Trading agent: trading bitcoin with reinforcement learning

an INF581 project

This repository provides an environment based on the gym architecture to implement a trading agent on bitcoin data from 2017 to 2022. It provides multiple state of the art reinforcement learning algoritms (namely Logistic regression, Deep Qlearning, A2C and PolicyGradient).

Table of contents

• Getting started
• Environment
• Training an agent
• Agents
  • Logistic agent
  • Deepsense DQN agent
  • A2C agent
  • PolicyGradient agent

Getting started

In order to set up the project, please use a virtual environment that can be created and activated with

python3 -m venv .venv
source ./.venv/bin/activate

Then, install the required libraries with

pip install --uprgade pip
pip3 install -r requirements.txt

Environment

The game environement is provided as a class CryptoEnv located in src/gym_trading_btc/envs/bitcoin_env.py which leverages the gym based architecture for environments. The dataset used for the bitcoin curved can be found in the datasets file and can be modified, to use easier curves, or change the atomicity of the real bitocin curve (minutes, hours).

The state of the game in intrinsically described by the config files located in src/config_mods , where num_actions represents the actions that an agent is allowed to do, 3 stands for Stay, Sell and Buy, Window_size is the number of elements of the past that an agent takes as input to take a decision. Finally, frame_len is the number of decision for a single episode.

Training an agent

Agents can be trained with pre-implemented scripts, that leverages the sinus based method described in the project report. Agents are basically trained on easy sinus curves, sums of them and noisy sinus curves, before being trained of the real bitcoin curve.

To execute the training pipeline on Deepsense Double Deep Q learning, run:

bash train_pipeline-sh/train_pipeline_deespsens.sh

Training takes approx. 8 hours on Quadro 4000 GPU. Figures to described progress during training are gradually saved in the figsfile.

Agent

A precumputed agent can be run with

python main.py

optional arguments:
    --config
                To precise which agent to use, load it and its config file. Options are 'dqn_base', 'dqn_deepsense', 'config_a2c' and 'classifier' If no argument is given, A2C agent is loaded
    --df_name
                To manually set the the dataframe to use for cypto data in the environment
    --save_path
                Save path during training
    --load_path
                Load path for precomputed model
    --num_episode
                Load
    --save
                Boolean, 0 for False and 1 for True
    --load
                Boolean, 0 for False and 1 for True
    --lr
                Manually set the learning rate for an episode
    --config
                To precise which agent to use, load it and its config file. Options are 'dqn_base', 'dqn_deepsense', 'config_a2c' and 'classifier'
    --classifier_model
    --classifier_objective

These arguments overrite config arguments that can be modified in the config_modsfile