From 38f2a5292ee2d1488ee61555727aa01b82a9be5c Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Fri, 25 Aug 2023 15:06:02 +0800 Subject: [PATCH 01/45] add RLStrategy class --- .gitignore | 1 + 1 file changed, 1 insertion(+) diff --git a/.gitignore b/.gitignore index da93716a..247f6e06 100644 --- a/.gitignore +++ b/.gitignore @@ -39,3 +39,4 @@ build/ .vscode/ /pom.xml.versionsBackup /northstar-dist/ +/.metadata/ \ No newline at end of file -- Gitee From 01c45c458e6c6b435bdc9c02d8bbed5fd6a6f92a Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Fri, 25 Aug 2023 15:06:45 +0800 Subject: [PATCH 02/45] add RLStrategy class --- .../strategy/example/RLStrategy.java | 79 +++++++++++++++++++ 1 file changed, 79 insertions(+) create mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java new file mode 100644 index 00000000..43a0248d --- /dev/null +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -0,0 +1,79 @@ +package org.dromara.northstar.strategy.example; + +import org.dromara.northstar.common.model.DynamicParams; +import org.dromara.northstar.strategy.IModuleContext; +import org.dromara.northstar.strategy.StrategicComponent; +import org.dromara.northstar.strategy.TradeStrategy; + +import com.alibaba.fastjson.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; +import xyz.redtorch.pb.CoreField.OrderField; +import xyz.redtorch.pb.CoreField.TickField; +import xyz.redtorch.pb.CoreField.TradeField; + +@StrategicComponent(RLStrategy.NAME) +public class RLStrategy implements TradeStrategy { + + protected static final String NAME = "示例-RL策略"; + + private InitParams params; + + public static class InitParams { + + } + + @Override + public void onOrder(OrderField order) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'onOrder'"); + } + + @Override + public void onTrade(TradeField trade) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'onTrade'"); + } + + @Override + public void setContext(IModuleContext context) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'setContext'"); + } + + @Override + public DynamicParams getDynamicParams() { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'getDynamicParams'"); + } + + @Override + public void initWithParams(DynamicParams params) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'initWithParams'"); + } + + @Override + public JSONObject getStoreObject() { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'getStoreObject'"); + } + + @Override + public void setStoreObject(JSONObject storeObj) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'setStoreObject'"); + } + + @Override + public void onTick(TickField tick) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'onTick'"); + } + + @Override + public void onMergedBar(BarField bar) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'onMergedBar'"); + } +} \ No newline at end of file -- Gitee From db66a6afe88b4b0535d5b2e0382b8ef3fd150121 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 29 Aug 2023 10:58:34 +0800 Subject: [PATCH 03/45] =?UTF-8?q?=E6=B7=BB=E5=8A=A0RL=E7=AD=96=E7=95=A5?= =?UTF-8?q?=E6=A8=A1=E7=BB=84=EF=BC=8C=E4=BD=BF=E7=94=A8HttpClient?= =?UTF-8?q?=E4=B8=8EPython=E7=AB=AF=E9=80=9A=E4=BF=A1?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- northstar-monitor/package-lock.json | 46 ++-- northstar-strategy-example/pom.xml | 5 + .../strategy/example/RLStrategy.java | 244 +++++++++++++----- pom.xml | 5 + python-app/app.py | 12 + 5 files changed, 225 insertions(+), 87 deletions(-) create mode 100644 python-app/app.py diff --git a/northstar-monitor/package-lock.json b/northstar-monitor/package-lock.json index d2c0dc6e..393b4562 100644 --- a/northstar-monitor/package-lock.json +++ b/northstar-monitor/package-lock.json @@ -3504,29 +3504,6 @@ "webpack-merge": "^5.7.3", "webpack-virtual-modules": "^0.4.2", "whatwg-fetch": "^3.6.2" - }, - "dependencies": { - "@vue/vue-loader-v15": { - "version": "npm:vue-loader@15.10.1", - "resolved": "https://registry.npmmirror.com/vue-loader/-/vue-loader-15.10.1.tgz", - "integrity": "sha512-SaPHK1A01VrNthlix6h1hq4uJu7S/z0kdLUb6klubo738NeQoLbS6V9/d8Pv19tU0XdQKju3D1HSKuI8wJ5wMA==", - "dev": true, - "requires": { - "@vue/component-compiler-utils": "^3.1.0", - "hash-sum": "^1.0.2", - "loader-utils": "^1.1.0", - "vue-hot-reload-api": "^2.3.0", - "vue-style-loader": "^4.1.0" - }, - "dependencies": { - "hash-sum": { - "version": "1.0.2", - "resolved": "https://registry.npmmirror.com/hash-sum/-/hash-sum-1.0.2.tgz", - "integrity": "sha512-fUs4B4L+mlt8/XAtSOGMUO1TXmAelItBPtJG7CyHJfYTdDjwisntGO2JQz7oUsatOY9o68+57eziUVNw/mRHmA==", - "dev": true - } - } - } } }, "@vue/cli-shared-utils": { @@ -3681,6 +3658,27 @@ "eslint-config-prettier": "^6.0.0" } }, + "@vue/vue-loader-v15": { + "version": "npm:vue-loader@15.10.2", + "resolved": "https://registry.npmjs.org/vue-loader/-/vue-loader-15.10.2.tgz", + "integrity": "sha512-ndeSe/8KQc/nlA7TJ+OBhv2qalmj1s+uBs7yHDRFaAXscFTApBzY9F1jES3bautmgWjDlDct0fw8rPuySDLwxw==", + "dev": true, + "requires": { + "@vue/component-compiler-utils": "^3.1.0", + "hash-sum": "^1.0.2", + "loader-utils": "^1.1.0", + "vue-hot-reload-api": "^2.3.0", + "vue-style-loader": "^4.1.0" + }, + "dependencies": { + "hash-sum": { + "version": "1.0.2", + "resolved": "https://registry.npmjs.org/hash-sum/-/hash-sum-1.0.2.tgz", + "integrity": "sha512-fUs4B4L+mlt8/XAtSOGMUO1TXmAelItBPtJG7CyHJfYTdDjwisntGO2JQz7oUsatOY9o68+57eziUVNw/mRHmA==", + "dev": true + } + } + }, "@vue/web-component-wrapper": { "version": "1.3.0", "resolved": "https://registry.npmmirror.com/@vue/web-component-wrapper/-/web-component-wrapper-1.3.0.tgz", @@ -11206,7 +11204,7 @@ }, "vue-hot-reload-api": { "version": "2.3.4", - "resolved": "https://registry.npmmirror.com/vue-hot-reload-api/-/vue-hot-reload-api-2.3.4.tgz", + "resolved": "https://registry.npmjs.org/vue-hot-reload-api/-/vue-hot-reload-api-2.3.4.tgz", "integrity": "sha512-BXq3jwIagosjgNVae6tkHzzIk6a8MHFtzAdwhnV5VlvPTFxDCvIttgSiHWjdGoTJvXtmRu5HacExfdarRcFhog==", "dev": true }, diff --git a/northstar-strategy-example/pom.xml b/northstar-strategy-example/pom.xml index b8fc9427..bb0a8fad 100644 --- a/northstar-strategy-example/pom.xml +++ b/northstar-strategy-example/pom.xml @@ -21,5 +21,10 @@ 5.8.2 test + + org.apache.httpcomponents + httpclient + 4.5.14 + diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index 43a0248d..b7c1ced6 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -1,10 +1,20 @@ package org.dromara.northstar.strategy.example; + +import org.dromara.northstar.common.constant.FieldType; +import org.dromara.northstar.common.constant.ModuleState; +import org.dromara.northstar.common.constant.SignalOperation; import org.dromara.northstar.common.model.DynamicParams; +import org.dromara.northstar.common.model.Setting; import org.dromara.northstar.strategy.IModuleContext; +import org.dromara.northstar.strategy.IModuleStrategyContext; import org.dromara.northstar.strategy.StrategicComponent; import org.dromara.northstar.strategy.TradeStrategy; +import org.dromara.northstar.strategy.constant.PriceType; +import org.dromara.northstar.strategy.model.TradeIntent; +import org.slf4j.Logger; +import com.alibaba.fastjson.JSON; import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; @@ -12,68 +22,176 @@ import xyz.redtorch.pb.CoreField.OrderField; import xyz.redtorch.pb.CoreField.TickField; import xyz.redtorch.pb.CoreField.TradeField; -@StrategicComponent(RLStrategy.NAME) -public class RLStrategy implements TradeStrategy { - - protected static final String NAME = "示例-RL策略"; - - private InitParams params; - - public static class InitParams { - - } - - @Override - public void onOrder(OrderField order) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'onOrder'"); - } - - @Override - public void onTrade(TradeField trade) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'onTrade'"); - } - - @Override - public void setContext(IModuleContext context) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'setContext'"); +import java.io.IOException; +import org.apache.http.HttpEntity; +import org.apache.http.client.HttpClient; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.impl.client.CloseableHttpClient; +import org.apache.http.impl.client.HttpClients; +import org.apache.http.util.EntityUtils; + +/** + * 本示例用于展示写一个策略的必要元素,以及最基本的开平仓操作、超时撤单操作 + * + * ## 风险提示:该策略仅作技术分享,据此交易,风险自担 ## + * @author KevinHuangwl + * + */ +@StrategicComponent(RLStrategy.NAME) // 该注解是用于给策略命名用的,所有的策略都要带上这个注解 +public class RLStrategy implements TradeStrategy{ + + protected static final String NAME = "示例-RL策略"; // 之所以要这样定义一个常量,是为了方便日志输出时可以带上策略名称 + + private InitParams params; // 策略的参数配置信息 + + private IModuleStrategyContext ctx; // 模组的操作上下文 + + private JSONObject storeObj = new JSONObject(); // 可透视状态计算信息 + + private Logger log; + + /** + * 定义该策略的参数。该类每个策略必须自己重写一个,类名必须为InitParams,必须继承DynamicParams,必须是个static类。 + * @author KevinHuangwl + */ + public static class InitParams extends DynamicParams { // 每个策略都要有一个用于定义初始化参数的内部类,类名称不能改 + + @Setting(label="操作间隔", type = FieldType.NUMBER, order = 10, unit = "秒") // Label注解用于定义属性的元信息。可以声明单位 + private int actionInterval; // 属性可以为任意多个,当元素为多个时order值用于控制前端的显示顺序 + + } + + /***************** 以下如果看不懂,基本可以照搬 *************************/ + @Override + public DynamicParams getDynamicParams() { + return new InitParams(); + } + + @Override + public void initWithParams(DynamicParams params) { + this.params = (InitParams) params; + } + + @Override + public void setContext(IModuleContext context) { + ctx = context; + log = ctx.getLogger(); + } + + @Override + public JSONObject getStoreObject() { + return storeObj; + } + + @Override + public void setStoreObject(JSONObject storeObj) { + this.storeObj = storeObj; + } + /***************** 以上如果看不懂,基本可以照搬 *************************/ + + private long nextActionTime; + + @Override + public void onTick(TickField tick) { + log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", + tick.getUnifiedSymbol(), tick.getActionDay(), tick.getActionTime(), + tick.getLastPrice(), tick.getVolume(), tick.getOpenInterest(), tick.getOpenInterestDelta()); } - @Override - public DynamicParams getDynamicParams() { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'getDynamicParams'"); - } - - @Override - public void initWithParams(DynamicParams params) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'initWithParams'"); - } - - @Override - public JSONObject getStoreObject() { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'getStoreObject'"); - } - - @Override - public void setStoreObject(JSONObject storeObj) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'setStoreObject'"); - } - - @Override - public void onTick(TickField tick) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'onTick'"); - } - - @Override - public void onMergedBar(BarField bar) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'onMergedBar'"); - } -} \ No newline at end of file + @Override + public void onMergedBar(BarField bar) { + log.debug("策略每分钟触发"); + log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", + bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); + + String url = "http://localhost:5001/get-action"; + JSONObject jsonData = new JSONObject(); + jsonData.put("open_price", bar.getOpenPrice()); + jsonData.put("high_price", bar.getHighPrice()); + jsonData.put("low_price", bar.getLowPrice()); + jsonData.put("close_price", bar.getClosePrice()); + String jsonContent = jsonData.toString(); + try (CloseableHttpClient HttpClient = HttpClients.createDefault()){ + HttpPost httpPost = new HttpPost(url); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + try (CloseableHttpResponse response = HttpClient.execute(httpPost)) { + HttpEntity responseEntity = response.getEntity(); + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + Integer actionID = jsonObject.getInteger("action"); // 1: 买;0: 持仓;-1: 卖 + log.info("actionID: {}", actionID); + + + switch (ctx.getState()) { + case EMPTY -> { + if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("多开"); + } else if (actionID == -1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("空开"); + } + } + case HOLDING_LONG -> { + if (actionID == -1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("平多"); + } + } + case HOLDING_SHORT -> { + if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("平空"); + } + } + default -> { + log.info("当前状态:{}", ctx.getState()); + } + } + } + } + + } catch (IOException e) { + e.printStackTrace(); + } + } + + @Override + public void onOrder(OrderField order) { + // 委托单状态变动回调 + } + + @Override + public void onTrade(TradeField trade) { + // 成交回调 + } + +} diff --git a/pom.xml b/pom.xml index a4ee080f..c0b5fdfb 100644 --- a/pom.xml +++ b/pom.xml @@ -59,6 +59,11 @@ ${springboot-version} test + + org.apache.httpcomponents + httpclient + 4.5.13 + diff --git a/python-app/app.py b/python-app/app.py new file mode 100644 index 00000000..91082e53 --- /dev/null +++ b/python-app/app.py @@ -0,0 +1,12 @@ +import random +from flask import Flask, request, jsonify + + +app = Flask(__name__) + +@app.route('/get-action', methods=['POST']) +def get_action(): + return jsonify({"action": random.choice([-1, 0, 1])}) + +app.run(port=5001) + \ No newline at end of file -- Gitee From 2a0c30d505a51db1cdd1b10705c021115da6acc1 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Wed, 30 Aug 2023 00:17:33 +0800 Subject: [PATCH 04/45] =?UTF-8?q?=E6=9B=B4=E6=94=B9=E7=BB=93=E6=9E=84?= =?UTF-8?q?=EF=BC=8C=E8=A7=84=E8=8C=83=E5=91=BD=E5=90=8D?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../strategy/example/RLStrategy.java | 209 +++++++----------- 1 file changed, 83 insertions(+), 126 deletions(-) diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index b7c1ced6..d6fb8bc7 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -9,6 +9,7 @@ import org.dromara.northstar.common.model.Setting; import org.dromara.northstar.strategy.IModuleContext; import org.dromara.northstar.strategy.IModuleStrategyContext; import org.dromara.northstar.strategy.StrategicComponent; +import org.dromara.northstar.strategy.AbstractStrategy; import org.dromara.northstar.strategy.TradeStrategy; import org.dromara.northstar.strategy.constant.PriceType; import org.dromara.northstar.strategy.model.TradeIntent; @@ -23,7 +24,10 @@ import xyz.redtorch.pb.CoreField.TickField; import xyz.redtorch.pb.CoreField.TradeField; import java.io.IOException; +import java.io.UnsupportedEncodingException; + import org.apache.http.HttpEntity; +import org.apache.http.ParseException; import org.apache.http.client.HttpClient; import org.apache.http.client.methods.CloseableHttpResponse; import org.apache.http.client.methods.HttpPost; @@ -32,67 +36,18 @@ import org.apache.http.impl.client.CloseableHttpClient; import org.apache.http.impl.client.HttpClients; import org.apache.http.util.EntityUtils; -/** - * 本示例用于展示写一个策略的必要元素,以及最基本的开平仓操作、超时撤单操作 - * - * ## 风险提示:该策略仅作技术分享,据此交易,风险自担 ## - * @author KevinHuangwl - * - */ -@StrategicComponent(RLStrategy.NAME) // 该注解是用于给策略命名用的,所有的策略都要带上这个注解 -public class RLStrategy implements TradeStrategy{ - - protected static final String NAME = "示例-RL策略"; // 之所以要这样定义一个常量,是为了方便日志输出时可以带上策略名称 - - private InitParams params; // 策略的参数配置信息 - - private IModuleStrategyContext ctx; // 模组的操作上下文 - - private JSONObject storeObj = new JSONObject(); // 可透视状态计算信息 - - private Logger log; - - /** - * 定义该策略的参数。该类每个策略必须自己重写一个,类名必须为InitParams,必须继承DynamicParams,必须是个static类。 - * @author KevinHuangwl - */ - public static class InitParams extends DynamicParams { // 每个策略都要有一个用于定义初始化参数的内部类,类名称不能改 - - @Setting(label="操作间隔", type = FieldType.NUMBER, order = 10, unit = "秒") // Label注解用于定义属性的元信息。可以声明单位 - private int actionInterval; // 属性可以为任意多个,当元素为多个时order值用于控制前端的显示顺序 - - } - - /***************** 以下如果看不懂,基本可以照搬 *************************/ - @Override - public DynamicParams getDynamicParams() { - return new InitParams(); - } - @Override - public void initWithParams(DynamicParams params) { - this.params = (InitParams) params; - } +@StrategicComponent(RLStrategy.NAME) +public class RLStrategy extends AbstractStrategy{ - @Override - public void setContext(IModuleContext context) { - ctx = context; - log = ctx.getLogger(); - } + protected static final String NAME = "示例-RL策略"; - @Override - public JSONObject getStoreObject() { - return storeObj; - } + private InitParams params; - @Override - public void setStoreObject(JSONObject storeObj) { - this.storeObj = storeObj; - } - /***************** 以上如果看不懂,基本可以照搬 *************************/ + private String url = "http://localhost:5001/get-action"; + + private CloseableHttpClient httpClient = HttpClients.createDefault(); - private long nextActionTime; - @Override public void onTick(TickField tick) { log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", @@ -106,92 +61,94 @@ public class RLStrategy implements TradeStrategy{ log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); - String url = "http://localhost:5001/get-action"; JSONObject jsonData = new JSONObject(); jsonData.put("open_price", bar.getOpenPrice()); jsonData.put("high_price", bar.getHighPrice()); jsonData.put("low_price", bar.getLowPrice()); jsonData.put("close_price", bar.getClosePrice()); String jsonContent = jsonData.toString(); - try (CloseableHttpClient HttpClient = HttpClients.createDefault()){ - HttpPost httpPost = new HttpPost(url); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - try (CloseableHttpResponse response = HttpClient.execute(httpPost)) { - HttpEntity responseEntity = response.getEntity(); - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - Integer actionID = jsonObject.getInteger("action"); // 1: 买;0: 持仓;-1: 卖 - log.info("actionID: {}", actionID); - - - switch (ctx.getState()) { - case EMPTY -> { - if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("多开"); - } else if (actionID == -1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("空开"); - } - } - case HOLDING_LONG -> { - if (actionID == -1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("平多"); - } + HttpPost httpPost = new HttpPost(url); + + + try { + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + Integer actionID = jsonObject.getInteger("action"); // 1: 买;0: 持仓;-1: 卖 + log.info("actionID: {}", actionID); + switch (ctx.getState()) { + case EMPTY -> { + if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("多开"); + } else if (actionID == -1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("空开"); } - case HOLDING_SHORT -> { - if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("平空"); - } + } + case HOLDING_LONG -> { + if (actionID == -1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("平多"); } - default -> { - log.info("当前状态:{}", ctx.getState()); + } + case HOLDING_SHORT -> { + if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("平空"); } } + default -> { + log.info("当前状态:{},不交易", ctx.getState()); + } } - } - - } catch (IOException e) { - e.printStackTrace(); - } + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } } - + + /***************** 以下如果看不懂,基本可以照搬 *************************/ @Override - public void onOrder(OrderField order) { - // 委托单状态变动回调 + public DynamicParams getDynamicParams() { + return new InitParams(); } @Override - public void onTrade(TradeField trade) { - // 成交回调 + public void initWithParams(DynamicParams params) { + this.params = (InitParams) params; } + public static class InitParams extends DynamicParams { + @Setting(label="指标合约", order=0) + private String indicatorSymbol; + } } -- Gitee From cd786d413b3f091404f6aa664b1e4dda945f2188 Mon Sep 17 00:00:00 2001 From: YuRuiii <1754376900@qq.com> Date: Thu, 31 Aug 2023 14:23:05 +0800 Subject: [PATCH 05/45] add RLDataCollectorStrategy --- .../example/RLDataCollectorStrategy.java | 70 + .../strategy/example/RLStrategy.java | 6 +- .../data/bar - \345\211\257\346\234\254.csv" | 25245 ++++++++++++++++ python-app/data/bar.csv | 10593 +++++++ python-app/data/bar_data.csv | 10593 +++++++ python-app/env.py | 0 6 files changed, 46504 insertions(+), 3 deletions(-) create mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java create mode 100644 "python-app/data/bar - \345\211\257\346\234\254.csv" create mode 100644 python-app/data/bar.csv create mode 100644 python-app/data/bar_data.csv create mode 100644 python-app/env.py diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java new file mode 100644 index 00000000..37ea9075 --- /dev/null +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java @@ -0,0 +1,70 @@ +package org.dromara.northstar.strategy.example; + +import java.io.FileWriter; + +import org.dromara.northstar.common.model.DynamicParams; +import org.dromara.northstar.common.model.Setting; +import org.dromara.northstar.strategy.AbstractStrategy; +import org.dromara.northstar.strategy.StrategicComponent; + +import cn.hutool.core.text.csv.CsvUtil; +import cn.hutool.core.text.csv.CsvWriter; +import cn.hutool.core.util.CharsetUtil; +import xyz.redtorch.pb.CoreField.BarField; + +@StrategicComponent(RLDataCollectorStrategy.NAME) +public class RLDataCollectorStrategy extends AbstractStrategy{ + protected static final String NAME = "示例-RL数据收集策略"; + + private String barFilePath = "D:\\Software\\Desktop\\northstar\\python-app\\data\\bar.csv"; + + private InitParams params; + + boolean haveHeader = false; + + CsvWriter writer = CsvUtil.getWriter(barFilePath, CharsetUtil.CHARSET_UTF_8, true); + + public RLDataCollectorStrategy() { + if (! haveHeader) { + String header[] = {"Unified Symbol", "Action Time Stamp", "Action Day", "Action Time", "Open Price", "High Price", "Low Price", "Closed Price"}; + writer.write(header); + haveHeader = true; + } + } + + @Override + public void onMergedBar(BarField bar) { + log.debug("写入{} {}数据", bar.getActionDay(), bar.getActionTime()); + String data[] = { + bar.getUnifiedSymbol(), + String.valueOf(bar.getActionTimestamp()), + bar.getActionDay(), + bar.getActionTime(), + String.valueOf(bar.getOpenPrice()), + String.valueOf(bar.getHighPrice()), + String.valueOf(bar.getLowPrice()), + String.valueOf(bar.getClosePrice()) + }; + writer.write(data); + if(!canProceed(bar)) { + return; + } + if(barHandlerMap.containsKey(bar.getUnifiedSymbol())) { + barHandlerMap.get(bar.getUnifiedSymbol()).onMergedBar(bar); + } + } + + @Override + public DynamicParams getDynamicParams() { + return new InitParams(); + } + + @Override + public void initWithParams(DynamicParams params) { + this.params = (InitParams) params; + } + public static class InitParams extends DynamicParams { + @Setting(label="指标合约", order=0) + private String indicatorSymbol; + } +} \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index d6fb8bc7..4ed69465 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -44,7 +44,7 @@ public class RLStrategy extends AbstractStrategy{ private InitParams params; - private String url = "http://localhost:5001/get-action"; + private String getActionUrl = "http://localhost:5001/get-action"; private CloseableHttpClient httpClient = HttpClients.createDefault(); @@ -67,7 +67,7 @@ public class RLStrategy extends AbstractStrategy{ jsonData.put("low_price", bar.getLowPrice()); jsonData.put("close_price", bar.getClosePrice()); String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(url); + HttpPost httpPost = new HttpPost(getActionUrl); try { @@ -149,6 +149,6 @@ public class RLStrategy extends AbstractStrategy{ public static class InitParams extends DynamicParams { @Setting(label="指标合约", order=0) - private String indicatorSymbol; + private String indicatorSymbol; } } diff --git "a/python-app/data/bar - \345\211\257\346\234\254.csv" "b/python-app/data/bar - \345\211\257\346\234\254.csv" new file mode 100644 index 00000000..c205ae50 --- /dev/null +++ "b/python-app/data/bar - \345\211\257\346\234\254.csv" @@ -0,0 +1,25245 @@ +Unified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed PriceUnified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed PriceUnified Symbol,Action Time Stamp,Open Price,High Price,Low 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+rb0000@SHFE@FUTURES,1.67515E+12,20230131,14:58:00,4141,4142,4135,4136 +rb0000@SHFE@FUTURES,1.67515E+12,20230131,14:58:00,4141,4142,4135,4136 +rb0000@SHFE@FUTURES,1.67515E+12,20230131,14:59:00,4135,4136,4131,4134 +rb0000@SHFE@FUTURES,1.67515E+12,20230131,14:59:00,4135,4136,4131,4134 +rb0000@SHFE@FUTURES,1.67515E+12,20230131,15:00:00,4133,4134,4130,4132 +rb0000@SHFE@FUTURES,1.67515E+12,20230131,15:00:00,4133,4134,4130,4132 diff --git a/python-app/env.py b/python-app/env.py new file mode 100644 index 00000000..e69de29b -- Gitee From 93750c9d92c80a0414bb31f19966cdf74e56d108 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Fri, 1 Sep 2023 09:49:00 +0800 Subject: [PATCH 06/45] delete RL data collector --- .../example/RLDataCollectorStrategy.java | 70 - python-app/app.py | 1 - .../data/bar - \345\211\257\346\234\254.csv" | 25245 ---------------- python-app/data/bar.csv | 10593 ------- python-app/data/bar_data.csv | 10593 ------- python-app/env.py | 32 + 6 files changed, 32 insertions(+), 46502 deletions(-) delete mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java delete mode 100644 "python-app/data/bar - \345\211\257\346\234\254.csv" delete mode 100644 python-app/data/bar.csv delete mode 100644 python-app/data/bar_data.csv diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java deleted file mode 100644 index 37ea9075..00000000 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLDataCollectorStrategy.java +++ /dev/null @@ -1,70 +0,0 @@ -package org.dromara.northstar.strategy.example; - -import java.io.FileWriter; - -import org.dromara.northstar.common.model.DynamicParams; -import org.dromara.northstar.common.model.Setting; -import org.dromara.northstar.strategy.AbstractStrategy; -import org.dromara.northstar.strategy.StrategicComponent; - -import cn.hutool.core.text.csv.CsvUtil; -import cn.hutool.core.text.csv.CsvWriter; -import cn.hutool.core.util.CharsetUtil; -import xyz.redtorch.pb.CoreField.BarField; - -@StrategicComponent(RLDataCollectorStrategy.NAME) -public class RLDataCollectorStrategy extends AbstractStrategy{ - protected static final String NAME = "示例-RL数据收集策略"; - - private String barFilePath = "D:\\Software\\Desktop\\northstar\\python-app\\data\\bar.csv"; - - private InitParams params; - - boolean haveHeader = false; - - CsvWriter writer = CsvUtil.getWriter(barFilePath, CharsetUtil.CHARSET_UTF_8, true); - - public RLDataCollectorStrategy() { - if (! haveHeader) { - String header[] = {"Unified Symbol", "Action Time Stamp", "Action Day", "Action Time", "Open Price", "High Price", "Low Price", "Closed Price"}; - writer.write(header); - haveHeader = true; - } - } - - @Override - public void onMergedBar(BarField bar) { - log.debug("写入{} {}数据", bar.getActionDay(), bar.getActionTime()); - String data[] = { - bar.getUnifiedSymbol(), - String.valueOf(bar.getActionTimestamp()), - bar.getActionDay(), - bar.getActionTime(), - String.valueOf(bar.getOpenPrice()), - String.valueOf(bar.getHighPrice()), - String.valueOf(bar.getLowPrice()), - String.valueOf(bar.getClosePrice()) - }; - writer.write(data); - if(!canProceed(bar)) { - return; - } - if(barHandlerMap.containsKey(bar.getUnifiedSymbol())) { - barHandlerMap.get(bar.getUnifiedSymbol()).onMergedBar(bar); - } - } - - @Override - public DynamicParams getDynamicParams() { - return new InitParams(); - } - - @Override - public void initWithParams(DynamicParams params) { - this.params = (InitParams) params; - } - public static class InitParams extends DynamicParams { - @Setting(label="指标合约", order=0) - private String indicatorSymbol; - } -} \ No newline at end of file diff --git a/python-app/app.py b/python-app/app.py index 91082e53..64bd267e 100644 --- a/python-app/app.py +++ b/python-app/app.py @@ -9,4 +9,3 @@ def get_action(): return jsonify({"action": random.choice([-1, 0, 1])}) app.run(port=5001) - \ No newline at end of file diff --git "a/python-app/data/bar - \345\211\257\346\234\254.csv" "b/python-app/data/bar - \345\211\257\346\234\254.csv" deleted file mode 100644 index c205ae50..00000000 --- "a/python-app/data/bar - \345\211\257\346\234\254.csv" +++ /dev/null @@ -1,25245 +0,0 @@ -Unified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed PriceUnified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed PriceUnified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed PriceUnified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed PriceUnified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed PriceUnified Symbol,Action Time Stamp,Open Price,High Price,Low Price,Closed Price 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-rb0000@SHFE@FUTURES,1.67515E+12,20230131,15:00:00,4133,4134,4130,4132 diff --git a/python-app/env.py b/python-app/env.py index e69de29b..cbdc8a61 100644 --- a/python-app/env.py +++ b/python-app/env.py @@ -0,0 +1,32 @@ +import math +import gym +import numpy as np + +class TradingEnv(gym.Env): + def __init__( self, + trading_fee_rate=0.0001, + + ): + self.current_hold = 0 + self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) + self.action_space = spaces.Discrete(3, dtype=np.float32) + + self.state = self._initiate_state() + + self.trading_fee_rate = trading_fee_rate + + + + def reset(self): + self.state = self._initiate_state() + + def render(self, mode="human", close=False): + return self.state + + def step(self, action): + self.step += 1 + + state = self.get_price(self.step) + + + \ No newline at end of file -- Gitee From 85dc367215581241b68cdbef0385f7ee83e7a93a Mon Sep 17 00:00:00 2001 From: YuRuiii <1754376900@qq.com> Date: Sun, 3 Sep 2023 17:13:21 +0800 Subject: [PATCH 07/45] =?UTF-8?q?=E5=8A=A0=E5=85=A5Python=E7=AB=AF?= =?UTF-8?q?=E7=8E=AF=E5=A2=83?