1165 lines
57 KiB
Python
1165 lines
57 KiB
Python
import torch
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import torch.nn as nn
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import torch.optim as optim
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import numpy as np
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from collections import deque
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import random
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from typing import Tuple, List
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import os
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import sys
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import logging
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import torch.nn.functional as F
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import time
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# Add parent directory to path
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sys.path.append(os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__)))))
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# Configure logger
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logger = logging.getLogger(__name__)
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class DQNAgent:
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"""
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Deep Q-Network agent for trading
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Uses Enhanced CNN model as the base network with GPU support for improved performance
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"""
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def __init__(self,
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state_shape: Tuple[int, ...],
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n_actions: int = 2,
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learning_rate: float = 0.001,
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epsilon: float = 1.0,
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epsilon_min: float = 0.01,
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epsilon_decay: float = 0.995,
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buffer_size: int = 10000,
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batch_size: int = 32,
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target_update: int = 100,
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priority_memory: bool = True,
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device=None):
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# Extract state dimensions
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if isinstance(state_shape, tuple) and len(state_shape) > 1:
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# Multi-dimensional state (like image or sequence)
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self.state_dim = state_shape
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else:
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# 1D state
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if isinstance(state_shape, tuple):
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self.state_dim = state_shape[0]
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else:
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self.state_dim = state_shape
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# Store parameters
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self.n_actions = n_actions
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self.learning_rate = learning_rate
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self.epsilon = epsilon
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self.epsilon_min = epsilon_min
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self.epsilon_decay = epsilon_decay
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self.buffer_size = buffer_size
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self.batch_size = batch_size
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self.target_update = target_update
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# Set device for computation (default to GPU if available)
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if device is None:
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self.device = torch.device('cuda' if torch.cuda.is_available() else 'cpu')
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else:
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self.device = device
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# Initialize models with Enhanced CNN architecture for better performance
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from NN.models.enhanced_cnn import EnhancedCNN
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# Use Enhanced CNN for both policy and target networks
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self.policy_net = EnhancedCNN(self.state_dim, self.n_actions)
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self.target_net = EnhancedCNN(self.state_dim, self.n_actions)
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# Initialize the target network with the same weights as the policy network
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self.target_net.load_state_dict(self.policy_net.state_dict())
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# Set models to eval mode (important for batch norm, dropout)
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self.target_net.eval()
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# Optimization components
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self.optimizer = optim.Adam(self.policy_net.parameters(), lr=self.learning_rate)
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self.criterion = nn.MSELoss()
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# Experience replay memory
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self.memory = []
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self.positive_memory = [] # Special memory for storing good experiences
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self.update_count = 0
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# Extrema detection tracking
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self.last_extrema_pred = {
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'class': 2, # Default to "neither" (not extrema)
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'confidence': 0.0,
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'raw': None
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}
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self.extrema_memory = [] # Special memory for storing extrema points
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# Price prediction tracking
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self.last_price_pred = {
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'immediate': {
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'direction': 1, # Default to "sideways"
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'confidence': 0.0,
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'change': 0.0
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},
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'midterm': {
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'direction': 1, # Default to "sideways"
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'confidence': 0.0,
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'change': 0.0
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},
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'longterm': {
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'direction': 1, # Default to "sideways"
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'confidence': 0.0,
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'change': 0.0
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}
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}
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# Store separate memory for price direction examples
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self.price_movement_memory = [] # For storing examples of clear price movements
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# Performance tracking
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self.losses = []
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self.avg_reward = 0.0
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self.best_reward = -float('inf')
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self.no_improvement_count = 0
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# Confidence tracking
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self.confidence_history = []
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self.avg_confidence = 0.0
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self.max_confidence = 0.0
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self.min_confidence = 1.0
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# Enhanced features from EnhancedDQNAgent
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# Market adaptation capabilities
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self.market_regime_weights = {
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'trending': 1.2, # Higher confidence in trending markets
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'ranging': 0.8, # Lower confidence in ranging markets
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'volatile': 0.6 # Much lower confidence in volatile markets
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}
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# Dueling network support (requires enhanced network architecture)
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self.use_dueling = True
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# Prioritized experience replay parameters
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self.use_prioritized_replay = priority_memory
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self.alpha = 0.6 # Priority exponent
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self.beta = 0.4 # Importance sampling exponent
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self.beta_increment = 0.001
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# Double DQN support
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self.use_double_dqn = True
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# Enhanced training features from EnhancedDQNAgent
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self.target_update_freq = target_update # More descriptive name
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self.training_steps = 0
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self.gradient_clip_norm = 1.0 # Gradient clipping
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# Enhanced statistics tracking
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self.epsilon_history = []
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self.td_errors = [] # Track TD errors for analysis
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# Trade action fee and confidence thresholds
