first to generate TensorBoard logs.")
|
||||
return
|
||||
|
||||
# Print banner
|
||||
print("\n" + "="*60)
|
||||
print("📊 TRADING BOT - TENSORBOARD MONITORING 📊")
|
||||
print("="*60)
|
||||
print(f"Starting TensorBoard server on port {args.port}")
|
||||
print(f"Log directory: {args.logdir}")
|
||||
print("Press Ctrl+C to stop the server")
|
||||
print("="*60 + "\n")
|
||||
# Check if there are any log directories
|
||||
log_dirs = list(runs_dir.glob("*"))
|
||||
if not log_dirs:
|
||||
print("❌ No training logs found in 'runs' directory.")
|
||||
print(" Start training first to generate TensorBoard logs.")
|
||||
return
|
||||
|
||||
# Start TensorBoard server
|
||||
cmd = ["tensorboard", "--logdir", args.logdir, "--port", str(args.port)]
|
||||
print("🚀 Starting TensorBoard...")
|
||||
print(f"📁 Log directory: {runs_dir.absolute()}")
|
||||
print(f"📊 Found {len(log_dirs)} training sessions")
|
||||
|
||||
# List available sessions
|
||||
print("\nAvailable training sessions:")
|
||||
for i, log_dir in enumerate(sorted(log_dirs), 1):
|
||||
print(f" {i}. {log_dir.name}")
|
||||
|
||||
# Start TensorBoard
|
||||
try:
|
||||
port = 6006
|
||||
print(f"\n🌐 Starting TensorBoard on port {port}...")
|
||||
print(f"🔗 Access at: http://localhost:{port}")
|
||||
|
||||
# Try to open browser automatically
|
||||
try:
|
||||
webbrowser.open(f"http://localhost:{port}")
|
||||
print("🌍 Browser opened automatically")
|
||||
except:
|
||||
pass
|
||||
|
||||
# Start TensorBoard process
|
||||
process = subprocess.Popen(
|
||||
cmd,
|
||||
stdout=subprocess.PIPE,
|
||||
stderr=subprocess.STDOUT,
|
||||
universal_newlines=True
|
||||
)
|
||||
cmd = [sys.executable, "-m", "tensorboard.main", "--logdir", str(runs_dir), "--port", str(port)]
|
||||
|
||||
# Wait for TensorBoard to start
|
||||
time.sleep(3)
|
||||
print("\n" + "="*50)
|
||||
print("🔥 TensorBoard is running!")
|
||||
print(f"📈 View training metrics at: http://localhost:{port}")
|
||||
print("⏹️ Press Ctrl+C to stop TensorBoard")
|
||||
print("="*50 + "\n")
|
||||
|
||||
# Open browser
|
||||
if not args.no_browser:
|
||||
url = f"http://localhost:{args.port}"
|
||||
print(f"Opening browser to {url}")
|
||||
webbrowser.open(url)
|
||||
# Run TensorBoard
|
||||
subprocess.run(cmd)
|
||||
|
||||
# Print TensorBoard output
|
||||
while True:
|
||||
output = process.stdout.readline()
|
||||
if output == '' and process.poll() is not None:
|
||||
break
|
||||
if output:
|
||||
print(output.strip())
|
||||
|
||||
return process.poll()
|
||||
|
||||
except KeyboardInterrupt:
|
||||
print("\nStopping TensorBoard server...")
|
||||
process.terminate()
|
||||
return 0
|
||||
print("\n🛑 TensorBoard stopped")
|
||||
except FileNotFoundError:
|
||||
print("❌ TensorBoard not found. Install with: pip install tensorboard")
|
||||
except Exception as e:
|
||||
print(f"Error running TensorBoard: {str(e)}")
|
||||
return 1
|
||||
print(f"❌ Error starting TensorBoard: {e}")
|
||||
|
||||
if __name__ == "__main__":
|
||||
exit_code = run_tensorboard()
|
||||
sys.exit(exit_code)
|
||||
main()
|
@ -1,54 +1,65 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
Quick CNN training test
|
||||
Quick CNN Training Test - Real Market Data Only
|
||||
|
||||
This script tests CNN training with a small dataset for quick validation.
|
||||
All training metrics are logged to TensorBoard for real-time monitoring.
|
||||
"""
|
||||
|
||||
import sys
|
||||
from pathlib import Path
|
||||
sys.path.insert(0, str(Path(__file__).parent))
|
||||
|
||||
from core.config import setup_logging
|
||||
import logging
|
||||
from core.config import setup_logging, get_config
|
||||
from core.data_provider import DataProvider
|
||||
from training.cnn_trainer import CNNTrainer
|
||||
|
||||
def main():
|
||||
"""Test CNN training with real market data"""
|
||||
setup_logging()
|
||||
|
||||
print("Setting up CNN training test...")
|
||||
print("📊 Monitor training: tensorboard --logdir=runs")
|
||||
|
||||
# Setup
|
||||
data_provider = DataProvider(['ETH/USDT'], ['1m', '5m', '1h'])
|
||||
trainer = CNNTrainer(data_provider)
|
||||
# Configure test parameters
|
||||
config = get_config()
|
||||
|
||||
# Configure for quick test
|
||||
trainer.num_samples = 500 # Very small dataset
|
||||
trainer.num_epochs = 2 # Just 2 epochs
|
||||
trainer.batch_size = 16
|
||||
trainer.timeframes = ['1m', '5m', '1h'] # Skip 1s for now
|
||||
trainer.n_timeframes = 3
|
||||
# Test configuration
|
||||
symbols = ['ETH/USDT']
|
||||
timeframes = ['1m', '5m', '1h']
|
||||
num_samples = 500
|
||||
epochs = 2
|
||||
batch_size = 16
|
||||
|
||||
print(f"Configuration:")
|
||||
print(f" Samples: {trainer.num_samples}")
|
||||
print(f" Epochs: {trainer.num_epochs}")
|
||||
print(f" Batch size: {trainer.batch_size}")
|
||||
print(f" Timeframes: {trainer.timeframes}")
|
||||
# Override config for quick test
|
||||
config._config['timeframes'] = timeframes # Direct config access
|
||||
|
||||
trainer = CNNTrainer(config)
|
||||
trainer.batch_size = batch_size
|
||||
trainer.epochs = epochs
|
||||
|
||||
print("Configuration:")
|
||||
print(f" Symbols: {symbols}")
|
||||
print(f" Timeframes: {timeframes}")
|
||||
print(f" Samples: {num_samples}")
|
||||
print(f" Epochs: {epochs}")
|
||||
print(f" Batch size: {batch_size}")
|
||||
print(" Data source: REAL market data from exchange APIs")
|
||||
|
||||
# Train
|
||||
try:
|
||||
results = trainer.train(['ETH/USDT'], save_path='test_models/quick_cnn.pt')
|
||||
# Train model with TensorBoard logging
|
||||
results = trainer.train(symbols, save_path='test_models/quick_cnn.pt', num_samples=num_samples)
|
||||
|
||||
print(f"\n✅ CNN Training completed!")