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../strategy/example/RLStrategy.java | 122 +++++++++++------- python-app/buffer.py | 0 python-app/env.py | 7 +- python-app/model.py | 29 +++++ python-app/models/ppo.py | 69 ++++++++++ python-app/ppo_cartpole.zip | Bin 0 -> 138133 bytes python-app/{app.py => server.py} | 3 + 7 files changed, 177 insertions(+), 53 deletions(-) create mode 100644 python-app/buffer.py create mode 100644 python-app/model.py create mode 100644 python-app/models/ppo.py create mode 100644 python-app/ppo_cartpole.zip rename python-app/{app.py => server.py} (78%) diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index 4ed69465..62b84795 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -44,10 +44,16 @@ public class RLStrategy extends AbstractStrategy{ private InitParams params; + private boolean isTrain; + private String getActionUrl = "http://localhost:5001/get-action"; private CloseableHttpClient httpClient = HttpClients.createDefault(); + private float lastReward = 0; + + private float beginTotalAsset = 100000; + @Override public void onTick(TickField tick) { log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", @@ -66,6 +72,7 @@ public class RLStrategy extends AbstractStrategy{ jsonData.put("high_price", bar.getHighPrice()); jsonData.put("low_price", bar.getLowPrice()); jsonData.put("close_price", bar.getClosePrice()); + jsonData.put("last_reward", lastReward); String jsonContent = jsonData.toString(); HttpPost httpPost = new HttpPost(getActionUrl); @@ -75,66 +82,81 @@ public class RLStrategy extends AbstractStrategy{ httpPost.setEntity(entity); CloseableHttpResponse response = httpClient.execute(httpPost); HttpEntity responseEntity = response.getEntity(); + if (responseEntity != null) { String jsonResponse = EntityUtils.toString(responseEntity); JSONObject jsonObject = JSON.parseObject(jsonResponse); Integer actionID = jsonObject.getInteger("action"); // 1: 买;0: 持仓;-1: 卖 log.info("actionID: {}", actionID); - switch (ctx.getState()) { - case EMPTY -> { - if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("多开"); - } else if (actionID == -1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("空开"); - } - } - case HOLDING_LONG -> { - if (actionID == -1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("平多"); - } - } - case HOLDING_SHORT -> { - if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("平空"); - } - } - default -> { - log.info("当前状态:{},不交易", ctx.getState()); - } - } + + // 根据actionID执行交易 + executeTrade(bar, actionID); + + // 记录reward + lastReward = getReward(bar, actionID); + } } catch (ParseException | IOException e) { e.printStackTrace(); } } + + private void executeTrade(BarField bar, int actionID) { + switch (ctx.getState()) { + case EMPTY -> { + if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("多开"); + } else if (actionID == -1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("空开"); + } + } + case HOLDING_LONG -> { + if (actionID == -1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("平多"); + } + } + case HOLDING_SHORT -> { + if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("平空"); + } + } + default -> { + log.info("当前状态:{},不交易", ctx.getState()); + } + } + } + + private int getReward(BarField bar, int actionID){ + return 0; + } /***************** 以下如果看不懂,基本可以照搬 *************************/ @Override diff --git a/python-app/buffer.py b/python-app/buffer.py new file mode 100644 index 00000000..e69de29b diff --git a/python-app/env.py b/python-app/env.py index cbdc8a61..be4baf85 100644 --- a/python-app/env.py +++ b/python-app/env.py @@ -1,15 +1,16 @@ import math -import gym +import gymnasium as gym +from gymnasium import Space import numpy as np class TradingEnv(gym.Env): - def __init__( self, + def __init__(self, trading_fee_rate=0.0001, ): self.current_hold = 0 self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) - self.action_space = spaces.Discrete(3, dtype=np.float32) + self.action_space = Space.Discrete(3, dtype=np.float32) self.state = self._initiate_state() diff --git a/python-app/model.py b/python-app/model.py new file mode 100644 index 00000000..6fc9bda7 --- /dev/null +++ b/python-app/model.py @@ -0,0 +1,29 @@ +import gymnasium as gym + +from stable_baselines3 import PPO +from stable_baselines3.common.env_util import make_vec_env +from stable_baselines3.common.buffers import RolloutBuffer + +# Parallel environments +vec_env = make_vec_env("CartPole-v1") + +model = PPO("MlpPolicy", None, verbose=1) +rollout_buffer = RolloutBuffer(buffer_size=1000, observation_space=vec_env.observation_space, action_space=vec_env.action_space) + + +model.collect_rollouts( vec_env, + callback=None, + rollout_buffer=rollout_buffer, + n_rollout_steps=1000) +model.train(total_timesteps=25000) +model.save("ppo_cartpole") + +del model # remove to demonstrate saving and loading + +model = PPO.load("ppo_cartpole") + +obs = vec_env.reset() +while True: + action, _states = model.predict(obs) + obs, rewards, dones, info = vec_env.step(action) + # vec_env.render("human") \ No newline at end of file diff --git a/python-app/models/ppo.py b/python-app/models/ppo.py new file mode 100644 index 00000000..219f2df9 --- /dev/null +++ b/python-app/models/ppo.py @@ -0,0 +1,69 @@ +import warnings +from typing import Any, ClassVar, Dict, Optional, Type, TypeVar, Union +import torch +import numpy as np +from gymnasium import spaces +from torch.nn import functional as F + +from stable_baselines3.common.base_class import BaseAlgorithm +from stable_baselines3.common.on_policy_algorithm import OnPolicyAlgorithm +from stable_baselines3.common.policies import ActorCriticCnnPolicy, ActorCriticPolicy, BasePolicy, MultiInputActorCriticPolicy +from stable_baselines3.common.type_aliases import GymEnv, MaybeCallback, Schedule +from stable_baselines3.common.utils import get_device, explained_variance, get_schedule_fn +from stable_baselines3.ppo.ppo import PPO +from stable_baselines3.common.buffers import RolloutBuffer + +class ModifiedPPO(BaseAlgorithm): + policy_aliases: ClassVar[Dict[str, Type[BasePolicy]]] = { + "MlpPolicy": ActorCriticPolicy, + "CnnPolicy": ActorCriticCnnPolicy, + "MultiInputPolicy": MultiInputActorCriticPolicy, + } + + class __init__(): + def __init__( + self, + policy: Union[str, Type[ActorCriticPolicy]], + learning_rate: Union[float, Schedule] = 3e-4, + n_steps: int = 2048, + batch_size: int = 64, + n_epochs: int = 10, + gamma: float = 0.99, + gae_lambda: float = 0.95, + clip_range: Union[float, Schedule] = 0.2, + clip_range_vf: Union[None, float, Schedule] = None, + normalize_advantage: bool = True, + ent_coef: float = 0.0, + vf_coef: float = 0.5, + max_grad_norm: float = 0.5, + use_sde: bool = False, + sde_sample_freq: int = -1, + target_kl: Optional[float] = None, + stats_window_size: int = 100, + tensorboard_log: Optional[str] = None, + policy_kwargs: Optional[Dict[str, Any]] = None, + verbose: int = 0, + seed: Optional[int] = None, + device: Union[torch.device, str] = "auto", + _init_setup_model: bool = True, + ): + super(ModifiedPPO, self).__init__() + + if normalize_advantage: + assert batch_size > 1, "`batch_size` must be greater than 1. See https://github.com/DLR-RM/stable-baselines3/issues/440" + + self.gamma = gamma + self.gae_lambda = gae_lambda + self.ent_coef = ent_coef + self.vf_coef = vf_coef + self.max_grad_norm = max_grad_norm + self.batch_size = batch_size + self.n_epochs = n_epochs + self.clip_range = clip_range + self.clip_range_vf = clip_range_vf + self.normalize_advantage = normalize_advantage + self.target_kl = target_kl + self._stats_window_size = stats_window_size + self.tensorboard_log = tensorboard_log + self.seed = seed + self.policy_kwargs = {} if policy_kwargs is None else policy_kwargs diff --git a/python-app/ppo_cartpole.zip b/python-app/ppo_cartpole.zip new file mode 100644 index 0000000000000000000000000000000000000000..b24e5ee498e9fefa7ba8ee83aaa91a1431abd0cc GIT binary patch literal 138133 zcmeFZcUY5I*EfnN7DT|_F`{CjCUnT&n9zHNfCWMlNFY6-DmLt0Q4xFZI`#tDD`T(d z*vH;`*RhO_dhUdvH;&KDbI$vI|D5Z~TruR{zrFfid+m~mi)`4ajhW%aAJaY6KY2z~ zfV-KQ;oXROCgf}RLo6B8%U-FFN(99j0x4gkvG-%tJ~g)ZX^WL2KkAu1+t|wJ&Ce3J zaJYfdA}zl+ws$fTsD)}oY6)K|DG>>c9dbCSDY1nd(mGKDZ-D$2+(h^o=@v#7tb_!^N^A{S}gT?7i5Od)qM>M0Rv>UR|? z1hxGJ$_krCzJ`&d(25zg_G9qn zLPh~!nlEA~)gqxppp_`(eO+p)CTm1OMpiL{!wPg_#KpxL!CJA1A(iBbG!&>7=BMPV z`7(wgi!x>b-#{QkqvQ)jevH`fj~K>B^*T^8(y$!kx1YeI>I{uQEHaqNj}ax}tK|}T z4nxh?iWqgz8GQtbd?_WXh#^qODO1X|ee1E3i?kVhwLt90NTS5oC`AHEwnSi*m7&OH z7bN zjNl@rR6*H>GOUR~Ju*^7PKHJ+Gzk=5%g^M0L)aLdtH@y(Oeo~5g$$vnK=OBKvh$@< z1D(H#(?_0>E#hnQ)gld}h#}9Yb+M)|!x$nWtw^n@mB(PwI))S>N_CA^#1|Tzp^!_9 z88kvpeHn#fk({!b!S6YVLBaJ@GFV1LX-zqUidRNvrtwRkzL}ZdJVK{#Y&W)2ZV<^e zl&Ie&;!{zep?pw4#mL_*Km}PgrH4|a?(4z`*HWWOswmVLyqPBwDJdgTnM5w2Q_E6N zgi1teg>m3e?~2vh zhsqcEhG?LY(2t&|FG-#2DSv1UdMMPj>DiAFQWq58T1=zhUkT(D^3^#SKSrdem>P{j z2K6mpMwyWoN0bMY)Ffb_Xo%lBDHz{))n}p+^VOnnVftNGKSp>qBT1c4+5YEb7?f>{ zoehabTPUJp(g6G~6Ng-(mKkT742g`NBcfEI4dri*jM_%i*rj=fA(RwIgob#b5;Duv z)5VR^#~`fXt5B59&zJs?@)Sy~L`F?)-+Yin$@=Y~$^0}1nVDL#i?Q8>Bjn4d;q#qx zy#e=)Mn;`)I6@&cXpAW=??*S$IEab_(tM)|2D3@&nVd3teJ6fnQp>vjjRG%r8A1SVKg+wFzHzqXb4@9%Q>l4k$%9lum88WHzdrW}yz$!FImZ;X@L z`7A>y(P%RaNjyVJO}}#Ozp?tKzCW;K`TW4vRF?fK3lr`Ka_-Ffd0mwF!oDatSpHinM+D*2_WEih|1HN~uu>s;j`o@K1(eeL@w&xgr5o zAJEc{z>RMhMaG3kY3=&MzCfhTQW(cS)AXcvCNZT|it>;;s61bmL1l9hRU;`4YP++% zy?jiaGPDXUUs|u3<>}_;R@YpwZw6mW)opyWA!6$g8j;8_0_9XqXX;~$^1AdyYccjU z@}hb$y?ot0J-xkIzV1|x@bX}~d6@{*<@O9im2P0=LJ8z%#)eL<9ZqvaROO#ewI8%o6d_+ zrcn#HK&G!uAoJCx$x~$MvXo-O!Ywi)y{PkXPoP(9aGa78&P*zHWd%wc1H&SH z7aDrY5+FcwDK0cP=MF788*eAqf{HCoAI>iG{JzoTTF9 zq&&~q!~$39zkb-&T3Do%XcR(fO<@Rz z|7~LnX)Eae_r^{O{%&o$MCGpGp!`wW$`Vs8;8?k)9#Q zSF5RsBSWcHQ;go?rp4OQMz zaOStcE>co8Pqu=Z)U&fiYO3iUhmb%al~Rd{O4Aw_p-7c4`uAbv!O@tU6Br%HqV_;S zi==7p3Cb*%X9;E5ko3@$B4KK3a-L_rGLe-SYOr!-7%MrFvbsQ-5EdU2^Q}K8wKzG^ zjTOz|B_=1haa<#P661m+Wm!TVg%8aMO>pCe<(SZXjxZ{Ul@o5j#mL;VIgthKG+YoJ z7h%H1ilR9oaS|2{_bsvv^e7%idPy9KJ5QDF`W?q9HnHUxaKW-#Trx||3zGR1e8+Kf z6g2t7skOLNA3iTKGA)6I6VT-onCS7MrFm%zj^aCx<4WfnX3`@qEVaZVImU;E^Q7ZK zO?=Z!Vx$tTBIP@dE2iTlCVd6LS)TdnNfH_^f-YaQiLWpvM;w`);zq+I)MZhFT@p-u zvpI>W>E68J?>G*V&NrkEm+GF#cMqrA*{vSVB%eg36!6@OF+2q``8$rAO2?%dGZN| z_N3(@u9D8T*u>XWBH<(pu@S*oDU~LK;tW|OMnJ{s7-t$Vz{wsX(hQdoPs{y3Ty2g63JAHOGLax8ZMA7 zUxbNov`b=3 zkv@X_2qrzB%IJKxCcdd&dFlKV7F~~@#Z?F|Ehj-E%%jo!**wh+Nn^@|)TUr6O^+

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z7Z-#ZZmTn8M&Yq(|$(aq~1o^-kg%@-$_1d6nZgDUgOTrE0Nz8 zojDnBBSegh;nr4ebRe15>IsB4q4~};b4T%~#MZTL$H%fo#&zUM8gVN=F6UL^MS;s{ zqp*r&qWx6=D+m$8)8Lh@Y>9br71@-UD4B76Ck_WnIJJm1U1*|Z%fiA6m(6KvT76i_ u!y3#IttDNyyx{7%O4{i?AoakUyHZaL*8?)JH3DqNhBO>C`v&|PNB;o_W)9r| literal 0 HcmV?d00001 diff --git a/python-app/app.py b/python-app/server.py similarity index 78% rename from python-app/app.py rename to python-app/server.py index 64bd267e..b70d4e95 100644 --- a/python-app/app.py +++ b/python-app/server.py @@ -4,8 +4,11 @@ from flask import Flask, request, jsonify app = Flask(__name__) + @app.route('/get-action', methods=['POST']) def get_action(): + data = request.get_json() + print(data) return jsonify({"action": random.choice([-1, 0, 1])}) app.run(port=5001) -- Gitee From 85c1d5cca1825b1112f72e6e2c026d7f834b7bee Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Wed, 6 Sep 2023 16:32:44 +0800 Subject: [PATCH 08/45] =?UTF-8?q?=E5=A2=9E=E5=8A=A0RL=E6=8E=A8=E7=90=86?= =?UTF-8?q?=E4=BB=A3=E7=A0=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .gitignore | 4 +- .../strategy/example/RLStrategy.java | 57 +++++++++++---- python-app/buffer.py | 36 ++++++++++ python-app/env.py | 31 ++++++--- python-app/model.py | 30 ++------ python-app/models/ppo.py | 69 ------------------- python-app/server.py | 34 +++++++-- python-app/test1.py | 9 +++ python-app/test2.py | 9 +++ 9 files changed, 159 insertions(+), 120 deletions(-) delete mode 100644 python-app/models/ppo.py create mode 100644 python-app/test1.py create mode 100644 python-app/test2.py diff --git a/.gitignore b/.gitignore index 247f6e06..81046ffe 100644 --- a/.gitignore +++ b/.gitignore @@ -39,4 +39,6 @@ build/ .vscode/ /pom.xml.versionsBackup /northstar-dist/ -/.metadata/ \ No newline at end of file +/.metadata/ + +__pycache__/ \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index 62b84795..76277e00 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -46,14 +46,45 @@ public class RLStrategy extends AbstractStrategy{ private boolean isTrain; - private String getActionUrl = "http://localhost:5001/get-action"; + private String getActionUrl = "http://localhost:5001/get-action"; + private String initInfoUrl = "http://localhost:5001/init-info"; + private CloseableHttpClient httpClient = HttpClients.createDefault(); private float lastReward = 0; private float beginTotalAsset = 100000; + // public RLStrategy() { + // try { + // JSONObject jsonData = new JSONObject(); + // jsonData.put("is_train", isTrain); + // jsonData.put("agent_name", params.agentName); + + // String jsonContent = jsonData.toString(); + // HttpPost httpPost = new HttpPost(initInfoUrl); + // StringEntity entity = new StringEntity(jsonContent); + // httpPost.setEntity(entity); + // CloseableHttpResponse response = httpClient.execute(httpPost); + // HttpEntity responseEntity = response.getEntity(); + + // if (responseEntity != null) { + // String jsonResponse = EntityUtils.toString(responseEntity); + // JSONObject jsonObject = JSON.parseObject(jsonResponse); + // Boolean success = jsonObject.getBoolean("success"); + + // if (success) { + // log.info("初始化成功"); + // } else { + // log.error(jsonObject.getString("message")); + // } + // } + // } catch (ParseException | IOException e) { + // e.printStackTrace(); + // } + // } + @Override public void onTick(TickField tick) { log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", @@ -66,18 +97,18 @@ public class RLStrategy extends AbstractStrategy{ log.debug("策略每分钟触发"); log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); - - JSONObject jsonData = new JSONObject(); - jsonData.put("open_price", bar.getOpenPrice()); - jsonData.put("high_price", bar.getHighPrice()); - jsonData.put("low_price", bar.getLowPrice()); - jsonData.put("close_price", bar.getClosePrice()); - jsonData.put("last_reward", lastReward); - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(getActionUrl); try { + JSONObject jsonData = new JSONObject(); + jsonData.put("open_price", bar.getOpenPrice()); + jsonData.put("high_price", bar.getHighPrice()); + jsonData.put("low_price", bar.getLowPrice()); + jsonData.put("close_price", bar.getClosePrice()); + jsonData.put("last_reward", lastReward); + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(getActionUrl); + httpPost.setHeader("Content-Type", "application/json"); StringEntity entity = new StringEntity(jsonContent); httpPost.setEntity(entity); CloseableHttpResponse response = httpClient.execute(httpPost); @@ -94,7 +125,6 @@ public class RLStrategy extends AbstractStrategy{ // 记录reward lastReward = getReward(bar, actionID); - } } catch (ParseException | IOException e) { e.printStackTrace(); @@ -171,6 +201,9 @@ public class RLStrategy extends AbstractStrategy{ public static class InitParams extends DynamicParams { @Setting(label="指标合约", order=0) - private String indicatorSymbol; + private String indicatorSymbol; + + @Setting(label="算法名称", order=1) + private String agentName; } } diff --git a/python-app/buffer.py b/python-app/buffer.py index e69de29b..e21a5cc8 100644 --- a/python-app/buffer.py +++ b/python-app/buffer.py @@ -0,0 +1,36 @@ +import numpy as np +import gymnasium as gym +from gymnasium import spaces +from stable_baselines3.common.buffers import RolloutBuffer + +class ModifiedRolloutBuffer(RolloutBuffer): + def add( + self, + obs: np.ndarray, + action: np.ndarray, + reward: np.ndarray, + episode_start: np.ndarray, + value: np.ndarray, + log_prob: np.ndarray, + ) -> None: + if len(log_prob.shape) == 0: + # Reshape 0-d tensor to avoid error + log_prob = log_prob.reshape(-1, 1) + + # Reshape needed when using multiple envs with discrete observations + # as numpy cannot broadcast (n_discrete,) to (n_discrete, 1) + if isinstance(self.observation_space, spaces.Discrete): + obs = obs.reshape((self.n_envs, *self.obs_shape)) + + # Reshape to handle multi-dim and discrete action spaces, see GH #970 #1392 + action = action.reshape((self.n_envs, self.action_dim)) + + self.observations[self.pos] = np.array(obs).copy() + self.actions[self.pos] = np.array(action).copy() + self.rewards[self.pos] = np.array(reward).copy() + self.episode_starts[self.pos] = np.array(episode_start).copy() + self.values[self.pos] = value.clone().cpu().numpy().flatten() + self.log_probs[self.pos] = log_prob.clone().cpu().numpy() + self.pos += 1 + if self.pos == self.buffer_size: + self.full = True \ No newline at end of file diff --git a/python-app/env.py b/python-app/env.py index be4baf85..f568e6a3 100644 --- a/python-app/env.py +++ b/python-app/env.py @@ -5,18 +5,20 @@ import numpy as np class TradingEnv(gym.Env): def __init__(self, - trading_fee_rate=0.0001, - + ): - self.current_hold = 0 self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) - self.action_space = Space.Discrete(3, dtype=np.float32) + self.action_space = gym.spaces.Discrete(3) self.state = self._initiate_state() - - self.trading_fee_rate = trading_fee_rate - - + + def _initiate_state(self): + return [ + 0, # open price + 0, # high price + 0, # low price + 0, # closed price + ] def reset(self): self.state = self._initiate_state() @@ -24,10 +26,17 @@ class TradingEnv(gym.Env): def render(self, mode="human", close=False): return self.state + def update_data(self, data): + self.state = [ + data['open_price'], + data['high_price'], + data['low_price'], + data['close_price'] + ] + self.last_reward = data['last_reward'] + def step(self, action): - self.step += 1 - - state = self.get_price(self.step) + return self.state, self.last_reward, False, {} \ No newline at end of file diff --git a/python-app/model.py b/python-app/model.py index 6fc9bda7..28a8ea8d 100644 --- a/python-app/model.py +++ b/python-app/model.py @@ -1,29 +1,13 @@ import gymnasium as gym +import numpy as np from stable_baselines3 import PPO from stable_baselines3.common.env_util import make_vec_env from stable_baselines3.common.buffers import RolloutBuffer -# Parallel environments -vec_env = make_vec_env("CartPole-v1") - -model = PPO("MlpPolicy", None, verbose=1) -rollout_buffer = RolloutBuffer(buffer_size=1000, observation_space=vec_env.observation_space, action_space=vec_env.action_space) - - -model.collect_rollouts( vec_env, - callback=None, - rollout_buffer=rollout_buffer, - n_rollout_steps=1000) -model.train(total_timesteps=25000) -model.save("ppo_cartpole") - -del model # remove to demonstrate saving and loading - -model = PPO.load("ppo_cartpole") - -obs = vec_env.reset() -while True: - action, _states = model.predict(obs) - obs, rewards, dones, info = vec_env.step(action) - # vec_env.render("human") \ No newline at end of file +model = PPO( + policy="MlpPolicy", + env=None +) +model.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) +model.action_space = gym.Space.Discrete(3, dtype=np.float32) diff --git a/python-app/models/ppo.py b/python-app/models/ppo.py deleted file mode 100644 index 219f2df9..00000000 --- a/python-app/models/ppo.py +++ /dev/null @@ -1,69 +0,0 @@ -import warnings -from typing import Any, ClassVar, Dict, Optional, Type, TypeVar, Union -import torch -import numpy as np -from gymnasium import spaces -from torch.nn import functional as F - -from stable_baselines3.common.base_class import BaseAlgorithm -from stable_baselines3.common.on_policy_algorithm import OnPolicyAlgorithm -from stable_baselines3.common.policies import ActorCriticCnnPolicy, ActorCriticPolicy, BasePolicy, MultiInputActorCriticPolicy -from stable_baselines3.common.type_aliases import GymEnv, MaybeCallback, Schedule -from stable_baselines3.common.utils import get_device, explained_variance, get_schedule_fn -from stable_baselines3.ppo.ppo import PPO -from stable_baselines3.common.buffers import RolloutBuffer - -class ModifiedPPO(BaseAlgorithm): - policy_aliases: ClassVar[Dict[str, Type[BasePolicy]]] = { - "MlpPolicy": ActorCriticPolicy, - "CnnPolicy": ActorCriticCnnPolicy, - "MultiInputPolicy": MultiInputActorCriticPolicy, - } - - class __init__(): - def __init__( - self, - policy: Union[str, Type[ActorCriticPolicy]], - learning_rate: Union[float, Schedule] = 3e-4, - n_steps: int = 2048, - batch_size: int = 64, - n_epochs: int = 10, - gamma: float = 0.99, - gae_lambda: float = 0.95, - clip_range: Union[float, Schedule] = 0.2, - clip_range_vf: Union[None, float, Schedule] = None, - normalize_advantage: bool = True, - ent_coef: float = 0.0, - vf_coef: float = 0.5, - max_grad_norm: float = 0.5, - use_sde: bool = False, - sde_sample_freq: int = -1, - target_kl: Optional[float] = None, - stats_window_size: int = 100, - tensorboard_log: Optional[str] = None, - policy_kwargs: Optional[Dict[str, Any]] = None, - verbose: int = 0, - seed: Optional[int] = None, - device: Union[torch.device, str] = "auto", - _init_setup_model: bool = True, - ): - super(ModifiedPPO, self).__init__() - - if normalize_advantage: - assert batch_size > 1, "`batch_size` must be greater than 1. See https://github.com/DLR-RM/stable-baselines3/issues/440" - - self.gamma = gamma - self.gae_lambda = gae_lambda - self.ent_coef = ent_coef - self.vf_coef = vf_coef - self.max_grad_norm = max_grad_norm - self.batch_size = batch_size - self.n_epochs = n_epochs - self.clip_range = clip_range - self.clip_range_vf = clip_range_vf - self.normalize_advantage = normalize_advantage - self.target_kl = target_kl - self._stats_window_size = stats_window_size - self.tensorboard_log = tensorboard_log - self.seed = seed - self.policy_kwargs = {} if policy_kwargs is None else policy_kwargs diff --git a/python-app/server.py b/python-app/server.py index b70d4e95..f6634024 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -1,14 +1,40 @@ +import time import random +import numpy as np +import gymnasium as gym from flask import Flask, request, jsonify - +from stable_baselines3.common.buffers import RolloutBuffer +from stable_baselines3 import PPO +from env import TradingEnv app = Flask(__name__) +env = TradingEnv() +model = PPO('MlpPolicy', env, verbose=1) +obs = env.reset() + +last_action = [0] + +@app.route('/init-info', methods=['POST']) +def init_info(): + data = request.get_json() + is_train = data['is_train'] + agent_name = data['agent_name'] + return jsonify({"success": True}) + @app.route('/get-action', methods=['POST']) def get_action(): + global last_action + start_time = time.time() data = request.get_json() - print(data) - return jsonify({"action": random.choice([-1, 0, 1])}) + env.update_data(data) + obs, rewards, dones, info = env.step(last_action) + action, _states = model.predict(obs) + last_action = action + print(f"action type: {type(action)}") + end_time = time.time() + print(f"get_action time: {end_time - start_time}, data: {data}, obs: {obs}, rewards: {rewards}, action: {action}") + return jsonify({"action": int(action)}) -app.run(port=5001) +app.run(port=5001) \ No newline at end of file diff --git a/python-app/test1.py b/python-app/test1.py new file mode 100644 index 00000000..a3649b70 --- /dev/null +++ b/python-app/test1.py @@ -0,0 +1,9 @@ +class Test: + def __init__(self): + self.a = 1 + + def hello(self): + while True: + if self.a == 2: + print("hi!") + break diff --git a/python-app/test2.py b/python-app/test2.py new file mode 100644 index 00000000..8140e62f --- /dev/null +++ b/python-app/test2.py @@ -0,0 +1,9 @@ +def haha(): + while True: + if a == True: + print(1) + return + +a = False +haha() +a = T \ No newline at end of file -- Gitee From c0e918b43b2090f4bdee549ecbc1871e817dc873 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Wed, 6 Sep 2023 16:35:40 +0800 Subject: [PATCH 09/45] =?UTF-8?q?=E5=A2=9E=E5=8A=A0RL=E6=8E=A8=E7=90=86?= =?UTF-8?q?=E4=BB=A3=E7=A0=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- python-app/buffer.py | 36 ------------------------------------ python-app/model.py | 13 ------------- python-app/test1.py | 9 --------- python-app/test2.py | 9 --------- 4 files changed, 67 deletions(-) delete mode 100644 python-app/buffer.py delete mode 100644 python-app/model.py delete mode 100644 python-app/test1.py delete mode 100644 python-app/test2.py diff --git a/python-app/buffer.py b/python-app/buffer.py deleted file mode 100644 index e21a5cc8..00000000 --- a/python-app/buffer.py +++ /dev/null @@ -1,36 +0,0 @@ -import numpy as np -import gymnasium as gym -from gymnasium import spaces -from stable_baselines3.common.buffers import RolloutBuffer - -class ModifiedRolloutBuffer(RolloutBuffer): - def add( - self, - obs: np.ndarray, - action: np.ndarray, - reward: np.ndarray, - episode_start: np.ndarray, - value: np.ndarray, - log_prob: np.ndarray, - ) -> None: - if len(log_prob.shape) == 0: - # Reshape 0-d tensor to avoid error - log_prob = log_prob.reshape(-1, 1) - - # Reshape needed when using multiple envs with discrete observations - # as numpy cannot broadcast (n_discrete,) to (n_discrete, 1) - if isinstance(self.observation_space, spaces.Discrete): - obs = obs.reshape((self.n_envs, *self.obs_shape)) - - # Reshape to handle multi-dim and discrete action spaces, see GH #970 #1392 - action = action.reshape((self.n_envs, self.action_dim)) - - self.observations[self.pos] = np.array(obs).copy() - self.actions[self.pos] = np.array(action).copy() - self.rewards[self.pos] = np.array(reward).copy() - self.episode_starts[self.pos] = np.array(episode_start).copy() - self.values[self.pos] = value.clone().cpu().numpy().flatten() - self.log_probs[self.pos] = log_prob.clone().cpu().numpy() - self.pos += 1 - if self.pos == self.buffer_size: - self.full = True \ No newline at end of file diff --git a/python-app/model.py b/python-app/model.py deleted file mode 100644 index 28a8ea8d..00000000 --- a/python-app/model.py +++ /dev/null @@ -1,13 +0,0 @@ -import gymnasium as gym -import numpy as np - -from stable_baselines3 import PPO -from stable_baselines3.common.env_util import make_vec_env -from stable_baselines3.common.buffers import RolloutBuffer - -model = PPO( - policy="MlpPolicy", - env=None -) -model.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) -model.action_space = gym.Space.Discrete(3, dtype=np.float32) diff --git a/python-app/test1.py b/python-app/test1.py deleted file mode 100644 index a3649b70..00000000 --- a/python-app/test1.py +++ /dev/null @@ -1,9 +0,0 @@ -class Test: - def __init__(self): - self.a = 1 - - def hello(self): - while True: - if self.a == 2: - print("hi!") - break diff --git a/python-app/test2.py b/python-app/test2.py deleted file mode 100644 index 8140e62f..00000000 --- a/python-app/test2.py +++ /dev/null @@ -1,9 +0,0 @@ -def haha(): - while True: - if a == True: - print(1) - return - -a = False -haha() -a = T \ No newline at end of file -- Gitee From 9c6d1ef966502da508c1b79289d1764a32eb4bb9 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Wed, 6 Sep 2023 17:58:33 +0800 Subject: [PATCH 10/45] =?UTF-8?q?=E4=BF=AE=E6=94=B9=E5=90=84actionID?= =?UTF-8?q?=E5=AF=B9=E5=BA=94=E6=93=8D=E4=BD=9C?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../strategy/example/RLStrategy.java | 29 ++++++++++++++----- python-app/env.py | 5 +--- python-app/server.py | 1 + 3 files changed, 23 insertions(+), 12 deletions(-) diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index 76277e00..92d75e57 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -117,7 +117,7 @@ public class RLStrategy extends AbstractStrategy{ if (responseEntity != null) { String jsonResponse = EntityUtils.toString(responseEntity); JSONObject jsonObject = JSON.parseObject(jsonResponse); - Integer actionID = jsonObject.getInteger("action"); // 1: 买;0: 持仓;-1: 卖 + Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 log.info("actionID: {}", actionID); // 根据actionID执行交易 @@ -132,9 +132,12 @@ public class RLStrategy extends AbstractStrategy{ } private void executeTrade(BarField bar, int actionID) { + log.info("execute trade..."); switch (ctx.getState()) { case EMPTY -> { - if (actionID == 1) { + if (actionID == 0) { + log.info("actionID=0, EMPTY, 持仓"); + } else if (actionID == 1) { ctx.submitOrderReq(TradeIntent.builder() .contract(ctx.getContract(bar.getUnifiedSymbol())) .operation(SignalOperation.BUY_OPEN) @@ -142,8 +145,8 @@ public class RLStrategy extends AbstractStrategy{ .volume(1) .timeout(5000) .build()); - log.info("多开"); - } else if (actionID == -1) { + log.info("actionID=1, EMPTY, 多开"); + } else if (actionID == 2) { ctx.submitOrderReq(TradeIntent.builder() .contract(ctx.getContract(bar.getUnifiedSymbol())) .operation(SignalOperation.SELL_OPEN) @@ -155,7 +158,11 @@ public class RLStrategy extends AbstractStrategy{ } } case HOLDING_LONG -> { - if (actionID == -1) { + if (actionID == 0) { + log.info("actionID=0, HOLDING_LONG, 持仓"); + } else if (actionID == 1) { + log.info("actionID=1, HOLDING_LONG, 持仓"); + } else if (actionID == 2) { ctx.submitOrderReq(TradeIntent.builder() .contract(ctx.getContract(bar.getUnifiedSymbol())) .operation(SignalOperation.SELL_CLOSE) @@ -163,11 +170,13 @@ public class RLStrategy extends AbstractStrategy{ .volume(1) .timeout(5000) .build()); - log.info("平多"); + log.info("actionID=2, HOLDING_LONG, 平多"); } } case HOLDING_SHORT -> { - if (actionID == 1) { + if (actionID == 0) { + log.info("actionID=0, HOLDING_SHORT, 持仓"); + } else if (actionID == 1) { ctx.submitOrderReq(TradeIntent.builder() .contract(ctx.getContract(bar.getUnifiedSymbol())) .operation(SignalOperation.BUY_CLOSE) @@ -175,7 +184,9 @@ public class RLStrategy extends AbstractStrategy{ .volume(1) .timeout(5000) .build()); - log.info("平空"); + log.info("actionID=1, HOLDING_SHORT, 平空"); + } else if (actionID == 2) { + log.info("actionID=2, HOLDING_SHORT, 持仓"); } } default -> { @@ -203,6 +214,8 @@ public class RLStrategy extends AbstractStrategy{ @Setting(label="指标合约", order=0) private String indicatorSymbol; + + @Setting(label="算法名称", order=1) private String agentName; } diff --git a/python-app/env.py b/python-app/env.py index f568e6a3..4e3f8660 100644 --- a/python-app/env.py +++ b/python-app/env.py @@ -9,7 +9,6 @@ class TradingEnv(gym.Env): ): self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) self.action_space = gym.spaces.Discrete(3) - self.state = self._initiate_state() def _initiate_state(self): @@ -37,6 +36,4 @@ class TradingEnv(gym.Env): def step(self, action): return self.state, self.last_reward, False, {} - - - \ No newline at end of file + diff --git a/python-app/server.py b/python-app/server.py index f6634024..3664525b 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -15,6 +15,7 @@ obs = env.reset() last_action = [0] + @app.route('/init-info', methods=['POST']) def init_info(): data = request.get_json() -- Gitee From 3f0a34cbad13bac0089c82b994a0f75bf29482de Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Thu, 7 Sep 2023 15:22:32 +0800 Subject: [PATCH 11/45] =?UTF-8?q?