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self.trade_action_fee = 0.0005 # Small fee to discourage unnecessary trading
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self.minimum_action_confidence = 0.3 # Minimum confidence to consider trading (lowered from 0.5)
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self.recent_actions = deque(maxlen=10)
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self.recent_prices = deque(maxlen=20)
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self.recent_rewards = deque(maxlen=100)
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# Violent move detection
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self.price_history = []
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self.volatility_window = 20 # Window size for volatility calculation
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self.volatility_threshold = 0.0015 # Threshold for considering a move "violent"
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self.post_violent_move = False # Flag for recent violent move
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self.violent_move_cooldown = 0 # Cooldown after violent move
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# Feature integration
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self.last_hidden_features = None # Store last extracted features
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self.feature_history = [] # Store history of features for analysis
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# Real-time tick features integration
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self.realtime_tick_features = None # Latest tick features from tick processor
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self.tick_feature_weight = 0.3 # Weight for tick features in decision making
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# Check if mixed precision training should be used
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self.use_mixed_precision = False
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if torch.cuda.is_available() and hasattr(torch.cuda, 'amp') and 'DISABLE_MIXED_PRECISION' not in os.environ:
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self.use_mixed_precision = True
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self.scaler = torch.cuda.amp.GradScaler()
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logger.info("Mixed precision training enabled")
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else:
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logger.info("Mixed precision training disabled")
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# Track if we're in training mode
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self.training = True
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# For compatibility with old code
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self.state_size = np.prod(state_shape)
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self.action_size = n_actions
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self.memory_size = buffer_size
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self.timeframes = ["1m", "5m", "15m"][:self.state_dim[0] if isinstance(self.state_dim, tuple) else 3] # Default timeframes
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logger.info(f"DQN Agent using Enhanced CNN with device: {self.device}")
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logger.info(f"Trade action fee set to {self.trade_action_fee}, minimum confidence: {self.minimum_action_confidence}")
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logger.info(f"Real-time tick feature integration enabled with weight: {self.tick_feature_weight}")
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# Log model parameters
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total_params = sum(p.numel() for p in self.policy_net.parameters())
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logger.info(f"Enhanced CNN Policy Network: {total_params:,} parameters")
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# Position management for 2-action system
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self.current_position = 0.0 # -1 (short), 0 (neutral), 1 (long)
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self.position_entry_price = 0.0
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self.position_entry_time = None
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# Different thresholds for entry vs exit decisions
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self.entry_confidence_threshold = 0.7 # High threshold for new positions
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self.exit_confidence_threshold = 0.3 # Lower threshold for closing positions
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self.uncertainty_threshold = 0.1 # When to stay neutral
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def move_models_to_device(self, device=None):
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"""Move models to the specified device (GPU/CPU)"""
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if device is not None:
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self.device = device
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try:
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self.policy_net = self.policy_net.to(self.device)
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self.target_net = self.target_net.to(self.device)
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logger.info(f"Moved models to {self.device}")
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return True
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except Exception as e:
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logger.error(f"Failed to move models to {self.device}: {str(e)}")
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return False
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def remember(self, state: np.ndarray, action: int, reward: float,
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next_state: np.ndarray, done: bool, is_extrema: bool = False):
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"""
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Store experience in memory with prioritization
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Args:
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state: Current state
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action: Action taken
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reward: Reward received
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next_state: Next state
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done: Whether episode is done
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is_extrema: Whether this is a local extrema sample (for specialized learning)
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"""
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experience = (state, action, reward, next_state, done)
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# Always add to main memory
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self.memory.append(experience)
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# Try to extract price change to analyze the experience
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try:
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# Extract price feature from sequence data (if available)
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if len(state.shape) > 1: # 2D state [timeframes, features]
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current_price = state[-1, -1] # Last timeframe, last feature
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next_price = next_state[-1, -1]
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else: # 1D state
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current_price = state[-1] # Last feature
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next_price = next_state[-1]
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# Calculate price change - avoid division by zero
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if np.isscalar(current_price) and current_price != 0:
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price_change = (next_price - current_price) / current_price
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elif isinstance(current_price, np.ndarray):
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# Handle array case - protect against division by zero
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with np.errstate(divide='ignore', invalid='ignore'):
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price_change = (next_price - current_price) / current_price
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# Replace infinities and NaNs with zeros
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if isinstance(price_change, np.ndarray):
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price_change = np.nan_to_num(price_change, nan=0.0, posinf=0.0, neginf=0.0)
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else:
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price_change = 0.0 if np.isnan(price_change) or np.isinf(price_change) else price_change
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else:
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price_change = 0.0
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# Check if this is a significant price movement
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if abs(price_change) > 0.002: # Significant price change
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# Store in price movement memory
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self.price_movement_memory.append(experience)
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# Log significant price movements
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direction = "UP" if price_change > 0 else "DOWN"
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logger.info(f"Stored significant {direction} price movement: {price_change:.4f}")
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# For clear price movements, also duplicate in main memory to learn more
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if abs(price_change) > 0.005: # Very significant movement
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for _ in range(2): # Add 2 extra copies
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self.memory.append(experience)
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except Exception as e:
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# Skip price movement analysis if it fails
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pass
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# Check if this is an extrema point based on our extrema detection head
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if hasattr(self, 'last_extrema_pred') and self.last_extrema_pred['class'] != 2:
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# Class 0 = bottom, 1 = top, 2 = neither
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# Only consider high confidence predictions
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if self.last_extrema_pred['confidence'] > 0.7:
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self.extrema_memory.append(experience)
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# Log this special experience
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extrema_type = "BOTTOM" if self.last_extrema_pred['class'] == 0 else "TOP"
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logger.info(f"Stored {extrema_type} experience with reward {reward:.4f}")
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# For tops and bottoms, also duplicate the experience in memory to learn more from it
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for _ in range(2): # Add 2 extra copies
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self.memory.append(experience)
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# Explicitly marked extrema points also go to extrema memory
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elif is_extrema:
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self.extrema_memory.append(experience)
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# Store positive experiences separately for prioritized replay
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if reward > 0:
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self.positive_memory.append(experience)
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# For very good rewards, duplicate to learn more from them
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if reward > 0.1:
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for _ in range(min(int(reward * 10), 5)): # Cap at 5 extra copies for very high rewards
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self.positive_memory.append(experience)
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# Keep memory size under control
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if len(self.memory) > self.buffer_size:
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# Keep more recent experiences
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self.memory = self.memory[-self.buffer_size:]
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# Keep specialized memories under control too
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if len(self.positive_memory) > self.buffer_size // 4:
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self.positive_memory = self.positive_memory[-(self.buffer_size // 4):]
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if len(self.extrema_memory) > self.buffer_size // 4:
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self.extrema_memory = self.extrema_memory[-(self.buffer_size // 4):]
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if len(self.price_movement_memory) > self.buffer_size // 4:
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self.price_movement_memory = self.price_movement_memory[-(self.buffer_size // 4):]
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def act(self, state: np.ndarray, explore=True, current_price=None, market_context=None) -> int:
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"""
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Choose action based on current state using 2-action system with intelligent position management
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Args:
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state: Current market state
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explore: Whether to use epsilon-greedy exploration
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current_price: Current market price for position management
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market_context: Additional market context for decision making
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Returns:
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int: Action (0=SELL, 1=BUY) or None if should hold position
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"""
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# Convert state to tensor
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if isinstance(state, np.ndarray):
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state_tensor = torch.FloatTensor(state).unsqueeze(0).to(self.device)
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else:
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state_tensor = state.unsqueeze(0).to(self.device)
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# Get Q-values
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q_values = self.policy_net(state_tensor)
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action_values = q_values.cpu().data.numpy()[0]
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# Calculate confidence scores
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sell_confidence = torch.softmax(q_values, dim=1)[0, 0].item()
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buy_confidence = torch.softmax(q_values, dim=1)[0, 1].item()
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# Determine action based on current position and confidence thresholds
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action = self._determine_action_with_position_management(
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sell_confidence, buy_confidence, current_price, market_context, explore
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)
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# Update tracking
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if current_price:
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self.recent_prices.append(current_price)
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if action is not None:
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self.recent_actions.append(action)
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return action
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else:
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# Return None to indicate HOLD (don't change position)
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return None
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def act_with_confidence(self, state: np.ndarray, market_regime: str = 'trending') -> Tuple[int, float]:
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"""Choose action with confidence score adapted to market regime (from Enhanced DQN)"""
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with torch.no_grad():
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state_tensor = torch.FloatTensor(state).unsqueeze(0).to(self.device)
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q_values = self.policy_net(state_tensor)
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# Convert Q-values to probabilities
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action_probs = torch.softmax(q_values, dim=1)
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action = q_values.argmax().item()
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base_confidence = action_probs[0, action].item()
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# Adapt confidence based on market regime
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regime_weight = self.market_regime_weights.get(market_regime, 1.0)
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adapted_confidence = min(base_confidence * regime_weight, 1.0)
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return action, adapted_confidence
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def _determine_action_with_position_management(self, sell_conf, buy_conf, current_price, market_context, explore):
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"""
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Determine action based on current position and confidence thresholds
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This implements the intelligent position management where:
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- When neutral: Need high confidence to enter position
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- When in position: Need lower confidence to exit
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- Different thresholds for entry vs exit
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"""
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# Apply epsilon-greedy exploration
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if explore and np.random.random() <= self.epsilon:
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return np.random.choice([0, 1])
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# Get the dominant signal
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dominant_action = 0 if sell_conf > buy_conf else 1
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dominant_confidence = max(sell_conf, buy_conf)
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# Decision logic based on current position
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if self.current_position == 0: # No position - need high confidence to enter
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if dominant_confidence >= self.entry_confidence_threshold:
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# Strong enough signal to enter position
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if dominant_action == 1: # BUY signal
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self.current_position = 1.0
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self.position_entry_price = current_price
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self.position_entry_time = time.time()
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logger.info(f"ENTERING LONG position at {current_price:.4f} with confidence {dominant_confidence:.4f}")
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return 1
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else: # SELL signal
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self.current_position = -1.0
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self.position_entry_price = current_price
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self.position_entry_time = time.time()
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logger.info(f"ENTERING SHORT position at {current_price:.4f} with confidence {dominant_confidence:.4f}")
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return 0
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else:
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# Not confident enough to enter position
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return None
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elif self.current_position > 0: # Long position
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if dominant_action == 0 and dominant_confidence >= self.exit_confidence_threshold:
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# SELL signal with enough confidence to close long position
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pnl = (current_price - self.position_entry_price) / self.position_entry_price if current_price and self.position_entry_price else 0
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logger.info(f"CLOSING LONG position at {current_price:.4f} with confidence {dominant_confidence:.4f}, PnL: {pnl:.4f}")
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self.current_position = 0.0
