import torch import torch.nn as nn import torch.optim as optim import numpy as np import os import logging import torch.nn.functional as F from typing import List, Tuple # Configure logger logging.basicConfig(level=logging.INFO) logger = logging.getLogger(__name__) class CNNModelPyTorch(nn.Module): """ CNN model for trading signals Simplified version for RL training """ def __init__(self, window_size: int, num_features: int, output_size: int, timeframes: List[str]): super(CNNModelPyTorch, self).__init__() self.window_size = window_size self.num_features = num_features self.output_size = output_size self.timeframes = timeframes # Device configuration self.device = torch.device('cuda' if torch.cuda.is_available() else 'cpu') logger.info(f"Using device: {self.device}") # Build model self.build_model() # Initialize optimizer and scheduler self.optimizer = optim.Adam(self.parameters(), lr=0.001) self.scheduler = optim.lr_scheduler.ReduceLROnPlateau( self.optimizer, mode='max', factor=0.5, patience=5, verbose=True ) # Move model to device self.to(self.device) def build_model(self): """Build the CNN architecture""" # First Convolutional Layer self.conv1 = nn.Conv1d( in_channels=self.num_features * len(self.timeframes), out_channels=32, kernel_size=3, padding=1 ) self.bn1 = nn.BatchNorm1d(32) # Second Convolutional Layer self.conv2 = nn.Conv1d(32, 64, kernel_size=3, padding=1) self.bn2 = nn.BatchNorm1d(64) # Third Convolutional Layer self.conv3 = nn.Conv1d(64, 128, kernel_size=3, padding=1) self.bn3 = nn.BatchNorm1d(128) # Calculate size after convolutions conv_out_size = self.window_size * 128 # Fully connected layers self.fc1 = nn.Linear(conv_out_size, 512) self.fc2 = nn.Linear(512, 256) self.fc3 = nn.Linear(256, self.output_size) # Additional output for value estimation self.value_fc = nn.Linear(256, 1) def forward(self, x: torch.Tensor) -> Tuple[torch.Tensor, torch.Tensor]: """Forward pass through the network""" # Ensure input is on the correct device x = x.to(self.device) # Reshape input: [batch, window_size, features] -> [batch, channels, window_size] batch_size = x.size(0) x = x.permute(0, 2, 1) # Convolutional layers x = F.relu(self.bn1(self.conv1(x))) x = F.relu(self.bn2(self.conv2(x))) x = F.relu(self.bn3(self.conv3(x))) # Flatten x = x.view(batch_size, -1) # Fully connected layers x = F.relu(self.fc1(x)) x = F.relu(self.fc2(x)) # Split into advantage and value streams advantage = self.fc3(x) value = self.value_fc(x) # Combine value and advantage q_values = value + (advantage - advantage.mean(dim=1, keepdim=True)) return q_values, value def predict(self, X): """Make predictions""" self.eval() # Convert to tensor if not already if not isinstance(X, torch.Tensor): X_tensor = torch.tensor(X, dtype=torch.float32).to(self.device) else: X_tensor = X.to(self.device) with torch.no_grad(): q_values, value = self(X_tensor) q_values_np = q_values.cpu().numpy() actions = np.argmax(q_values_np, axis=1) return actions, q_values_np def save(self, path: str): """Save model weights""" os.makedirs(os.path.dirname(path), exist_ok=True) torch.save(self.state_dict(), f"{path}.pt") logger.info(f"Model saved to {path}.pt") def load(self, path: str): """Load model weights""" self.load_state_dict(torch.load(f"{path}.pt", map_location=self.device)) self.eval() logger.info(f"Model loaded from {path}.pt")