=E5=A2=9E=E5=8A=A0init=5Finfo=E6=96=B9?= =?UTF-8?q?=E6=B3=95?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../trainer/AbstractSerialTrainer.java | 2 +- .../strategy/example/RLStrategy.java | 98 +++++++++++-------- .../strategy/trainer/TestTrainer.java | 7 ++ python-app/server.py | 93 +++++++++++++----- 4 files changed, 132 insertions(+), 68 deletions(-) create mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java diff --git a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java index 69781314..e97cd95f 100644 --- a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java +++ b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java @@ -31,7 +31,7 @@ import lombok.extern.slf4j.Slf4j; * */ @Slf4j -public abstract class AbstractSerialTrainer extends AbstractTrainer implements RLAgentTrainingContext{ +public abstract class AbstractSerialTrainer extends AbstractTrainer{ protected AbstractSerialTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index 92d75e57..d51411c2 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -44,46 +44,17 @@ public class RLStrategy extends AbstractStrategy{ private InitParams params; - private boolean isTrain; + // private boolean isTrain; private String getActionUrl = "http://localhost:5001/get-action"; private String initInfoUrl = "http://localhost:5001/init-info"; + private CloseableHttpClient httpClient = HttpClients.createDefault(); private float lastReward = 0; - private float beginTotalAsset = 100000; - - // public RLStrategy() { - // try { - // JSONObject jsonData = new JSONObject(); - // jsonData.put("is_train", isTrain); - // jsonData.put("agent_name", params.agentName); - - // String jsonContent = jsonData.toString(); - // HttpPost httpPost = new HttpPost(initInfoUrl); - // StringEntity entity = new StringEntity(jsonContent); - // httpPost.setEntity(entity); - // CloseableHttpResponse response = httpClient.execute(httpPost); - // HttpEntity responseEntity = response.getEntity(); - - // if (responseEntity != null) { - // String jsonResponse = EntityUtils.toString(responseEntity); - // JSONObject jsonObject = JSON.parseObject(jsonResponse); - // Boolean success = jsonObject.getBoolean("success"); - - // if (success) { - // log.info("初始化成功"); - // } else { - // log.error(jsonObject.getString("message")); - // } - // } - // } catch (ParseException | IOException e) { - // e.printStackTrace(); - // } - // } @Override public void onTick(TickField tick) { @@ -95,12 +66,14 @@ public class RLStrategy extends AbstractStrategy{ @Override public void onMergedBar(BarField bar) { log.debug("策略每分钟触发"); - log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", - bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); - + log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", + bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); + + try { JSONObject jsonData = new JSONObject(); + jsonData.put("unified_symbol", bar.getUnifiedSymbol()); jsonData.put("open_price", bar.getOpenPrice()); jsonData.put("high_price", bar.getHighPrice()); jsonData.put("low_price", bar.getLowPrice()); @@ -117,14 +90,16 @@ public class RLStrategy extends AbstractStrategy{ if (responseEntity != null) { String jsonResponse = EntityUtils.toString(responseEntity); JSONObject jsonObject = JSON.parseObject(jsonResponse); - Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - log.info("actionID: {}", actionID); - - // 根据actionID执行交易 - executeTrade(bar, actionID); + + if (params.isTrain) { + Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 + log.info("actionID: {}", actionID); + executeTrade(bar, actionID); // 根据actionID执行交易 + lastReward = getReward(bar, actionID); // 记录reward + } else { + + } - // 记录reward - lastReward = getReward(bar, actionID); } } catch (ParseException | IOException e) { e.printStackTrace(); @@ -208,15 +183,52 @@ public class RLStrategy extends AbstractStrategy{ @Override public void initWithParams(DynamicParams params) { this.params = (InitParams) params; + + + // 将参数传给Python端 + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", this.params.indicatorSymbol); + jsonData.put("agent_name", this.params.agentName); + jsonData.put("is_train", this.params.isTrain); + jsonData.put("model_version", this.params.modelVersion); + + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + // if (responseEntity != null) { + // String jsonResponse = EntityUtils.toString(responseEntity); + // JSONObject jsonObject = JSON.parseObject(jsonResponse); + // Boolean success = jsonObject.getBoolean("success"); + + // if (success) { + // log.info("初始化成功"); + // } else { + // log.error(jsonObject.getString("message")); + // } + // } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + } public static class InitParams extends DynamicParams { @Setting(label="指标合约", order=0) private String indicatorSymbol; - - @Setting(label="算法名称", order=1) private String agentName; + + @Setting(label="是否训练", order=2) + private boolean isTrain; + + @Setting(label="模型版本", order=3) + private String modelVersion; } } diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java new file mode 100644 index 00000000..aaa21316 --- /dev/null +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java @@ -0,0 +1,7 @@ +package org.dromara.northstar.strategy.trainer; + + + +public class TestTrainer extends AbstractSerialTrainer { + +} diff --git a/python-app/server.py b/python-app/server.py index 3664525b..e77daf27 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -1,3 +1,4 @@ +import os import time import random import numpy as np @@ -9,33 +10,77 @@ from env import TradingEnv app = Flask(__name__) +AGENTS = { + "ppo": PPO +} + env = TradingEnv() -model = PPO('MlpPolicy', env, verbose=1) +model = PPO("MlpPolicy", env, verbose=1) obs = env.reset() last_action = [0] -@app.route('/init-info', methods=['POST']) -def init_info(): - data = request.get_json() - is_train = data['is_train'] - agent_name = data['agent_name'] - return jsonify({"success": True}) - - -@app.route('/get-action', methods=['POST']) -def get_action(): - global last_action - start_time = time.time() - data = request.get_json() - env.update_data(data) - obs, rewards, dones, info = env.step(last_action) - action, _states = model.predict(obs) - last_action = action - print(f"action type: {type(action)}") - end_time = time.time() - print(f"get_action time: {end_time - start_time}, data: {data}, obs: {obs}, rewards: {rewards}, action: {action}") - return jsonify({"action": int(action)}) - -app.run(port=5001) \ No newline at end of file +class Server: + def __init__(self) -> None: + self.agent_name = None + self.is_train = None + self.models = {} + + def get_model_id(self, indicator_symbol, model_version): + return f"{indicator_symbol}-{self.agent_name}-{model_version}" + + def load_model(self, indicator_symbol, model_version): + model = AGENTS[self.agent_name]("MlpPolicy") + model_id = self.get_model_id(indicator_symbol, model_version) + self.models[model_id] = model + + def load_model_from_file(self, indicator_symbol, model_version): + model_id = self.get_model_id(indicator_symbol, model_version) + model_path = f"models/{model_id}" + if os.exists(model_path): + model = AGENTS[self.agent_name]("MlpPolicy") + model.load(model_path) + self.models[model_id] = model + return True + else: + return False + + @app.route("/init-info", methods=["POST"]) + def init_info(self): + # load data from request + data = request.get_json() + print(f"init_info: {data}") + self.agent_name = data["agent_name"].lower() + self.is_train = data["is_train"] + indicator_symbol = data["indicator_symbol"] + model_version = data["model_version"] + + if self.is_train: + self.load_model(indicator_symbol, model_version) + return jsonify({"success": True}) + else: + if self.load_model_from_file(indicator_symbol, model_version): + return jsonify({"success": True}) + else: + return jsonify({"success": False}) + + + + + @app.route("/get-action", methods=["POST"]) + def get_action(): + global last_action + start_time = time.time() + data = request.get_json() + env.update_data(data) + obs, rewards, dones, info = env.step(last_action) + action, _states = model.predict(obs) + last_action = action + # print(f"action type: {type(action)}") + end_time = time.time() + # print(f"get_action time: {end_time - start_time}, data: {data}, obs: {obs}, rewards: {rewards}, action: {action}") + return jsonify({"action": int(action)}) + +if __name__ == "__main__": + app.run(port=5001) \ No newline at end of file -- Gitee From 4f34f1b282a8d22ed7951af5c8a71c5c06368671 Mon Sep 17 00:00:00 2001 From: YuRuiii <1754376900@qq.com> Date: Thu, 7 Sep 2023 18:38:07 +0800 Subject: [PATCH 12/45] =?UTF-8?q?=E5=A2=9E=E5=8A=A0RolloutBuffer?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- python-app/buffer.py | 44 +++++++++++++++++++++++++++++ python-app/server.py | 66 ++++++++++++++++++++++++++++++++------------ 2 files changed, 93 insertions(+), 17 deletions(-) create mode 100644 python-app/buffer.py diff --git a/python-app/buffer.py b/python-app/buffer.py new file mode 100644 index 00000000..6c325f8d --- /dev/null +++ b/python-app/buffer.py @@ -0,0 +1,44 @@ +import numpy as np +import torch as th +from gymnasium import spaces +from stable_baselines3.common.buffers import ReplayBuffer + +class TradingRolloutBuffer(ReplayBuffer): + def add( + self, + obs: np.ndarray, + action: np.ndarray, + last_reward: np.ndarray, + episode_start: np.ndarray, + value: th.Tensor, + log_prob: th.Tensor, + ) -> None: + """ + add current observation + """ + if len(log_prob.shape) == 0: + # Reshape 0-d tensor to avoid error + log_prob = log_prob.reshape(-1, 1) + + # Reshape needed when using multiple envs with discrete observations + # as numpy cannot broadcast (n_discrete,) to (n_discrete, 1) + if isinstance(self.observation_space, spaces.Discrete): + obs = obs.reshape((self.n_envs, *self.obs_shape)) + + # Reshape to handle multi-dim and discrete action spaces, see GH #970 #1392 + action = action.reshape((self.n_envs, self.action_dim)) + + if self.pos != 0: + self.rewards[self.pos-1] = np.array(last_reward).copy() + + if self.pos == self.buffer_size: + self.rewards[self.pos-1] = np.array(last_reward).copy() + self.full = True + return + + self.observations[self.pos] = np.array(obs).copy() + self.actions[self.pos] = np.array(action).copy() + self.episode_starts[self.pos] = np.array(episode_start).copy() + self.values[self.pos] = value.clone().cpu().numpy().flatten() + self.log_probs[self.pos] = log_prob.clone().cpu().numpy() + self.pos += 1 \ No newline at end of file diff --git a/python-app/server.py b/python-app/server.py index e77daf27..7a079936 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -2,10 +2,12 @@ import os import time import random import numpy as np +import torch as th import gymnasium as gym from flask import Flask, request, jsonify -from stable_baselines3.common.buffers import RolloutBuffer +from buffer import TradingRolloutBuffer from stable_baselines3 import PPO +from stable_baselines3.common.utils import obs_as_tensor from env import TradingEnv app = Flask(__name__) @@ -14,9 +16,9 @@ AGENTS = { "ppo": PPO } -env = TradingEnv() -model = PPO("MlpPolicy", env, verbose=1) -obs = env.reset() +# env = TradingEnv() +# model = PPO("MlpPolicy", env, verbose=1) +# obs = env.reset() last_action = [0] @@ -26,6 +28,13 @@ class Server: self.agent_name = None self.is_train = None self.models = {} + self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) + self.action_space = gym.spaces.Discrete(3) + self.rollout_buffer = TradingRolloutBuffer( + buffer_size=100000, + observation_space=self.observation_space, + action_space=self.action_space, + ) def get_model_id(self, indicator_symbol, model_version): return f"{indicator_symbol}-{self.agent_name}-{model_version}" @@ -33,7 +42,7 @@ class Server: def load_model(self, indicator_symbol, model_version): model = AGENTS[self.agent_name]("MlpPolicy") model_id = self.get_model_id(indicator_symbol, model_version) - self.models[model_id] = model + self.models[indicator_symbol] = model def load_model_from_file(self, indicator_symbol, model_version): model_id = self.get_model_id(indicator_symbol, model_version) @@ -41,7 +50,7 @@ class Server: if os.exists(model_path): model = AGENTS[self.agent_name]("MlpPolicy") model.load(model_path) - self.models[model_id] = model + self.models[indicator_symbol] = model return True else: return False @@ -56,6 +65,7 @@ class Server: indicator_symbol = data["indicator_symbol"] model_version = data["model_version"] + # if train, load model from scratch; else, load model from file if self.is_train: self.load_model(indicator_symbol, model_version) return jsonify({"success": True}) @@ -64,23 +74,45 @@ class Server: return jsonify({"success": True}) else: return jsonify({"success": False}) - - @app.route("/get-action", methods=["POST"]) - def get_action(): + def get_action(self): global last_action start_time = time.time() + + # load data from request data = request.get_json() - env.update_data(data) - obs, rewards, dones, info = env.step(last_action) - action, _states = model.predict(obs) - last_action = action - # print(f"action type: {type(action)}") - end_time = time.time() - # print(f"get_action time: {end_time - start_time}, data: {data}, obs: {obs}, rewards: {rewards}, action: {action}") - return jsonify({"action": int(action)}) + unified_symbol = data["unified_symbol"] + open_price = data["open_price"] + high_price = data["high_price"] + low_price = data["low_price"] + close_price = data["close_price"] + last_reward = data["last_reward"] + + model = self.models[unified_symbol] + state = [open_price, high_price, low_price, close_price] + + with th.no_grad(): + # Convert to pytorch tensor or to TensorDict + obs_tensor = obs_as_tensor(self._last_obs, self.device) + actions, values, log_probs = self.model.policy(obs_tensor) + actions = actions.cpu().numpy() + + self.rollout_buffer.add( + obs_tensor, + actions, + last_reward, + self._last_episode_starts, + values, + ) + + + # if self.is_train: + # self.save_to_buffer() + + + return jsonify({"action": int(np.argmax(actions))}) if __name__ == "__main__": app.run(port=5001) \ No newline at end of file -- Gitee From f3d524ef1d864a2f37573eca3360aca9425114f2 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 11 Sep 2023 22:31:25 +0800 Subject: [PATCH 13/45] add: java simulator --- .../strategy/example/RLStrategy.java | 101 ++++++++++-------- .../strategy/trainer/TestTrainer.java | 7 -- .../src/main/java/params/isTrain.java | 5 + python-app/java-simulator.py | 38 +++++++ python-app/main.py | 17 +++ python-app/server.py | 59 +++++----- 6 files changed, 143 insertions(+), 84 deletions(-) delete mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java create mode 100644 northstar-strategy-example/src/main/java/params/isTrain.java create mode 100644 python-app/java-simulator.py create mode 100644 python-app/main.py diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index d51411c2..5e62652d 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -55,6 +55,7 @@ public class RLStrategy extends AbstractStrategy{ private float lastReward = 0; + private boolean firstRun = true; @Override public void onTick(TickField tick) { @@ -68,9 +69,23 @@ public class RLStrategy extends AbstractStrategy{ log.debug("策略每分钟触发"); log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); - - + if (firstRun) { // 第一次运行,初始化信息 + firstRun = !initInfo(); + log.info("firstRun: {}", firstRun); + } else { + int actionID = getAction(bar); + executeTrade(bar, actionID); + float reward = getReward(bar, actionID); + log.info("actionID: {}, reward: {}", actionID, reward); + } + } + + private float getReward(BarField bar, Integer actionID) { + return 0; + } + + private int getAction(BarField bar) { try { JSONObject jsonData = new JSONObject(); jsonData.put("unified_symbol", bar.getUnifiedSymbol()); @@ -94,16 +109,51 @@ public class RLStrategy extends AbstractStrategy{ if (params.isTrain) { Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 log.info("actionID: {}", actionID); - executeTrade(bar, actionID); // 根据actionID执行交易 - lastReward = getReward(bar, actionID); // 记录reward + return actionID; + } + + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return 0; + } + + private boolean initInfo() { + log.info("init info..."); + // 将参数传给Python端 + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", this.params.indicatorSymbol); + jsonData.put("agent_name", this.params.agentName); + jsonData.put("is_train", this.params.isTrain); + jsonData.put("model_version", this.params.modelVersion); + + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + Boolean success = jsonObject.getBoolean("success"); + + if (success) { + log.info("初始化成功"); + return true; } else { - + log.error(jsonObject.getString("message")); + return false; } - } } catch (ParseException | IOException e) { e.printStackTrace(); } + return false; } private void executeTrade(BarField bar, int actionID) { @@ -169,10 +219,6 @@ public class RLStrategy extends AbstractStrategy{ } } } - - private int getReward(BarField bar, int actionID){ - return 0; - } /***************** 以下如果看不懂,基本可以照搬 *************************/ @Override @@ -183,39 +229,6 @@ public class RLStrategy extends AbstractStrategy{ @Override public void initWithParams(DynamicParams params) { this.params = (InitParams) params; - - - // 将参数传给Python端 - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", this.params.indicatorSymbol); - jsonData.put("agent_name", this.params.agentName); - jsonData.put("is_train", this.params.isTrain); - jsonData.put("model_version", this.params.modelVersion); - - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(initInfoUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - // if (responseEntity != null) { - // String jsonResponse = EntityUtils.toString(responseEntity); - // JSONObject jsonObject = JSON.parseObject(jsonResponse); - // Boolean success = jsonObject.getBoolean("success"); - - // if (success) { - // log.info("初始化成功"); - // } else { - // log.error(jsonObject.getString("message")); - // } - // } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - } public static class InitParams extends DynamicParams { @@ -231,4 +244,4 @@ public class RLStrategy extends AbstractStrategy{ @Setting(label="模型版本", order=3) private String modelVersion; } -} +} \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java deleted file mode 100644 index aaa21316..00000000 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/TestTrainer.java +++ /dev/null @@ -1,7 +0,0 @@ -package org.dromara.northstar.strategy.trainer; - - - -public class TestTrainer extends AbstractSerialTrainer { - -} diff --git a/northstar-strategy-example/src/main/java/params/isTrain.java b/northstar-strategy-example/src/main/java/params/isTrain.java new file mode 100644 index 00000000..aa76c4f5 --- /dev/null +++ b/northstar-strategy-example/src/main/java/params/isTrain.java @@ -0,0 +1,5 @@ +package params; + +public class isTrain { + +} diff --git a/python-app/java-simulator.py b/python-app/java-simulator.py new file mode 100644 index 00000000..9bc35331 --- /dev/null +++ b/python-app/java-simulator.py @@ -0,0 +1,38 @@ +from time import sleep +import requests + +def init_info(): + # send request to server + url = "http://localhost:5001/init-info" + data = { + "indicator_symbol": "rb0000@SHFE@FUTURES", + "agent_name": "ppo", + "is_train": True, + "model_version": 1 + } + post_response = requests.post(url, json=data) + print(post_response.json) + assert 0 + +def get_action(): + url = "http://localhost:5001/get-action" + data = { + "unified_symbol": "rb0000@SHFE@FUTURES", + "open_price": 100, + "high_price": 100, + "low_price": 100, + "close_price": 100, + "last_reward": 0 + } + post_response = requests.post(url, json=data) + print(post_response.json) + +def simulate(): + init_info() + sleep(1) + + for i in range(1000): + get_action() + sleep(1) + +simulate() \ No newline at end of file diff --git a/python-app/main.py b/python-app/main.py new file mode 100644 index 00000000..b76634fb --- /dev/null +++ b/python-app/main.py @@ -0,0 +1,17 @@ +from server import Server +from flask import Flask, request, jsonify + +app = Flask(__name__) +server = Server() + +@app.route("/init-info", methods=["POST"]) +def init_info(): + return server.init_info(request.json) + +@app.route("/get-action", methods=["POST"]) +def get_action(): + data = request.json + print(data) + return server.get_action(data) + +app.run(port=5001) \ No newline at end of file diff --git a/python-app/server.py b/python-app/server.py index 7a079936..417b3762 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -20,8 +20,6 @@ AGENTS = { # model = PPO("MlpPolicy", env, verbose=1) # obs = env.reset() -last_action = [0] - class Server: def __init__(self) -> None: @@ -31,40 +29,40 @@ class Server: self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) self.action_space = gym.spaces.Discrete(3) self.rollout_buffer = TradingRolloutBuffer( - buffer_size=100000, + buffer_size=100, observation_space=self.observation_space, action_space=self.action_space, ) + self.action = [0] def get_model_id(self, indicator_symbol, model_version): return f"{indicator_symbol}-{self.agent_name}-{model_version}" def load_model(self, indicator_symbol, model_version): - model = AGENTS[self.agent_name]("MlpPolicy") + model = AGENTS[self.agent_name]("MlpPolicy", None) model_id = self.get_model_id(indicator_symbol, model_version) self.models[indicator_symbol] = model def load_model_from_file(self, indicator_symbol, model_version): model_id = self.get_model_id(indicator_symbol, model_version) model_path = f"models/{model_id}" - if os.exists(model_path): + if os.path.exists(model_path): model = AGENTS[self.agent_name]("MlpPolicy") model.load(model_path) self.models[indicator_symbol] = model return True else: + print(f"Model {model_id} not found") + self.load_model(indicator_symbol, model_version) return False - - @app.route("/init-info", methods=["POST"]) - def init_info(self): + + def init_info(self, data): # load data from request - data = request.get_json() - print(f"init_info: {data}") self.agent_name = data["agent_name"].lower() self.is_train = data["is_train"] indicator_symbol = data["indicator_symbol"] model_version = data["model_version"] - + print(data) # if train, load model from scratch; else, load model from file if self.is_train: self.load_model(indicator_symbol, model_version) @@ -76,9 +74,7 @@ class Server: return jsonify({"success": False}) - @app.route("/get-action", methods=["POST"]) - def get_action(self): - global last_action + def get_action(self, data): start_time = time.time() # load data from request @@ -89,30 +85,27 @@ class Server: low_price = data["low_price"] close_price = data["close_price"] last_reward = data["last_reward"] - + print(self.models.keys()) model = self.models[unified_symbol] state = [open_price, high_price, low_price, close_price] with th.no_grad(): # Convert to pytorch tensor or to TensorDict - obs_tensor = obs_as_tensor(self._last_obs, self.device) - actions, values, log_probs = self.model.policy(obs_tensor) + obs_tensor = obs_as_tensor(state, self.device) + actions, values, log_probs = model.policy(obs_tensor) actions = actions.cpu().numpy() - self.rollout_buffer.add( - obs_tensor, - actions, - last_reward, - self._last_episode_starts, - values, - ) - - - # if self.is_train: - # self.save_to_buffer() + if self.is_train: + self.rollout_buffer.add( + obs_tensor, + actions, + last_reward, + self._last_episode_starts, + values, + ) - - return jsonify({"action": int(np.argmax(actions))}) - -if __name__ == "__main__": - app.run(port=5001) \ No newline at end of file + if self.rollout_buffer.full(): + model.rollout_buffer = self.rollout_buffer + model.train() + + return jsonify({"action": int(np.argmax(actions))}) \ No newline at end of file -- Gitee From e6428ef017fbb7256d02b0b70b04249bbbcd43de Mon Sep 17 00:00:00 2001 From: YuRuiii <1754376900@qq.com> Date: Tue, 12 Sep 2023 16:05:31 +0800 Subject: [PATCH 14/45] =?UTF-8?q?=E7=94=A8=E8=87=AA=E5=AE=9E=E7=8E=B0?= =?UTF-8?q?=E7=9A=84PPO=E6=9B=BF=E6=8D=A2stable=5Fbaseline=E7=9A=84PPO?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- img-906223649.pdf | Bin 0 -> 642218 bytes python-app/agents/ppo.py | 266 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z*&)rfikrMetwsOi66kd35=7$ERo8LfLRYm5^x3bdZsmG#zo@$T{(T;<8@jg@jl{uWWS>3`Ze%+zrXiU zKezqQpa0Tu;S0ssI2 literal 0 HcmV?d00001 diff --git a/python-app/agents/ppo.py b/python-app/agents/ppo.py new file mode 100644 index 00000000..dd40a1e8 --- /dev/null +++ b/python-app/agents/ppo.py @@ -0,0 +1,266 @@ +""" +Referenced the code from nikhilbarhate: https://github.com/nikhilbarhate99/PPO-PyTorch +""" + +import torch +import torch.nn as nn +from torch.distributions import MultivariateNormal +from torch.distributions import Categorical + +################################## set device ################################## +print("============================================================================================") +# set device to cpu or cuda +device = torch.device('cpu') +if(torch.cuda.is_available()): + device = torch.device('cuda:0') + torch.cuda.empty_cache() + print("Device set to : " + str(torch.cuda.get_device_name(device))) +else: + print("Device set to : cpu") +print("============================================================================================") + + +################################## PPO Policy ################################## +class RolloutBuffer: + def __init__(self): + self.actions = [] + self.states = [] + self.logprobs = [] + self.rewards = [] + self.state_values = [] + self.is_terminals = [] + + def clear(self): + del self.actions[:] + del self.states[:] + del self.logprobs[:] + del self.rewards[:] + del self.state_values[:] + del self.is_terminals[:] + + +class ActorCritic(nn.Module): + def __init__(self, state_dim, action_dim, has_continuous_action_space, action_std_init): + super(ActorCritic, self).