|
||||
print(f" Best accuracy: {results['best_val_accuracy']:.4f}")
|
||||
print(f" Total epochs: {results['total_epochs']}")
|
||||
print(f" Training time: {results['total_time']:.2f}s")
|
||||
print(f" Training time: {results['training_time']:.2f}s")
|
||||
print(f" TensorBoard logs: {results['tensorboard_dir']}")
|
||||
print(f"\n📊 View training progress: tensorboard --logdir=runs")
|
||||
|
||||
except Exception as e:
|
||||
print(f"\n❌ Training failed: {e}")
|
||||
print(f"❌ Training failed: {e}")
|
||||
import traceback
|
||||
traceback.print_exc()
|
||||
return 1
|
||||
|
||||
return 0
|
||||
finally:
|
||||
trainer.close_tensorboard()
|
||||
|
||||
if __name__ == "__main__":
|
||||
sys.exit(main())
|
||||
main()
|
420
train_realtime_with_tensorboard.py
Normal file
420
train_realtime_with_tensorboard.py
Normal file
@ -0,0 +1,420 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
Realtime RL Training with TensorBoard and Web UI Monitoring
|
||||
|
||||
This script runs RL training with:
|
||||
- TensorBoard monitoring for training metrics
|
||||
- Web UI for real-time trading visualization
|
||||
- Real market data integration
|
||||
- PnL tracking and performance analysis
|
||||
"""
|
||||
|
||||
import asyncio
|
||||
import threading
|
||||
import time
|
||||
import logging
|
||||
import argparse
|
||||
from datetime import datetime
|
||||
import os
|
||||
import sys
|
||||
from pathlib import Path
|
||||
|
||||
# Add project path
|
||||
project_root = Path(__file__).parent
|
||||
sys.path.insert(0, str(project_root))
|
||||
|
||||
from core.config import setup_logging, get_config
|
||||
from core.data_provider import DataProvider
|
||||
from training.rl_trainer import RLTrainer
|
||||
from torch.utils.tensorboard import SummaryWriter
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
class RealtimeRLTrainer:
|
||||
"""Realtime RL Trainer with TensorBoard and Web UI"""
|
||||
|
||||
def __init__(self, symbol="ETH/USDT", initial_balance=1000.0):
|
||||
self.symbol = symbol
|
||||
self.initial_balance = initial_balance
|
||||
|
||||
# Initialize data provider
|
||||
self.data_provider = DataProvider(
|
||||
symbols=[symbol],
|
||||
timeframes=['1s', '1m', '5m', '15m', '1h']
|
||||
)
|
||||
|
||||
# Initialize RL trainer with TensorBoard
|
||||
self.rl_trainer = RLTrainer(self.data_provider)
|
||||
|
||||
# Training state
|
||||
self.current_episode = 0
|
||||
self.session_trades = []
|
||||
self.session_balance = initial_balance
|
||||
self.session_pnl = 0.0
|
||||
self.training_active = False
|
||||
|
||||
# Web dashboard
|
||||
self.dashboard = None
|
||||
self.dashboard_thread = None
|
||||
|
||||
logger.info(f"RealtimeRLTrainer initialized for {symbol}")
|
||||
logger.info(f"TensorBoard logs: {self.rl_trainer.tensorboard_dir}")
|
||||
|
||||
def setup_web_dashboard(self, port=8051):
|
||||
"""Setup web dashboard for monitoring"""
|
||||
try:
|
||||
import dash
|
||||
from dash import dcc, html, Input, Output
|
||||
import plotly.graph_objects as go
|
||||
import plotly.express as px
|
||||
|
||||
# Create Dash app
|
||||
app = dash.Dash(__name__)
|
||||
|
||||
# Layout
|
||||
app.layout = html.Div([
|
||||
html.H1(f"RL Training Monitor - {self.symbol}",
|
||||
style={'textAlign': 'center', 'color': '#2c3e50'}),
|
||||
|
||||
# Refresh interval
|
||||
dcc.Interval(
|
||||
id='interval-component',
|
||||
interval=2000, # Update every 2 seconds
|
||||
n_intervals=0
|
||||
),
|
||||
|
||||
# Status row
|
||||
html.Div([
|
||||
html.Div([
|
||||
html.H3("Training Status", style={'color': '#34495e'}),
|
||||
html.P(id='training-status', style={'fontSize': 18})
|
||||
], className='three columns'),
|
||||
|
||||
html.Div([
|
||||
html.H3("Current Episode", style={'color': '#34495e'}),
|
||||
html.P(id='current-episode', style={'fontSize': 18})
|
||||
], className='three columns'),
|
||||
|
||||
html.Div([
|
||||
html.H3("Session Balance", style={'color': '#27ae60'}),
|
||||
html.P(id='session-balance', style={'fontSize': 18})
|
||||
], className='three columns'),
|
||||
|
||||
html.Div([
|
||||
html.H3("Session PnL", style={'color': '#e74c3c'}),
|
||||
html.P(id='session-pnl', style={'fontSize': 18})
|
||||
], className='three columns'),
|
||||
], className='row', style={'margin': '20px'}),
|
||||
|
||||
# Charts row
|
||||
html.Div([
|
||||
html.Div([
|
||||
dcc.Graph(id='rewards-chart')
|
||||
], className='six columns'),
|
||||
|
||||
html.Div([
|
||||
dcc.Graph(id='balance-chart')
|
||||
], className='six columns'),
|
||||
], className='row'),
|
||||
|
||||
html.Div([
|
||||
html.Div([
|
||||
dcc.Graph(id='trades-chart')
|
||||
], className='six columns'),
|
||||
|
||||
html.Div([
|
||||
dcc.Graph(id='win-rate-chart')
|
||||
], className='six columns'),
|
||||
], className='row'),
|
||||
|
||||
# TensorBoard link
|
||||
html.Div([
|
||||
html.H3("TensorBoard Monitoring"),
|
||||
html.A("Open TensorBoard",
|
||||
href="http://localhost:6006",
|
||||
target="_blank",
|
||||
style={'fontSize': 16, 'color': '#3498db'})
|
||||
], style={'textAlign': 'center', 'margin': '20px'})
|
||||
])
|
||||
|
||||
# Callbacks
|
||||
@app.callback(
|
||||
[Output('training-status', 'children'),
|
||||
Output('current-episode', 'children'),
|
||||
Output('session-balance', 'children'),
|
||||
Output('session-pnl', 'children'),
|
||||
Output('rewards-chart', 'figure'),
|
||||
Output('balance-chart', 'figure'),
|
||||
Output('trades-chart', 'figure'),
|
||||
Output('win-rate-chart', 'figure')],
|
||||
[Input('interval-component', 'n_intervals')]
|
||||
)
|
||||
def update_dashboard(n):
|
||||
# Status updates
|
||||
status = "TRAINING" if self.training_active else "IDLE"
|
||||
episode = f"{self.current_episode}"
|
||||
balance = f"${self.session_balance:.2f}"
|
||||
pnl = f"${self.session_pnl:.2f}"
|
||||
|
||||
# Create charts
|
||||
rewards_fig = self._create_rewards_chart()
|
||||
balance_fig = self._create_balance_chart()
|
||||
trades_fig = self._create_trades_chart()
|
||||
win_rate_fig = self._create_win_rate_chart()
|
||||
|
||||
return status, episode, balance, pnl, rewards_fig, balance_fig, trades_fig, win_rate_fig
|
||||
|
||||
self.dashboard = app
|
||||
logger.info(f"Web dashboard created for port {port}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error setting up web dashboard: {e}")
|
||||
self.dashboard = None
|
||||
|
||||
def _create_rewards_chart(self):
|
||||
"""Create rewards chart"""
|
||||
import plotly.graph_objects as go
|
||||
|
||||
if not self.rl_trainer.episode_rewards:
|
||||
fig = go.Figure()
|
||||
fig.add_annotation(text="No data yet", x=0.5, y=0.5, xref="paper", yref="paper")
|
||||
else:
|
||||
fig = go.Figure()
|
||||
fig.add_trace(go.Scatter(
|
||||
y=self.rl_trainer.episode_rewards,
|
||||
mode='lines',
|
||||
name='Episode Rewards',
|
||||
line=dict(color='#3498db')
|
||||
))
|
||||
|
||||
# Add moving average if enough data
|
||||
if len(self.rl_trainer.avg_rewards) > 0:
|
||||
fig.add_trace(go.Scatter(
|
||||
y=self.rl_trainer.avg_rewards,
|
||||
mode='lines',
|
||||
name='Moving Average',
|
||||
line=dict(color='#e74c3c', width=2)
|
||||
))
|
||||
|
||||
fig.update_layout(title="Episode Rewards", xaxis_title="Episode", yaxis_title="Reward")
|
||||
return fig
|
||||
|
||||
def _create_balance_chart(self):
|
||||
"""Create balance chart"""
|
||||
import plotly.graph_objects as go
|
||||
|
||||
if not self.rl_trainer.episode_balances:
|
||||
fig = go.Figure()
|
||||
fig.add_annotation(text="No data yet", x=0.5, y=0.5, xref="paper", yref="paper")
|
||||
else:
|
||||
fig = go.Figure()
|
||||
fig.add_trace(go.Scatter(
|
||||
y=self.rl_trainer.episode_balances,
|
||||
mode='lines',
|
||||
name='Balance',
|
||||
line=dict(color='#27ae60')