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self.position_entry_price = 0.0
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self.position_entry_time = None
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return 0
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elif dominant_action == 0 and dominant_confidence >= self.entry_confidence_threshold:
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# Very strong SELL signal - close long and enter short
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pnl = (current_price - self.position_entry_price) / self.position_entry_price if current_price and self.position_entry_price else 0
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logger.info(f"FLIPPING from LONG to SHORT at {current_price:.4f} with confidence {dominant_confidence:.4f}, PnL: {pnl:.4f}")
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self.current_position = -1.0
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self.position_entry_price = current_price
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self.position_entry_time = time.time()
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return 0
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else:
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# Hold the long position
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return None
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elif self.current_position < 0: # Short position
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if dominant_action == 1 and dominant_confidence >= self.exit_confidence_threshold:
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# BUY signal with enough confidence to close short position
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pnl = (self.position_entry_price - current_price) / self.position_entry_price if current_price and self.position_entry_price else 0
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logger.info(f"CLOSING SHORT position at {current_price:.4f} with confidence {dominant_confidence:.4f}, PnL: {pnl:.4f}")
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self.current_position = 0.0
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self.position_entry_price = 0.0
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self.position_entry_time = None
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return 1
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elif dominant_action == 1 and dominant_confidence >= self.entry_confidence_threshold:
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# Very strong BUY signal - close short and enter long
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pnl = (self.position_entry_price - current_price) / self.position_entry_price if current_price and self.position_entry_price else 0
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logger.info(f"FLIPPING from SHORT to LONG at {current_price:.4f} with confidence {dominant_confidence:.4f}, PnL: {pnl:.4f}")
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self.current_position = 1.0
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self.position_entry_price = current_price
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self.position_entry_time = time.time()
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return 1
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|
else:
|
|
# Hold the short position
|
|
return None
|
|
|
|
return None
|
|
|
|
def replay(self, experiences=None):
|
|
"""Train the model using experiences from memory"""
|
|
|
|
# Don't train if not in training mode
|
|
if not self.training:
|
|
return 0.0
|
|
|
|
# If no experiences provided, sample from memory
|
|
if experiences is None:
|
|
# Skip if memory is too small
|
|
if len(self.memory) < self.batch_size:
|
|
return 0.0
|
|
|
|
# Sample random mini-batch from memory
|
|
indices = np.random.choice(len(self.memory), size=min(self.batch_size, len(self.memory)), replace=False)
|
|
experiences = [self.memory[i] for i in indices]
|
|
|
|
# Choose appropriate replay method
|
|
if self.use_mixed_precision:
|
|
# Convert experiences to tensors for mixed precision
|
|
states = torch.FloatTensor(np.array([e[0] for e in experiences])).to(self.device)
|
|
actions = torch.LongTensor(np.array([e[1] for e in experiences])).to(self.device)
|
|
rewards = torch.FloatTensor(np.array([e[2] for e in experiences])).to(self.device)
|
|
next_states = torch.FloatTensor(np.array([e[3] for e in experiences])).to(self.device)
|
|
dones = torch.FloatTensor(np.array([e[4] for e in experiences])).to(self.device)
|
|
|
|
# Use mixed precision replay
|
|
loss = self._replay_mixed_precision(states, actions, rewards, next_states, dones)
|
|
else:
|
|
# Pass experiences directly to standard replay method
|
|
loss = self._replay_standard(experiences)
|
|
|
|
# Store loss for monitoring
|
|
self.losses.append(loss)
|
|
|
|
# Track and decay epsilon
|
|
self.epsilon = max(self.epsilon_min, self.epsilon * self.epsilon_decay)
|
|
|
|
# Randomly decide if we should train on extrema points from special memory
|
|
if random.random() < 0.3 and len(self.extrema_memory) >= self.batch_size:
|
|
# Train specifically on extrema memory examples
|
|
extrema_indices = np.random.choice(len(self.extrema_memory), size=min(self.batch_size, len(self.extrema_memory)), replace=False)
|
|
extrema_batch = [self.extrema_memory[i] for i in extrema_indices]
|
|
|
|
# Extract tensors from extrema batch
|
|
extrema_states = torch.FloatTensor(np.array([e[0] for e in extrema_batch])).to(self.device)
|
|
extrema_actions = torch.LongTensor(np.array([e[1] for e in extrema_batch])).to(self.device)
|
|
extrema_rewards = torch.FloatTensor(np.array([e[2] for e in extrema_batch])).to(self.device)
|
|
extrema_next_states = torch.FloatTensor(np.array([e[3] for e in extrema_batch])).to(self.device)
|
|
extrema_dones = torch.FloatTensor(np.array([e[4] for e in extrema_batch])).to(self.device)
|
|
|
|
# Use a slightly reduced learning rate for extrema training
|
|
old_lr = self.optimizer.param_groups[0]['lr']
|
|
self.optimizer.param_groups[0]['lr'] = old_lr * 0.8
|
|
|
|
# Train on extrema memory
|
|
if self.use_mixed_precision:
|
|
extrema_loss = self._replay_mixed_precision(extrema_states, extrema_actions, extrema_rewards, extrema_next_states, extrema_dones)
|
|
else:
|
|
extrema_loss = self._replay_standard(extrema_batch)
|
|
|
|
# Reset learning rate
|
|
self.optimizer.param_groups[0]['lr'] = old_lr
|
|
|
|
# Log extrema loss
|
|
logger.info(f"Extra training on extrema points, loss: {extrema_loss:.4f}")
|
|
|
|
# Randomly train on price movement examples (similar to extrema)
|
|
if random.random() < 0.3 and len(self.price_movement_memory) >= self.batch_size:
|
|
# Train specifically on price movement memory examples
|
|
price_indices = np.random.choice(len(self.price_movement_memory), size=min(self.batch_size, len(self.price_movement_memory)), replace=False)
|
|
price_batch = [self.price_movement_memory[i] for i in price_indices]
|
|
|
|
# Extract tensors from price movement batch
|
|
price_states = torch.FloatTensor(np.array([e[0] for e in price_batch])).to(self.device)
|
|
price_actions = torch.LongTensor(np.array([e[1] for e in price_batch])).to(self.device)
|
|
price_rewards = torch.FloatTensor(np.array([e[2] for e in price_batch])).to(self.device)
|
|
price_next_states = torch.FloatTensor(np.array([e[3] for e in price_batch])).to(self.device)
|
|
price_dones = torch.FloatTensor(np.array([e[4] for e in price_batch])).to(self.device)
|
|
|
|
# Use a slightly reduced learning rate for price movement training
|
|
old_lr = self.optimizer.param_groups[0]['lr']
|
|
self.optimizer.param_groups[0]['lr'] = old_lr * 0.75
|
|
|
|
# Train on price movement memory
|
|
if self.use_mixed_precision:
|
|
price_loss = self._replay_mixed_precision(price_states, price_actions, price_rewards, price_next_states, price_dones)
|
|
else:
|
|
price_loss = self._replay_standard(price_batch)
|
|
|
|
# Reset learning rate
|
|
self.optimizer.param_groups[0]['lr'] = old_lr
|
|
|
|
# Log price movement loss
|
|
logger.info(f"Extra training on price movement examples, loss: {price_loss:.4f}")
|
|
|
|
return loss
|
|
|
|
def _replay_standard(self, experiences=None):
|
|
"""Standard training step without mixed precision"""
|
|
try:
|
|
# Use experiences if provided, otherwise sample from memory
|
|
if experiences is None:
|
|
# If memory is too small, skip training
|
|
if len(self.memory) < self.batch_size:
|
|
return 0.0
|
|
|
|
# Sample random mini-batch from memory
|
|
indices = np.random.choice(len(self.memory), size=min(self.batch_size, len(self.memory)), replace=False)
|
|
batch = [self.memory[i] for i in indices]
|
|
experiences = batch
|
|
|
|
# Unpack experiences
|
|
states, actions, rewards, next_states, dones = zip(*experiences)
|
|
|
|
# Convert to PyTorch tensors
|
|
states = torch.FloatTensor(np.array(states)).to(self.device)
|
|
actions = torch.LongTensor(np.array(actions)).to(self.device)
|
|
rewards = torch.FloatTensor(np.array(rewards)).to(self.device)
|
|
next_states = torch.FloatTensor(np.array(next_states)).to(self.device)
|
|
dones = torch.FloatTensor(np.array(dones)).to(self.device)
|
|
|
|
# Get current Q values
|
|
current_q_values, current_extrema_pred, current_price_pred, hidden_features, current_advanced_pred = self.policy_net(states)
|
|
current_q_values = current_q_values.gather(1, actions.unsqueeze(1)).squeeze(1)
|
|
|
|
# Enhanced Double DQN implementation
|
|
with torch.no_grad():
|
|
if self.use_double_dqn:
|
|
# Double DQN: Use policy network to select actions, target network to evaluate
|
|
policy_q_values, _, _, _, _ = self.policy_net(next_states)
|
|
next_actions = policy_q_values.argmax(1)
|
|
target_q_values_all, _, _, _, _ = self.target_net(next_states)
|
|
next_q_values = target_q_values_all.gather(1, next_actions.unsqueeze(1)).squeeze(1)
|
|
else:
|
|
# Standard DQN: Use target network for both selection and evaluation
|
|
next_q_values, next_extrema_pred, next_price_pred, next_hidden_features, next_advanced_pred = self.target_net(next_states)
|
|
next_q_values = next_q_values.max(1)[0]
|
|
|
|
# Check for dimension mismatch between rewards and next_q_values
|
|
if rewards.shape[0] != next_q_values.shape[0]:
|
|
logger.warning(f"Shape mismatch detected in standard replay: rewards {rewards.shape}, next_q_values {next_q_values.shape}")
|
|
# Use the smaller size to prevent index error
|
|
min_size = min(rewards.shape[0], next_q_values.shape[0])
|
|
rewards = rewards[:min_size]
|
|
dones = dones[:min_size]
|
|
next_q_values = next_q_values[:min_size]
|
|
current_q_values = current_q_values[:min_size]
|
|
|
|
# Calculate target Q values
|
|
target_q_values = rewards + (1 - dones) * self.gamma * next_q_values
|
|
|
|
# Compute loss for Q value
|
|
q_loss = self.criterion(current_q_values, target_q_values)
|
|
|
|
# Try to compute extrema loss if possible
|
|
try:
|
|
# Get the target classes from extrema predictions
|
|
extrema_targets = torch.argmax(current_extrema_pred, dim=1).long()
|
|
|
|
# Compute extrema loss using cross-entropy - this is an auxiliary task
|
|
extrema_loss = F.cross_entropy(current_extrema_pred, extrema_targets)
|
|
|
|
# Combined loss with emphasis on Q-learning
|
|
total_loss = q_loss + 0.1 * extrema_loss
|
|
except Exception as e:
|
|
logger.warning(f"Failed to calculate extrema loss: {str(e)}. Using only Q-value loss.")