__init__() + + self.has_continuous_action_space = has_continuous_action_space + + if has_continuous_action_space: + self.action_dim = action_dim + self.action_var = torch.full((action_dim,), action_std_init * action_std_init).to(device) + # actor + if has_continuous_action_space : + self.actor = nn.Sequential( + nn.Linear(state_dim, 64), + nn.Tanh(), + nn.Linear(64, 64), + nn.Tanh(), + nn.Linear(64, action_dim), + nn.Tanh() + ) + else: + self.actor = nn.Sequential( + nn.Linear(state_dim, 64), + nn.Tanh(), + nn.Linear(64, 64), + nn.Tanh(), + nn.Linear(64, action_dim), + nn.Softmax(dim=-1) + ) + # critic + self.critic = nn.Sequential( + nn.Linear(state_dim, 64), + nn.Tanh(), + nn.Linear(64, 64), + nn.Tanh(), + nn.Linear(64, 1) + ) + + def set_action_std(self, new_action_std): + if self.has_continuous_action_space: + self.action_var = torch.full((self.action_dim,), new_action_std * new_action_std).to(device) + else: + print("--------------------------------------------------------------------------------------------") + print("WARNING : Calling ActorCritic::set_action_std() on discrete action space policy") + print("--------------------------------------------------------------------------------------------") + + def forward(self): + raise NotImplementedError + + def act(self, state): + + if self.has_continuous_action_space: + action_mean = self.actor(state) + cov_mat = torch.diag(self.action_var).unsqueeze(dim=0) + dist = MultivariateNormal(action_mean, cov_mat) + else: + action_probs = self.actor(state) + dist = Categorical(action_probs) + + action = dist.sample() + action_logprob = dist.log_prob(action) + state_val = self.critic(state) + + return action.detach(), action_logprob.detach(), state_val.detach() + + def evaluate(self, state, action): + + if self.has_continuous_action_space: + action_mean = self.actor(state) + + action_var = self.action_var.expand_as(action_mean) + cov_mat = torch.diag_embed(action_var).to(device) + dist = MultivariateNormal(action_mean, cov_mat) + + # For Single Action Environments. + if self.action_dim == 1: + action = action.reshape(-1, self.action_dim) + else: + action_probs = self.actor(state) + dist = Categorical(action_probs) + action_logprobs = dist.log_prob(action) + dist_entropy = dist.entropy() + state_values = self.critic(state) + + return action_logprobs, state_values, dist_entropy + + +class PPO: + def __init__(self, state_dim, action_dim, lr_actor, lr_critic, gamma, K_epochs, eps_clip, has_continuous_action_space, action_std_init=0.6): + + self.has_continuous_action_space = has_continuous_action_space + + if has_continuous_action_space: + self.action_std = action_std_init + + self.gamma = gamma + self.eps_clip = eps_clip + self.K_epochs = K_epochs + + self.buffer = RolloutBuffer() + + self.policy = ActorCritic(state_dim, action_dim, has_continuous_action_space, action_std_init).to(device) + self.optimizer = torch.optim.Adam([ + {'params': self.policy.actor.parameters(), 'lr': lr_actor}, + {'params': self.policy.critic.parameters(), 'lr': lr_critic} + ]) + + self.policy_old = ActorCritic(state_dim, action_dim, has_continuous_action_space, action_std_init).to(device) + self.policy_old.load_state_dict(self.policy.state_dict()) + + self.MseLoss = nn.MSELoss() + + def set_action_std(self, new_action_std): + if self.has_continuous_action_space: + self.action_std = new_action_std + self.policy.set_action_std(new_action_std) + self.policy_old.set_action_std(new_action_std) + else: + print("--------------------------------------------------------------------------------------------") + print("WARNING : Calling PPO::set_action_std() on discrete action space policy") + print("--------------------------------------------------------------------------------------------") + + def decay_action_std(self, action_std_decay_rate, min_action_std): + print("--------------------------------------------------------------------------------------------") + if self.has_continuous_action_space: + self.action_std = self.action_std - action_std_decay_rate + self.action_std = round(self.action_std, 4) + if (self.action_std <= min_action_std): + self.action_std = min_action_std + print("setting actor output action_std to min_action_std : ", self.action_std) + else: + print("setting actor output action_std to : ", self.action_std) + self.set_action_std(self.action_std) + + else: + print("WARNING : Calling PPO::decay_action_std() on discrete action space policy") + print("--------------------------------------------------------------------------------------------") + + def select_action(self, state): + + if self.has_continuous_action_space: + with torch.no_grad(): + state = torch.FloatTensor(state).to(device) + action, action_logprob, state_val = self.policy_old.act(state) + + self.buffer.states.append(state) + self.buffer.actions.append(action) + self.buffer.logprobs.append(action_logprob) + self.buffer.state_values.append(state_val) + + return action.detach().cpu().numpy().flatten() + else: + with torch.no_grad(): + state = torch.FloatTensor(state).to(device) + action, action_logprob, state_val = self.policy_old.act(state) + + self.buffer.states.append(state) + self.buffer.actions.append(action) + self.buffer.logprobs.append(action_logprob) + self.buffer.state_values.append(state_val) + + return action.item() + + def update(self): + # Monte Carlo estimate of returns + rewards = [] + discounted_reward = 0 + for reward, is_terminal in zip(reversed(self.buffer.rewards), reversed(self.buffer.is_terminals)): + if is_terminal: + discounted_reward = 0 + discounted_reward = reward + (self.gamma * discounted_reward) + rewards.insert(0, discounted_reward) + + # Normalizing the rewards + rewards = torch.tensor(rewards, dtype=torch.float32).to(device) + rewards = (rewards - rewards.mean()) / (rewards.std() + 1e-7) + + # convert list to tensor + old_states = torch.squeeze(torch.stack(self.buffer.states, dim=0)).detach().to(device) + old_actions = torch.squeeze(torch.stack(self.buffer.actions, dim=0)).detach().to(device) + old_logprobs = torch.squeeze(torch.stack(self.buffer.logprobs, dim=0)).detach().to(device) + old_state_values = torch.squeeze(torch.stack(self.buffer.state_values, dim=0)).detach().to(device) + + # calculate advantages + advantages = rewards.detach() - old_state_values.detach() + + # Optimize policy for K epochs + for _ in range(self.K_epochs): + + # Evaluating old actions and values + logprobs, state_values, dist_entropy = self.policy.evaluate(old_states, old_actions) + + # match state_values tensor dimensions with rewards tensor + state_values = torch.squeeze(state_values) + + # Finding the ratio (pi_theta / pi_theta__old) + ratios = torch.exp(logprobs - old_logprobs.detach()) + + # Finding Surrogate Loss + surr1 = ratios * advantages + surr2 = torch.clamp(ratios, 1-self.eps_clip, 1+self.eps_clip) * advantages + + # final loss of clipped objective PPO + loss = -torch.min(surr1, surr2) + 0.5 * self.MseLoss(state_values, rewards) - 0.01 * dist_entropy + + # take gradient step + self.optimizer.zero_grad() + loss.mean().backward() + self.optimizer.step() + + # Copy new weights into old policy + self.policy_old.load_state_dict(self.policy.state_dict()) + + # clear buffer + self.buffer.clear() + + def save(self, checkpoint_path): + torch.save(self.policy_old.state_dict(), checkpoint_path) + + def load(self, checkpoint_path): + self.policy_old.load_state_dict(torch.load(checkpoint_path, map_location=lambda storage, loc: storage)) + self.policy.load_state_dict(torch.load(checkpoint_path, map_location=lambda storage, loc: storage)) + + + + diff --git a/python-app/java-simulator.py b/python-app/java-simulator.py index 9bc35331..17755c14 100644 --- a/python-app/java-simulator.py +++ b/python-app/java-simulator.py @@ -11,8 +11,8 @@ def init_info(): "model_version": 1 } post_response = requests.post(url, json=data) - print(post_response.json) - assert 0 + print(post_response.json()) + # assert 0 def get_action(): url = "http://localhost:5001/get-action" @@ -25,7 +25,7 @@ def get_action(): "last_reward": 0 } post_response = requests.post(url, json=data) - print(post_response.json) + print(post_response.json()) def simulate(): init_info() diff --git a/python-app/server.py b/python-app/server.py index 417b3762..cac8c75a 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -5,8 +5,9 @@ import numpy as np import torch as th import gymnasium as gym from flask import Flask, request, jsonify -from buffer import TradingRolloutBuffer -from stable_baselines3 import PPO +# from buffer import TradingRolloutBuffer +# from stable_baselines3 import PPO +from agents.ppo import PPO, RolloutBuffer from stable_baselines3.common.utils import obs_as_tensor from env import TradingEnv @@ -28,18 +29,21 @@ class Server: self.models = {} self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) self.action_space = gym.spaces.Discrete(3) - self.rollout_buffer = TradingRolloutBuffer( - buffer_size=100, - observation_space=self.observation_space, - action_space=self.action_space, - ) + self.rollout_buffer = RolloutBuffer() self.action = [0] def get_model_id(self, indicator_symbol, model_version): return f"{indicator_symbol}-{self.agent_name}-{model_version}" def load_model(self, indicator_symbol, model_version): - model = AGENTS[self.agent_name]("MlpPolicy", None) + model = AGENTS[self.agent_name](state_dim=4, + action_dim=1, + lr_actor=0.999, + lr_critic=0.999, + gamma=0.999, + K_epochs=4, + eps_clip=0.2, + has_continuous_action_space=False) model_id = self.get_model_id(indicator_symbol, model_version) self.models[indicator_symbol] = model @@ -47,7 +51,7 @@ class Server: model_id = self.get_model_id(indicator_symbol, model_version) model_path = f"models/{model_id}" if os.path.exists(model_path): - model = AGENTS[self.agent_name]("MlpPolicy") + model = AGENTS[self.agent_name] model.load(model_path) self.models[indicator_symbol] = model return True @@ -88,24 +92,26 @@ class Server: print(self.models.keys()) model = self.models[unified_symbol] state = [open_price, high_price, low_price, close_price] + action = model.select_action(state) - with th.no_grad(): - # Convert to pytorch tensor or to TensorDict - obs_tensor = obs_as_tensor(state, self.device) - actions, values, log_probs = model.policy(obs_tensor) - actions = actions.cpu().numpy() + # with th.no_grad(): + # # Convert to pytorch tensor or to TensorDict + # obs_tensor = obs_as_tensor(state, self.device) + # actions, values, log_probs = model.policy(obs_tensor) + # actions = actions.cpu().numpy() - if self.is_train: - self.rollout_buffer.add( - obs_tensor, - actions, - last_reward, - self._last_episode_starts, - values, - ) + # if self.is_train: + # self.rollout_buffer.add( + # obs_tensor, + # actions, + # last_reward, + # self._last_episode_starts, + # values, + # ) - if self.rollout_buffer.full(): - model.rollout_buffer = self.rollout_buffer - model.train() + # if self.rollout_buffer.full(): + # model.rollout_buffer = self.rollout_buffer + # model.train() # 后续实现并发 + # self.rollout_buffer.reset() - return jsonify({"action": int(np.argmax(actions))}) \ No newline at end of file + return jsonify({"action": int(action)}) \ No newline at end of file -- Gitee From 5444515a6dddcb19642f09ce6ef0d0dd68a9ac20 Mon Sep 17 00:00:00 2001 From: YuRuiii <1754376900@qq.com> Date: Tue, 12 Sep 2023 20:29:41 +0800 Subject: [PATCH 15/45] =?UTF-8?q?=E8=B7=91=E9=80=9A=E8=AE=AD=E7=BB=83?= =?UTF-8?q?=E9=80=BB=E8=BE=91=EF=BC=8C=E5=A2=9E=E5=8A=A0Python=E7=AB=AF?= =?UTF-8?q?=E6=A8=A1=E6=8B=9F=E5=99=A8=E4=BE=BF=E4=BA=8E=E5=BC=80=E5=8F=91?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .gitignore | 3 +- python-app/agents/ppo/__init__.py | 1 + python-app/agents/ppo/config.py | 18 +++ python-app/agents/{ => ppo}/ppo.py | 180 ++++++++++------------------- python-app/java-simulator.py | 17 +-- python-app/main.py | 1 - python-app/server.py | 64 ++++------ 7 files changed, 114 insertions(+), 170 deletions(-) create mode 100644 python-app/agents/ppo/__init__.py create mode 100644 python-app/agents/ppo/config.py rename python-app/agents/{ => ppo}/ppo.py (43%) diff --git a/.gitignore b/.gitignore index 81046ffe..abf442eb 100644 --- a/.gitignore +++ b/.gitignore @@ -41,4 +41,5 @@ build/ /northstar-dist/ /.metadata/ -__pycache__/ \ No newline at end of file +__pycache__/ +/python-app/models \ No newline at end of file diff --git a/python-app/agents/ppo/__init__.py b/python-app/agents/ppo/__init__.py new file mode 100644 index 00000000..884c2d72 --- /dev/null +++ b/python-app/agents/ppo/__init__.py @@ -0,0 +1 @@ +from .ppo import PPO, RolloutBuffer \ No newline at end of file diff --git a/python-app/agents/ppo/config.py b/python-app/agents/ppo/config.py new file mode 100644 index 00000000..13570879 --- /dev/null +++ b/python-app/agents/ppo/config.py @@ -0,0 +1,18 @@ +class PPOConfig: + def __init__(self, + state_dim=4, + action_dim=1, + lr_actor=3e-4, + lr_critic=3e-4, + gamma=0.99, + K_epochs=4, + eps_clip=0.2, + has_continuous_action_space=False) -> None: + self.state_dim = state_dim + self.action_dim = action_dim + self.lr_actor = lr_actor + self.lr_critic = lr_critic + self.gamma = gamma + self.K_epochs = K_epochs + self.eps_clip = eps_clip + self.has_continuous_action_space = has_continuous_action_space \ No newline at end of file diff --git a/python-app/agents/ppo.py b/python-app/agents/ppo/ppo.py similarity index 43% rename from python-app/agents/ppo.py rename to python-app/agents/ppo/ppo.py index dd40a1e8..ee5f6fe6 100644 --- a/python-app/agents/ppo.py +++ b/python-app/agents/ppo/ppo.py @@ -4,23 +4,18 @@ Referenced the code from nikhilbarhate: https://github.com/nikhilbarhate99/PPO-P import torch import torch.nn as nn -from torch.distributions import MultivariateNormal from torch.distributions import Categorical -################################## set device ################################## -print("============================================================================================") # set device to cpu or cuda device = torch.device('cpu') if(torch.cuda.is_available()): device = torch.device('cuda:0') torch.cuda.empty_cache() - print("Device set to : " + str(torch.cuda.get_device_name(device))) + print(f"Device set to : {str(torch.cuda.get_device_name(device))}") else: print("Device set to : cpu") -print("============================================================================================") -################################## PPO Policy ################################## class RolloutBuffer: def __init__(self): self.actions = [] @@ -37,36 +32,35 @@ class RolloutBuffer: del self.rewards[:] del self.state_values[:] del self.is_terminals[:] - + + def add(self, + action, + state, + logprob, + last_reward, + state_value, + is_terminal): + + self.actions.append(action) + self.states.append(state) + self.logprobs.append(logprob) + self.rewards.append(last_reward) + self.state_values.append(state_value) + self.is_terminals.append(is_terminal) class ActorCritic(nn.Module): - def __init__(self, state_dim, action_dim, has_continuous_action_space, action_std_init): + def __init__(self, state_dim, action_dim): super(ActorCritic, self).__init__() - self.has_continuous_action_space = has_continuous_action_space - - if has_continuous_action_space: - self.action_dim = action_dim - self.action_var = torch.full((action_dim,), action_std_init * action_std_init).to(device) # actor - if has_continuous_action_space : - self.actor = nn.Sequential( - nn.Linear(state_dim, 64), - nn.Tanh(), - nn.Linear(64, 64), - nn.Tanh(), - nn.Linear(64, action_dim), - nn.Tanh() - ) - else: - self.actor = nn.Sequential( - nn.Linear(state_dim, 64), - nn.Tanh(), - nn.Linear(64, 64), - nn.Tanh(), - nn.Linear(64, action_dim), - nn.Softmax(dim=-1) - ) + self.actor = nn.Sequential( + nn.Linear(state_dim, 64), + nn.Tanh(), + nn.Linear(64, 64), + nn.Tanh(), + nn.Linear(64, action_dim), + nn.Softmax(dim=-1) + ) # critic self.critic = nn.Sequential( nn.Linear(state_dim, 64), @@ -76,26 +70,13 @@ class ActorCritic(nn.Module): nn.Linear(64, 1) ) - def set_action_std(self, new_action_std): - if self.has_continuous_action_space: - self.action_var = torch.full((self.action_dim,), new_action_std * new_action_std).to(device) - else: - print("--------------------------------------------------------------------------------------------") - print("WARNING : Calling ActorCritic::set_action_std() on discrete action space policy") - print("--------------------------------------------------------------------------------------------") - def forward(self): raise NotImplementedError def act(self, state): - if self.has_continuous_action_space: - action_mean = self.actor(state) - cov_mat = torch.diag(self.action_var).unsqueeze(dim=0) - dist = MultivariateNormal(action_mean, cov_mat) - else: - action_probs = self.actor(state) - dist = Categorical(action_probs) + action_probs = self.actor(state) + dist = Categorical(action_probs) action = dist.sample() action_logprob = dist.log_prob(action) @@ -104,20 +85,9 @@ class ActorCritic(nn.Module): return action.detach(), action_logprob.detach(), state_val.detach() def evaluate(self, state, action): - - if self.has_continuous_action_space: - action_mean = self.actor(state) - - action_var = self.action_var.expand_as(action_mean) - cov_mat = torch.diag_embed(action_var).to(device) - dist = MultivariateNormal(action_mean, cov_mat) - - # For Single Action Environments. - if self.action_dim == 1: - action = action.reshape(-1, self.action_dim) - else: - action_probs = self.actor(state) - dist = Categorical(action_probs) + action_probs = self.actor(state) + # print(f"state: {state}, action: {action}, action_prob: {action_probs}") + dist = Categorical(action_probs) action_logprobs = dist.log_prob(action) dist_entropy = dist.entropy() state_values = self.critic(state) @@ -126,12 +96,14 @@ class ActorCritic(nn.Module): class PPO: - def __init__(self, state_dim, action_dim, lr_actor, lr_critic, gamma, K_epochs, eps_clip, has_continuous_action_space, action_std_init=0.6): - - self.has_continuous_action_space = has_continuous_action_space - - if has_continuous_action_space: - self.action_std = action_std_init + def __init__(self, + state_dim, + action_dim, + lr_actor: float = 3e-4, + lr_critic: float = 3e-4, + gamma: float = 0.99, + K_epochs: int = 4, + eps_clip: float = 0.2): self.gamma = gamma self.eps_clip = eps_clip @@ -139,72 +111,46 @@ class PPO: self.buffer = RolloutBuffer() - self.policy = ActorCritic(state_dim, action_dim, has_continuous_action_space, action_std_init).to(device) + self.policy = ActorCritic(state_dim, action_dim).to(device) self.optimizer = torch.optim.Adam([ {'params': self.policy.actor.parameters(), 'lr': lr_actor}, {'params': self.policy.critic.parameters(), 'lr': lr_critic} ]) - self.policy_old = ActorCritic(state_dim, action_dim, has_continuous_action_space, action_std_init).to(device) + self.policy_old = ActorCritic(state_dim, action_dim).to(device) self.policy_old.load_state_dict(self.policy.state_dict()) self.MseLoss = nn.MSELoss() + - def set_action_std(self, new_action_std): - if self.has_continuous_action_space: - self.action_std = new_action_std - self.policy.set_action_std(new_action_std) - self.policy_old.set_action_std(new_action_std) - else: - print("--------------------------------------------------------------------------------------------") - print("WARNING : Calling PPO::set_action_std() on discrete action space policy") - print("--------------------------------------------------------------------------------------------") - - def decay_action_std(self, action_std_decay_rate, min_action_std): - print("--------------------------------------------------------------------------------------------") - if self.has_continuous_action_space: - self.action_std = self.action_std - action_std_decay_rate - self.action_std = round(self.action_std, 4) - if (self.action_std <= min_action_std): - self.action_std = min_action_std - print("setting actor output action_std to min_action_std : ", self.action_std) - else: - print("setting actor output action_std to : ", self.action_std) - self.set_action_std(self.action_std) - - else: - print("WARNING : Calling PPO::decay_action_std() on discrete action space policy") - print("--------------------------------------------------------------------------------------------") - - def select_action(self, state): - - if self.has_continuous_action_space: - with torch.no_grad(): - state = torch.FloatTensor(state).to(device) - action, action_logprob, state_val = self.policy_old.act(state) - - self.buffer.states.append(state) - self.buffer.actions.append(action) - self.buffer.logprobs.append(action_logprob) - self.buffer.state_values.append(state_val) - - return action.detach().cpu().numpy().flatten() - else: - with torch.no_grad(): - state = torch.FloatTensor(state).to(device) - action, action_logprob, state_val = self.policy_old.act(state) - - self.buffer.states.append(state) - self.buffer.actions.append(action) - self.buffer.logprobs.append(action_logprob) - self.buffer.state_values.append(state_val) + def select_action(self, state, last_reward): + with torch.no_grad(): + state = torch.FloatTensor(state).to(device) + action, action_logprob, state_val = self.policy_old.act(state) + + # self.buffer.states.append(state) + # self.buffer.actions.append(action) + # self.buffer.logprobs.append(action_logprob) + # self.buffer.state_values.append(state_val) + + self.buffer.add(action, state, action_logprob, last_reward, state_val, False) - return action.item() + return action.item() def update(self): # Monte Carlo estimate of returns rewards = [] discounted_reward = 0 + + if len(self.buffer.states) > 1: + self.buffer.states.pop(-1) + self.buffer.actions.pop(-1) + self.buffer.logprobs.pop(-1) + self.buffer.rewards.pop(0) + self.buffer.state_values.pop(-1) + self.buffer.is_terminals.pop(-1) + + # print(self.buffer.rewards) for reward, is_terminal in zip(reversed(self.buffer.rewards), reversed(self.buffer.is_terminals)): if is_terminal: discounted_reward = 0 diff --git a/python-app/java-simulator.py b/python-app/java-simulator.py index 17755c14..4fe4bac0 100644 --- a/python-app/java-simulator.py +++ b/python-app/java-simulator.py @@ -1,6 +1,9 @@ +import random from time import sleep import requests +SLEEP_TIME = 0.1 + def init_info(): # send request to server url = "http://localhost:5001/init-info" @@ -18,21 +21,21 @@ def get_action(): url = "http://localhost:5001/get-action" data = { "unified_symbol": "rb0000@SHFE@FUTURES", - "open_price": 100, - "high_price": 100, - "low_price": 100, - "close_price": 100, - "last_reward": 0 + "open_price": random.random(), + "high_price": random.random(), + "low_price": random.random(), + "close_price": random.random(), + "last_reward": random.random(), } post_response = requests.post(url, json=data) print(post_response.json()) def simulate(): init_info() - sleep(1) + sleep(SLEEP_TIME) for i in range(1000): get_action() - sleep(1) + sleep(SLEEP_TIME) simulate() \ No newline at end of file diff --git a/python-app/main.py b/python-app/main.py index b76634fb..eb6e90be 100644 --- a/python-app/main.py +++ b/python-app/main.py @@ -11,7 +11,6 @@ def init_info(): @app.route("/get-action", methods=["POST"]) def get_action(): data = request.json - print(data) return server.get_action(data) app.run(port=5001) \ No newline at end of file diff --git a/python-app/server.py b/python-app/server.py index cac8c75a..9f8b8989 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -5,8 +5,6 @@ import numpy as np import torch as th import gymnasium as gym from flask import Flask, request, jsonify -# from buffer import TradingRolloutBuffer -# from stable_baselines3 import PPO from agents.ppo import PPO, RolloutBuffer from stable_baselines3.common.utils import obs_as_tensor from env import TradingEnv @@ -17,38 +15,26 @@ AGENTS = { "ppo": PPO } -# env = TradingEnv() -# model = PPO("MlpPolicy", env, verbose=1) -# obs = env.reset() - - class Server: def __init__(self) -> None: self.agent_name = None self.is_train = None self.models = {} - self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) - self.action_space = gym.spaces.Discrete(3) self.rollout_buffer = RolloutBuffer() - self.action = [0] + self.action = None + self.state_dim = 4 + self.action_dim = 3 + self.n_iter = 0 - def get_model_id(self, indicator_symbol, model_version): + def _get_model_id(self, indicator_symbol, model_version): return f"{indicator_symbol}-{self.agent_name}-{model_version}" def load_model(self, indicator_symbol, model_version): - model = AGENTS[self.agent_name](state_dim=4, - action_dim=1, - lr_actor=0.999, - lr_critic=0.999, - gamma=0.999, - K_epochs=4, - eps_clip=0.2, - has_continuous_action_space=False) - model_id = self.get_model_id(indicator_symbol, model_version) + model = AGENTS[self.agent_name](self.state_dim, self.action_dim) self.models[indicator_symbol] = model def load_model_from_file(self, indicator_symbol, model_version): - model_id = self.get_model_id(indicator_symbol, model_version) + model_id = self._get_model_id(indicator_symbol, model_version) model_path = f"models/{model_id}" if os.path.exists(model_path): model = AGENTS[self.agent_name] @@ -66,7 +52,7 @@ class Server: self.is_train = data["is_train"] indicator_symbol = data["indicator_symbol"] model_version = data["model_version"] - print(data) + # print(data) # if train, load model from scratch; else, load model from file if self.is_train: self.load_model(indicator_symbol, model_version) @@ -89,29 +75,19 @@ class Server: low_price = data["low_price"] close_price = data["close_price"] last_reward = data["last_reward"] - print(self.models.keys()) + + model = self.models[unified_symbol] state = [open_price, high_price, low_price, close_price] - action = model.select_action(state) - - # with th.no_grad(): - # # Convert to pytorch tensor or to TensorDict - # obs_tensor = obs_as_tensor(state, self.device) - # actions, values, log_probs = model.policy(obs_tensor) - # actions = actions.cpu().numpy() - - # if self.is_train: - # self.rollout_buffer.add( - # obs_tensor, - # actions, - # last_reward, - # self._last_episode_starts, - # values, - # ) + self.action = model.select_action(state, last_reward) + print(f"action: {self.action}") - # if self.rollout_buffer.full(): - # model.rollout_buffer = self.rollout_buffer - # model.train() # 后续实现并发 - # self.rollout_buffer.reset() + if not os.path.exists("models"): + os.makedirs("models") + + if self.n_iter % 100 == 0 and self.n_iter != 0: + model.update() + model.save(f"models/model_{self.n_iter}.pth") + self.n_iter += 1 - return jsonify({"action": int(action)}) \ No newline at end of file + return jsonify({"action": self.action}) \ No newline at end of file -- Gitee From 57bd8ed6e0576c4441ffa960f28c6d518736e076 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Thu, 14 Sep 2023 23:34:54 +0800 Subject: [PATCH 16/45] fetch upstream from ai-module --- python-app/agents/ppo/ppo.py | 9 --------- python-app/main.py | 11 ++++++++++- 2 files changed, 10 insertions(+), 10 deletions(-) diff --git a/python-app/agents/ppo/ppo.py b/python-app/agents/ppo/ppo.py index ee5f6fe6..fc6ebf53 100644 --- a/python-app/agents/ppo/ppo.py +++ b/python-app/agents/ppo/ppo.py @@ -6,15 +6,6 @@ import torch import torch.nn as nn from torch.distributions import Categorical -# set device to cpu or cuda -device = torch.device('cpu') -if(torch.cuda.is_available()): - device = torch.device('cuda:0') - torch.cuda.empty_cache() - print(f"Device set to : {str(torch.cuda.get_device_name(device))}") -else: - print("Device set to : cpu") - class RolloutBuffer: def __init__(self): diff --git a/python-app/main.py b/python-app/main.py index eb6e90be..5007732e 100644 --- a/python-app/main.py +++ b/python-app/main.py @@ -1,3 +1,4 @@ +import torch from server import Server from flask import Flask, request, jsonify @@ -13,4 +14,12 @@ def get_action(): data = request.json return server.get_action(data) -app.run(port=5001) \ No newline at end of file +app.run(port=5001) +# set device to cpu or cuda +device = torch.device('cpu') +if(torch.cuda.is_available()): + device = torch.device('cuda:0') + torch.cuda.empty_cache() + print(f"Device set to : {str(torch.cuda.get_device_name(device))}") +else: + print("Device set to : cpu") \ No newline at end of file -- Gitee From 29a848417612fe5e5347d1176d849fc34aa8b44a Mon Sep 17 00:00:00 2001 From: YuRuiii <1754376900@qq.com> Date: Fri, 15 Sep 2023 12:02:03 +0800 Subject: [PATCH 17/45] =?UTF-8?q?=E6=9B=B4=E6=96=B0ppo.py=E4=B8=AD?= =?UTF-8?q?=E7=9A=84set=5Fdevice=EF=BC=8C=E8=B7=91=E9=80=9A=E8=AE=AD?= =?UTF-8?q?=E7=BB=83=E6=B5=81=E7=A8=8B?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- python-app/agents/ppo/ppo.py | 29 +++++++++++++++++++++-------- python-app/main.py | 8 -------- python-app/server.py | 1 + 3 files changed, 22 insertions(+), 16 deletions(-) diff --git a/python-app/agents/ppo/ppo.py b/python-app/agents/ppo/ppo.py index fc6ebf53..1a9178ed 100644 --- a/python-app/agents/ppo/ppo.py +++ b/python-app/agents/ppo/ppo.py @@ -6,6 +6,17 @@ import torch import torch.nn as nn from torch.distributions import Categorical +def set_device(): + # set device to cpu or cuda + device = torch.device('cpu') + if(torch.cuda.is_available()): + device = torch.device('cuda:0') + torch.cuda.empty_cache() + print(f"Device set to : {str(torch.cuda.get_device_name(device))}") + else: + print("Device set to : cpu") + return device + class RolloutBuffer: def __init__(self): @@ -101,14 +112,16 @@ class PPO: self.K_epochs = K_epochs self.buffer = RolloutBuffer() + + self.device = set_device() - self.policy = ActorCritic(state_dim, action_dim).to(device) + self.policy = ActorCritic(state_dim, action_dim).to(self.device) self.optimizer = torch.optim.Adam([ {'params': self.policy.actor.parameters(), 'lr': lr_actor}, {'params': self.policy.critic.parameters(), 'lr': lr_critic} ]) - self.policy_old = ActorCritic(state_dim, action_dim).to(device) + self.policy_old = ActorCritic(state_dim, action_dim).to(self.device) self.policy_old.load_state_dict(self.policy.state_dict()) self.MseLoss = nn.MSELoss() @@ -116,7 +129,7 @@ class PPO: def select_action(self, state, last_reward): with torch.no_grad(): - state = torch.FloatTensor(state).to(device) + state = torch.FloatTensor(state).to(self.device) action, action_logprob, state_val = self.policy_old.act(state) # self.buffer.states.append(state) @@ -149,14 +162,14 @@ class PPO: rewards.insert(0, discounted_reward) # Normalizing the rewards - rewards = torch.tensor(rewards, dtype=torch.float32).to(device) + rewards = torch.tensor(rewards, dtype=torch.float32).to(self.device) rewards = (rewards - rewards.mean()) / (rewards.std() + 1e-7) # convert list to tensor - old_states = torch.squeeze(torch.stack(self.buffer.states, dim=0)).detach().to(device) - old_actions = torch.squeeze(torch.stack(self.buffer.actions, dim=0)).detach().to(device) - old_logprobs = torch.squeeze(torch.stack(self.buffer.logprobs, dim=0)).detach().to(device) - old_state_values = torch.squeeze(torch.stack(self.buffer.state_values, dim=0)).detach().to(device) + old_states = torch.squeeze(torch.stack(self.buffer.states, dim=0)).detach().to(self.device) + old_actions = torch.squeeze(torch.stack(self.buffer.actions, dim=0)).detach().to(self.device) + old_logprobs = torch.squeeze(torch.stack(self.buffer.logprobs, dim=0)).detach().to(self.device) + old_state_values = torch.squeeze(torch.stack(self.buffer.state_values, dim=0)).detach().to(self.device) # calculate advantages advantages = rewards.detach() - old_state_values.detach() diff --git a/python-app/main.py b/python-app/main.py index 5007732e..081c46a3 100644 --- a/python-app/main.py +++ b/python-app/main.py @@ -15,11 +15,3 @@ def get_action(): return server.get_action(data) app.run(port=5001) -# set device to cpu or cuda -device = torch.device('cpu') -if(torch.cuda.is_available()): - device = torch.device('cuda:0') - torch.cuda.empty_cache() - print(f"Device set to : {str(torch.cuda.get_device_name(device))}") -else: - print("Device set to : cpu") \ No newline at end of file diff --git a/python-app/server.py b/python-app/server.py index 9f8b8989..a1f3a392 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -52,6 +52,7 @@ class Server: self.is_train = data["is_train"] indicator_symbol = data["indicator_symbol"] model_version = data["model_version"] + print(data) # print(data) # if train, load model from scratch; else, load model from file if self.is_train: -- Gitee From 26dee53c36c9ea1b3b95b61416d45b96f6923edd Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Sat, 16 Sep 2023 12:10:41 +0800 Subject: [PATCH 18/45] =?UTF-8?q?=E6=96=B0=E5=BB=BARLTrainer?