# Copyright 2019 The TensorTrade Authors.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License
import numpy as np
from typing import Union
from abc import ABCMeta, abstractmethod
from gym.spaces import Space
from tensortrade.trades import Trade
DTypeString = Union[type, str]
TradeActionUnion = Union[int, float, tuple]
[docs]class ActionStrategy(object, metaclass=ABCMeta):
"""An abstract strategy for determining the action to take at each timestep within a trading environment."""
[docs] @abstractmethod
def __init__(self, action_space: Space, dtype: DTypeString = np.float16):
"""
Arguments:
action_space: The shape of the actions produced by the strategy.
dtype: A type or str corresponding to the dtype of the `action_space`. Defaults to `np.float16`.
"""
self._action_space = action_space
self._dtype = dtype
@property
def action_space(self) -> Space:
"""The shape of the actions produced by the strategy."""
return self._action_space
@action_space.setter
def action_space(self, action_space: Space):
self._action_space = action_space
@property
def dtype(self) -> DTypeString:
"""A type or str corresponding to the dtype of the `action_space`."""
return self._dtype
@dtype.setter
def dtype(self, dtype: DTypeString):
self._dtype = dtype
@property
def exchange(self) -> 'InstrumentExchange':
"""The exchange being used by the current trading environment.
This will be set by the trading environment upon initialization. Setting the exchange causes the strategy to reset.
"""
return self._exchange
@exchange.setter
def exchange(self, exchange: 'InstrumentExchange'):
self._exchange = exchange
self.reset()
[docs] def reset(self):
"""Optionally implementable method for resetting stateful strategies."""
pass
[docs] @abstractmethod
def get_trade(self, action: TradeActionUnion) -> Trade:
"""Get the trade to be executed on the exchange based on the action provided.
Arguments:
action: The action to be converted into a trade.
Returns:
The trade to be executed on the exchange this timestep.
"""
raise NotImplementedError