|
||||
))
|
||||
|
||||
# Add initial balance line
|
||||
fig.add_hline(y=self.initial_balance, line_dash="dash",
|
||||
annotation_text="Initial Balance")
|
||||
|
||||
fig.update_layout(title="Portfolio Balance", xaxis_title="Episode", yaxis_title="Balance ($)")
|
||||
return fig
|
||||
|
||||
def _create_trades_chart(self):
|
||||
"""Create trades per episode chart"""
|
||||
import plotly.graph_objects as go
|
||||
|
||||
if not self.rl_trainer.episode_trades:
|
||||
fig = go.Figure()
|
||||
fig.add_annotation(text="No data yet", x=0.5, y=0.5, xref="paper", yref="paper")
|
||||
else:
|
||||
fig = go.Figure()
|
||||
fig.add_trace(go.Bar(
|
||||
y=self.rl_trainer.episode_trades,
|
||||
name='Trades per Episode',
|
||||
marker_color='#f39c12'
|
||||
))
|
||||
|
||||
fig.update_layout(title="Trades per Episode", xaxis_title="Episode", yaxis_title="Number of Trades")
|
||||
return fig
|
||||
|
||||
def _create_win_rate_chart(self):
|
||||
"""Create win rate chart"""
|
||||
import plotly.graph_objects as go
|
||||
|
||||
if not self.rl_trainer.win_rates:
|
||||
fig = go.Figure()
|
||||
fig.add_annotation(text="No data yet", x=0.5, y=0.5, xref="paper", yref="paper")
|
||||
else:
|
||||
fig = go.Figure()
|
||||
fig.add_trace(go.Scatter(
|
||||
y=self.rl_trainer.win_rates,
|
||||
mode='lines+markers',
|
||||
name='Win Rate',
|
||||
line=dict(color='#9b59b6')
|
||||
))
|
||||
|
||||
# Add 50% line
|
||||
fig.add_hline(y=0.5, line_dash="dash",
|
||||
annotation_text="Break Even")
|
||||
|
||||
fig.update_layout(title="Win Rate", xaxis_title="Evaluation", yaxis_title="Win Rate")
|
||||
return fig
|
||||
|
||||
def start_web_dashboard(self, port=8051):
|
||||
"""Start web dashboard in background thread"""
|
||||
if self.dashboard is None:
|
||||
self.setup_web_dashboard(port)
|
||||
|
||||
if self.dashboard is not None:
|
||||
def run_dashboard():
|
||||
try:
|
||||
# Use run instead of run_server for newer Dash versions
|
||||
self.dashboard.run(port=port, debug=False, use_reloader=False)
|
||||
except Exception as e:
|
||||
logger.error(f"Error running dashboard: {e}")
|
||||
|
||||
self.dashboard_thread = threading.Thread(target=run_dashboard, daemon=True)
|
||||
self.dashboard_thread.start()
|
||||
logger.info(f"Web dashboard started on http://localhost:{port}")
|
||||
else:
|
||||
logger.warning("Dashboard not available")
|
||||
|
||||
async def train_realtime(self, episodes=100, evaluation_interval=10):
|
||||
"""Run realtime training with monitoring"""
|
||||
logger.info(f"Starting realtime RL training for {episodes} episodes")
|
||||
logger.info(f"TensorBoard: http://localhost:6006")
|
||||
logger.info(f"Web UI: http://localhost:8051")
|
||||
|
||||
self.training_active = True
|
||||
|
||||
# Setup environment and agent
|
||||
environment, agent = self.rl_trainer.setup_environment_and_agent()
|
||||
|
||||
# Training loop
|
||||
for episode in range(episodes):
|
||||
self.current_episode = episode
|
||||
|
||||
# Run episode
|
||||
episode_start = time.time()
|
||||
results = self.rl_trainer.run_episode(episode, training=True)
|
||||
episode_time = time.time() - episode_start
|
||||
|
||||
# Update session tracking
|
||||
self.session_balance = results.get('balance', self.initial_balance)
|
||||
self.session_pnl = self.session_balance - self.initial_balance
|
||||
|
||||
# Log episode metrics to TensorBoard
|
||||
self.rl_trainer.log_episode_metrics(episode, {
|
||||
'total_reward': results['reward'],
|
||||
'final_balance': results['balance'],
|
||||
'total_return': results['pnl_percentage'],
|
||||
'steps': results['steps'],
|
||||
'total_trades': results['trades'],
|
||||
'win_rate': 1.0 if results['pnl'] > 0 else 0.0,
|
||||
'epsilon': agent.epsilon,
|
||||
'memory_size': len(agent.memory) if hasattr(agent, 'memory') else 0
|
||||
})
|
||||
|
||||
# Log progress
|
||||
if episode % 10 == 0:
|
||||
logger.info(
|
||||
f"Episode {episode}/{episodes} - "
|
||||
f"Reward: {results['reward']:.4f}, "
|
||||
f"Balance: ${results['balance']:.2f}, "
|
||||
f"PnL: {results['pnl_percentage']:.2f}%, "
|
||||
f"Trades: {results['trades']}, "
|
||||
f"Time: {episode_time:.2f}s"
|
||||
)
|
||||
|
||||
# Evaluation
|
||||
if episode % evaluation_interval == 0 and episode > 0:
|
||||
eval_results = self.rl_trainer.evaluate_agent(num_episodes=3)
|
||||
logger.info(
|
||||
f"Evaluation - Avg Reward: {eval_results['avg_reward']:.4f}, "
|
||||
f"Win Rate: {eval_results['win_rate']:.2%}"
|
||||
)
|
||||
|
||||
# Small delay to allow UI updates
|
||||
await asyncio.sleep(0.1)
|
||||
|
||||
self.training_active = False
|
||||
logger.info("Training completed!")
|
||||
|
||||
# Save final model
|
||||
save_path = f"models/rl/realtime_agent_{int(time.time())}.pt"
|
||||
agent.save(save_path)
|
||||
logger.info(f"Model saved: {save_path}")
|
||||
|
||||
return {
|
||||
'episodes': episodes,
|
||||
'final_balance': self.session_balance,
|
||||
'final_pnl': self.session_pnl,
|
||||
'model_path': save_path
|
||||
}
|
||||
|
||||
async def main():
|
||||
"""Main function"""
|
||||
parser = argparse.ArgumentParser(description='Realtime RL Training with Monitoring')
|
||||
parser.add_argument('--symbol', type=str, default='ETH/USDT', help='Trading symbol')
|
||||
parser.add_argument('--episodes', type=int, default=50, help='Number of episodes')
|
||||
parser.add_argument('--balance', type=float, default=1000.0, help='Initial balance')
|
||||
parser.add_argument('--web-port', type=int, default=8051, help='Web dashboard port')
|
||||
|
||||
args = parser.parse_args()
|
||||
|
||||
# Setup logging
|
||||
setup_logging()
|
||||
|
||||
logger.info("=" * 60)
|
||||
logger.info("REALTIME RL TRAINING WITH MONITORING")
|
||||
logger.info(f"Symbol: {args.symbol}")
|
||||
logger.info(f"Episodes: {args.episodes}")
|
||||
logger.info(f"Initial Balance: ${args.balance:.2f}")
|
||||
logger.info("=" * 60)
|
||||
|
||||
try:
|
||||
# Create trainer
|
||||
trainer = RealtimeRLTrainer(
|
||||
symbol=args.symbol,
|
||||
initial_balance=args.balance
|
||||
)
|
||||
|
||||
# Start web dashboard
|
||||
trainer.start_web_dashboard(port=args.web_port)
|
||||
|
||||
# Wait for dashboard to start
|
||||
await asyncio.sleep(2)
|
||||
|
||||
logger.info("MONITORING READY!")
|
||||
logger.info(f"TensorBoard: http://localhost:6006")
|
||||
logger.info(f"Web Dashboard: http://localhost:{args.web_port}")
|
||||
logger.info("=" * 60)
|
||||
|
||||
# Run training
|
||||
results = await trainer.train_realtime(
|
||||
episodes=args.episodes,
|
||||
evaluation_interval=10
|
||||
)
|
||||
|
||||
logger.info("Training Results:")
|
||||
logger.info(f" Final Balance: ${results['final_balance']:.2f}")
|
||||
logger.info(f" Final PnL: ${results['final_pnl']:.2f}")
|
||||
logger.info(f" Model Saved: {results['model_path']}")
|
||||
|
||||
# Keep running for monitoring
|
||||
logger.info("Training complete. Press Ctrl+C to exit monitoring.")
|
||||
while True:
|
||||
await asyncio.sleep(1)
|
||||
|
||||
except KeyboardInterrupt:
|
||||
logger.info("Training stopped by user")
|
||||
except Exception as e:
|
||||
logger.error(f"Error in training: {e}")
|
||||
import traceback
|
||||
logger.error(traceback.format_exc())
|
||||
|
||||
if __name__ == "__main__":
|
||||
asyncio.run(main())
|
@ -1,31 +1,23 @@
|
||||
"""
|
||||
CNN Training Pipeline - Scalping Pattern Recognition
|
||||
CNN Training Pipeline
|
||||
|
||||
Comprehensive training pipeline for multi-timeframe CNN models:
|
||||
- Automated data generation and preprocessing
|
||||
- Training with validation and early stopping
|
||||
- Memory-efficient batch processing
|
||||
- Model evaluation and metrics
|
||||
This module handles training of the CNN model using ONLY real market data.