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .gitignore | 2 +- .../strategy/example/RLStrategy.java | 492 +++++++++--------- .../northstar/strategy/trainer/RLTrainer.java | 42 ++ python-app/agents/ppo/ppo.py | 15 +- python-app/ppo_cartpole.zip | Bin 138133 -> 0 bytes python-app/server.py | 5 +- 6 files changed, 294 insertions(+), 262 deletions(-) create mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java delete mode 100644 python-app/ppo_cartpole.zip diff --git a/.gitignore b/.gitignore index abf442eb..1d70b2b4 100644 --- a/.gitignore +++ b/.gitignore @@ -42,4 +42,4 @@ build/ /.metadata/ __pycache__/ -/python-app/models \ No newline at end of file +/python-app \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java index 5e62652d..57655f89 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -1,247 +1,247 @@ -package org.dromara.northstar.strategy.example; - - -import org.dromara.northstar.common.constant.FieldType; -import org.dromara.northstar.common.constant.ModuleState; -import org.dromara.northstar.common.constant.SignalOperation; -import org.dromara.northstar.common.model.DynamicParams; -import org.dromara.northstar.common.model.Setting; -import org.dromara.northstar.strategy.IModuleContext; -import org.dromara.northstar.strategy.IModuleStrategyContext; -import org.dromara.northstar.strategy.StrategicComponent; -import org.dromara.northstar.strategy.AbstractStrategy; -import org.dromara.northstar.strategy.TradeStrategy; -import org.dromara.northstar.strategy.constant.PriceType; -import org.dromara.northstar.strategy.model.TradeIntent; -import org.slf4j.Logger; - -import com.alibaba.fastjson.JSON; -import com.alibaba.fastjson.JSONObject; - -import xyz.redtorch.pb.CoreField.BarField; -import xyz.redtorch.pb.CoreField.OrderField; -import xyz.redtorch.pb.CoreField.TickField; -import xyz.redtorch.pb.CoreField.TradeField; - -import java.io.IOException; -import java.io.UnsupportedEncodingException; - -import org.apache.http.HttpEntity; -import org.apache.http.ParseException; -import org.apache.http.client.HttpClient; -import org.apache.http.client.methods.CloseableHttpResponse; -import org.apache.http.client.methods.HttpPost; -import org.apache.http.entity.StringEntity; -import org.apache.http.impl.client.CloseableHttpClient; -import org.apache.http.impl.client.HttpClients; -import org.apache.http.util.EntityUtils; - - -@StrategicComponent(RLStrategy.NAME) -public class RLStrategy extends AbstractStrategy{ - - protected static final String NAME = "示例-RL策略"; - - private InitParams params; - - // private boolean isTrain; - - - private String getActionUrl = "http://localhost:5001/get-action"; - private String initInfoUrl = "http://localhost:5001/init-info"; - - - private CloseableHttpClient httpClient = HttpClients.createDefault(); - - private float lastReward = 0; - - private boolean firstRun = true; - - @Override - public void onTick(TickField tick) { - log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", - tick.getUnifiedSymbol(), tick.getActionDay(), tick.getActionTime(), - tick.getLastPrice(), tick.getVolume(), tick.getOpenInterest(), tick.getOpenInterestDelta()); - } - - @Override - public void onMergedBar(BarField bar) { - log.debug("策略每分钟触发"); - log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", - bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); - - if (firstRun) { // 第一次运行,初始化信息 - firstRun = !initInfo(); - log.info("firstRun: {}", firstRun); - } else { - int actionID = getAction(bar); - executeTrade(bar, actionID); - float reward = getReward(bar, actionID); - log.info("actionID: {}, reward: {}", actionID, reward); - } - } - - private float getReward(BarField bar, Integer actionID) { - return 0; - } - - private int getAction(BarField bar) { - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("unified_symbol", bar.getUnifiedSymbol()); - jsonData.put("open_price", bar.getOpenPrice()); - jsonData.put("high_price", bar.getHighPrice()); - jsonData.put("low_price", bar.getLowPrice()); - jsonData.put("close_price", bar.getClosePrice()); - jsonData.put("last_reward", lastReward); - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(getActionUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - - if (params.isTrain) { - Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - log.info("actionID: {}", actionID); - return actionID; - } - - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return 0; - } - - private boolean initInfo() { - log.info("init info..."); - // 将参数传给Python端 - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", this.params.indicatorSymbol); - jsonData.put("agent_name", this.params.agentName); - jsonData.put("is_train", this.params.isTrain); - jsonData.put("model_version", this.params.modelVersion); - - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(initInfoUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - Boolean success = jsonObject.getBoolean("success"); - - if (success) { - log.info("初始化成功"); - return true; - } else { - log.error(jsonObject.getString("message")); - return false; - } - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return false; - } - - private void executeTrade(BarField bar, int actionID) { - log.info("execute trade..."); - switch (ctx.getState()) { - case EMPTY -> { - if (actionID == 0) { - log.info("actionID=0, EMPTY, 持仓"); - } else if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=1, EMPTY, 多开"); - } else if (actionID == 2) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("空开"); - } - } - case HOLDING_LONG -> { - if (actionID == 0) { - log.info("actionID=0, HOLDING_LONG, 持仓"); - } else if (actionID == 1) { - log.info("actionID=1, HOLDING_LONG, 持仓"); - } else if (actionID == 2) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=2, HOLDING_LONG, 平多"); - } - } - case HOLDING_SHORT -> { - if (actionID == 0) { - log.info("actionID=0, HOLDING_SHORT, 持仓"); - } else if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=1, HOLDING_SHORT, 平空"); - } else if (actionID == 2) { - log.info("actionID=2, HOLDING_SHORT, 持仓"); - } - } - default -> { - log.info("当前状态:{},不交易", ctx.getState()); - } - } - } - - /***************** 以下如果看不懂,基本可以照搬 *************************/ - @Override - public DynamicParams getDynamicParams() { - return new InitParams(); - } - - @Override - public void initWithParams(DynamicParams params) { - this.params = (InitParams) params; - } - - public static class InitParams extends DynamicParams { - @Setting(label="指标合约", order=0) - private String indicatorSymbol; - - @Setting(label="算法名称", order=1) - private String agentName; - - @Setting(label="是否训练", order=2) - private boolean isTrain; - - @Setting(label="模型版本", order=3) - private String modelVersion; - } +package org.dromara.northstar.strategy.example; + + +import org.dromara.northstar.common.constant.FieldType; +import org.dromara.northstar.common.constant.ModuleState; +import org.dromara.northstar.common.constant.SignalOperation; +import org.dromara.northstar.common.model.DynamicParams; +import org.dromara.northstar.common.model.Setting; +import org.dromara.northstar.strategy.IModuleContext; +import org.dromara.northstar.strategy.IModuleStrategyContext; +import org.dromara.northstar.strategy.StrategicComponent; +import org.dromara.northstar.strategy.AbstractStrategy; +import org.dromara.northstar.strategy.TradeStrategy; +import org.dromara.northstar.strategy.constant.PriceType; +import org.dromara.northstar.strategy.model.TradeIntent; +import org.slf4j.Logger; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; +import xyz.redtorch.pb.CoreField.OrderField; +import xyz.redtorch.pb.CoreField.TickField; +import xyz.redtorch.pb.CoreField.TradeField; + +import java.io.IOException; +import java.io.UnsupportedEncodingException; + +import org.apache.http.HttpEntity; +import org.apache.http.ParseException; +import org.apache.http.client.HttpClient; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.impl.client.CloseableHttpClient; +import org.apache.http.impl.client.HttpClients; +import org.apache.http.util.EntityUtils; + + +@StrategicComponent(RLStrategy.NAME) +public class RLStrategy extends AbstractStrategy{ + + protected static final String NAME = "示例-RL策略"; + + private InitParams params; + + // private boolean isTrain; + + + private String getActionUrl = "http://localhost:5001/get-action"; + private String initInfoUrl = "http://localhost:5001/init-info"; + + + private CloseableHttpClient httpClient = HttpClients.createDefault(); + + private float lastReward = 0; + + private boolean firstRun = true; + + @Override + public void onTick(TickField tick) { + log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", + tick.getUnifiedSymbol(), tick.getActionDay(), tick.getActionTime(), + tick.getLastPrice(), tick.getVolume(), tick.getOpenInterest(), tick.getOpenInterestDelta()); + } + + @Override + public void onMergedBar(BarField bar) { + log.debug("策略每分钟触发"); + log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", + bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); + + if (firstRun) { // 第一次运行,初始化信息 + firstRun = !initInfo(); + log.info("firstRun: {}", firstRun); + } else { + int actionID = getAction(bar); + executeTrade(bar, actionID); + float reward = getReward(bar, actionID); + log.info("actionID: {}, reward: {}", actionID, reward); + } + } + + private float getReward(BarField bar, Integer actionID) { + return 0; + } + + private int getAction(BarField bar) { + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("unified_symbol", bar.getUnifiedSymbol()); + jsonData.put("open_price", bar.getOpenPrice()); + jsonData.put("high_price", bar.getHighPrice()); + jsonData.put("low_price", bar.getLowPrice()); + jsonData.put("close_price", bar.getClosePrice()); + jsonData.put("last_reward", lastReward); + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(getActionUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + + if (params.isTrain) { + Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 + log.info("actionID: {}", actionID); + return actionID; + } + + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return 0; + } + + private boolean initInfo() { + log.info("init info..."); + // 将参数传给Python端 + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", this.params.indicatorSymbol); + jsonData.put("agent_name", this.params.agentName); + jsonData.put("is_train", this.params.isTrain); + jsonData.put("model_version", this.params.modelVersion); + + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + Boolean success = jsonObject.getBoolean("success"); + + if (success) { + log.info("初始化成功"); + return true; + } else { + log.error(jsonObject.getString("message")); + return false; + } + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return false; + } + + private void executeTrade(BarField bar, int actionID) { + log.info("execute trade..."); + switch (ctx.getState()) { + case EMPTY -> { + if (actionID == 0) { + log.info("actionID=0, EMPTY, 持仓"); + } else if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("actionID=1, EMPTY, 多开"); + } else if (actionID == 2) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("空开"); + } + } + case HOLDING_LONG -> { + if (actionID == 0) { + log.info("actionID=0, HOLDING_LONG, 持仓"); + } else if (actionID == 1) { + log.info("actionID=1, HOLDING_LONG, 持仓"); + } else if (actionID == 2) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("actionID=2, HOLDING_LONG, 平多"); + } + } + case HOLDING_SHORT -> { + if (actionID == 0) { + log.info("actionID=0, HOLDING_SHORT, 持仓"); + } else if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("actionID=1, HOLDING_SHORT, 平空"); + } else if (actionID == 2) { + log.info("actionID=2, HOLDING_SHORT, 持仓"); + } + } + default -> { + log.info("当前状态:{},不交易", ctx.getState()); + } + } + } + + /***************** 以下如果看不懂,基本可以照搬 *************************/ + @Override + public DynamicParams getDynamicParams() { + return new InitParams(); + } + + @Override + public void initWithParams(DynamicParams params) { + this.params = (InitParams) params; + } + + public static class InitParams extends DynamicParams { + @Setting(label="指标合约", order=0) + private String indicatorSymbol; + + @Setting(label="算法名称", order=1) + private String agentName; + + @Setting(label="是否训练", order=2) + private boolean isTrain; + + @Setting(label="模型版本", order=3) + private String modelVersion; + } } \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java new file mode 100644 index 00000000..e1c3e07e --- /dev/null +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java @@ -0,0 +1,42 @@ +package org.dromara.northstar.strategy.trainer; + +import org.dromara.northstar.common.IGatewayService; +import org.dromara.northstar.common.IModuleService; +import org.dromara.northstar.common.ObjectManager; +import org.dromara.northstar.common.model.ComponentMetaInfo; +import org.dromara.northstar.common.model.ContractSimpleInfo; +import org.dromara.northstar.common.model.DynamicParams; +import org.dromara.northstar.gateway.Gateway; +import org.dromara.northstar.gateway.IContractManager; +import org.dromara.northstar.strategy.IModule; + + +public class RLTrainer extends AbstractSerialTrainer { + + protected RLTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, + IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { + super(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); + //TODO Auto-generated constructor stub + + + } + + @Override + public DynamicParams strategyParams(ContractSimpleInfo csi) { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'strategyParams'"); + } + + @Override + public ComponentMetaInfo strategy() { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'strategy'"); + } + + @Override + public int[] testPeriods() { + // TODO Auto-generated method stub + throw new UnsupportedOperationException("Unimplemented method 'testPeriods'"); + } + +} \ No newline at end of file diff --git a/python-app/agents/ppo/ppo.py b/python-app/agents/ppo/ppo.py index 1a9178ed..05541ec5 100644 --- a/python-app/agents/ppo/ppo.py +++ b/python-app/agents/ppo/ppo.py @@ -5,17 +5,7 @@ Referenced the code from nikhilbarhate: https://github.com/nikhilbarhate99/PPO-P import torch import torch.nn as nn from torch.distributions import Categorical - -def set_device(): - # set device to cpu or cuda - device = torch.device('cpu') - if(torch.cuda.is_available()): - device = torch.device('cuda:0') - torch.cuda.empty_cache() - print(f"Device set to : {str(torch.cuda.get_device_name(device))}") - else: - print("Device set to : cpu") - return device +from ..base import BaseRL class RolloutBuffer: @@ -97,7 +87,7 @@ class ActorCritic(nn.Module): return action_logprobs, state_values, dist_entropy -class PPO: +class PPO(BaseRL): def __init__(self, state_dim, action_dim, @@ -136,7 +126,6 @@ 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z7Z-#ZZmTn8M&Yq(|$(aq~1o^-kg%@-$_1d6nZgDUgOTrE0Nz8 zojDnBBSegh;nr4ebRe15>IsB4q4~};b4T%~#MZTL$H%fo#&zUM8gVN=F6UL^MS;s{ zqp*r&qWx6=D+m$8)8Lh@Y>9br71@-UD4B76Ck_WnIJJm1U1*|Z%fiA6m(6KvT76i_ u!y3#IttDNyyx{7%O4{i?AoakUyHZaL*8?)JH3DqNhBO>C`v&|PNB;o_W)9r| diff --git a/python-app/server.py b/python-app/server.py index a1f3a392..9b36d6b5 100644 --- a/python-app/server.py +++ b/python-app/server.py @@ -6,13 +6,15 @@ import torch as th import gymnasium as gym from flask import Flask, request, jsonify from agents.ppo import PPO, RolloutBuffer +from agents.dqn import DQN from stable_baselines3.common.utils import obs_as_tensor from env import TradingEnv app = Flask(__name__) AGENTS = { - "ppo": PPO + "ppo": PPO, + "dqn": DQN, } class Server: @@ -20,7 +22,6 @@ class Server: self.agent_name = None self.is_train = None self.models = {} - self.rollout_buffer = RolloutBuffer() self.action = None self.state_dim = 4 self.action_dim = 3 -- Gitee From 39e9eceea5c7d4ce17396cc78e0efb03ea3d3846 Mon Sep 17 00:00:00 2001 From: Huangwl Date: Sat, 16 Sep 2023 07:52:13 +0000 Subject: [PATCH 19/45] update README.md. Signed-off-by: Huangwl --- README.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/README.md b/README.md index 19d7ce43..fdb370ce 100644 --- a/README.md +++ b/README.md @@ -43,8 +43,8 @@ - B/S架构 - northstar项目为服务端(包含了web网页监控端) - 交互协议HTTP + websocket -- 数据库、缓存为H2(历史行情数据主要依赖数据服务,本地仅保存少量账户配置信息) -- 前端采用node14 + vue2.x +- 数据库采用H2(历史行情数据主要依赖数据服务,本地仅保存少量账户配置信息) +- 前端监控台采用node14 + vue2.x - 服务端采用java17 + springboot2 项目架构采用事件驱动+插件式开发 -- Gitee From b1738bd0f72b935b1bedf4421131c430cdd8930a Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 19 Sep 2023 10:26:41 +0800 Subject: [PATCH 20/45] =?UTF-8?q?=E4=BF=AE=E6=94=B9=E4=BE=9D=E8=B5=96?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../trainer/RLAgentTrainingRunner.java | 16 ++++++++++++++-- northstar-strategy-example/pom.xml | 5 ----- .../northstar/strategy/trainer/RLTrainer.java | 18 +++++++++++------- 3 files changed, 25 insertions(+), 14 deletions(-) diff --git a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java index b0f7e8c7..4fe49c0a 100644 --- a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java +++ b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java @@ -1,5 +1,11 @@ package org.dromara.northstar.strategy.trainer; +import org.dromara.northstar.common.IGatewayService; +import org.dromara.northstar.common.IModuleService; +import org.dromara.northstar.common.ObjectManager; +import org.dromara.northstar.gateway.Gateway; +import org.dromara.northstar.gateway.IContractManager; +import org.dromara.northstar.strategy.IModule; import org.springframework.beans.factory.annotation.Autowired; import org.springframework.boot.CommandLineRunner; import org.springframework.boot.autoconfigure.condition.ConditionalOnProperty; @@ -14,9 +20,15 @@ import lombok.extern.slf4j.Slf4j; @ConditionalOnProperty(prefix = "spring.profiles", name = "active", havingValue = "train") @Component public class RLAgentTrainingRunner implements CommandLineRunner{ + + private ObjectManager gatewayMgr = new GatewayManager(); + private ObjectManager moduleMgr; + private IContractManager contractMgr; + private IGatewayService gatewayService; + private IModuleService moduleService; @Autowired - private AbstractTrainer trainer; + private AbstractTrainer trainer = new RLTrainer(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); @Override public void run(String... args) throws Exception { @@ -24,7 +36,7 @@ public class RLAgentTrainingRunner implements CommandLineRunner{ log.info("模组强化学习训练准备开始"); try { Thread.sleep(5000); - trainer.start(); + // trainer.start(); } catch (InterruptedException e) { log.warn("", e); } diff --git a/northstar-strategy-example/pom.xml b/northstar-strategy-example/pom.xml index 213a6c07..de344e62 100644 --- a/northstar-strategy-example/pom.xml +++ b/northstar-strategy-example/pom.xml @@ -21,10 +21,5 @@ 5.8.2 test - - org.apache.httpcomponents - httpclient - 4.5.14 - diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java index e1c3e07e..3ad3ef67 100644 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java @@ -13,13 +13,17 @@ import org.dromara.northstar.strategy.IModule; public class RLTrainer extends AbstractSerialTrainer { - protected RLTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, - IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { - super(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); - //TODO Auto-generated constructor stub - - - } + // protected RLTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, + // IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { + // super(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); + // //TODO Auto-generated constructor stub + // } + + // protected RLTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, + // IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { + // super(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); + // //TODO Auto-generated constructor stub + // } @Override public DynamicParams strategyParams(ContractSimpleInfo csi) { -- Gitee From 493a975a1238b319cfc91492b5f001c8d10e3954 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 19 Sep 2023 10:29:40 +0800 Subject: [PATCH 21/45] =?UTF-8?q?=E5=8F=96=E6=B6=88=E5=AF=B9AbstractSerial?= =?UTF-8?q?Trainer=E7=9A=84=E4=BF=AE=E6=94=B9?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../northstar/strategy/trainer/AbstractSerialTrainer.java | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java index e97cd95f..139d7d45 100644 --- a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java +++ b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/AbstractSerialTrainer.java @@ -31,7 +31,7 @@ import lombok.extern.slf4j.Slf4j; * */ @Slf4j -public abstract class AbstractSerialTrainer extends AbstractTrainer{ +public abstract class AbstractSerialTrainer extends AbstractTrainer implements RLAgentTrainingContext { protected AbstractSerialTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { -- Gitee From 624c65c0648094b1559f5e5b9cfe06b7fe4c044d Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 19 Sep 2023 10:38:05 +0800 Subject: [PATCH 22/45] =?UTF-8?q?=E8=A7=A3=E8=80=A6RL=E7=AD=96=E7=95=A5?= =?UTF-8?q?=E7=9B=B8=E5=85=B3=E5=86=85=E5=AE=B9=E5=88=B0northstar-external?= =?UTF-8?q?-rl?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../trainer/RLAgentTrainingRunner.java | 18 +- .../strategy/example/RLStrategy.java | 247 ------------------ .../northstar/strategy/trainer/RLTrainer.java | 46 ---- .../src/main/java/params/isTrain.java | 5 - 4 files changed, 3 insertions(+), 313 deletions(-) delete mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java delete mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java delete mode 100644 northstar-strategy-example/src/main/java/params/isTrain.java diff --git a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java index 4fe49c0a..ad7ec306 100644 --- a/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java +++ b/northstar-api/src/main/java/org/dromara/northstar/strategy/trainer/RLAgentTrainingRunner.java @@ -1,11 +1,5 @@ package org.dromara.northstar.strategy.trainer; -import org.dromara.northstar.common.IGatewayService; -import org.dromara.northstar.common.IModuleService; -import org.dromara.northstar.common.ObjectManager; -import org.dromara.northstar.gateway.Gateway; -import org.dromara.northstar.gateway.IContractManager; -import org.dromara.northstar.strategy.IModule; import org.springframework.beans.factory.annotation.Autowired; import org.springframework.boot.CommandLineRunner; import org.springframework.boot.autoconfigure.condition.ConditionalOnProperty; @@ -20,15 +14,9 @@ import lombok.extern.slf4j.Slf4j; @ConditionalOnProperty(prefix = "spring.profiles", name = "active", havingValue = "train") @Component public class RLAgentTrainingRunner implements CommandLineRunner{ - - private ObjectManager gatewayMgr = new GatewayManager(); - private ObjectManager moduleMgr; - private IContractManager contractMgr; - private IGatewayService gatewayService; - private IModuleService moduleService; @Autowired - private AbstractTrainer trainer = new RLTrainer(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); + private AbstractTrainer trainer; @Override public void run(String... args) throws Exception { @@ -36,7 +24,7 @@ public class RLAgentTrainingRunner implements CommandLineRunner{ log.info("模组强化学习训练准备开始"); try { Thread.sleep(5000); - // trainer.start(); + trainer.start(); } catch (InterruptedException e) { log.warn("", e); } @@ -45,4 +33,4 @@ public class RLAgentTrainingRunner implements CommandLineRunner{ }).start(); } -} +} \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java deleted file mode 100644 index 57655f89..00000000 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ /dev/null @@ -1,247 +0,0 @@ -package org.dromara.northstar.strategy.example; - - -import org.dromara.northstar.common.constant.FieldType; -import org.dromara.northstar.common.constant.ModuleState; -import org.dromara.northstar.common.constant.SignalOperation; -import org.dromara.northstar.common.model.DynamicParams; -import org.dromara.northstar.common.model.Setting; -import org.dromara.northstar.strategy.IModuleContext; -import org.dromara.northstar.strategy.IModuleStrategyContext; -import org.dromara.northstar.strategy.StrategicComponent; -import org.dromara.northstar.strategy.AbstractStrategy; -import org.dromara.northstar.strategy.TradeStrategy; -import org.dromara.northstar.strategy.constant.PriceType; -import org.dromara.northstar.strategy.model.TradeIntent; -import org.slf4j.Logger; - -import com.alibaba.fastjson.JSON; -import com.alibaba.fastjson.JSONObject; - -import xyz.redtorch.pb.CoreField.BarField; -import xyz.redtorch.pb.CoreField.OrderField; -import xyz.redtorch.pb.CoreField.TickField; -import xyz.redtorch.pb.CoreField.TradeField; - -import java.io.IOException; -import java.io.UnsupportedEncodingException; - -import org.apache.http.HttpEntity; -import org.apache.http.ParseException; -import org.apache.http.client.HttpClient; -import org.apache.http.client.methods.CloseableHttpResponse; -import org.apache.http.client.methods.HttpPost; -import org.apache.http.entity.StringEntity; -import org.apache.http.impl.client.CloseableHttpClient; -import org.apache.http.impl.client.HttpClients; -import org.apache.http.util.EntityUtils; - - -@StrategicComponent(RLStrategy.NAME) -public class RLStrategy extends AbstractStrategy{ - - protected static final String NAME = "示例-RL策略"; - - private InitParams params; - - // private boolean isTrain; - - - private String getActionUrl = "http://localhost:5001/get-action"; - private String initInfoUrl = "http://localhost:5001/init-info"; - - - private CloseableHttpClient httpClient = HttpClients.createDefault(); - - private float lastReward = 0; - - private boolean firstRun = true; - - @Override - public void onTick(TickField tick) { - log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", - tick.getUnifiedSymbol(), tick.getActionDay(), tick.getActionTime(), - tick.getLastPrice(), tick.getVolume(), tick.getOpenInterest(), tick.getOpenInterestDelta()); - } - - @Override - public void onMergedBar(BarField bar) { - log.debug("策略每分钟触发"); - log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", - bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); - - if (firstRun) { // 第一次运行,初始化信息 - firstRun = !initInfo(); - log.info("firstRun: {}", firstRun); - } else { - int actionID = getAction(bar); - executeTrade(bar, actionID); - float reward = getReward(bar, actionID); - log.info("actionID: {}, reward: {}", actionID, reward); - } - } - - private float getReward(BarField bar, Integer actionID) { - return 0; - } - - private int getAction(BarField bar) { - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("unified_symbol", bar.getUnifiedSymbol()); - jsonData.put("open_price", bar.getOpenPrice()); - jsonData.put("high_price", bar.getHighPrice()); - jsonData.put("low_price", bar.getLowPrice()); - jsonData.put("close_price", bar.getClosePrice()); - jsonData.put("last_reward", lastReward); - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(getActionUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - - if (params.isTrain) { - Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - log.info("actionID: {}", actionID); - return actionID; - } - - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return 0; - } - - private boolean initInfo() { - log.info("init info..."); - // 将参数传给Python端 - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", this.params.indicatorSymbol); - jsonData.put("agent_name", this.params.agentName); - jsonData.put("is_train", this.params.isTrain); - jsonData.put("model_version", this.params.modelVersion); - - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(initInfoUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - Boolean success = jsonObject.getBoolean("success"); - - if (success) { - log.info("初始化成功"); - return true; - } else { - log.error(jsonObject.getString("message")); - return false; - } - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return false; - } - - private void executeTrade(BarField bar, int actionID) { - log.info("execute trade..."); - switch (ctx.getState()) { - case EMPTY -> { - if (actionID == 0) { - log.info("actionID=0, EMPTY, 持仓"); - } else if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=1, EMPTY, 多开"); - } else if (actionID == 2) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("空开"); - } - } - case HOLDING_LONG -> { - if (actionID == 0) { - log.info("actionID=0, HOLDING_LONG, 持仓"); - } else if (actionID == 1) { - log.info("actionID=1, HOLDING_LONG, 持仓"); - } else if (actionID == 2) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=2, HOLDING_LONG, 平多"); - } - } - case HOLDING_SHORT -> { - if (actionID == 0) { - log.info("actionID=0, HOLDING_SHORT, 持仓"); - } else if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=1, HOLDING_SHORT, 平空"); - } else if (actionID == 2) { - log.info("actionID=2, HOLDING_SHORT, 持仓"); - } - } - default -> { - log.info("当前状态:{},不交易", ctx.getState()); - } - } - } - - /***************** 以下如果看不懂,基本可以照搬 *************************/ - @Override - public DynamicParams getDynamicParams() { - return new InitParams(); - } - - @Override - public void initWithParams(DynamicParams params) { - this.params = (InitParams) params; - } - - public static class InitParams extends DynamicParams { - @Setting(label="指标合约", order=0) - private String indicatorSymbol; - - @Setting(label="算法名称", order=1) - private String agentName; - - @Setting(label="是否训练", order=2) - private boolean isTrain; - - @Setting(label="模型版本", order=3) - private String modelVersion; - } -} \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java deleted file mode 100644 index 3ad3ef67..00000000 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/trainer/RLTrainer.java +++ /dev/null @@ -1,46 +0,0 @@ -package org.dromara.northstar.strategy.trainer; - -import org.dromara.northstar.common.IGatewayService; -import org.dromara.northstar.common.IModuleService; -import org.dromara.northstar.common.ObjectManager; -import org.dromara.northstar.common.model.ComponentMetaInfo; -import org.dromara.northstar.common.model.ContractSimpleInfo; -import org.dromara.northstar.common.model.DynamicParams; -import org.dromara.northstar.gateway.Gateway; -import org.dromara.northstar.gateway.IContractManager; -import org.dromara.northstar.strategy.IModule; - - -public class RLTrainer extends AbstractSerialTrainer { - - // protected RLTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, - // IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { - // super(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); - // //TODO Auto-generated constructor stub - // } - - // protected RLTrainer(ObjectManager gatewayMgr, ObjectManager moduleMgr, - // IContractManager contractMgr, IGatewayService gatewayService, IModuleService moduleService) { - // super(gatewayMgr, moduleMgr, contractMgr, gatewayService, moduleService); - // //TODO Auto-generated constructor stub - // } - - @Override - public DynamicParams strategyParams(ContractSimpleInfo csi) { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'strategyParams'"); - } - - @Override - public ComponentMetaInfo strategy() { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'strategy'"); - } - - @Override - public int[] testPeriods() { - // TODO Auto-generated method stub - throw new UnsupportedOperationException("Unimplemented method 'testPeriods'"); - } - -} \ No newline at end of file diff --git a/northstar-strategy-example/src/main/java/params/isTrain.java b/northstar-strategy-example/src/main/java/params/isTrain.java deleted file mode 100644 index aa76c4f5..00000000 --- a/northstar-strategy-example/src/main/java/params/isTrain.java +++ /dev/null @@ -1,5 +0,0 @@ -package params; - -public class isTrain { - -} -- Gitee From 7fd0e3629e5f3a1d6da7d6006e997fab7db9d1eb Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 19 Sep 2023 12:27:50 +0800 Subject: [PATCH 23/45] =?UTF-8?q?