|
|
total_loss = q_loss
|
|
|
|
# Reset gradients
|
|
self.optimizer.zero_grad()
|
|
|
|
# Backward pass
|
|
total_loss.backward()
|
|
|
|
# Enhanced gradient clipping with configurable norm
|
|
torch.nn.utils.clip_grad_norm_(self.policy_net.parameters(), self.gradient_clip_norm)
|
|
|
|
# Update weights
|
|
self.optimizer.step()
|
|
|
|
# Enhanced target network update tracking
|
|
self.training_steps += 1
|
|
if self.training_steps % self.target_update_freq == 0:
|
|
self.target_net.load_state_dict(self.policy_net.state_dict())
|
|
logger.debug(f"Target network updated at step {self.training_steps}")
|
|
|
|
# Enhanced statistics tracking
|
|
self.epsilon_history.append(self.epsilon)
|
|
|
|
# Calculate and store TD error for analysis
|
|
with torch.no_grad():
|
|
td_error = torch.abs(current_q_values - target_q_values).mean().item()
|
|
self.td_errors.append(td_error)
|
|
|
|
# Return loss
|
|
return total_loss.item()
|
|
except Exception as e:
|
|
logger.error(f"Error in replay standard: {str(e)}")
|
|
import traceback
|
|
logger.error(traceback.format_exc())
|
|
return 0.0
|
|
|
|
def _replay_mixed_precision(self, states, actions, rewards, next_states, dones):
|
|
"""Mixed precision training step for better GPU performance"""
|
|
# Check if mixed precision should be explicitly disabled
|
|
if 'DISABLE_MIXED_PRECISION' in os.environ:
|
|
logger.info("Mixed precision explicitly disabled by environment variable")
|
|
return self._replay_standard(states, actions, rewards, next_states, dones)
|
|
|
|
try:
|
|
# Zero gradients
|
|
self.optimizer.zero_grad()
|
|
|
|
# Forward pass with amp autocasting
|
|
with torch.cuda.amp.autocast():
|
|
# Get current Q values and extrema predictions
|
|
current_q_values, current_extrema_pred, current_price_pred, hidden_features, current_advanced_pred = self.policy_net(states)
|
|
current_q_values = current_q_values.gather(1, actions.unsqueeze(1)).squeeze(1)
|
|
|
|
# Get next Q values from target network
|
|
with torch.no_grad():
|
|
next_q_values, next_extrema_pred, next_price_pred, next_hidden_features, next_advanced_pred = self.target_net(next_states)
|
|
next_q_values = next_q_values.max(1)[0]
|
|
|
|
# Check for dimension mismatch and fix it
|
|
if rewards.shape[0] != next_q_values.shape[0]:
|
|
# Log the shape mismatch for debugging
|
|
logger.warning(f"Shape mismatch detected: rewards {rewards.shape}, next_q_values {next_q_values.shape}")
|
|
# Use the smaller size to prevent index errors
|
|
min_size = min(rewards.shape[0], next_q_values.shape[0])
|
|
rewards = rewards[:min_size]
|
|
dones = dones[:min_size]
|
|
next_q_values = next_q_values[:min_size]
|
|
current_q_values = current_q_values[:min_size]
|
|
|
|
target_q_values = rewards + (1 - dones) * self.gamma * next_q_values
|
|
|
|
# Compute Q-value loss (primary task)
|
|
q_loss = nn.MSELoss()(current_q_values, target_q_values)
|
|
|
|
# Initialize loss with q_loss
|
|
loss = q_loss
|
|
|
|
# Try to extract price from current and next states
|
|
try:
|
|
# Extract price feature from sequence data (if available)
|
|
if len(states.shape) == 3: # [batch, seq, features]
|
|
current_prices = states[:, -1, -1] # Last timestep, last feature
|
|
next_prices = next_states[:, -1, -1]
|
|
else: # [batch, features]
|
|
current_prices = states[:, -1] # Last feature
|
|
next_prices = next_states[:, -1]
|
|
|
|
# Calculate price change for different timeframes
|
|
immediate_changes = (next_prices - current_prices) / current_prices
|
|
|
|
# Get the actual batch size for this calculation
|
|
actual_batch_size = states.shape[0]
|
|
|
|
# Create price direction labels - simplified for training
|
|
# 0 = down, 1 = sideways, 2 = up
|
|
immediate_labels = torch.ones(actual_batch_size, dtype=torch.long, device=self.device) * 1 # Default: sideways
|
|
midterm_labels = torch.ones(actual_batch_size, dtype=torch.long, device=self.device) * 1
|
|
longterm_labels = torch.ones(actual_batch_size, dtype=torch.long, device=self.device) * 1
|
|
|
|
# Immediate term direction (1s, 1m)
|
|
immediate_up = (immediate_changes > 0.0005)
|
|
immediate_down = (immediate_changes < -0.0005)
|
|
immediate_labels[immediate_up] = 2 # Up
|
|
immediate_labels[immediate_down] = 0 # Down
|
|
|
|
# For mid and long term, we can only approximate during training
|
|
# In a real system, we'd need historical data to validate these
|
|
# Here we'll use the immediate term with increasing thresholds as approximation
|
|
|
|
# Mid-term (1h) - use slightly higher threshold
|
|
midterm_up = (immediate_changes > 0.001)
|
|
midterm_down = (immediate_changes < -0.001)
|
|
midterm_labels[midterm_up] = 2 # Up
|
|
midterm_labels[midterm_down] = 0 # Down
|
|
|
|
# Long-term (1d) - use even higher threshold
|
|
longterm_up = (immediate_changes > 0.002)
|
|
longterm_down = (immediate_changes < -0.002)
|
|
longterm_labels[longterm_up] = 2 # Up
|
|
longterm_labels[longterm_down] = 0 # Down
|
|
|
|
# Generate target values for price change regression
|
|
# For simplicity, we'll use the immediate change and scaled versions for longer timeframes
|
|
price_value_targets = torch.zeros((actual_batch_size, 4), device=self.device)
|
|
price_value_targets[:, 0] = immediate_changes
|
|
price_value_targets[:, 1] = immediate_changes * 2.0 # Approximate 1h change
|
|
price_value_targets[:, 2] = immediate_changes * 4.0 # Approximate 1d change
