An implementation of DDPG using PyTorch for algorithmic trading on Chinese SH50 stock market, from Continuous Control with Deep Reinforcement Learning.
The reinforcement learning environment is to simulate Chinese SH50 stock market HF-trading at an average of 5s per tick. The environment is based on gym and optimised using PyTorch and GPU. Need only to change the target device to cuda or cpu.
The environment has several parameters to be set, for example: the initial cash is asset, minimum volume to be bought or sold is unit, the overall transaction rate is rate and the additional charge on short position is short_rate (which genuinely exists in Chinese stock market).
The Actor-Critic model is defined in actor_critic.py with act and target networks for them both. Complying to the original DDPG algorithm, the target networks are updated using soft-copy.
The train-on-data process is same as the original DDPG algorithm using SARSAs from memory buffer.
# Calculate y_batch
next_action_batch = self.actor_network.target_action(next_state_batch)
q_batch = self.critic_network.target_q(next_action_batch, next_state_batch)
y_batch = torch.add(reward_batch, q_batch, alpha=GAMMA).view(-1, 1)
# train actor-critic by target loss
self.actor_network.train(
self.critic_network.train(
y_batch, action_batch, state_batch
)
)
# Update target networks by soft update
self.actor_network.update_target()
self.critic_network.update_target()
The policy gradience is fetched from the very first layer between actor & critic and directed to the actor's backward propagation.
# The policy mean gradience from critic
return torch.mean(self.critic_weights[0].grad[:, :self.action_dim], dim=0)
# Using policy gradience training the actor
self.actor_weights[-1].backward(-loss_grad)
DDPG.py is the wrapped up agent to collect memory buffer and train-on-data. Only train_on_batch and perceive are relevant to the algorithm. The random sampling is realised using a more sufficient way on cuda:
sample = torch.randint(self.time_dim, self.replay_reward.shape[0], [self.batch_size], device=cuda)
index = torch.stack([sample - i for i in range(self.time_dim, 0, -1)]).t().reshape(-1)
state_batch = torch.index_select(state_data, 0, index).view(self.batch_size, -1)
next_amount_data = torch.index_select(next_amount_data, 0, sample).view(self.batch_size, -1)
action_batch = torch.index_select(self.replay_action / self.unit, 0, sample)
reward_batch = torch.index_select(self.replay_reward, 0, sample)
The OU-noise is implemented by Flood Sung.
DDPG-agent.py is the playground to interact. This repo provides the data of Chinese SH50 stock market from 17/04/2020 to 13/04/2020 for totally more than 13000 ticks.