|
||||
All training metrics are logged to TensorBoard for real-time monitoring.
|
||||
"""
|
||||
|
||||
import torch
|
||||
import torch.nn as nn
|
||||
import torch.optim as optim
|
||||
from torch.utils.data import DataLoader, Dataset
|
||||
from torch.utils.data import Dataset, DataLoader, random_split
|
||||
from torch.utils.tensorboard import SummaryWriter
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import logging
|
||||
from typing import Dict, List, Tuple, Optional
|
||||
import time
|
||||
from pathlib import Path
|
||||
import time
|
||||
from sklearn.metrics import classification_report, confusion_matrix
|
||||
from sklearn.model_selection import train_test_split
|
||||
import matplotlib.pyplot as plt
|
||||
|
||||
# Add project imports
|
||||
import sys
|
||||
import os
|
||||
sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
|
||||
import json
|
||||
|
||||
from core.config import get_config
|
||||
from core.data_provider import DataProvider
|
||||
@ -33,13 +25,12 @@ from models.cnn.scalping_cnn import MultiTimeframeCNN, ScalpingDataGenerator
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
class TradingDataset(Dataset):
|
||||
"""PyTorch dataset for trading data"""
|
||||
class CNNDataset(Dataset):
|
||||
"""Dataset for CNN training with real market data"""
|
||||
|
||||
def __init__(self, features: np.ndarray, labels: np.ndarray, metadata: Optional[Dict] = None):
|
||||
def __init__(self, features: np.ndarray, labels: np.ndarray):
|
||||
self.features = torch.FloatTensor(features)
|
||||
self.labels = torch.FloatTensor(labels)
|
||||
self.metadata = metadata or {}
|
||||
self.labels = torch.LongTensor(np.argmax(labels, axis=1)) # Convert one-hot to class indices
|
||||
|
||||
def __len__(self):
|
||||
return len(self.features)
|
||||
@ -48,431 +39,437 @@ class TradingDataset(Dataset):
|
||||
return self.features[idx], self.labels[idx]
|
||||
|
||||
class CNNTrainer:
|
||||
"""
|
||||
CNN Training Pipeline for Scalping
|
||||
"""
|
||||
"""CNN Trainer using ONLY real market data with TensorBoard monitoring"""
|
||||
|
||||
def __init__(self, data_provider: DataProvider, config: Optional[Dict] = None):
|
||||
self.data_provider = data_provider
|
||||
def __init__(self, config: Optional[Dict] = None):
|
||||
"""Initialize CNN trainer"""
|
||||
self.config = config or get_config()
|
||||
|
||||
# Training parameters
|
||||
self.learning_rate = 1e-4
|
||||
self.batch_size = 64
|
||||
self.num_epochs = 100
|
||||
self.patience = 15
|
||||
self.validation_split = 0.2
|
||||
|
||||
# Data parameters
|
||||
self.timeframes = ['1s', '1m', '5m', '1h']
|
||||
self.window_size = 20
|
||||
self.num_samples = 20000
|
||||
|
||||
# Model parameters
|
||||
self.n_timeframes = len(self.timeframes)
|
||||
self.n_features = 26 # Number of technical indicators
|
||||
self.n_classes = 3 # BUY, SELL, HOLD
|
||||
|
||||
# Device
|
||||
self.device = torch.device('cuda' if torch.cuda.is_available() else 'cpu')
|
||||
|
||||
# Initialize data generator
|
||||
self.data_generator = ScalpingDataGenerator(data_provider, self.window_size)
|
||||
# Training parameters
|
||||
self.learning_rate = self.config.training.get('learning_rate', 0.001)
|
||||
self.batch_size = self.config.training.get('batch_size', 32)
|
||||
self.epochs = self.config.training.get('epochs', 100)
|
||||
self.validation_split = self.config.training.get('validation_split', 0.2)
|
||||
self.early_stopping_patience = self.config.training.get('early_stopping_patience', 10)
|
||||
|
||||
# Training state
|
||||
# Model parameters - will be updated based on real data
|
||||
self.n_timeframes = len(self.config.timeframes)
|
||||
self.window_size = self.config.cnn.get('window_size', 20)
|
||||
self.n_features = self.config.cnn.get('features', 26) # Will be dynamically updated
|
||||
self.n_classes = 3 # BUY, SELL, HOLD
|
||||
|
||||
# Initialize components
|
||||
self.data_provider = DataProvider(self.config)
|
||||
self.data_generator = ScalpingDataGenerator(self.data_provider, self.window_size)
|
||||
self.model = None
|
||||
self.train_losses = []
|
||||
self.val_losses = []
|
||||
self.train_accuracies = []
|
||||
self.val_accuracies = []
|
||||
|
||||
# TensorBoard setup
|
||||
self.setup_tensorboard()
|
||||
|
||||
logger.info(f"CNNTrainer initialized with {self.n_timeframes} timeframes, {self.n_features} features")
|
||||
logger.info("Will use ONLY real market data for training")
|
||||
|
||||
def prepare_data(self, symbols: List[str]) -> Tuple[DataLoader, DataLoader, Dict]:
|
||||
"""Prepare training and validation data"""
|
||||
logger.info("Preparing training data...")
|
||||
def setup_tensorboard(self):
|
||||
"""Setup TensorBoard logging"""
|
||||
# Create tensorboard logs directory
|
||||
log_dir = Path("runs") / f"cnn_training_{int(time.time())}"
|
||||
log_dir.mkdir(parents=True, exist_ok=True)
|
||||
|
||||
all_features = []
|
||||
all_labels = []
|
||||
all_metadata = {'symbols': []}
|
||||
self.writer = SummaryWriter(log_dir=str(log_dir))
|
||||
self.tensorboard_dir = log_dir
|
||||
|
||||
# Generate data for each symbol
|
||||
for symbol in symbols:
|
||||
logger.info(f"Generating data for {symbol}...")