|
|
price_value_targets[:, 3] = immediate_changes * 6.0 # Approximate 1w change
|
|
|
|
# Calculate loss for price direction prediction (classification)
|
|
if len(current_price_pred['immediate'].shape) > 1 and current_price_pred['immediate'].shape[0] >= actual_batch_size:
|
|
# Slice predictions to match the adjusted batch size
|
|
immediate_pred = current_price_pred['immediate'][:actual_batch_size]
|
|
midterm_pred = current_price_pred['midterm'][:actual_batch_size]
|
|
longterm_pred = current_price_pred['longterm'][:actual_batch_size]
|
|
price_values_pred = current_price_pred['values'][:actual_batch_size]
|
|
|
|
# Compute losses for each task
|
|
immediate_loss = nn.CrossEntropyLoss()(immediate_pred, immediate_labels)
|
|
midterm_loss = nn.CrossEntropyLoss()(midterm_pred, midterm_labels)
|
|
longterm_loss = nn.CrossEntropyLoss()(longterm_pred, longterm_labels)
|
|
|
|
# MSE loss for price value regression
|
|
price_value_loss = nn.MSELoss()(price_values_pred, price_value_targets)
|
|
|
|
# Combine all price prediction losses
|
|
price_loss = immediate_loss + 0.7 * midterm_loss + 0.5 * longterm_loss + 0.3 * price_value_loss
|
|
|
|
# Create extrema labels (same as before)
|
|
extrema_labels = torch.ones(actual_batch_size, dtype=torch.long, device=self.device) * 2 # Default: neither
|
|
|
|
# Identify potential bottoms (significant negative change)
|
|
bottoms = (immediate_changes < -0.003)
|
|
extrema_labels[bottoms] = 0
|
|
|
|
# Identify potential tops (significant positive change)
|
|
tops = (immediate_changes > 0.003)
|
|
extrema_labels[tops] = 1
|
|
|
|
# Calculate extrema prediction loss
|
|
if len(current_extrema_pred.shape) > 1 and current_extrema_pred.shape[0] >= actual_batch_size:
|
|
current_extrema_pred = current_extrema_pred[:actual_batch_size]
|
|
extrema_loss = nn.CrossEntropyLoss()(current_extrema_pred, extrema_labels)
|
|
|
|
# Combined loss with all components
|
|
# Primary task: Q-value learning (RL objective)
|
|
# Secondary tasks: extrema detection and price prediction (supervised objectives)
|
|
loss = q_loss + 0.3 * extrema_loss + 0.3 * price_loss
|
|
|
|
# Log loss components occasionally
|
|
if random.random() < 0.01: # Log 1% of the time
|
|
logger.info(
|
|
f"Mixed precision losses: Q-loss={q_loss.item():.4f}, "
|
|
f"Extrema-loss={extrema_loss.item():.4f}, "
|
|
f"Price-loss={price_loss.item():.4f}"
|
|
)
|
|
except Exception as e:
|
|
# Fallback if price extraction fails
|
|
logger.warning(f"Failed to calculate price prediction loss: {str(e)}. Using only Q-value loss.")
|
|
# Just use Q-value loss
|
|
loss = q_loss
|
|
|
|
# Backward pass with scaled gradients
|
|
self.scaler.scale(loss).backward()
|
|
|
|
# Gradient clipping on scaled gradients
|
|
self.scaler.unscale_(self.optimizer)
|
|
torch.nn.utils.clip_grad_norm_(self.policy_net.parameters(), 1.0)
|
|
|
|
# Update with scaler
|
|
self.scaler.step(self.optimizer)
|
|
self.scaler.update()
|
|
|
|
# Update target network if needed
|
|
self.update_count += 1
|
|
if self.update_count % self.target_update == 0:
|
|
self.target_net.load_state_dict(self.policy_net.state_dict())
|
|
|
|
# Track and decay epsilon
|
|
self.epsilon = max(self.epsilon_min, self.epsilon * self.epsilon_decay)
|
|
|
|
return loss.item()
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error in mixed precision training: {str(e)}")
|
|
logger.warning("Falling back to standard precision training")
|
|
# Fall back to standard training
|
|
return self._replay_standard(states, actions, rewards, next_states, dones)
|
|
|
|
def train_on_extrema(self, states, actions, rewards, next_states, dones):
|
|
"""
|
|
Special training function specifically for extrema points
|
|
|
|
Args:
|
|
states: Batch of states at extrema points
|
|
actions: Batch of actions
|
|
rewards: Batch of rewards
|
|
next_states: Batch of next states
|
|
dones: Batch of done flags
|
|
|
|
Returns:
|
|
float: Training loss
|
|
"""
|
|
# Convert to numpy arrays if not already
|
|
if not isinstance(states, np.ndarray):
|
|
states = np.array(states)
|
|
if not isinstance(actions, np.ndarray):
|
|
actions = np.array(actions)
|
|
if not isinstance(rewards, np.ndarray):
|
|
rewards = np.array(rewards)
|
|
if not isinstance(next_states, np.ndarray):
|
|
next_states = np.array(next_states)
|
|
if not isinstance(dones, np.ndarray):
|
|
dones = np.array(dones, dtype=np.float32)
|
|
|
|
# Normalize states
|
|
states = np.vstack([self._normalize_state(s) for s in states])
|
|
next_states = np.vstack([self._normalize_state(s) for s in next_states])
|
|
|
|
# Convert to torch tensors and move to device
|
|
states_tensor = torch.FloatTensor(states).to(self.device)
|
|
actions_tensor = torch.LongTensor(actions).to(self.device)
|
|
rewards_tensor = torch.FloatTensor(rewards).to(self.device)
|
|
next_states_tensor = torch.FloatTensor(next_states).to(self.device)
|
|
dones_tensor = torch.FloatTensor(dones).to(self.device)
|
|
|
|
# Choose training method based on precision mode
|
|
if self.use_mixed_precision:
|
|
return self._replay_mixed_precision(
|
|
states_tensor, actions_tensor, rewards_tensor,
|
|
next_states_tensor, dones_tensor
|
|
)
|
|
else:
|
|
return self._replay_standard(
|
|
states_tensor, actions_tensor, rewards_tensor,
|
|
next_states_tensor, dones_tensor
|
|
)
|
|
|
|
def _normalize_state(self, state: np.ndarray) -> np.ndarray:
|
|
"""Normalize the state data to prevent numerical issues"""
|
|
# Handle NaN and infinite values
|
|
state = np.nan_to_num(state, nan=0.0, posinf=1.0, neginf=-1.0)
|
|
|
|
# Check if state is 1D array (happens in some environments)
|
|
if len(state.shape) == 1:
|
|
# If 1D, we need to normalize the whole array
|
|
normalized_state = state.copy()
|
|
|
|
# Convert any timestamp or non-numeric data to float
|
|
for i in range(len(normalized_state)):
|
|
# Check for timestamp-like objects
|
|
if hasattr(normalized_state[i], 'timestamp') and callable(getattr(normalized_state[i], 'timestamp')):
|
|
# Convert timestamp to float (seconds since epoch)
|
|
normalized_state[i] = float(normalized_state[i].timestamp())
|
|
elif not isinstance(normalized_state[i], (int, float, np.number)):
|
|
# Set non-numeric data to 0
|
|
normalized_state[i] = 0.0
|
|
|
|
# Ensure all values are float
|
|
normalized_state = normalized_state.astype(np.float32)
|
|
|
|
# Simple min-max normalization for 1D state
|
|
state_min = np.min(normalized_state)
|
|
state_max = np.max(normalized_state)
|
|
if state_max > state_min:
|
|
normalized_state = (normalized_state - state_min) / (state_max - state_min)
|
|
return normalized_state
|
|
|
|
# Handle 2D arrays
|
|
normalized_state = np.zeros_like(state, dtype=np.float32)
|
|
|
|
# Convert any timestamp or non-numeric data to float
|
|
for i in range(state.shape[0]):
|
|
for j in range(state.shape[1]):
|
|
if hasattr(state[i, j], 'timestamp') and callable(getattr(state[i, j], 'timestamp')):
|
|
# Convert timestamp to float (seconds since epoch)
|
|
normalized_state[i, j] = float(state[i, j].timestamp())
|
|
elif isinstance(state[i, j], (int, float, np.number)):
|
|
normalized_state[i, j] = state[i, j]
|
|
else:
|
|
# Set non-numeric data to 0
|
|
normalized_state[i, j] = 0.0
|
|
|
|
# Loop through each timeframe's features in the combined state
|
|
feature_count = state.shape[1] // len(self.timeframes)
|
|
|
|
for tf_idx in range(len(self.timeframes)):
|
|
start_idx = tf_idx * feature_count
|
|
end_idx = start_idx + feature_count
|
|
|
|
# Extract this timeframe's features
|
|
tf_features = normalized_state[:, start_idx:end_idx]
|
|
|
|
# Normalize OHLCV data by the first close price in the window
|
|
# This makes price movements relative rather than absolute
|
|
price_idx = 3 # Assuming close price is at index 3
|
|
if price_idx < tf_features.shape[1]:
|
|
reference_price = np.mean(tf_features[:, price_idx])
|
|
if reference_price != 0:
|
|
# Normalize price-related columns (OHLC)
|
|
for i in range(4): # First 4 columns are OHLC
|
|
if i < tf_features.shape[1]:
|
|
normalized_state[:, start_idx + i] = tf_features[:, i] / reference_price
|
|
|
|
# Normalize volume using mean and std
|
|
vol_idx = 4 # Assuming volume is at index 4
|
|
if vol_idx < tf_features.shape[1]:
|
|
vol_mean = np.mean(tf_features[:, vol_idx])
|
|
vol_std = np.std(tf_features[:, vol_idx])
|
|
if vol_std > 0:
|
|
normalized_state[:, start_idx + vol_idx] = (tf_features[:, vol_idx] - vol_mean) / vol_std
|
|
else:
|
|
normalized_state[:, start_idx + vol_idx] = 0
|
|
|
|
# Other features (technical indicators) - normalize with min-max scaling
|
|
for i in range(5, feature_count):
|
|
if i < tf_features.shape[1]:
|
|
feature_min = np.min(tf_features[:, i])
|
|
feature_max = np.max(tf_features[:, i])
|
|
if feature_max > feature_min:
|
|
normalized_state[:, start_idx + i] = (tf_features[:, i] - feature_min) / (feature_max - feature_min)
|
|
else:
|
|
normalized_state[:, start_idx + i] = 0
|
|
|
|
return normalized_state
|
|
|
|
def update_realtime_tick_features(self, tick_features):
|
|
"""Update with real-time tick features from tick processor"""
|
|
try:
|
|
if tick_features is not None:
|
|
self.realtime_tick_features = tick_features
|
|
|
|
# Log high-confidence tick features
|
|
if tick_features.get('confidence', 0) > 0.8:
|
|
logger.debug(f"High-confidence tick features updated: confidence={tick_features['confidence']:.3f}")
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error updating real-time tick features: {e}")
|
|
|
|
def _enhance_state_with_tick_features(self, state: np.ndarray) -> np.ndarray:
|
|
"""Enhance state with real-time tick features if available"""
|
|
try:
|
|
if self.realtime_tick_features is None:
|
|
return state
|
|
|
|
# Extract neural features from tick processor
|
|
neural_features = self.realtime_tick_features.get('neural_features', np.array([]))
|
|
volume_features = self.realtime_tick_features.get('volume_features', np.array([]))
|
|
microstructure_features = self.realtime_tick_features.get('microstructure_features', np.array([]))
|
|
confidence = self.realtime_tick_features.get('confidence', 0.0)
|
|
|
|
# Combine tick features - make them compact to match state dimensions
|
|
tick_features = np.concatenate([
|
|
neural_features[:3] if len(neural_features) >= 3 else np.zeros(3), # Take first 3 neural features
|
|
volume_features[:1] if len(volume_features) >= 1 else np.zeros(1), # Take first volume feature
|
|
microstructure_features[:1] if len(microstructure_features) >= 1 else np.zeros(1), # Take first microstructure feature
|
|
])
|
|
|
|
# Weight the tick features
|
|
weighted_tick_features = tick_features * self.tick_feature_weight
|
|
|
|
# Enhance the state by adding tick features to each timeframe
|
|
if len(state.shape) == 1:
|
|
# 1D state - append tick features
|
|
enhanced_state = np.concatenate([state, weighted_tick_features])
|
|
else:
|
|
# 2D state - add tick features to each timeframe row
|
|
num_timeframes, num_features = state.shape
|
|
|
|
# Ensure tick features match the number of original features
|
|
if len(weighted_tick_features) != num_features:
|
|
# Pad or truncate tick features to match state feature dimension
|
|
if len(weighted_tick_features) < num_features:
|
|
# Pad with zeros
|
|
padded_features = np.zeros(num_features)
|
|
padded_features[:len(weighted_tick_features)] = weighted_tick_features
|
|
weighted_tick_features = padded_features
|
|
else:
|
|
# Truncate to match
|
|
weighted_tick_features = weighted_tick_features[:num_features]
|
|
|
|
# Add tick features to the last row (most recent timeframe)
|
|
enhanced_state = state.copy()
|
|
enhanced_state[-1, :] += weighted_tick_features # Add to last timeframe
|
|
|
|
return enhanced_state
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error enhancing state with tick features: {e}")
|
|
return state
|
|
|
|
def update_learning_metrics(self, episode_reward, best_reward_threshold=0.01):
|
|
"""Update learning metrics and perform learning rate adjustments if needed"""
|
|
# Update average reward with exponential moving average
|
|
if self.avg_reward == 0:
|
|
self.avg_reward = episode_reward
|
|
else:
|
|
self.avg_reward = 0.95 * self.avg_reward + 0.05 * episode_reward
|
|
|
|
# Check if we're making sufficient progress
|
|
if episode_reward > (1 + best_reward_threshold) * self.best_reward:
|
|
self.best_reward = episode_reward
|
|
self.no_improvement_count = 0
|
|
return True # Improved
|
|
else:
|
|
self.no_improvement_count += 1
|
|
|
|
# If no improvement for a while, adjust learning rate
|
|
if self.no_improvement_count >= 10:
|
|
current_lr = self.optimizer.param_groups[0]['lr']
|
|
new_lr = current_lr * 0.5
|
|
if new_lr >= 1e-6: # Don't reduce below minimum threshold
|
|
for param_group in self.optimizer.param_groups:
|
|
param_group['lr'] = new_lr
|
|
logger.info(f"Reducing learning rate from {current_lr} to {new_lr}")
|
|
self.no_improvement_count = 0
|
|
|
|
return False # No improvement
|
|
|
|
def save(self, path: str):
|
|
"""Save model and agent state"""
|
|
os.makedirs(os.path.dirname(path), exist_ok=True)
|
|
|
|
# Save policy network
|
|
self.policy_net.save(f"{path}_policy")
|
|
|
|
# Save target network
|
|
self.target_net.save(f"{path}_target")
|
|
|
|
# Save agent state
|
|
state = {
|
|
'epsilon': self.epsilon,
|
|
'update_count': self.update_count,
|
|
'losses': self.losses,
|
|
'optimizer_state': self.optimizer.state_dict(),
|
|
'best_reward': self.best_reward,
|
|
'avg_reward': self.avg_reward
|
|
}
|
|
|
|
torch.save(state, f"{path}_agent_state.pt")
|
|
logger.info(f"Agent state saved to {path}_agent_state.pt")
|
|
|
|
def load(self, path: str):
|
|
"""Load model and agent state"""
|
|
# Load policy network
|
|
self.policy_net.load(f"{path}_policy")
|
|
|
|
# Load target network
|
|
self.target_net.load(f"{path}_target")
|
|
|
|
# Load agent state
|
|
try:
|
|
agent_state = torch.load(f"{path}_agent_state.pt", map_location=self.device)
|
|
self.epsilon = agent_state['epsilon']
|
|
self.update_count = agent_state['update_count']
|
|
self.losses = agent_state['losses']
|
|
self.optimizer.load_state_dict(agent_state['optimizer_state'])
|
|
|
|
# Load additional metrics if they exist
|
|
if 'best_reward' in agent_state:
|
|
self.best_reward = agent_state['best_reward']
|
|
if 'avg_reward' in agent_state:
|
|
self.avg_reward = agent_state['avg_reward']
|
|
|
|
logger.info(f"Agent state loaded from {path}_agent_state.pt")
|
|
except FileNotFoundError:
|
|
logger.warning(f"Agent state file not found at {path}_agent_state.pt, using default values")
|
|
|
|
def get_position_info(self):
|
|
"""Get current position information"""
|
|
return {
|
|
'position': self.current_position,
|
|
'entry_price': self.position_entry_price,
|
|
'entry_time': self.position_entry_time,
|
|
'entry_threshold': self.entry_confidence_threshold,
|
|
'exit_threshold': self.exit_confidence_threshold
|
|
}
|
|
|
|
def get_enhanced_training_stats(self):
|
|
"""Get enhanced RL training statistics with detailed metrics (from EnhancedDQNAgent)"""
|
|
return {
|
|
'buffer_size': len(self.memory),
|
|
'epsilon': self.epsilon,
|
|
'avg_reward': self.avg_reward,
|
|
'best_reward': self.best_reward,
|
|
'recent_rewards': list(self.recent_rewards) if hasattr(self, 'recent_rewards') else [],
|
|
'no_improvement_count': self.no_improvement_count,
|
|
# Enhanced statistics from EnhancedDQNAgent
|
|
'training_steps': self.training_steps,
|
|
'avg_td_error': np.mean(self.td_errors[-100:]) if self.td_errors else 0.0,
|
|
'recent_losses': self.losses[-10:] if self.losses else [],
|
|
'epsilon_trend': self.epsilon_history[-20:] if self.epsilon_history else [],
|
|
'specialized_buffers': {
|
|
'extrema_memory': len(self.extrema_memory),
|
|
'positive_memory': len(self.positive_memory),
|
|
'price_movement_memory': len(self.price_movement_memory)
|
|
},
|
|
'market_regime_weights': self.market_regime_weights,
|
|
'use_double_dqn': self.use_double_dqn,
|
|
'use_prioritized_replay': self.use_prioritized_replay,
|
|
'gradient_clip_norm': self.gradient_clip_norm,
|
|
'target_update_frequency': self.target_update_freq
|
|
} |