=E6=96=B0=E5=A2=9ERLAgent,=20RLStrategy?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../dromara/northstar/rl/agent/RLAgent.java | 108 +++++++++++ .../northstar/rl/trainer/RLTrainer.java | 5 + northstar-strategy-example/pom.xml | 5 + .../strategy/example/RLExampleStrategy.java | 41 ----- .../strategy/example/RLStrategy.java | 167 ++++++++++++++++++ 5 files changed, 285 insertions(+), 41 deletions(-) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java delete mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLExampleStrategy.java create mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java new file mode 100644 index 00000000..cd0927f0 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java @@ -0,0 +1,108 @@ +package org.dromara.northstar.rl.agent; + +import java.io.IOException; + +import org.apache.http.HttpEntity; +import org.apache.http.ParseException; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.impl.client.CloseableHttpClient; +import org.apache.http.impl.client.HttpClients; +import org.apache.http.util.EntityUtils; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; + +public class Agent { + private String getActionUrl = "http://localhost:5001/get-action"; + private String initInfoUrl = "http://localhost:5001/init-info"; + + + private String indicatorSymbol; + private String agentName; + private boolean isTrain; + private String modelVersion; + + + private CloseableHttpClient httpClient = HttpClients.createDefault(); + + public boolean initInfo( + String indicatorSymbol, + String agentName, + boolean isTrain, + String modelVersion + ) { + this.indicatorSymbol = indicatorSymbol; + this.agentName = agentName; + this.isTrain = isTrain; + this.modelVersion = modelVersion; + // 将参数传给Python端 + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", indicatorSymbol); + jsonData.put("agent_name", agentName); + jsonData.put("is_train", isTrain); + jsonData.put("model_version", modelVersion); + + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + boolean success = jsonObject.getBoolean("success"); + return success; + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return false; + } + + public int getAction(BarField bar, float lastReward) { + + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("unified_symbol", bar.getUnifiedSymbol()); + jsonData.put("open_price", bar.getOpenPrice()); + jsonData.put("high_price", bar.getHighPrice()); + jsonData.put("low_price", bar.getLowPrice()); + jsonData.put("close_price", bar.getClosePrice()); + jsonData.put("last_reward", lastReward); + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(getActionUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + + if (this.isTrain) { + Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 + return actionID; + } + + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return 0; + } + + public float getReward(BarField bar, int actionID) { + return 0; + } + +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java new file mode 100644 index 00000000..3a068f98 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java @@ -0,0 +1,5 @@ +package org.dromara.northstar.rl.trainer; + +public class RLTrainer { + +} diff --git a/northstar-strategy-example/pom.xml b/northstar-strategy-example/pom.xml index de344e62..ed7452e9 100644 --- a/northstar-strategy-example/pom.xml +++ b/northstar-strategy-example/pom.xml @@ -15,6 +15,11 @@ org.dromara northstar-api + + org.dromara + northstar-rl + 6.2.0.Alpha + org.junit.jupiter junit-jupiter diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLExampleStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLExampleStrategy.java deleted file mode 100644 index bb7d8128..00000000 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLExampleStrategy.java +++ /dev/null @@ -1,41 +0,0 @@ -package org.dromara.northstar.strategy.example; - -import org.dromara.northstar.common.model.DynamicParams; -import org.dromara.northstar.common.model.Setting; -import org.dromara.northstar.strategy.AbstractStrategy; -import org.dromara.northstar.strategy.StrategicComponent; -import org.dromara.northstar.strategy.TradeStrategy; - -/** - * 本示例用于展示一个集成了强化学习的策略 - * - * - * ## 风险提示:该策略仅作技术分享,据此交易,风险自担 ## - * @author KevinHuangwl - * - */ -@StrategicComponent(RLExampleStrategy.NAME) -public class RLExampleStrategy extends AbstractStrategy implements TradeStrategy{ - - protected static final String NAME = "示例-强化学习策略"; - - private InitParams params; // 策略的参数配置信息 - - @Override - public DynamicParams getDynamicParams() { - return new InitParams(); - } - - @Override - public void initWithParams(DynamicParams params) { - this.params = (InitParams) params; - } - - public static class InitParams extends DynamicParams { - - @Setting(label="指标合约", order=0) - private String indicatorSymbol; - - } - -} diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java new file mode 100644 index 00000000..709dc39a --- /dev/null +++ b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java @@ -0,0 +1,167 @@ +package org.dromara.northstar.strategy.example; + + +import org.dromara.northstar.common.constant.FieldType; +import org.dromara.northstar.common.constant.ModuleState; +import org.dromara.northstar.common.constant.SignalOperation; +import org.dromara.northstar.common.model.DynamicParams; +import org.dromara.northstar.common.model.Setting; +import org.dromara.northstar.strategy.IModuleContext; +import org.dromara.northstar.strategy.IModuleStrategyContext; +import org.dromara.northstar.strategy.StrategicComponent; +import org.dromara.northstar.strategy.AbstractStrategy; +import org.dromara.northstar.strategy.TradeStrategy; +import org.dromara.northstar.strategy.constant.PriceType; +import org.dromara.northstar.strategy.model.TradeIntent; +import org.dromara.northstar.rl.agent.RLAgent; + +import org.slf4j.Logger; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; +import xyz.redtorch.pb.CoreField.OrderField; +import xyz.redtorch.pb.CoreField.TickField; +import xyz.redtorch.pb.CoreField.TradeField; + +import java.io.IOException; +import java.io.UnsupportedEncodingException; + +import org.apache.http.HttpEntity; +import org.apache.http.ParseException; +import org.apache.http.client.HttpClient; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.impl.client.CloseableHttpClient; +import org.apache.http.impl.client.HttpClients; +import org.apache.http.util.EntityUtils; + + +@StrategicComponent(RLStrategy.NAME) +public class RLStrategy extends AbstractStrategy{ + + protected static final String NAME = "RL策略"; + + private InitParams params; + + private float lastReward = 0; + + private boolean firstRun = true; + + private RLAgent agent = new RLAgent(); + + @Override + public void onTick(TickField tick) { + log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", + tick.getUnifiedSymbol(), tick.getActionDay(), tick.getActionTime(), + tick.getLastPrice(), tick.getVolume(), tick.getOpenInterest(), tick.getOpenInterestDelta()); + } + + @Override + public void onMergedBar(BarField bar) { + log.debug("策略每分钟触发"); + log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", + bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); + + if (firstRun) { // 第一次运行,初始化信息 + firstRun = !agent.initInfo(params.indicatorSymbol, params.agentName, params.isTrain, params.modelVersion); + log.info("firstRun: {}", firstRun); + } else { + int actionID = agent.getAction(bar, lastReward); + executeTrade(bar, actionID); + lastReward = agent.getReward(bar, actionID); + log.info("actionID: {}, reward: {}", actionID, lastReward); + } + } + + + private void executeTrade(BarField bar, int actionID) { + log.info("execute trade..."); + switch (ctx.getState()) { + case EMPTY -> { + if (actionID == 0) { + log.info("actionID=0, EMPTY, 持仓"); + } else if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("actionID=1, EMPTY, 多开"); + } else if (actionID == 2) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_OPEN) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("空开"); + } + } + case HOLDING_LONG -> { + if (actionID == 0) { + log.info("actionID=0, HOLDING_LONG, 持仓"); + } else if (actionID == 1) { + log.info("actionID=1, HOLDING_LONG, 持仓"); + } else if (actionID == 2) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.SELL_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("actionID=2, HOLDING_LONG, 平多"); + } + } + case HOLDING_SHORT -> { + if (actionID == 0) { + log.info("actionID=0, HOLDING_SHORT, 持仓"); + } else if (actionID == 1) { + ctx.submitOrderReq(TradeIntent.builder() + .contract(ctx.getContract(bar.getUnifiedSymbol())) + .operation(SignalOperation.BUY_CLOSE) + .priceType(PriceType.OPP_PRICE) + .volume(1) + .timeout(5000) + .build()); + log.info("actionID=1, HOLDING_SHORT, 平空"); + } else if (actionID == 2) { + log.info("actionID=2, HOLDING_SHORT, 持仓"); + } + } + default -> { + log.info("当前状态:{},不交易", ctx.getState()); + } + } + } + + @Override + public DynamicParams getDynamicParams() { + return new InitParams(); + } + + @Override + public void initWithParams(DynamicParams params) { + this.params = (InitParams) params; + } + + public static class InitParams extends DynamicParams { + @Setting(label="指标合约", order=0) + private String indicatorSymbol; + + @Setting(label="算法名称", order=1) + private String agentName; + + @Setting(label="是否训练", order=2) + private boolean isTrain; + + @Setting(label="模型版本", order=3) + private String modelVersion; + } +} \ No newline at end of file -- Gitee From 8a8d474eeccc87a4502e96a7f0fbd48014b0d0b7 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 19 Sep 2023 17:08:47 +0800 Subject: [PATCH 24/45] =?UTF-8?q?=E5=88=A0=E9=99=A4=E6=97=A0=E7=94=A8?= =?UTF-8?q?=E6=96=87=E4=BB=B6=EF=BC=8C=E8=A7=A3=E8=80=A6=E5=88=B0northstar?= =?UTF-8?q?-external-rl?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../dromara/northstar/rl/agent/RLAgent.java | 19 +- .../northstar/rl/trainer/RLTrainer.java | 5 - .../strategy/example/RLStrategy.java | 167 ------------------ 3 files changed, 3 insertions(+), 188 deletions(-) delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java delete mode 100644 northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java index cd0927f0..ab208930 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java @@ -16,17 +16,10 @@ import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; -public class Agent { +public class RLAgent { private String getActionUrl = "http://localhost:5001/get-action"; private String initInfoUrl = "http://localhost:5001/init-info"; - - private String indicatorSymbol; - private String agentName; - private boolean isTrain; - private String modelVersion; - - private CloseableHttpClient httpClient = HttpClients.createDefault(); public boolean initInfo( @@ -35,10 +28,6 @@ public class Agent { boolean isTrain, String modelVersion ) { - this.indicatorSymbol = indicatorSymbol; - this.agentName = agentName; - this.isTrain = isTrain; - this.modelVersion = modelVersion; // 将参数传给Python端 try { JSONObject jsonData = new JSONObject(); @@ -89,10 +78,8 @@ public class Agent { String jsonResponse = EntityUtils.toString(responseEntity); JSONObject jsonObject = JSON.parseObject(jsonResponse); - if (this.isTrain) { - Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - return actionID; - } + Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 + return actionID; } } catch (ParseException | IOException e) { diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java deleted file mode 100644 index 3a068f98..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/trainer/RLTrainer.java +++ /dev/null @@ -1,5 +0,0 @@ -package org.dromara.northstar.rl.trainer; - -public class RLTrainer { - -} diff --git a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java b/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java deleted file mode 100644 index 709dc39a..00000000 --- a/northstar-strategy-example/src/main/java/org/dromara/northstar/strategy/example/RLStrategy.java +++ /dev/null @@ -1,167 +0,0 @@ -package org.dromara.northstar.strategy.example; - - -import org.dromara.northstar.common.constant.FieldType; -import org.dromara.northstar.common.constant.ModuleState; -import org.dromara.northstar.common.constant.SignalOperation; -import org.dromara.northstar.common.model.DynamicParams; -import org.dromara.northstar.common.model.Setting; -import org.dromara.northstar.strategy.IModuleContext; -import org.dromara.northstar.strategy.IModuleStrategyContext; -import org.dromara.northstar.strategy.StrategicComponent; -import org.dromara.northstar.strategy.AbstractStrategy; -import org.dromara.northstar.strategy.TradeStrategy; -import org.dromara.northstar.strategy.constant.PriceType; -import org.dromara.northstar.strategy.model.TradeIntent; -import org.dromara.northstar.rl.agent.RLAgent; - -import org.slf4j.Logger; - -import com.alibaba.fastjson.JSON; -import com.alibaba.fastjson.JSONObject; - -import xyz.redtorch.pb.CoreField.BarField; -import xyz.redtorch.pb.CoreField.OrderField; -import xyz.redtorch.pb.CoreField.TickField; -import xyz.redtorch.pb.CoreField.TradeField; - -import java.io.IOException; -import java.io.UnsupportedEncodingException; - -import org.apache.http.HttpEntity; -import org.apache.http.ParseException; -import org.apache.http.client.HttpClient; -import org.apache.http.client.methods.CloseableHttpResponse; -import org.apache.http.client.methods.HttpPost; -import org.apache.http.entity.StringEntity; -import org.apache.http.impl.client.CloseableHttpClient; -import org.apache.http.impl.client.HttpClients; -import org.apache.http.util.EntityUtils; - - -@StrategicComponent(RLStrategy.NAME) -public class RLStrategy extends AbstractStrategy{ - - protected static final String NAME = "RL策略"; - - private InitParams params; - - private float lastReward = 0; - - private boolean firstRun = true; - - private RLAgent agent = new RLAgent(); - - @Override - public void onTick(TickField tick) { - log.info("TICK触发: C:{} D:{} T:{} P:{} V:{} OI:{} OID:{}", - tick.getUnifiedSymbol(), tick.getActionDay(), tick.getActionTime(), - tick.getLastPrice(), tick.getVolume(), tick.getOpenInterest(), tick.getOpenInterestDelta()); - } - - @Override - public void onMergedBar(BarField bar) { - log.debug("策略每分钟触发"); - log.debug("{} K线数据: 开 [{}], 高 [{}], 低 [{}], 收 [{}]", - bar.getUnifiedSymbol(), bar.getOpenPrice(), bar.getHighPrice(), bar.getLowPrice(), bar.getClosePrice()); - - if (firstRun) { // 第一次运行,初始化信息 - firstRun = !agent.initInfo(params.indicatorSymbol, params.agentName, params.isTrain, params.modelVersion); - log.info("firstRun: {}", firstRun); - } else { - int actionID = agent.getAction(bar, lastReward); - executeTrade(bar, actionID); - lastReward = agent.getReward(bar, actionID); - log.info("actionID: {}, reward: {}", actionID, lastReward); - } - } - - - private void executeTrade(BarField bar, int actionID) { - log.info("execute trade..."); - switch (ctx.getState()) { - case EMPTY -> { - if (actionID == 0) { - log.info("actionID=0, EMPTY, 持仓"); - } else if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=1, EMPTY, 多开"); - } else if (actionID == 2) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_OPEN) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("空开"); - } - } - case HOLDING_LONG -> { - if (actionID == 0) { - log.info("actionID=0, HOLDING_LONG, 持仓"); - } else if (actionID == 1) { - log.info("actionID=1, HOLDING_LONG, 持仓"); - } else if (actionID == 2) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.SELL_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=2, HOLDING_LONG, 平多"); - } - } - case HOLDING_SHORT -> { - if (actionID == 0) { - log.info("actionID=0, HOLDING_SHORT, 持仓"); - } else if (actionID == 1) { - ctx.submitOrderReq(TradeIntent.builder() - .contract(ctx.getContract(bar.getUnifiedSymbol())) - .operation(SignalOperation.BUY_CLOSE) - .priceType(PriceType.OPP_PRICE) - .volume(1) - .timeout(5000) - .build()); - log.info("actionID=1, HOLDING_SHORT, 平空"); - } else if (actionID == 2) { - log.info("actionID=2, HOLDING_SHORT, 持仓"); - } - } - default -> { - log.info("当前状态:{},不交易", ctx.getState()); - } - } - } - - @Override - public DynamicParams getDynamicParams() { - return new InitParams(); - } - - @Override - public void initWithParams(DynamicParams params) { - this.params = (InitParams) params; - } - - public static class InitParams extends DynamicParams { - @Setting(label="指标合约", order=0) - private String indicatorSymbol; - - @Setting(label="算法名称", order=1) - private String agentName; - - @Setting(label="是否训练", order=2) - private boolean isTrain; - - @Setting(label="模型版本", order=3) - private String modelVersion; - } -} \ No newline at end of file -- Gitee From a9d05dabf50d98a156ae70fa58a2ab4be082460d Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Wed, 20 Sep 2023 22:12:21 +0800 Subject: [PATCH 25/45] finally make training procedure runnable --- python-app/buffer.py | 44 -------------------------------------------- python-app/env.py | 39 --------------------------------------- 2 files changed, 83 deletions(-) delete mode 100644 python-app/buffer.py delete mode 100644 python-app/env.py diff --git a/python-app/buffer.py b/python-app/buffer.py deleted file mode 100644 index 6c325f8d..00000000 --- a/python-app/buffer.py +++ /dev/null @@ -1,44 +0,0 @@ -import numpy as np -import torch as th -from gymnasium import spaces -from stable_baselines3.common.buffers import ReplayBuffer - -class TradingRolloutBuffer(ReplayBuffer): - def add( - self, - obs: np.ndarray, - action: np.ndarray, - last_reward: np.ndarray, - episode_start: np.ndarray, - value: th.Tensor, - log_prob: th.Tensor, - ) -> None: - """ - add current observation - """ - if len(log_prob.shape) == 0: - # Reshape 0-d tensor to avoid error - log_prob = log_prob.reshape(-1, 1) - - # Reshape needed when using multiple envs with discrete observations - # as numpy cannot broadcast (n_discrete,) to (n_discrete, 1) - if isinstance(self.observation_space, spaces.Discrete): - obs = obs.reshape((self.n_envs, *self.obs_shape)) - - # Reshape to handle multi-dim and discrete action spaces, see GH #970 #1392 - action = action.reshape((self.n_envs, self.action_dim)) - - if self.pos != 0: - self.rewards[self.pos-1] = np.array(last_reward).copy() - - if self.pos == self.buffer_size: - self.rewards[self.pos-1] = np.array(last_reward).copy() - self.full = True - return - - self.observations[self.pos] = np.array(obs).copy() - self.actions[self.pos] = np.array(action).copy() - self.episode_starts[self.pos] = np.array(episode_start).copy() - self.values[self.pos] = value.clone().cpu().numpy().flatten() - self.log_probs[self.pos] = log_prob.clone().cpu().numpy() - self.pos += 1 \ No newline at end of file diff --git a/python-app/env.py b/python-app/env.py deleted file mode 100644 index 4e3f8660..00000000 --- a/python-app/env.py +++ /dev/null @@ -1,39 +0,0 @@ -import math -import gymnasium as gym -from gymnasium import Space -import numpy as np - -class TradingEnv(gym.Env): - def __init__(self, - - ): - self.observation_space = gym.spaces.Box(low=0, high=np.inf, shape=(4,), dtype=np.float32) - self.action_space = gym.spaces.Discrete(3) - self.state = self._initiate_state() - - def _initiate_state(self): - return [ - 0, # open price - 0, # high price - 0, # low price - 0, # closed price - ] - - def reset(self): - self.state = self._initiate_state() - - def render(self, mode="human", close=False): - return self.state - - def update_data(self, data): - self.state = [ - data['open_price'], - data['high_price'], - data['low_price'], - data['close_price'] - ] - self.last_reward = data['last_reward'] - - def step(self, action): - return self.state, self.last_reward, False, {} - -- Gitee From 23087bef011b07285ea0ff89e4d73129bc3a8591 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Wed, 20 Sep 2023 22:13:09 +0800 Subject: [PATCH 26/45] =?UTF-8?q?=E8=A7=A3=E8=80=A6=E5=BC=BA=E5=8C=96?= =?UTF-8?q?=E5=AD=A6=E4=B9=A0=E7=AD=96=E7=95=A5=EF=BC=8C=E5=88=A0=E9=99=A4?= =?UTF-8?q?python-app?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- python-app/agents/ppo/__init__.py | 1 - python-app/agents/ppo/config.py | 18 --- python-app/agents/ppo/ppo.py | 205 ------------------------------ python-app/java-simulator.py | 41 ------ python-app/main.py | 17 --- python-app/server.py | 95 -------------- 6 files changed, 377 deletions(-) delete mode 100644 python-app/agents/ppo/__init__.py delete mode 100644 python-app/agents/ppo/config.py delete mode 100644 python-app/agents/ppo/ppo.py delete mode 100644 python-app/java-simulator.py delete mode 100644 python-app/main.py delete mode 100644 python-app/server.py diff --git a/python-app/agents/ppo/__init__.py b/python-app/agents/ppo/__init__.py deleted file mode 100644 index 884c2d72..00000000 --- a/python-app/agents/ppo/__init__.py +++ /dev/null @@ -1 +0,0 @@ -from .ppo import PPO, RolloutBuffer \ No newline at end of file diff --git a/python-app/agents/ppo/config.py b/python-app/agents/ppo/config.py deleted file mode 100644 index 13570879..00000000 --- a/python-app/agents/ppo/config.py +++ /dev/null @@ -1,18 +0,0 @@ -class PPOConfig: - def __init__(self, - state_dim=4, - action_dim=1, - lr_actor=3e-4, - lr_critic=3e-4, - gamma=0.99, - K_epochs=4, - eps_clip=0.2, - has_continuous_action_space=False) -> None: - self.state_dim = state_dim - self.action_dim = action_dim - self.lr_actor = lr_actor - self.lr_critic = lr_critic - self.gamma = gamma - self.K_epochs = K_epochs - self.eps_clip = eps_clip - self.has_continuous_action_space = has_continuous_action_space \ No newline at end of file diff --git a/python-app/agents/ppo/ppo.py b/python-app/agents/ppo/ppo.py deleted file mode 100644 index 05541ec5..00000000 --- a/python-app/agents/ppo/ppo.py +++ /dev/null @@ -1,205 +0,0 @@ -""" -Referenced the code from nikhilbarhate: https://github.com/nikhilbarhate99/PPO-PyTorch -""" - -import torch -import torch.nn as nn -from torch.distributions import Categorical -from ..base import BaseRL - - -class RolloutBuffer: - def __init__(self): - self.actions = [] - self.states = [] - self.logprobs = [] - self.rewards = [] - self.state_values = [] - self.is_terminals = [] - - def clear(self): - del self.actions[:] - del self.states[:] - del self.logprobs[:] - del self.rewards[:] - del self.state_values[:] - del self.is_terminals[:] - - def add(self, - action, - state, - logprob, - last_reward, - state_value, - is_terminal): - - self.actions.append(action) - self.states.append(state) - self.logprobs.append(logprob) - self.rewards.append(last_reward) - self.state_values.append(state_value) - self.is_terminals.append(is_terminal) - -class ActorCritic(nn.Module): - def __init__(self, state_dim, action_dim): - super(ActorCritic, self).__init__() - - # actor - self.actor = nn.Sequential( - nn.Linear(state_dim, 64), - nn.Tanh(), - nn.Linear(64, 64), - nn.Tanh(), - nn.Linear(64, action_dim), - nn.Softmax(dim=-1) - ) - # critic - self.critic = nn.Sequential( - nn.Linear(state_dim, 64), - nn.Tanh(), - nn.Linear(64, 64), - nn.Tanh(), - nn.Linear(64, 1) - ) - - def forward(self): - raise NotImplementedError - - def act(self, state): - - action_probs = self.actor(state) - dist = Categorical(action_probs) - - action = dist.sample() - action_logprob = dist.log_prob(action) - state_val = self.critic(state) - - return action.detach(), action_logprob.detach(), state_val.detach() - - def evaluate(self, state, action): - action_probs = self.actor(state) - # print(f"state: {state}, action: {action}, action_prob: {action_probs}") - dist = Categorical(action_probs) - action_logprobs = dist.log_prob(action) - dist_entropy = dist.entropy() - state_values = self.critic(state) - - return action_logprobs, state_values, dist_entropy - - -class PPO(BaseRL): - def __init__(self, - state_dim, - action_dim, - lr_actor: float = 3e-4, - lr_critic: float = 3e-4, - gamma: float = 0.99, - K_epochs: int = 4, - eps_clip: float = 0.2): - - self.gamma = gamma - self.eps_clip = eps_clip - self.K_epochs = K_epochs - - self.buffer = RolloutBuffer() - - self.device = set_device() - - self.policy = ActorCritic(state_dim, action_dim).to(self.device) - self.optimizer = torch.optim.Adam([ - {'params': self.policy.actor.parameters(), 'lr': lr_actor}, - {'params': self.policy.critic.parameters(), 'lr': lr_critic} - ]) - - self.policy_old = ActorCritic(state_dim, action_dim).to(self.device) - self.policy_old.load_state_dict(self.policy.state_dict()) - - self.MseLoss = nn.MSELoss() - - - def select_action(self, state, last_reward): - with torch.no_grad(): - state = torch.FloatTensor(state).to(self.device) - action, action_logprob, state_val = self.policy_old.act(state) - - # self.buffer.states.append(state) - # self.buffer.actions.append(action) - # self.buffer.logprobs.append(action_logprob) - # self.buffer.state_values.append(state_val) - self.buffer.add(action, state, action_logprob, last_reward, state_val, False) - - return action.item() - - def update(self): - # Monte Carlo estimate of returns - rewards = [] - discounted_reward = 0 - - if len(self.buffer.states) > 1: - self.buffer.states.pop(-1) - self.buffer.actions.pop(-1) - self.buffer.logprobs.pop(-1) - self.buffer.rewards.pop(0) - self.buffer.state_values.pop(-1) - self.buffer.is_terminals.pop(-1) - - # print(self.buffer.rewards) - for reward, is_terminal in zip(reversed(self.buffer.rewards), reversed(self.buffer.is_terminals)): - if is_terminal: - discounted_reward = 0 - discounted_reward = reward + (self.gamma * discounted_reward) - rewards.insert(0, discounted_reward) - - # Normalizing the rewards - rewards = torch.tensor(rewards, dtype=torch.float32).to(self.device) - rewards = (rewards - rewards.mean()) / (rewards.std() + 1e-7) - - # convert list to tensor - old_states = torch.squeeze(torch.stack(self.buffer.states, dim=0)).detach().to(self.device) - old_actions = torch.squeeze(torch.stack(self.buffer.actions, dim=0)).detach().to(self.device) - old_logprobs = torch.squeeze(torch.stack(self.buffer.logprobs, dim=0)).detach().to(self.device) - old_state_values = torch.squeeze(torch.stack(self.buffer.state_values, dim=0)).detach().to(self.device) - - # calculate advantages - advantages = rewards.detach() - old_state_values.detach() - - # Optimize policy for K epochs - for _ in range(self.K_epochs): - - # Evaluating old actions and values - logprobs, state_values, dist_entropy = self.policy.evaluate(old_states, old_actions) - - # match state_values tensor dimensions with rewards tensor - state_values = torch.squeeze(state_values) - - # Finding the ratio (pi_theta / pi_theta__old) - ratios = torch.exp(logprobs - old_logprobs.detach()) - - # Finding Surrogate Loss - surr1 = ratios * advantages - surr2 = torch.clamp(ratios, 1-self.eps_clip, 1+self.eps_clip) * advantages - - # final loss of clipped objective PPO - loss = -torch.min(surr1, surr2) + 0.5 * self.MseLoss(state_values, rewards) - 0.01 * dist_entropy - - # take gradient step - self.optimizer.zero_grad() - loss.mean().backward() - self.optimizer.step() - - # Copy new weights into old policy - self.policy_old.load_state_dict(self.policy.state_dict()) - - # clear buffer - self.buffer.clear() - - def save(self, checkpoint_path): - torch.save(self.policy_old.state_dict(), checkpoint_path) - - def load(self, checkpoint_path): - self.policy_old.load_state_dict(torch.load(checkpoint_path, map_location=lambda storage, loc: storage)) - self.policy.load_state_dict(torch.load(checkpoint_path, map_location=lambda storage, loc: storage)) - - - - diff --git a/python-app/java-simulator.py b/python-app/java-simulator.py deleted file mode 100644 index 4fe4bac0..00000000 --- a/python-app/java-simulator.py +++ /dev/null @@ -1,41 +0,0 @@ -import random -from time import sleep -import requests - -SLEEP_TIME = 0.1 - -def init_info(): - # send request to server - url = "http://localhost:5001/init-info" - data = { - "indicator_symbol": "rb0000@SHFE@FUTURES", - "agent_name": "ppo", - "is_train": True, - "model_version": 1 - } - post_response = requests.post(url, json=data) - print(post_response.json()) - # assert 0 - -def get_action(): - url = "http://localhost:5001/get-action" - data = { - "unified_symbol": "rb0000@SHFE@FUTURES", - "open_price": random.random(), - "high_price": random.random(), - "low_price": random.random(), - "close_price": random.random(), - "last_reward": random.random(), - } - post_response = requests.post(url, json=data) - print(post_response.json()) - -def simulate(): - init_info() - sleep(SLEEP_TIME) - - for i in range(1000): - get_action() - sleep(SLEEP_TIME) - -simulate() \ No newline at end of file diff --git a/python-app/main.py b/python-app/main.py deleted file mode 100644 index 081c46a3..00000000 --- a/python-app/main.py +++ /dev/null @@ -1,17 +0,0 @@ -import torch -from server import Server -from flask import Flask, request, jsonify - -app = Flask(__name__) -server = Server() - -@app.route("/init-info", methods=["POST"]) -def init_info(): - return server.init_info(request.json) - -@app.route("/get-action", methods=["POST"]) -def get_action(): - data = request.json - return server.get_action(data) - -app.run(port=5001) diff --git a/python-app/server.py b/python-app/server.py deleted file mode 100644 index 9b36d6b5..00000000 --- a/python-app/server.py +++ /dev/null @@ -1,95 +0,0 @@ -import os -import time -import random -import numpy as np -import torch as th -import gymnasium as gym -from flask import Flask, request, jsonify -from agents.ppo import PPO, RolloutBuffer -from agents.dqn import DQN -from stable_baselines3.common.utils import obs_as_tensor -from env import TradingEnv - -app = Flask(__name__) - -AGENTS = { - "ppo": PPO, - "dqn": DQN, -} - -class Server: - def __init__(self) -> None: - self.agent_name = None - self.is_train = None - self.models = {} - self.action = None - self.state_dim = 4 - self.action_dim = 3 - self.n_iter = 0 - - def _get_model_id(self, indicator_symbol, model_version): - return f"{indicator_symbol}-{self.agent_name}-{model_version}" - - def load_model(self, indicator_symbol, model_version): - model = AGENTS[self.agent_name](self.state_dim, self.action_dim) - self.models[indicator_symbol] = model - - def load_model_from_file(self, indicator_symbol, model_version): - model_id = self._get_model_id(indicator_symbol, model_version) - model_path = f"models/{model_id}" - if os.path.exists(model_path): - model = AGENTS[self.agent_name] - model.load(model_path) - self.models[indicator_symbol] = model - return True - else: - print(f"Model {model_id} not found") - self.load_model(indicator_symbol, model_version) - return False - - def init_info(self, data): - # load data from request - self.agent_name = data["agent_name"].lower() - self.is_train = data["is_train"] - indicator_symbol = data["indicator_symbol"] - model_version = data["model_version"] - print(data) - # print(data) - # if train, load model from scratch; else, load model from file - if self.is_train: - self.load_model(indicator_symbol, model_version) - return jsonify({"success": True}) - else: - if self.load_model_from_file(indicator_symbol, model_version): - return jsonify({"success": True}) - else: - return jsonify({"success": False}) - - - def get_action(self, data): - start_time = time.time() - - # load data from request - data = request.get_json() - unified_symbol = data["unified_symbol"] - open_price = data["open_price"] - high_price = data["high_price"] - low_price = data["low_price"] - close_price = data["close_price"] - last_reward = data["last_reward"] - - - model = self.models[unified_symbol] - state = [open_price, high_price, low_price, close_price] - self.action = model.select_action(state, last_reward) - print(f"action: {self.action}") - - if not os.path.exists("models"): - os.makedirs("models") - - if self.n_iter % 100 == 0 and self.n_iter != 0: - model.update() - model.save(f"models/model_{self.n_iter}.pth") - self.n_iter += 1 - - return jsonify({"action": self.action}) \ No newline at end of file -- Gitee From 8141916b30583b9ae3aeac1ffbdb890e7b98b22a Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Fri, 22 Sep 2023 17:54:21 +0800 Subject: [PATCH 27/45] Update RL Module --- .../org/dromara/northstar/rl/RLReward.java | 22 +++++++++++++++++++ .../org/dromara/northstar/rl/RLStrategy.java | 8 ------- .../java/org/dromara/northstar/rl/Reward.java | 11 ---------- .../java/org/dromara/northstar/rl/State.java | 13 ----------- .../dromara/northstar/rl/agent/RLAgent.java | 7 +++--- 5 files changed, 26 insertions(+), 35 deletions(-) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/RLReward.java delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/RLStrategy.java delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/Reward.java delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/State.