|
||||
|
||||
features, labels, metadata = self.data_generator.generate_training_cases(
|
||||
symbol, self.timeframes, self.num_samples // len(symbols)
|
||||
)
|
||||
|
||||
if features is not None and labels is not None:
|
||||
all_features.append(features)
|
||||
all_labels.append(labels)
|
||||
all_metadata['symbols'].extend([symbol] * len(features))
|
||||
|
||||
logger.info(f"Generated {len(features)} samples for {symbol}")
|
||||
|
||||
# Update feature count based on actual data
|
||||
if len(all_features) == 1:
|
||||
actual_features = features.shape[-1]
|
||||
if actual_features != self.n_features:
|
||||
logger.info(f"Updating feature count from {self.n_features} to {actual_features}")
|
||||
self.n_features = actual_features
|
||||
else:
|
||||
logger.warning(f"No data generated for {symbol}")
|
||||
|
||||
if not all_features:
|
||||
raise ValueError("No training data generated")
|
||||
|
||||
# Combine all data
|
||||
combined_features = np.concatenate(all_features, axis=0)
|
||||
combined_labels = np.concatenate(all_labels, axis=0)
|
||||
|
||||
logger.info(f"Total dataset: {len(combined_features)} samples")
|
||||
logger.info(f"Features shape: {combined_features.shape}")
|
||||
logger.info(f"Labels shape: {combined_labels.shape}")
|
||||
|
||||
# Split into train/validation
|
||||
X_train, X_val, y_train, y_val = train_test_split(
|
||||
combined_features, combined_labels,
|
||||
test_size=self.validation_split,
|
||||
stratify=np.argmax(combined_labels, axis=1),
|
||||
random_state=42
|
||||
)
|
||||
|
||||
# Create datasets
|
||||
train_dataset = TradingDataset(X_train, y_train)
|
||||
val_dataset = TradingDataset(X_val, y_val)
|
||||
|
||||
# Create data loaders
|
||||
train_loader = DataLoader(
|
||||
train_dataset,
|
||||
batch_size=self.batch_size,
|
||||
shuffle=True,
|
||||
num_workers=0, # Set to 0 to avoid multiprocessing issues
|
||||
pin_memory=True if torch.cuda.is_available() else False
|
||||
)
|
||||
|
||||
val_loader = DataLoader(
|
||||
val_dataset,
|
||||
batch_size=self.batch_size,
|
||||
shuffle=False,
|
||||
num_workers=0,
|
||||
pin_memory=True if torch.cuda.is_available() else False
|
||||
)
|
||||
|
||||
# Prepare metadata for return
|
||||
dataset_info = {
|
||||
'train_size': len(train_dataset),
|
||||
'val_size': len(val_dataset),
|
||||
'feature_shape': combined_features.shape[1:],
|
||||
'label_distribution': {
|
||||
'train': np.bincount(np.argmax(y_train, axis=1)),
|
||||
'val': np.bincount(np.argmax(y_val, axis=1))
|
||||
}
|
||||
}
|
||||
|
||||
logger.info(f"Train samples: {dataset_info['train_size']}")
|
||||
logger.info(f"Validation samples: {dataset_info['val_size']}")
|
||||
logger.info(f"Train label distribution: {dataset_info['label_distribution']['train']}")
|
||||
logger.info(f"Val label distribution: {dataset_info['label_distribution']['val']}")
|
||||
|
||||
return train_loader, val_loader, dataset_info
|
||||
logger.info(f"TensorBoard logging to: {log_dir}")
|
||||
logger.info(f"Run: tensorboard --logdir=runs")
|
||||
|
||||
def log_model_architecture(self):
|
||||
"""Log model architecture to TensorBoard"""
|
||||
if self.model is not None:
|
||||
# Log model graph (requires a dummy input)
|
||||
dummy_input = torch.randn(1, self.n_timeframes, self.window_size, self.n_features).to(self.device)
|
||||
try:
|
||||
self.writer.add_graph(self.model, dummy_input)
|
||||
logger.info("Model architecture logged to TensorBoard")
|
||||
except Exception as e:
|
||||
logger.warning(f"Could not log model graph: {e}")
|
||||
|
||||
# Log model parameters count
|
||||
total_params = sum(p.numel() for p in self.model.parameters())
|
||||
trainable_params = sum(p.numel() for p in self.model.parameters() if p.requires_grad)
|
||||
|
||||
self.writer.add_scalar('Model/TotalParameters', total_params, 0)
|
||||
self.writer.add_scalar('Model/TrainableParameters', trainable_params, 0)
|
||||
|
||||
def create_model(self) -> MultiTimeframeCNN:
|
||||
"""Create and initialize the CNN model"""
|
||||
"""Create CNN model"""
|
||||
model = MultiTimeframeCNN(
|
||||
n_timeframes=self.n_timeframes,
|
||||
window_size=self.window_size,
|
||||
n_features=self.n_features,
|
||||
n_classes=self.n_classes
|
||||
n_classes=self.n_classes,
|
||||
dropout_rate=self.config.cnn.get('dropout', 0.2)
|
||||
)
|
||||
|
||||
model.to(self.device)
|
||||
model = model.to(self.device)
|
||||
|
||||
# Log model info
|
||||
total_params = sum(p.numel() for p in model.parameters())
|
||||
trainable_params = sum(p.numel() for p in model.parameters() if p.requires_grad)
|
||||
memory_usage = model.get_memory_usage()
|
||||
|
||||
logger.info(f"Model created with {total_params:,} total parameters")
|
||||
logger.info(f"Trainable parameters: {trainable_params:,}")
|
||||
logger.info(f"Estimated memory usage: {model.get_memory_usage()}MB")
|
||||
logger.info(f"Estimated memory usage: {memory_usage}MB")
|
||||
|
||||
return model
|
||||
|
||||
def prepare_data(self, symbols: List[str], num_samples: int = 10000) -> Tuple[np.ndarray, np.ndarray, Dict]:
|
||||
"""Prepare training data from REAL market data"""
|
||||
logger.info("Preparing training data...")
|
||||
logger.info("Data source: REAL market data from exchange APIs")
|
||||
|
||||
all_features = []
|
||||
all_labels = []
|
||||
all_metadata = []
|
||||
|
||||
for symbol in symbols:
|
||||
logger.info(f"Generating data for {symbol}...")
|
||||
|
||||
features, labels, metadata = self.data_generator.generate_training_cases(
|
||||
symbol=symbol,
|
||||
timeframes=self.config.timeframes,
|
||||
num_samples=num_samples
|
||||
)
|
||||
|
||||
if features is not None:
|
||||
all_features.append(features)
|
||||
all_labels.append(labels)
|
||||
all_metadata.append(metadata)
|
||||
|
||||
logger.info(f"Generated {len(features)} samples for {symbol}")
|
||||
|
||||
# Update feature count if needed
|
||||
actual_features = features.shape[-1]
|
||||
if actual_features != self.n_features:
|
||||
logger.info(f"Updating feature count from {self.n_features} to {actual_features}")
|
||||
self.n_features = actual_features
|
||||
|
||||
if not all_features:
|
||||
raise ValueError("No training data generated from real market data")
|
||||
|
||||
# Combine all data
|
||||
features = np.concatenate(all_features, axis=0)
|
||||
labels = np.concatenate(all_labels, axis=0)
|
||||
|
||||
# Log data statistics to TensorBoard
|
||||
self.log_data_statistics(features, labels)
|
||||
|
||||
return features, labels, all_metadata
|
||||
|
||||
def log_data_statistics(self, features: np.ndarray, labels: np.ndarray):
|
||||
"""Log data statistics to TensorBoard"""
|
||||
# Dataset size
|
||||
self.writer.add_scalar('Data/TotalSamples', len(features), 0)
|
||||
self.writer.add_scalar('Data/Features', features.shape[-1], 0)
|
||||
self.writer.add_scalar('Data/Timeframes', features.shape[1], 0)
|
||||
self.writer.add_scalar('Data/WindowSize', features.shape[2], 0)
|
||||
|
||||
# Class distribution
|
||||
class_counts = np.bincount(np.argmax(labels, axis=1))
|
||||
for i, count in enumerate(class_counts):
|
||||
self.writer.add_scalar(f'Data/Class_{i}_Count', count, 0)
|
||||
|
||||
# Feature statistics
|
||||
feature_means = features.mean(axis=(0, 1, 2))
|
||||
feature_stds = features.std(axis=(0, 1, 2))
|
||||
|
||||
for i in range(min(10, len(feature_means))): # Log first 10 features
|
||||
self.writer.add_scalar(f'Data/Feature_{i}_Mean', feature_means[i], 0)
|
||||
self.writer.add_scalar(f'Data/Feature_{i}_Std', feature_stds[i], 0)
|
||||
|
||||
def train_epoch(self, model: nn.Module, train_loader: DataLoader,
|
||||
optimizer: optim.Optimizer, criterion: nn.Module) -> Tuple[float, float]:
|
||||
"""Train for one epoch"""
|
||||
optimizer: torch.optim.Optimizer, criterion: nn.Module, epoch: int) -> Tuple[float, float]:
|
||||
"""Train for one epoch with TensorBoard logging"""
|
||||
model.train()
|
||||
total_loss = 0.0
|
||||
correct_predictions = 0
|
||||
total_predictions = 0
|
||||
correct = 0
|
||||
total = 0
|
||||
|
||||
for batch_idx, (features, labels) in enumerate(train_loader):
|
||||
features = features.to(self.device)
|
||||
labels = labels.to(self.device)
|
||||
features, labels = features.to(self.device), labels.to(self.device)
|
||||
|
||||
# Zero gradients
|
||||
optimizer.zero_grad()
|
||||
|
||||
# Forward pass
|
||||
predictions = model(features)
|
||||
|
||||
# Calculate loss (multi-task loss)
|
||||
action_loss = criterion(predictions['action'], labels)
|
||||
|
||||
# Additional losses for auxiliary tasks
|
||||
confidence_loss = torch.mean(torch.abs(predictions['confidence'] - 0.5)) # Encourage diversity
|
||||
|
||||
# Total loss
|
||||
total_loss_batch = action_loss + 0.1 * confidence_loss
|
||||
|
||||
# Backward pass
|
||||
total_loss_batch.backward()
|
||||
|
||||
# Gradient clipping
|
||||
torch.nn.utils.clip_grad_norm_(model.parameters(), 1.0)
|
||||
|
||||
# Update weights
|
||||
loss = criterion(predictions['action'], labels)
|
||||
loss.backward()
|
||||
optimizer.step()
|
||||
|
||||
# Track metrics
|
||||
total_loss += total_loss_batch.item()
|
||||
total_loss += loss.item()
|
||||
_, predicted = torch.max(predictions['action'].data, 1)
|
||||
total += labels.size(0)
|
||||
correct += (predicted == labels).sum().item()
|
||||
|
||||
# Calculate accuracy
|
||||
pred_classes = torch.argmax(predictions['action'], dim=1)
|
||||
true_classes = torch.argmax(labels, dim=1)
|
||||
correct_predictions += (pred_classes == true_classes).sum().item()
|
||||
total_predictions += labels.size(0)
|
||||
# Log batch metrics
|
||||
step = epoch * len(train_loader) + batch_idx
|
||||
self.writer.add_scalar('Training/BatchLoss', loss.item(), step)
|
||||
|
||||
# Log progress
|
||||
if batch_idx % 100 == 0:
|
||||
logger.debug(f"Batch {batch_idx}/{len(train_loader)}, Loss: {total_loss_batch.item():.4f}")
|
||||
if batch_idx % 50 == 0: # Log every 50 batches
|
||||
batch_acc = 100. * (predicted == labels).sum().item() / labels.size(0)
|
||||
self.writer.add_scalar('Training/BatchAccuracy', batch_acc, step)
|
||||
|
||||
# Log confidence scores
|
||||
avg_confidence = predictions['confidence'].mean().item()
|
||||
self.writer.add_scalar('Training/BatchConfidence', avg_confidence, step)
|
||||
|
||||
avg_loss = total_loss / len(train_loader)
|
||||
accuracy = correct_predictions / total_predictions
|
||||
epoch_loss = total_loss / len(train_loader)
|
||||
epoch_accuracy = correct / total
|
||||
|
||||
return avg_loss, accuracy
|
||||
return epoch_loss, epoch_accuracy
|
||||
|
||||
def validate_epoch(self, model: nn.Module, val_loader: DataLoader,
|
||||
criterion: nn.Module) -> Tuple[float, float, Dict]:
|
||||
"""Validate for one epoch"""
|
||||
criterion: nn.Module, epoch: int) -> Tuple[float, float, Dict]:
|
||||
"""Validate for one epoch with TensorBoard logging"""
|
||||
model.eval()
|
||||
total_loss = 0.0
|
||||
correct_predictions = 0
|
||||
total_predictions = 0
|
||||
|
||||
correct = 0
|
||||
total = 0
|
||||
all_predictions = []
|
||||
all_labels = []
|
||||
all_confidences = []
|
||||
|
||||
with torch.no_grad():
|
||||
for features, labels in val_loader:
|
||||
features = features.to(self.device)
|
||||
labels = labels.to(self.device)
|
||||
features, labels = features.to(self.device), labels.to(self.device)
|
||||
|
||||
# Forward pass
|
||||
predictions = model(features)
|
||||
|
||||
# Calculate loss
|
||||
loss = criterion(predictions['action'], labels)
|
||||
|
||||
total_loss += loss.item()
|
||||
_, predicted = torch.max(predictions['action'].data, 1)
|
||||
total += labels.size(0)
|
||||
correct += (predicted == labels).sum().item()
|
||||
|
||||
# Track predictions
|
||||
pred_classes = torch.argmax(predictions['action'], dim=1)
|
||||
true_classes = torch.argmax(labels, dim=1)
|
||||
|
||||
correct_predictions += (pred_classes == true_classes).sum().item()
|
||||
total_predictions += labels.size(0)
|
||||
|
||||
# Store for detailed analysis
|
||||
all_predictions.extend(pred_classes.cpu().numpy())
|
||||
all_labels.extend(true_classes.cpu().numpy())
|
||||
all_predictions.extend(predicted.cpu().numpy())
|
||||
all_labels.extend(labels.cpu().numpy())
|
||||
all_confidences.extend(predictions['confidence'].cpu().numpy())
|
||||
|
||||
avg_loss = total_loss / len(val_loader)
|
||||
accuracy = correct_predictions / total_predictions
|
||||
epoch_loss = total_loss / len(val_loader)
|
||||
epoch_accuracy = correct / total
|
||||
|
||||
# Additional metrics
|
||||
metrics = {
|
||||
'predictions': np.array(all_predictions),
|
||||
'labels': np.array(all_labels),
|
||||
'confidences': np.array(all_confidences),
|
||||
'accuracy_by_class': {},
|
||||
'avg_confidence': np.mean(all_confidences)
|
||||
}
|
||||
# Calculate detailed metrics
|
||||
metrics = self.calculate_detailed_metrics(all_predictions, all_labels, all_confidences)
|
||||
|
||||
# Calculate per-class accuracy
|
||||
for class_idx in range(self.n_classes):
|
||||
class_mask = metrics['labels'] == class_idx
|
||||
if np.sum(class_mask) > 0:
|
||||
class_accuracy = np.mean(metrics['predictions'][class_mask] == metrics['labels'][class_mask])
|
||||
metrics['accuracy_by_class'][class_idx] = class_accuracy
|
||||
# Log validation metrics to TensorBoard
|
||||
self.writer.add_scalar('Validation/Loss', epoch_loss, epoch)
|
||||
self.writer.add_scalar('Validation/Accuracy', epoch_accuracy, epoch)
|
||||
self.writer.add_scalar('Validation/AvgConfidence', metrics['avg_confidence'], epoch)
|
||||
|
||||
return avg_loss, accuracy, metrics
|
||||
for class_idx, acc in metrics['class_accuracies'].items():
|
||||
self.writer.add_scalar(f'Validation/Class_{class_idx}_Accuracy', acc, epoch)
|
||||
|
||||
return epoch_loss, epoch_accuracy, metrics
|
||||
|
||||
def train(self, symbols: List[str], save_path: Optional[str] = None) -> Dict:
|
||||
"""Train the CNN model"""
|
||||
def calculate_detailed_metrics(self, predictions: List, labels: List, confidences: List) -> Dict:
|
||||
"""Calculate detailed training metrics"""
|
||||
predictions = np.array(predictions)
|
||||
labels = np.array(labels)
|
||||
confidences = np.array(confidences)
|
||||
|
||||
# Class-wise accuracies
|
||||
class_accuracies = {}
|
||||
for class_idx in range(self.n_classes):
|
||||
class_mask = labels == class_idx
|
||||
if class_mask.sum() > 0:
|
||||
class_acc = (predictions[class_mask] == labels[class_mask]).mean()
|
||||
class_accuracies[class_idx] = class_acc
|
||||
|
||||
return {
|
||||
'class_accuracies': class_accuracies,
|
||||
'avg_confidence': confidences.mean(),
|
||||
'confusion_matrix': confusion_matrix(labels, predictions)
|
||||
}
|
||||
|
||||
def train(self, symbols: List[str], save_path: str = 'models/cnn/scalping_cnn_trained.pt',
|
||||
num_samples: int = 10000) -> Dict:
|
||||
"""Train CNN model with TensorBoard monitoring"""
|
||||
logger.info("Starting CNN training...")