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/RLReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/RLReward.java new file mode 100644 index 00000000..b710bdd4 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/RLReward.java @@ -0,0 +1,22 @@ +package org.dromara.northstar.rl; + +import xyz.redtorch.pb.CoreField.BarField; + +public abstract class RLReward { + public static double rewardGenerator(BarField bar, BarField lastBar, int actionID, String rewardType) { + switch (rewardType) { + case "dummy" -> { return dummyReward(bar, actionID); } + case "openDiff" -> { return openDiffReward(bar, lastBar, actionID); } + default -> { return 0; } + } + } + + private static double dummyReward(BarField bar, int actionID) { + return 0; + } + + private static double openDiffReward(BarField bar, BarField lastBar, int actionID) { + + return bar.getOpenPrice() - lastBar.getOpenPrice(); + } +} \ No newline at end of file diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/RLStrategy.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/RLStrategy.java deleted file mode 100644 index 665484ed..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/RLStrategy.java +++ /dev/null @@ -1,8 +0,0 @@ -package org.dromara.northstar.rl; - -public interface RLStrategy { - - Reward getReward(); - - State getState(); -} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/Reward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/Reward.java deleted file mode 100644 index f50b8955..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/Reward.java +++ /dev/null @@ -1,11 +0,0 @@ -package org.dromara.northstar.rl; - -public abstract class Reward { - - public double getValue() { - return evaluate(); - } - - public abstract double evaluate(); - -} \ No newline at end of file diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/State.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/State.java deleted file mode 100644 index 0a8a5390..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/State.java +++ /dev/null @@ -1,13 +0,0 @@ -package org.dromara.northstar.rl; - -import com.alibaba.fastjson.JSONObject; - -public abstract class State { - - public JSONObject getValue() { - return evaluate(); - } - - public abstract JSONObject evaluate(); - -} \ No newline at end of file diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java index ab208930..37db2ed0 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java @@ -10,6 +10,7 @@ import org.apache.http.entity.StringEntity; import org.apache.http.impl.client.CloseableHttpClient; import org.apache.http.impl.client.HttpClients; import org.apache.http.util.EntityUtils; +import org.dromara.northstar.rl.RLReward; import com.alibaba.fastjson.JSON; import com.alibaba.fastjson.JSONObject; @@ -56,7 +57,7 @@ public class RLAgent { return false; } - public int getAction(BarField bar, float lastReward) { + public int getAction(BarField bar, double lastReward) { try { JSONObject jsonData = new JSONObject(); @@ -88,8 +89,8 @@ public class RLAgent { return 0; } - public float getReward(BarField bar, int actionID) { - return 0; + public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { + return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); } } -- Gitee From 796af351c781292c4b40216383a5add4a5c745f0 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Sat, 7 Oct 2023 21:39:45 +0800 Subject: [PATCH 28/45] add agent, reward, state folder in northstar-rl --- .../web/restful/GatewayDataController.java | 63 ------------------- 1 file changed, 63 deletions(-) delete mode 100644 northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java diff --git a/northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java b/northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java deleted file mode 100644 index 614feef7..00000000 --- a/northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java +++ /dev/null @@ -1,63 +0,0 @@ -package org.dromara.northstar.web.restful; - -import java.time.LocalDate; -import java.time.Period; -import java.util.Collections; -import java.util.List; - -import org.dromara.northstar.common.constant.ChannelType; -import org.dromara.northstar.common.model.GatewayDescription; -import org.dromara.northstar.common.model.ResultBean; -import org.dromara.northstar.common.utils.MarketDataLoadingUtils; -import org.dromara.northstar.data.IGatewayRepository; -import org.dromara.northstar.data.IMarketDataRepository; -import org.dromara.northstar.gateway.Contract; -import org.dromara.northstar.gateway.IContractManager; -import org.springframework.beans.factory.annotation.Autowired; -import org.springframework.util.Assert; -import org.springframework.web.bind.annotation.GetMapping; -import org.springframework.web.bind.annotation.RequestMapping; -import org.springframework.web.bind.annotation.RestController; - -import xyz.redtorch.pb.CoreField.BarField; - -@RequestMapping("/northstar/data") -@RestController -public class GatewayDataController { - - @Autowired - private IMarketDataRepository mdRepo; - - @Autowired - private IGatewayRepository gatewayRepo; - - @Autowired - private IContractManager contractMgr; - - private MarketDataLoadingUtils utils = new MarketDataLoadingUtils(); - - @GetMapping("/bar/min") - public ResultBean> loadWeeklyBarData(String gatewayId, String unifiedSymbol, long refStartTimestamp, boolean firstLoad){ - Assert.notNull(unifiedSymbol, "合约代码不能为空"); - GatewayDescription gd = gatewayRepo.findById(gatewayId); - if(gd.getChannelType() == ChannelType.PLAYBACK || gd.getChannelType() == ChannelType.SIM) { - return new ResultBean<>(Collections.emptyList()); - } - Contract contract = contractMgr.getContract(gd.getChannelType(), unifiedSymbol); - LocalDate start = utils.getFridayOfLastWeek(refStartTimestamp); - if(firstLoad && Period.between(start, LocalDate.now()).getDays() < 7) { - start = start.minusWeeks(1); - } - LocalDate end = utils.getCurrentTradeDay(refStartTimestamp, firstLoad); - List result = Collections.emptyList(); - for(int i=0; i<3; i++) { - result = mdRepo.loadBars(contract.contractField(), start.minusWeeks(i), end.minusWeeks(i)); - if(!result.isEmpty()) { - break; - } - } - - return new ResultBean<>(result.stream().map(BarField::toByteArray).toList()); - } - -} -- Gitee From ea90e13cdff5a5aee749e6ed404e4cc86154fdd1 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Sat, 7 Oct 2023 21:39:54 +0800 Subject: [PATCH 29/45] add agent, reward, state folder in northstar-rl --- .../dromara/northstar/rl/agent/BaseAgent.java | 95 +++++++++++++++++++ .../dromara/northstar/rl/state/RLState.java | 0 2 files changed, 95 insertions(+) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/state/RLState.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java new file mode 100644 index 00000000..7b399e0f --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java @@ -0,0 +1,95 @@ +package org.dromara.northstar.rl.agent; + +import java.io.IOException; + +import org.apache.http.HttpEntity; +import org.apache.http.ParseException; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.impl.client.CloseableHttpClient; +import org.apache.http.impl.client.HttpClients; +import org.apache.http.util.EntityUtils; +import org.dromara.northstar.rl.RLReward; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; + +public class BaseAgent { + private String getActionUrl = "http://localhost:5001/get-action"; + private String initInfoUrl = "http://localhost:5001/init-info"; + + private CloseableHttpClient httpClient = HttpClients.createDefault(); + + public boolean initInfo( + String indicatorSymbol, + String agentName, + boolean isTrain, + String modelVersion + ) { + // 将参数传给Python端 + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", indicatorSymbol); + jsonData.put("agent_name", agentName); + jsonData.put("is_train", isTrain); + jsonData.put("model_version", modelVersion); + + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + boolean success = jsonObject.getBoolean("success"); + return success; + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return false; + } + + public int getAction(BarField bar, double lastReward) { + + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("unified_symbol", bar.getUnifiedSymbol()); + jsonData.put("open_price", bar.getOpenPrice()); + jsonData.put("high_price", bar.getHighPrice()); + jsonData.put("low_price", bar.getLowPrice()); + jsonData.put("close_price", bar.getClosePrice()); + jsonData.put("last_reward", lastReward); + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(getActionUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + + Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 + return actionID; + + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return 0; + } + + public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { + return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); + } +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/RLState.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/RLState.java new file mode 100644 index 00000000..e69de29b -- Gitee From 1f3cbce0d4ca5544813f5f6ef5fea24a4f0dfe63 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 01:00:05 +0800 Subject: [PATCH 30/45] add agent builder, rewrite state and reward --- .../dromara/northstar/rl/HttpRLClient.java | 7 ++ .../org/dromara/northstar/rl/agent/Agent.java | 95 +++++++++++++++++++ .../dromara/northstar/rl/agent/PPOAgent.java | 62 ++++++++++++ .../northstar/rl/agent/PPOAgentBuilder.java | 72 ++++++++++++++ .../dromara/northstar/rl/agent/RLAgent.java | 10 +- .../northstar/rl/{ => reward}/RLReward.java | 2 +- .../dromara/northstar/rl/reward/Reward.java | 5 + .../dromara/northstar/rl/state/RLState.java | 0 .../org/dromara/northstar/rl/state/State.java | 5 + 9 files changed, 250 insertions(+), 8 deletions(-) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java rename northstar-rl/src/main/java/org/dromara/northstar/rl/{ => reward}/RLReward.java (93%) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/state/RLState.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java new file mode 100644 index 00000000..cfa20ebd --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -0,0 +1,7 @@ +package org.dromara.northstar.rl; + +public class HttpRLClient { + public boolean initInfo(State state, Agent agent, Reward reward) { + + } +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java new file mode 100644 index 00000000..d3ab9dc5 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java @@ -0,0 +1,95 @@ +package org.dromara.northstar.rl.agent; + +import java.io.IOException; + +import org.apache.http.HttpEntity; +import org.apache.http.ParseException; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.impl.client.CloseableHttpClient; +import org.apache.http.impl.client.HttpClients; +import org.apache.http.util.EntityUtils; +import org.dromara.northstar.rl.reward.RLReward; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; + +public class Agent { + protected String getActionUrl = "http://localhost:5001/get-action"; + protected String initInfoUrl = "http://localhost:5001/init-info"; + + protected CloseableHttpClient httpClient = HttpClients.createDefault(); + + public boolean initInfo( + String indicatorSymbol, + String agentName, + boolean isTrain, + String modelVersion + ) { + // 将参数传给Python端 + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", indicatorSymbol); + jsonData.put("agent_name", agentName); + jsonData.put("is_train", isTrain); + jsonData.put("model_version", modelVersion); + + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + boolean success = jsonObject.getBoolean("success"); + return success; + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return false; + } + + public int getAction(BarField bar, double lastReward) { + + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("unified_symbol", bar.getUnifiedSymbol()); + jsonData.put("open_price", bar.getOpenPrice()); + jsonData.put("high_price", bar.getHighPrice()); + jsonData.put("low_price", bar.getLowPrice()); + jsonData.put("close_price", bar.getClosePrice()); + jsonData.put("last_reward", lastReward); + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(getActionUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSON.parseObject(jsonResponse); + + Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 + return actionID; + + } + } catch (ParseException | IOException e) { + e.printStackTrace(); + } + return 0; + } + + public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { + return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); + } +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java new file mode 100644 index 00000000..35860732 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -0,0 +1,62 @@ +package org.dromara.northstar.rl.agent; + +import org.apache.http.HttpEntity; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.util.EntityUtils; +import org.dromara.northstar.rl.agent.Agent; +import com.alibaba.fastjson.JSONObject; + +public class PPOAgent extends Agent { + + public boolean initInfo( + String indicatorSymbol, + String agentName, + int stateDim, + int actionDim, + double lrActor, + double lrCritic, + double gamma, + int kEpochs, + double epsClip, + boolean isTrain, + String modelVersion + ) { + try { + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", indicatorSymbol); + + // PPO 模型超参数设置 + jsonData.put("state_dim", stateDim); + jsonData.put("action_dim", actionDim); + jsonData.put("lr_actor", lrActor); + jsonData.put("lr_critic", lrCritic); + jsonData.put("gamma", gamma); + jsonData.put("K_epochs", kEpochs); + jsonData.put("eps_clip", epsClip); + + // 通用参数设置 + jsonData.put("is_train", isTrain); + jsonData.put("model_version", modelVersion); + + String jsonContent = jsonData.toString(); + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject jsonObject = JSONObject.parseObject(jsonResponse); + boolean success = jsonObject.getBoolean("success"); + return success; + } + } catch (Exception e) { + e.printStackTrace(); + } + return false; + } +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java new file mode 100644 index 00000000..8c240828 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java @@ -0,0 +1,72 @@ +package org.dromara.northstar.rl.agent; + +public class PPOAgentBuilder { + private String indicatorSymbol; + private String agentName = "ppo"; + private int stateDim = 4; + private int actionDim = 3; + private double lrActor = 0.0003; + private double lrCritic = 0.0003; + private double gamma = 0.99; + private int kEpochs = 4; + private double epsClip = 0.2; + private boolean isTrain = false; + private String modelVersion = "1"; + + public PPOAgentBuilder() {} + + public PPOAgentBuilder indicatorSymbol(String indicatorSymbol) { + this.indicatorSymbol = indicatorSymbol; + return this; + } + + public PPOAgentBuilder agentName(String agentName) { + this.agentName = agentName; + return this; + } + + public PPOAgentBuilder stateDim(int stateDim) { + this.stateDim = stateDim; + return this; + } + + public PPOAgentBuilder actionDim(int actionDim) { + this.actionDim = actionDim; + return this; + } + + public PPOAgentBuilder lrActor(double lrActor) { + this.lrActor = lrActor; + return this; + } + + public PPOAgentBuilder lrCritic(double lrCritic) { + this.lrCritic = lrCritic; + return this; + } + + public PPOAgentBuilder gamma(double gamma) { + this.gamma = gamma; + return this; + } + + public PPOAgentBuilder kEpochs(int kEpochs) { + this.kEpochs = kEpochs; + return this; + } + + public PPOAgentBuilder epsClip(double epsClip) { + this.epsClip = epsClip; + return this; + } + + public PPOAgentBuilder isTrain(boolean isTrain) { + this.isTrain = isTrain; + return this; + } + + public PPOAgentBuilder modelVersion(String modelVersion) { + this.modelVersion = modelVersion; + return this; + } +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java index 37db2ed0..52fb847c 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java @@ -1,6 +1,7 @@ package org.dromara.northstar.rl.agent; import java.io.IOException; +import java.util.Map; import org.apache.http.HttpEntity; import org.apache.http.ParseException; @@ -10,7 +11,7 @@ import org.apache.http.entity.StringEntity; import org.apache.http.impl.client.CloseableHttpClient; import org.apache.http.impl.client.HttpClients; import org.apache.http.util.EntityUtils; -import org.dromara.northstar.rl.RLReward; +import org.dromara.northstar.rl.reward.RLReward; import com.alibaba.fastjson.JSON; import com.alibaba.fastjson.JSONObject; @@ -23,12 +24,7 @@ public class RLAgent { private CloseableHttpClient httpClient = HttpClients.createDefault(); - public boolean initInfo( - String indicatorSymbol, - String agentName, - boolean isTrain, - String modelVersion - ) { + public boolean initInfo(Map params) { // 将参数传给Python端 try { JSONObject jsonData = new JSONObject(); diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/RLReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/RLReward.java similarity index 93% rename from northstar-rl/src/main/java/org/dromara/northstar/rl/RLReward.java rename to northstar-rl/src/main/java/org/dromara/northstar/rl/reward/RLReward.java index b710bdd4..c3e3fb20 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/RLReward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/RLReward.java @@ -1,4 +1,4 @@ -package org.dromara.northstar.rl; +package org.dromara.northstar.rl.reward; import xyz.redtorch.pb.CoreField.BarField; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java new file mode 100644 index 00000000..e97589cd --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java @@ -0,0 +1,5 @@ +package org.dromara.northstar.rl.reward; + +public interface Reward { + +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/RLState.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/RLState.java deleted file mode 100644 index e69de29b..00000000 diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java new file mode 100644 index 00000000..11962d0e --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java @@ -0,0 +1,5 @@ +package org.dromara.northstar.rl.state; + +public interface State { + +} -- Gitee From f6607e7e188981a7d46f43483a25b396ab093a10 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 10:13:52 +0800 Subject: [PATCH 31/45] rewrite PPOAgentDescription using lombok --- .../northstar/rl/agent/PPOAgentBuilder.java | 72 ------------------- .../rl/agent/PPOAgentDescription.java | 45 ++++++++++++ 2 files changed, 45 insertions(+), 72 deletions(-) delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java deleted file mode 100644 index 8c240828..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentBuilder.java +++ /dev/null @@ -1,72 +0,0 @@ -package org.dromara.northstar.rl.agent; - -public class PPOAgentBuilder { - private String indicatorSymbol; - private String agentName = "ppo"; - private int stateDim = 4; - private int actionDim = 3; - private double lrActor = 0.0003; - private double lrCritic = 0.0003; - private double gamma = 0.99; - private int kEpochs = 4; - private double epsClip = 0.2; - private boolean isTrain = false; - private String modelVersion = "1"; - - public PPOAgentBuilder() {} - - public PPOAgentBuilder indicatorSymbol(String indicatorSymbol) { - this.indicatorSymbol = indicatorSymbol; - return this; - } - - public PPOAgentBuilder agentName(String agentName) { - this.agentName = agentName; - return this; - } - - public PPOAgentBuilder stateDim(int stateDim) { - this.stateDim = stateDim; - return this; - } - - public PPOAgentBuilder actionDim(int actionDim) { - this.actionDim = actionDim; - return this; - } - - public PPOAgentBuilder lrActor(double lrActor) { - this.lrActor = lrActor; - return this; - } - - public PPOAgentBuilder lrCritic(double lrCritic) { - this.lrCritic = lrCritic; - return this; - } - - public PPOAgentBuilder gamma(double gamma) { - this.gamma = gamma; - return this; - } - - public PPOAgentBuilder kEpochs(int kEpochs) { - this.kEpochs = kEpochs; - return this; - } - - public PPOAgentBuilder epsClip(double epsClip) { - this.epsClip = epsClip; - return this; - } - - public PPOAgentBuilder isTrain(boolean isTrain) { - this.isTrain = isTrain; - return this; - } - - public PPOAgentBuilder modelVersion(String modelVersion) { - this.modelVersion = modelVersion; - return this; - } -} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java new file mode 100644 index 00000000..d08c7f79 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java @@ -0,0 +1,45 @@ +package org.dromara.northstar.rl.agent; + +import lombok.AllArgsConstructor; +import lombok.Builder; +import lombok.Data; +import lombok.NoArgsConstructor; + +@AllArgsConstructor +@NoArgsConstructor +@Builder(toBuilder = true) +@Data +public class PPOAgentDescription { + + private String indicatorSymbol; + + @Builder.Default + private String agentName = "ppo"; + + @Builder.Default + private int stateDim = 4; + + @Builder.Default + private int actionDim = 3; + + @Builder.Default + private double lrActor = 0.0003; + + @Builder.Default + private double lrCritic = 0.0003; + + @Builder.Default + private double gamma = 0.99; + + @Builder.Default + private int kEpochs = 4; + + @Builder.Default + private double epsClip = 0.2; + + @Builder.Default + private boolean isTrain = false; + + @Builder.Default + private String modelVersion = "1"; +} -- Gitee From b35a7870d9a150578615776a776108427a503a89 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 10:42:12 +0800 Subject: [PATCH 32/45] update PPOAgent --- .../dromara/northstar/rl/HttpRLClient.java | 2 +- .../org/dromara/northstar/rl/agent/Agent.java | 124 +++++++++--------- .../dromara/northstar/rl/agent/PPOAgent.java | 62 +++------ 3 files changed, 78 insertions(+), 110 deletions(-) diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index cfa20ebd..ed9c9612 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -1,7 +1,7 @@ package org.dromara.northstar.rl; public class HttpRLClient { - public boolean initInfo(State state, Agent agent, Reward reward) { + public boolean createClient(State state, Agent agent, Reward reward) { } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java index d3ab9dc5..fb1112bb 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java @@ -17,79 +17,79 @@ import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; -public class Agent { +public interface Agent { protected String getActionUrl = "http://localhost:5001/get-action"; protected String initInfoUrl = "http://localhost:5001/init-info"; protected CloseableHttpClient httpClient = HttpClients.createDefault(); - public boolean initInfo( - String indicatorSymbol, - String agentName, - boolean isTrain, - String modelVersion - ) { - // 将参数传给Python端 - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", indicatorSymbol); - jsonData.put("agent_name", agentName); - jsonData.put("is_train", isTrain); - jsonData.put("model_version", modelVersion); + // public boolean initInfo( + // String indicatorSymbol, + // String agentName, + // boolean isTrain, + // String modelVersion + // ) { + // // 将参数传给Python端 + // try { + // JSONObject jsonData = new JSONObject(); + // jsonData.put("indicator_symbol", indicatorSymbol); + // jsonData.put("agent_name", agentName); + // jsonData.put("is_train", isTrain); + // jsonData.put("model_version", modelVersion); - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(initInfoUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); + // String jsonContent = jsonData.toString(); + // HttpPost httpPost = new HttpPost(initInfoUrl); + // httpPost.setHeader("Content-Type", "application/json"); + // StringEntity entity = new StringEntity(jsonContent); + // httpPost.setEntity(entity); + // CloseableHttpResponse response = httpClient.execute(httpPost); + // HttpEntity responseEntity = response.getEntity(); - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - boolean success = jsonObject.getBoolean("success"); - return success; - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return false; - } + // if (responseEntity != null) { + // String jsonResponse = EntityUtils.toString(responseEntity); + // JSONObject jsonObject = JSON.parseObject(jsonResponse); + // boolean success = jsonObject.getBoolean("success"); + // return success; + // } + // } catch (ParseException | IOException e) { + // e.printStackTrace(); + // } + // return false; + // } - public int getAction(BarField bar, double lastReward) { + // public int getAction(BarField bar, double lastReward) { - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("unified_symbol", bar.getUnifiedSymbol()); - jsonData.put("open_price", bar.getOpenPrice()); - jsonData.put("high_price", bar.getHighPrice()); - jsonData.put("low_price", bar.getLowPrice()); - jsonData.put("close_price", bar.getClosePrice()); - jsonData.put("last_reward", lastReward); - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(getActionUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); + // try { + // JSONObject jsonData = new JSONObject(); + // jsonData.put("unified_symbol", bar.getUnifiedSymbol()); + // jsonData.put("open_price", bar.getOpenPrice()); + // jsonData.put("high_price", bar.getHighPrice()); + // jsonData.put("low_price", bar.getLowPrice()); + // jsonData.put("close_price", bar.getClosePrice()); + // jsonData.put("last_reward", lastReward); + // String jsonContent = jsonData.toString(); + // HttpPost httpPost = new HttpPost(getActionUrl); + // httpPost.setHeader("Content-Type", "application/json"); + // StringEntity entity = new StringEntity(jsonContent); + // httpPost.setEntity(entity); + // CloseableHttpResponse response = httpClient.execute(httpPost); + // HttpEntity responseEntity = response.getEntity(); - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); + // if (responseEntity != null) { + // String jsonResponse = EntityUtils.toString(responseEntity); + // JSONObject jsonObject = JSON.parseObject(jsonResponse); - Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - return actionID; + // Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 + // return actionID; - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return 0; - } + // } + // } catch (ParseException | IOException e) { + // e.printStackTrace(); + // } + // return 0; + // } - public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { - return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); - } + // public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { + // return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); + // } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java index 35860732..410a6e8b 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -8,55 +8,23 @@ import org.apache.http.util.EntityUtils; import org.dromara.northstar.rl.agent.Agent; import com.alibaba.fastjson.JSONObject; -public class PPOAgent extends Agent { +public class PPOAgent implements Agent { - public boolean initInfo( - String indicatorSymbol, - String agentName, - int stateDim, - int actionDim, - double lrActor, - double lrCritic, - double gamma, - int kEpochs, - double epsClip, - boolean isTrain, - String modelVersion - ) { - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", indicatorSymbol); + public JSONObject createAgent(PPOAgentDescription agentDescription) { - // PPO 模型超参数设置 - jsonData.put("state_dim", stateDim); - jsonData.put("action_dim", actionDim); - jsonData.put("lr_actor", lrActor); - jsonData.put("lr_critic", lrCritic); - jsonData.put("gamma", gamma); - jsonData.put("K_epochs", kEpochs); - jsonData.put("eps_clip", epsClip); + JSONObject