|
||||
logger.info("Using ONLY real market data from exchange APIs")
|
||||
|
||||
# Prepare data first to get actual feature count
|
||||
train_loader, val_loader, dataset_info = self.prepare_data(symbols)
|
||||
# Prepare data
|
||||
features, labels, metadata = self.prepare_data(symbols, num_samples)
|
||||
|
||||
# Create model with correct feature count
|
||||
# Log training configuration
|
||||
self.writer.add_text('Config/Symbols', str(symbols), 0)
|
||||
self.writer.add_text('Config/Timeframes', str(self.config.timeframes), 0)
|
||||
self.writer.add_scalar('Config/LearningRate', self.learning_rate, 0)
|
||||
self.writer.add_scalar('Config/BatchSize', self.batch_size, 0)
|
||||
self.writer.add_scalar('Config/MaxEpochs', self.epochs, 0)
|
||||
|
||||
# Create datasets
|
||||
dataset = CNNDataset(features, labels)
|
||||
|
||||
# Split data
|
||||
val_size = int(len(dataset) * self.validation_split)
|
||||
train_size = len(dataset) - val_size
|
||||
train_dataset, val_dataset = random_split(dataset, [train_size, val_size])
|
||||
|
||||
# Create data loaders
|
||||
train_loader = DataLoader(train_dataset, batch_size=self.batch_size, shuffle=True)
|
||||
val_loader = DataLoader(val_dataset, batch_size=self.batch_size, shuffle=False)
|
||||
|
||||
logger.info(f"Total dataset: {len(dataset)} samples")
|
||||
logger.info(f"Features shape: {features.shape}")
|
||||
logger.info(f"Labels shape: {labels.shape}")
|
||||
logger.info(f"Train samples: {train_size}")
|
||||
logger.info(f"Validation samples: {val_size}")
|
||||
|
||||
# Log class distributions
|
||||
train_labels = [dataset[i][1].item() for i in train_dataset.indices]
|
||||
val_labels = [dataset[i][1].item() for i in val_dataset.indices]
|
||||
|
||||
logger.info(f"Train label distribution: {np.bincount(train_labels)}")
|
||||
logger.info(f"Val label distribution: {np.bincount(val_labels)}")
|
||||
|
||||
# Create model
|
||||
self.model = self.create_model()
|
||||
self.log_model_architecture()
|
||||
|
||||
# Setup training
|
||||
criterion = nn.CrossEntropyLoss()
|
||||
optimizer = optim.Adam(self.model.parameters(), lr=self.learning_rate)
|
||||
scheduler = optim.lr_scheduler.ReduceLROnPlateau(
|
||||
optimizer, mode='min', factor=0.5, patience=5, verbose=True
|
||||
)
|
||||
scheduler = optim.lr_scheduler.ReduceLROnPlateau(optimizer, mode='min', patience=5, verbose=True)
|
||||
|
||||
# Training state
|
||||
# Training loop
|
||||
best_val_loss = float('inf')
|
||||
best_val_accuracy = 0.0
|
||||
patience_counter = 0
|
||||
start_time = time.time()
|
||||
|
||||
# Training loop
|
||||
for epoch in range(self.num_epochs):
|
||||
epoch_start_time = time.time()
|
||||
for epoch in range(self.epochs):
|
||||
epoch_start = time.time()
|
||||
|
||||
# Train
|
||||
train_loss, train_accuracy = self.train_epoch(
|
||||
self.model, train_loader, optimizer, criterion
|
||||
)
|
||||
train_loss, train_accuracy = self.train_epoch(self.model, train_loader, optimizer, criterion, epoch)
|
||||
|
||||
# Validate
|
||||
val_loss, val_accuracy, val_metrics = self.validate_epoch(
|
||||
self.model, val_loader, criterion
|
||||
)
|
||||
val_loss, val_accuracy, val_metrics = self.validate_epoch(self.model, val_loader, criterion, epoch)
|
||||
|
||||
# Update learning rate
|
||||
scheduler.step(val_loss)
|
||||
current_lr = optimizer.param_groups[0]['lr']
|
||||
|
||||
# Track metrics
|
||||
self.train_losses.append(train_loss)
|
||||
self.val_losses.append(val_loss)
|
||||
self.train_accuracies.append(train_accuracy)
|
||||
self.val_accuracies.append(val_accuracy)
|
||||
# Log epoch metrics
|
||||
self.writer.add_scalar('Training/EpochLoss', train_loss, epoch)
|
||||
self.writer.add_scalar('Training/EpochAccuracy', train_accuracy, epoch)
|
||||
self.writer.add_scalar('Training/LearningRate', current_lr, epoch)
|
||||
|
||||
# Check for improvement
|
||||
epoch_time = time.time() - epoch_start
|
||||
self.writer.add_scalar('Training/EpochTime', epoch_time, epoch)
|
||||
|
||||
# Save best model
|
||||
if val_loss < best_val_loss:
|
||||
best_val_loss = val_loss
|
||||
best_val_accuracy = val_accuracy
|
||||
patience_counter = 0
|
||||
|
||||
# Save best model
|
||||
if save_path:
|
||||
best_path = save_path.replace('.pt', '_best.pt')
|
||||
self.model.save(best_path)
|
||||
logger.info(f"New best model saved: {best_path}")
|
||||
best_path = save_path.replace('.pt', '_best.pt')
|
||||
self.model.save(best_path)
|
||||
logger.info(f"New best model saved: {best_path}")
|
||||
|
||||
# Log best metrics
|
||||
self.writer.add_scalar('Best/ValidationLoss', best_val_loss, epoch)
|
||||
self.writer.add_scalar('Best/ValidationAccuracy', best_val_accuracy, epoch)
|
||||
else:
|
||||
patience_counter += 1
|
||||
|
||||
# Log progress
|
||||
epoch_time = time.time() - epoch_start_time
|
||||
logger.info(
|
||||
f"Epoch {epoch+1}/{self.num_epochs} - "
|
||||
f"Train Loss: {train_loss:.4f}, Train Acc: {train_accuracy:.4f} - "
|
||||
f"Val Loss: {val_loss:.4f}, Val Acc: {val_accuracy:.4f} - "
|
||||
f"Time: {epoch_time:.2f}s"
|
||||
)
|
||||
logger.info(f"Epoch {epoch+1}/{self.epochs} - "
|
||||
f"Train Loss: {train_loss:.4f}, Train Acc: {train_accuracy:.4f} - "
|
||||
f"Val Loss: {val_loss:.4f}, Val Acc: {val_accuracy:.4f} - "
|
||||
f"Time: {epoch_time:.2f}s")
|
||||
|
||||
# Detailed validation metrics every 10 epochs
|
||||
# Log detailed metrics every 10 epochs
|
||||
if (epoch + 1) % 10 == 0:
|
||||
logger.info(f"Class accuracies: {val_metrics['accuracy_by_class']}")
|
||||
logger.info(f"Class accuracies: {val_metrics['class_accuracies']}")
|
||||
logger.info(f"Average confidence: {val_metrics['avg_confidence']:.4f}")
|
||||
|
||||
# Early stopping
|
||||
if patience_counter >= self.patience:
|
||||
if patience_counter >= self.early_stopping_patience:
|
||||
logger.info(f"Early stopping triggered after {epoch+1} epochs")
|
||||
break
|
||||
|
||||
# Training complete
|
||||
# Training completed
|
||||
total_time = time.time() - start_time
|
||||
logger.info(f"Training completed in {total_time:.2f} seconds")
|
||||
logger.info(f"Best validation loss: {best_val_loss:.4f}")
|
||||
logger.info(f"Best validation accuracy: {best_val_accuracy:.4f}")
|
||||
|
||||
# Save final model
|
||||
if save_path:
|
||||
self.model.save(save_path)
|
||||
logger.info(f"Final model saved: {save_path}")
|
||||
# Log final metrics
|
||||
self.writer.add_scalar('Final/TotalTrainingTime', total_time, 0)
|
||||
self.writer.add_scalar('Final/TotalEpochs', epoch + 1, 0)
|
||||
|
||||
# Prepare training results
|
||||
results = {
|
||||
# Save final model
|
||||
self.model.save(save_path)
|
||||
logger.info(f"Final model saved: {save_path}")
|
||||
|
||||
# Log training summary
|
||||
self.writer.add_text('Training/Summary',
|
||||
f"Completed training with {len(features)} real market samples. "
|
||||
f"Best validation accuracy: {best_val_accuracy:.4f}", 0)
|
||||
|
||||
return {
|
||||
'best_val_loss': best_val_loss,
|
||||
'best_val_accuracy': best_val_accuracy,
|
||||
'total_epochs': epoch + 1,
|
||||
'total_time': total_time,
|
||||
'train_losses': self.train_losses,
|
||||
'val_losses': self.val_losses,
|
||||
'train_accuracies': self.train_accuracies,
|
||||
'val_accuracies': self.val_accuracies,
|
||||
'dataset_info': dataset_info,
|
||||
'final_metrics': val_metrics
|
||||
'training_time': total_time,
|
||||
'tensorboard_dir': str(self.tensorboard_dir)
|
||||
}
|
||||
|
||||
return results
|
||||
|
||||
def evaluate_model(self, test_symbols: List[str]) -> Dict:
|
||||
def evaluate(self, symbols: List[str], num_samples: int = 5000) -> Dict:
|
||||
"""Evaluate trained model on test data"""
|
||||
if self.model is None:
|
||||
raise ValueError("Model not trained yet")
|
||||
|
||||
logger.info("Evaluating model...")
|
||||
|
||||
# Generate test data
|
||||
test_features = []
|
||||
test_labels = []
|
||||
# Generate test data from real market data
|
||||
features, labels, metadata = self.prepare_data(symbols, num_samples)
|
||||
|
||||
for symbol in test_symbols:
|
||||
features, labels, _ = self.data_generator.generate_training_cases(
|
||||
symbol, self.timeframes, 5000
|
||||
)
|
||||
if features is not None:
|
||||
test_features.append(features)
|
||||
test_labels.append(labels)
|
||||
|
||||
if not test_features:
|
||||
raise ValueError("No test data generated")
|
||||
|
||||
test_features = np.concatenate(test_features, axis=0)
|
||||
test_labels = np.concatenate(test_labels, axis=0)
|
||||
|
||||
# Create test loader
|
||||
test_dataset = TradingDataset(test_features, test_labels)
|
||||
# Create test dataset and loader
|
||||
test_dataset = CNNDataset(features, labels)
|
||||
test_loader = DataLoader(test_dataset, batch_size=self.batch_size, shuffle=False)
|
||||
|
||||
# Evaluate
|
||||
criterion = nn.CrossEntropyLoss()
|
||||
test_loss, test_accuracy, test_metrics = self.validate_epoch(
|
||||
self.model, test_loader, criterion
|
||||
self.model, test_loader, criterion, epoch=0
|
||||
)
|
||||
|
||||
# Generate classification report
|
||||
# Generate detailed classification report
|
||||
from sklearn.metrics import classification_report
|
||||
class_names = ['BUY', 'SELL', 'HOLD']
|
||||
classification_rep = classification_report(
|
||||
test_metrics['labels'],
|
||||
test_metrics['predictions'],
|
||||
target_names=class_names,
|
||||
output_dict=True
|
||||
)
|
||||
all_predictions = []
|
||||
all_labels = []
|
||||
|
||||
# Confusion matrix
|
||||
conf_matrix = confusion_matrix(
|
||||
test_metrics['labels'],
|
||||
test_metrics['predictions']
|
||||
with torch.no_grad():
|
||||
for features_batch, labels_batch in test_loader:
|
||||
features_batch = features_batch.to(self.device)
|
||||
predictions = self.model(features_batch)
|
||||
_, predicted = torch.max(predictions['action'].data, 1)
|
||||
all_predictions.extend(predicted.cpu().numpy())
|
||||
all_labels.extend(labels_batch.numpy())
|
||||
|
||||
classification_rep = classification_report(
|
||||
all_labels, all_predictions, target_names=class_names, output_dict=True
|
||||
)
|
||||
|
||||
evaluation_results = {
|
||||
'test_loss': test_loss,
|
||||
'test_accuracy': test_accuracy,
|
||||
'classification_report': classification_rep,
|
||||
'confusion_matrix': conf_matrix,
|
||||
'class_accuracies': test_metrics['accuracy_by_class'],
|
||||
'avg_confidence': test_metrics['avg_confidence']
|
||||
'class_accuracies': test_metrics['class_accuracies'],
|
||||
'avg_confidence': test_metrics['avg_confidence'],
|
||||
'confusion_matrix': test_metrics['confusion_matrix']
|
||||
}
|
||||
|
||||
logger.info(f"Test accuracy: {test_accuracy:.4f}")
|
||||
@ -480,40 +477,15 @@ class CNNTrainer:
|
||||
|
||||
return evaluation_results
|
||||
|
||||
def plot_training_history(self, save_path: Optional[str] = None):
|
||||
"""Plot training history"""
|
||||
if not self.train_losses:
|
||||
logger.warning("No training history to plot")
|
||||
return
|
||||
|
||||
fig, ((ax1, ax2)) = plt.subplots(1, 2, figsize=(12, 4))
|
||||
|
||||
# Loss plot
|
||||
epochs = range(1, len(self.train_losses) + 1)
|
||||
ax1.plot(epochs, self.train_losses, 'b-', label='Training Loss')
|
||||
ax1.plot(epochs, self.val_losses, 'r-', label='Validation Loss')
|
||||
ax1.set_title('Training and Validation Loss')
|
||||
ax1.set_xlabel('Epoch')
|
||||
ax1.set_ylabel('Loss')
|
||||
ax1.legend()
|
||||
ax1.grid(True)
|
||||
|
||||
# Accuracy plot
|
||||
ax2.plot(epochs, self.train_accuracies, 'b-', label='Training Accuracy')
|
||||
ax2.plot(epochs, self.val_accuracies, 'r-', label='Validation Accuracy')
|
||||
ax2.set_title('Training and Validation Accuracy')
|
||||
ax2.set_xlabel('Epoch')
|
||||
ax2.set_ylabel('Accuracy')
|
||||
ax2.legend()
|
||||
ax2.grid(True)
|
||||
|
||||
plt.tight_layout()
|
||||
|
||||
if save_path:
|
||||
plt.savefig(save_path, dpi=300, bbox_inches='tight')
|
||||
logger.info(f"Training history plot saved: {save_path}")
|
||||
|
||||
plt.show()
|
||||
def close_tensorboard(self):
|
||||
"""Close TensorBoard writer"""
|
||||
if hasattr(self, 'writer'):
|
||||
self.writer.close()
|
||||
logger.info("TensorBoard writer closed")
|
||||
|
||||
def __del__(self):
|
||||
"""Cleanup"""
|
||||
self.close_tensorboard()
|
||||
|
||||
# Export
|
||||
__all__ = ['CNNTrainer', 'TradingDataset']
|
||||
__all__ = ['CNNTrainer', 'CNNDataset']
|
@ -18,6 +18,7 @@ from pathlib import Path
|
||||
import matplotlib.pyplot as plt
|
||||
from collections import deque
|
||||
import random
|
||||
from torch.utils.tensorboard import SummaryWriter
|
||||
|
||||
# Add project imports
|
||||
import sys
|
||||
@ -75,8 +76,23 @@ class RLTrainer:
|
||||
self.win_rates = []
|
||||
self.avg_rewards = []
|
||||
|
||||
# TensorBoard setup
|
||||
self.setup_tensorboard()
|
||||
|
||||
logger.info(f"RLTrainer initialized for symbols: {self.symbols}")
|
||||
|
||||
def setup_tensorboard(self):
|
||||
"""Setup TensorBoard logging"""
|
||||
# Create tensorboard logs directory
|
||||
log_dir = Path("runs") / f"rl_training_{int(time.time())}"
|
||||
log_dir.mkdir(parents=True, exist_ok=True)
|
||||
|
||||
self.writer = SummaryWriter(log_dir=str(log_dir))
|
||||
self.tensorboard_dir = log_dir
|
||||
|
||||
logger.info(f"TensorBoard logging to: {log_dir}")
|
||||
logger.info(f"Run: tensorboard --logdir=runs")
|
||||
|
||||
def setup_environment_and_agent(self) -> Tuple[ScalpingEnvironment, ScalpingRLAgent]:
|
||||
"""Setup trading environment and RL agent"""
|
||||
logger.info("Setting up environment and agent...")
|
||||
@ -443,6 +459,29 @@ class RLTrainer:
|
||||
|
||||
plt.show()
|
||||
|
||||
def log_episode_metrics(self, episode: int, metrics: Dict):
|
||||
"""Log episode metrics to TensorBoard"""
|
||||
# Main performance metrics
|
||||
self.writer.add_scalar('Episode/TotalReward', metrics['total_reward'], episode)
|
||||
self.writer.add_scalar('Episode/FinalBalance', metrics['final_balance'], episode)
|
||||
self.writer.add_scalar('Episode/TotalReturn', metrics['total_return'], episode)
|
||||
self.writer.add_scalar('Episode/Steps', metrics['steps'], episode)
|
||||
|
||||
# Trading metrics
|
||||
self.writer.add_scalar('Trading/TotalTrades', metrics['total_trades'], episode)
|
||||
self.writer.add_scalar('Trading/WinRate', metrics['win_rate'], episode)
|
||||
self.writer.add_scalar('Trading/ProfitFactor', metrics.get('profit_factor', 0), episode)
|
||||
self.writer.add_scalar('Trading/MaxDrawdown', metrics.get('max_drawdown', 0), episode)
|
||||
|
||||
# Agent metrics
|
||||
self.writer.add_scalar('Agent/Epsilon', metrics['epsilon'], episode)
|
||||
self.writer.add_scalar('Agent/LearningRate', metrics.get('learning_rate', self.learning_rate), episode)
|
||||
self.writer.add_scalar('Agent/MemorySize', metrics.get('memory_size', 0), episode)
|
||||
|
||||
# Loss metrics (if available)
|
||||
if 'loss' in metrics:
|
||||
self.writer.add_scalar('Agent/Loss', metrics['loss'], episode)
|
||||
|
||||
class HybridTrainer:
|
||||
"""
|
||||
Hybrid training pipeline combining CNN and RL
|
||||
|
Reference in New Issue
Block a user