jsonData = new JSONObject(); + jsonData.put("indicator_symbol", agentDescription.getIndicatorSymbol()); + jsonData.put("agent_name", agentDescription.getAgentName()); + jsonData.put("state_dim", agentDescription.getStateDim()); + jsonData.put("action_dim", agentDescription.getActionDim()); + jsonData.put("lr_actor", agentDescription.getLrActor()); + jsonData.put("lr_critic", agentDescription.getLrCritic()); + jsonData.put("gamma", agentDescription.getGamma()); + jsonData.put("K_epochs", agentDescription.getKEpochs()); + jsonData.put("eps_clip", agentDescription.getEpsClip()); + jsonData.put("is_train", agentDescription.isTrain()); + jsonData.put("model_version", agentDescription.getModelVersion()); - // 通用参数设置 - jsonData.put("is_train", isTrain); - jsonData.put("model_version", modelVersion); - - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(initInfoUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSONObject.parseObject(jsonResponse); - boolean success = jsonObject.getBoolean("success"); - return success; - } - } catch (Exception e) { - e.printStackTrace(); - } - return false; + return jsonData; } } -- Gitee From 11e999ec76055953fb45ec005ae693adb3cb1177 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 10:52:59 +0800 Subject: [PATCH 33/45] rewrite Agent, delete RLAgent, BaseAgent --- .../dromara/northstar/rl/HttpRLClient.java | 7 +- .../org/dromara/northstar/rl/agent/Agent.java | 88 +---------------- .../dromara/northstar/rl/agent/BaseAgent.java | 95 ------------------- .../dromara/northstar/rl/agent/PPOAgent.java | 56 +++++++---- .../dromara/northstar/rl/agent/RLAgent.java | 92 ------------------ 5 files changed, 44 insertions(+), 294 deletions(-) delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index ed9c9612..96d4a620 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -1,7 +1,12 @@ package org.dromara.northstar.rl; public class HttpRLClient { - public boolean createClient(State state, Agent agent, Reward reward) { + public boolean createClient( + State state, + Reward reward, + Agent agent, + AgentDescription agentDescription, + ) { } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java index fb1112bb..0e0a2670 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java @@ -1,95 +1,11 @@ package org.dromara.northstar.rl.agent; -import java.io.IOException; -import org.apache.http.HttpEntity; -import org.apache.http.ParseException; -import org.apache.http.client.methods.CloseableHttpResponse; -import org.apache.http.client.methods.HttpPost; -import org.apache.http.entity.StringEntity; -import org.apache.http.impl.client.CloseableHttpClient; -import org.apache.http.impl.client.HttpClients; -import org.apache.http.util.EntityUtils; -import org.dromara.northstar.rl.reward.RLReward; - -import com.alibaba.fastjson.JSON; import com.alibaba.fastjson.JSONObject; -import xyz.redtorch.pb.CoreField.BarField; public interface Agent { - protected String getActionUrl = "http://localhost:5001/get-action"; - protected String initInfoUrl = "http://localhost:5001/init-info"; - - protected CloseableHttpClient httpClient = HttpClients.createDefault(); - - // public boolean initInfo( - // String indicatorSymbol, - // String agentName, - // boolean isTrain, - // String modelVersion - // ) { - // // 将参数传给Python端 - // try { - // JSONObject jsonData = new JSONObject(); - // jsonData.put("indicator_symbol", indicatorSymbol); - // jsonData.put("agent_name", agentName); - // jsonData.put("is_train", isTrain); - // jsonData.put("model_version", modelVersion); - - // String jsonContent = jsonData.toString(); - // HttpPost httpPost = new HttpPost(initInfoUrl); - // httpPost.setHeader("Content-Type", "application/json"); - // StringEntity entity = new StringEntity(jsonContent); - // httpPost.setEntity(entity); - // CloseableHttpResponse response = httpClient.execute(httpPost); - // HttpEntity responseEntity = response.getEntity(); - - // if (responseEntity != null) { - // String jsonResponse = EntityUtils.toString(responseEntity); - // JSONObject jsonObject = JSON.parseObject(jsonResponse); - // boolean success = jsonObject.getBoolean("success"); - // return success; - // } - // } catch (ParseException | IOException e) { - // e.printStackTrace(); - // } - // return false; - // } - - // public int getAction(BarField bar, double lastReward) { - - // try { - // JSONObject jsonData = new JSONObject(); - // jsonData.put("unified_symbol", bar.getUnifiedSymbol()); - // jsonData.put("open_price", bar.getOpenPrice()); - // jsonData.put("high_price", bar.getHighPrice()); - // jsonData.put("low_price", bar.getLowPrice()); - // jsonData.put("close_price", bar.getClosePrice()); - // jsonData.put("last_reward", lastReward); - // String jsonContent = jsonData.toString(); - // HttpPost httpPost = new HttpPost(getActionUrl); - // httpPost.setHeader("Content-Type", "application/json"); - // StringEntity entity = new StringEntity(jsonContent); - // httpPost.setEntity(entity); - // CloseableHttpResponse response = httpClient.execute(httpPost); - // HttpEntity responseEntity = response.getEntity(); - - // if (responseEntity != null) { - // String jsonResponse = EntityUtils.toString(responseEntity); - // JSONObject jsonObject = JSON.parseObject(jsonResponse); - - // Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - // return actionID; - - // } - // } catch (ParseException | IOException e) { - // e.printStackTrace(); - // } - // return 0; - // } + + public JSONObject createAgent(); - // public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { - // return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); - // } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java deleted file mode 100644 index 7b399e0f..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/BaseAgent.java +++ /dev/null @@ -1,95 +0,0 @@ -package org.dromara.northstar.rl.agent; - -import java.io.IOException; - -import org.apache.http.HttpEntity; -import org.apache.http.ParseException; -import org.apache.http.client.methods.CloseableHttpResponse; -import org.apache.http.client.methods.HttpPost; -import org.apache.http.entity.StringEntity; -import org.apache.http.impl.client.CloseableHttpClient; -import org.apache.http.impl.client.HttpClients; -import org.apache.http.util.EntityUtils; -import org.dromara.northstar.rl.RLReward; - -import com.alibaba.fastjson.JSON; -import com.alibaba.fastjson.JSONObject; - -import xyz.redtorch.pb.CoreField.BarField; - -public class BaseAgent { - private String getActionUrl = "http://localhost:5001/get-action"; - private String initInfoUrl = "http://localhost:5001/init-info"; - - private CloseableHttpClient httpClient = HttpClients.createDefault(); - - public boolean initInfo( - String indicatorSymbol, - String agentName, - boolean isTrain, - String modelVersion - ) { - // 将参数传给Python端 - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", indicatorSymbol); - jsonData.put("agent_name", agentName); - jsonData.put("is_train", isTrain); - jsonData.put("model_version", modelVersion); - - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(initInfoUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - boolean success = jsonObject.getBoolean("success"); - return success; - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return false; - } - - public int getAction(BarField bar, double lastReward) { - - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("unified_symbol", bar.getUnifiedSymbol()); - jsonData.put("open_price", bar.getOpenPrice()); - jsonData.put("high_price", bar.getHighPrice()); - jsonData.put("low_price", bar.getLowPrice()); - jsonData.put("close_price", bar.getClosePrice()); - jsonData.put("last_reward", lastReward); - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(getActionUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - - Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - return actionID; - - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return 0; - } - - public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { - return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); - } -} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java index 410a6e8b..dedd6537 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -1,30 +1,46 @@ package org.dromara.northstar.rl.agent; -import org.apache.http.HttpEntity; -import org.apache.http.client.methods.CloseableHttpResponse; -import org.apache.http.client.methods.HttpPost; -import org.apache.http.entity.StringEntity; -import org.apache.http.util.EntityUtils; -import org.dromara.northstar.rl.agent.Agent; import com.alibaba.fastjson.JSONObject; public class PPOAgent implements Agent { - - public JSONObject createAgent(PPOAgentDescription agentDescription) { + public String indicatorSymbol; + public String agentName; + public int stateDim; + public int actionDim; + public double lrActor; + public double lrCritic; + public double gamma; + public int kEpochs; + public double epsClip; + public boolean isTrain; + public String modelVersion; + public PPOAgent(PPOAgentDescription agentDescription) { + this.indicatorSymbol = agentDescription.getIndicatorSymbol(); + this.agentName = agentDescription.getAgentName(); + this.stateDim = agentDescription.getStateDim(); + this.actionDim = agentDescription.getActionDim(); + this.lrActor = agentDescription.getLrActor(); + this.lrCritic = agentDescription.getLrCritic(); + this.gamma = agentDescription.getGamma(); + this.kEpochs = agentDescription.getKEpochs(); + this.epsClip = agentDescription.getEpsClip(); + this.isTrain = agentDescription.isTrain(); + } + + public JSONObject createAgent() { JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", agentDescription.getIndicatorSymbol()); - jsonData.put("agent_name", agentDescription.getAgentName()); - jsonData.put("state_dim", agentDescription.getStateDim()); - jsonData.put("action_dim", agentDescription.getActionDim()); - jsonData.put("lr_actor", agentDescription.getLrActor()); - jsonData.put("lr_critic", agentDescription.getLrCritic()); - jsonData.put("gamma", agentDescription.getGamma()); - jsonData.put("K_epochs", agentDescription.getKEpochs()); - jsonData.put("eps_clip", agentDescription.getEpsClip()); - jsonData.put("is_train", agentDescription.isTrain()); - jsonData.put("model_version", agentDescription.getModelVersion()); - + jsonData.put("indicator_symbol", this.indicatorSymbol); + jsonData.put("agent_name", this.agentName); + jsonData.put("state_dim", this.stateDim); + jsonData.put("action_dim", this.actionDim); + jsonData.put("lr_actor", this.lrActor); + jsonData.put("lr_critic", this.lrCritic); + jsonData.put("gamma", this.gamma); + jsonData.put("k_epochs", this.kEpochs); + jsonData.put("eps_clip", this.epsClip); + jsonData.put("is_train", this.isTrain); + jsonData.put("model_version", this.modelVersion); return jsonData; } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java deleted file mode 100644 index 52fb847c..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/RLAgent.java +++ /dev/null @@ -1,92 +0,0 @@ -package org.dromara.northstar.rl.agent; - -import java.io.IOException; -import java.util.Map; - -import org.apache.http.HttpEntity; -import org.apache.http.ParseException; -import org.apache.http.client.methods.CloseableHttpResponse; -import org.apache.http.client.methods.HttpPost; -import org.apache.http.entity.StringEntity; -import org.apache.http.impl.client.CloseableHttpClient; -import org.apache.http.impl.client.HttpClients; -import org.apache.http.util.EntityUtils; -import org.dromara.northstar.rl.reward.RLReward; - -import com.alibaba.fastjson.JSON; -import com.alibaba.fastjson.JSONObject; - -import xyz.redtorch.pb.CoreField.BarField; - -public class RLAgent { - private String getActionUrl = "http://localhost:5001/get-action"; - private String initInfoUrl = "http://localhost:5001/init-info"; - - private CloseableHttpClient httpClient = HttpClients.createDefault(); - - public boolean initInfo(Map params) { - // 将参数传给Python端 - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", indicatorSymbol); - jsonData.put("agent_name", agentName); - jsonData.put("is_train", isTrain); - jsonData.put("model_version", modelVersion); - - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(initInfoUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - boolean success = jsonObject.getBoolean("success"); - return success; - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return false; - } - - public int getAction(BarField bar, double lastReward) { - - try { - JSONObject jsonData = new JSONObject(); - jsonData.put("unified_symbol", bar.getUnifiedSymbol()); - jsonData.put("open_price", bar.getOpenPrice()); - jsonData.put("high_price", bar.getHighPrice()); - jsonData.put("low_price", bar.getLowPrice()); - jsonData.put("close_price", bar.getClosePrice()); - jsonData.put("last_reward", lastReward); - String jsonContent = jsonData.toString(); - HttpPost httpPost = new HttpPost(getActionUrl); - httpPost.setHeader("Content-Type", "application/json"); - StringEntity entity = new StringEntity(jsonContent); - httpPost.setEntity(entity); - CloseableHttpResponse response = httpClient.execute(httpPost); - HttpEntity responseEntity = response.getEntity(); - - if (responseEntity != null) { - String jsonResponse = EntityUtils.toString(responseEntity); - JSONObject jsonObject = JSON.parseObject(jsonResponse); - - Integer actionID = jsonObject.getInteger("action"); // 0: 持仓;1:买;2: 卖 - return actionID; - - } - } catch (ParseException | IOException e) { - e.printStackTrace(); - } - return 0; - } - - public double getReward(BarField bar, BarField lastBar, int actionID, String rewardType) { - return RLReward.rewardGenerator(bar, lastBar, actionID, rewardType); - } - -} -- Gitee From f78b35170eb0dadc7cd25f2b2301cea21497741f Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 11:09:49 +0800 Subject: [PATCH 34/45] rewrite State, use fastjson2 instead of fastjson --- .../dromara/northstar/rl/HttpRLClient.java | 3 +-- .../org/dromara/northstar/rl/agent/Agent.java | 2 +- .../dromara/northstar/rl/agent/PPOAgent.java | 2 +- .../dromara/northstar/rl/reward/Reward.java | 1 + .../dromara/northstar/rl/state/BaseState.java | 23 +++++++++++++++++++ .../rl/state/BaseStateDescription.java | 21 +++++++++++++++++ .../org/dromara/northstar/rl/state/State.java | 4 +++- 7 files changed, 51 insertions(+), 5 deletions(-) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseStateDescription.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index 96d4a620..b9ae1e32 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -4,8 +4,7 @@ public class HttpRLClient { public boolean createClient( State state, Reward reward, - Agent agent, - AgentDescription agentDescription, + Agent agent ) { } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java index 0e0a2670..1b65763e 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java @@ -1,7 +1,7 @@ package org.dromara.northstar.rl.agent; -import com.alibaba.fastjson.JSONObject; +import com.alibaba.fastjson2.JSONObject; public interface Agent { diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java index dedd6537..c10747cc 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -1,6 +1,6 @@ package org.dromara.northstar.rl.agent; -import com.alibaba.fastjson.JSONObject; +import com.alibaba.fastjson2.JSONObject; public class PPOAgent implements Agent { public String indicatorSymbol; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java index e97589cd..a3469ad3 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java @@ -2,4 +2,5 @@ package org.dromara.northstar.rl.reward; public interface Reward { + public double getReward(); } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java new file mode 100644 index 00000000..b7727ca6 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java @@ -0,0 +1,23 @@ +package org.dromara.northstar.rl.state; + +import java.util.List; + +import com.alibaba.fastjson2.JSONObject; + +public class BaseState implements State { + private int stateDim; + private List stateNames; + + public BaseState(BaseStateDescription stateDescription) { + this.stateDim = stateDescription.getStateDim(); + this.stateNames = stateDescription.getStateNames(); + } + + public JSONObject createState() { + JSONObject stateData = new JSONObject(); + stateData.put("stateDim", this.stateDim); + stateData.put("stateNames", this.stateNames); + + return stateData; + } +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseStateDescription.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseStateDescription.java new file mode 100644 index 00000000..66b973e4 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseStateDescription.java @@ -0,0 +1,21 @@ +package org.dromara.northstar.rl.state; + +import java.util.Arrays; +import java.util.List; + +import lombok.AllArgsConstructor; +import lombok.Builder; +import lombok.Data; +import lombok.NoArgsConstructor; + +@AllArgsConstructor +@NoArgsConstructor +@Builder(toBuilder = true) +@Data +public class BaseStateDescription { + @Builder.Default + private int stateDim = 4; + + @Builder.Default + private List stateNames = Arrays.asList("openPrice", "highPrice", "lowPrice", "closePrice"); +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java index 11962d0e..ecbc8aca 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java @@ -1,5 +1,7 @@ package org.dromara.northstar.rl.state; +import com.alibaba.fastjson2.JSONObject; + public interface State { - + public JSONObject createState(); } -- Gitee From 0109c44cf8b93cc8833fd08d8c139fe4cec577e7 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 11:15:53 +0800 Subject: [PATCH 35/45] rewrite Reward --- .../northstar/rl/reward/DummyReward.java | 21 +++++++++++++++++++ .../rl/reward/DummyRewardDescription.java | 17 +++++++++++++++ .../dromara/northstar/rl/reward/Reward.java | 4 ++-- 3 files changed, 40 insertions(+), 2 deletions(-) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyRewardDescription.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java new file mode 100644 index 00000000..c9f08944 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java @@ -0,0 +1,21 @@ +package org.dromara.northstar.rl.reward; + +import com.alibaba.fastjson2.JSONObject; + +public class DummyReward implements Reward{ + private String rewardType; + + public DummyReward(DummyRewardDescription dummyRewardDescription) { + this.rewardType = dummyRewardDescription.getRewardType(); + } + + public JSONObject createReward() { + JSONObject rewardData = new JSONObject(); + rewardData.put("rewardType", this.rewardType); + return rewardData; + } + + public double getReward() { + return 0.0; + } +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyRewardDescription.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyRewardDescription.java new file mode 100644 index 00000000..272856ed --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyRewardDescription.java @@ -0,0 +1,17 @@ +package org.dromara.northstar.rl.reward; + +import lombok.AllArgsConstructor; +import lombok.Builder; +import lombok.Data; +import lombok.NoArgsConstructor; + +@AllArgsConstructor +@NoArgsConstructor +@Builder(toBuilder = true) +@Data +public class DummyRewardDescription { + + @Builder.Default + private String RewardType = "dummy"; + +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java index a3469ad3..0e7f0e17 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java @@ -1,6 +1,6 @@ package org.dromara.northstar.rl.reward; public interface Reward { - - public double getReward(); + + public double createReward(); } -- Gitee From 6e5db5e0df0fb4b6b416827a49d72aadb0391eed Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 14:25:12 +0800 Subject: [PATCH 36/45] rewrite HttpRLClient --- .../dromara/northstar/rl/HttpRLClient.java | 104 +++++++++++++++++- .../dromara/northstar/rl/reward/Reward.java | 4 +- 2 files changed, 102 insertions(+), 6 deletions(-) diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index b9ae1e32..b2d04233 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -1,11 +1,105 @@ package org.dromara.northstar.rl; +import javax.swing.text.html.parser.Entity; + +import org.apache.http.HttpEntity; +import org.apache.http.client.methods.CloseableHttpResponse; +import org.apache.http.client.methods.HttpPost; +import org.apache.http.entity.StringEntity; +import org.apache.http.impl.client.CloseableHttpClient; +import org.apache.http.impl.client.HttpClients; +import org.apache.http.util.EntityUtils; +import org.dromara.northstar.rl.agent.Agent; +import org.dromara.northstar.rl.reward.Reward; +import org.dromara.northstar.rl.state.State; + +import com.alibaba.fastjson2.JSON; +import com.alibaba.fastjson2.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; + public class HttpRLClient { - public boolean createClient( - State state, - Reward reward, - Agent agent - ) { + protected String getActionUrl = "http://localhost:5001/get-action"; + protected String initInfoUrl = "http://localhost:5001/init-info"; + protected CloseableHttpClient httpClient = HttpClients.createDefault(); + protected State state; + protected Agent agent; + protected Reward reward; + + public HttpRLClient(State state, Agent agent, Reward reward) { + this.state = state; + this.agent = agent; + this.reward = reward; + } + + public boolean createClient() { + JSONObject stateData = this.state.createState(); + JSONObject agentData = this.agent.createAgent(); + JSONObject rewardData = this.reward.createReward(); + + JSONObject mergedData = mergeJSON(stateData, agentData, rewardData); + String jsonContent = mergedData.toString(); + + try { + HttpPost httpPost = new HttpPost(initInfoUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(jsonContent); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject responseJSON = JSON.parseObject(jsonResponse); + boolean success = responseJSON.getBoolean("success"); + return success; + } + + } catch (Exception e) { + e.printStackTrace(); + } + + return false; + } + + public int getAction(BarField bar, BarField lastBar) { + JSONObject stateData = this.state.getState(bar); + JSONObject rewardData = this.reward.getReward(bar, lastBar); + + JSONObject mergedData = mergeJSON(stateData, rewardData) + try { + HttpPost httpPost = new HttpPost(getActionUrl); + httpPost.setHeader("Content-Type", "application/json"); + StringEntity entity = new StringEntity(mergedData.toString()); + httpPost.setEntity(entity); + CloseableHttpResponse response = httpClient.execute(httpPost); + HttpEntity responseEntity = response.getEntity(); + + if (responseEntity != null) { + String jsonResponse = EntityUtils.toString(responseEntity); + JSONObject responseJSON = JSON.parseObject(jsonResponse); + int actionID = responseJSON.getIntValue("actionID"); + return actionID; + } + + } catch (Exception e) { + e.printStackTrace(); + } + return 0; + } + + private JSONObject mergeJSON(JSONObject stateData, JSONObject rewardData) { + JSONObject mergedData = stateData; + mergedData.putAll(rewardData); + + return mergedData; + } + + private JSONObject mergeJSON(JSONObject stateData, JSONObject agentData, JSONObject rewardData) { + JSONObject mergedData = stateData; + mergedData.putAll(agentData); + mergedData.putAll(rewardData); + return mergedData; } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java index 0e7f0e17..3443fff1 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java @@ -1,6 +1,8 @@ package org.dromara.northstar.rl.reward; +import com.alibaba.fastjson2.JSONObject; + public interface Reward { - public double createReward(); + public JSONObject createReward(); } -- Gitee From 1129fadd1221da44a2c1d340ef3efa9c2a56d5e8 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 14:40:15 +0800 Subject: [PATCH 37/45] add getState and getReward --- .../dromara/northstar/rl/HttpRLClient.java | 2 +- .../dromara/northstar/rl/agent/PPOAgent.java | 1 + .../northstar/rl/reward/DummyReward.java | 11 ++++++++-- .../dromara/northstar/rl/reward/Reward.java | 5 +++++ .../dromara/northstar/rl/state/BaseState.java | 22 +++++++++++++++++++ .../org/dromara/northstar/rl/state/State.java | 3 +++ 6 files changed, 41 insertions(+), 3 deletions(-) diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index b2d04233..38d3efac 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -66,7 +66,7 @@ public class HttpRLClient { JSONObject stateData = this.state.getState(bar); JSONObject rewardData = this.reward.getReward(bar, lastBar); - JSONObject mergedData = mergeJSON(stateData, rewardData) + JSONObject mergedData = mergeJSON(stateData, rewardData); try { HttpPost httpPost = new HttpPost(getActionUrl); httpPost.setHeader("Content-Type", "application/json"); diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java index c10747cc..49c2b59e 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -28,6 +28,7 @@ public class PPOAgent implements Agent { this.isTrain = agentDescription.isTrain(); } + @Override public JSONObject createAgent() { JSONObject jsonData = new JSONObject(); jsonData.put("indicator_symbol", this.indicatorSymbol); diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java index c9f08944..dba78b28 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java @@ -1,6 +1,7 @@ package org.dromara.northstar.rl.reward; import com.alibaba.fastjson2.JSONObject; +import xyz.redtorch.pb.CoreField.BarField; public class DummyReward implements Reward{ private String rewardType; @@ -9,13 +10,19 @@ public class DummyReward implements Reward{ this.rewardType = dummyRewardDescription.getRewardType(); } + @Override public JSONObject createReward() { JSONObject rewardData = new JSONObject(); rewardData.put("rewardType", this.rewardType); return rewardData; } - public double getReward() { - return 0.0; + @Override + public JSONObject getReward(BarField bar, BarField lastBar) { + double reward = 0; + JSONObject rewardData = new JSONObject(); + rewardData.put("reward", reward); + return rewardData; } + } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java index 3443fff1..ea670c21 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java @@ -2,7 +2,12 @@ package org.dromara.northstar.rl.reward; import com.alibaba.fastjson2.JSONObject; +import xyz.redtorch.pb.CoreField.BarField; + public interface Reward { public JSONObject createReward(); + + public JSONObject getReward(BarField bar, BarField lastBar); + } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java index b7727ca6..feb7099e 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java @@ -4,7 +4,12 @@ import java.util.List; import com.alibaba.fastjson2.JSONObject; +import xyz.redtorch.pb.CoreField.BarField; + public class BaseState implements State { + // BaseState是一个最基础的State,维度为4,分别是openPrice, highPrice, lowPrice, closePrice。 + + private int stateDim; private List stateNames; @@ -13,6 +18,7 @@ public class BaseState implements State { this.stateNames = stateDescription.getStateNames(); } + @Override public JSONObject createState() { JSONObject stateData = new JSONObject(); stateData.put("stateDim", this.stateDim); @@ -20,4 +26,20 @@ public class BaseState implements State { return stateData; } + + @Override + public JSONObject getState(BarField bar) { + double openPrice = bar.getOpenPrice(); + double highPrice = bar.getHighPrice(); + double lowPrice = bar.getLowPrice(); + double closePrice = bar.getClosePrice(); + + JSONObject stateData = new JSONObject(); + stateData.put("openPrice", openPrice); + stateData.put("highPrice", highPrice); + stateData.put("lowPrice", lowPrice); + stateData.put("closePrice", closePrice); + + return stateData; + } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java index ecbc8aca..89c68ee5 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java @@ -1,7 +1,10 @@ package org.dromara.northstar.rl.state; import com.alibaba.fastjson2.JSONObject; +import xyz.redtorch.pb.CoreField.BarField; public interface State { public JSONObject createState(); + + public JSONObject getState(BarField bar); } -- Gitee From 3cc9059e02b61adb0de731e9b077749f33774731 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 16 Oct 2023 16:09:36 +0800 Subject: [PATCH 38/45] delete RLReward --- .../dromara/northstar/rl/agent/PPOAgent.java | 25 +++++++++---------- .../dromara/northstar/rl/reward/RLReward.java | 22 ---------------- 2 files changed, 12 insertions(+), 35 deletions(-) delete mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/reward/RLReward.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java index 49c2b59e..4c366b80 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -30,18 +30,17 @@ public class PPOAgent implements Agent { @Override public JSONObject createAgent() { - JSONObject jsonData = new JSONObject(); - jsonData.put("indicator_symbol", this.indicatorSymbol); - jsonData.put("agent_name", this.agentName); - jsonData.put("state_dim", this.stateDim); - jsonData.put("action_dim", this.actionDim); - jsonData.put("lr_actor", this.lrActor); - jsonData.put("lr_critic", this.lrCritic); - jsonData.put("gamma", this.gamma); - jsonData.put("k_epochs", this.kEpochs); - jsonData.put("eps_clip", this.epsClip); - jsonData.put("is_train", this.isTrain); - jsonData.put("model_version", this.modelVersion); - return jsonData; + JSONObject agentData = new JSONObject(); + agentData.put("indicatorSymbol", this.indicatorSymbol); + agentData.put("agentName", this.agentName); + agentData.put("stateDim", this.stateDim); + agentData.put("actionDim", this.actionDim); + agentData.put("lrActor", this.lrActor); + agentData.put("lrCritic", this.lrCritic); + agentData.put("gamma", this.gamma); + agentData.put("kEpochs", this.kEpochs); + agentData.put("epsClip", this.epsClip); + agentData.put("isTrain", this.isTrain); + return agentData; } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/RLReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/RLReward.java deleted file mode 100644 index c3e3fb20..00000000 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/RLReward.java +++ /dev/null @@ -1,22 +0,0 @@ -package org.dromara.northstar.rl.reward; - -import xyz.redtorch.pb.CoreField.BarField; - -public abstract class RLReward { - public static double rewardGenerator(BarField bar, BarField lastBar, int actionID, String rewardType) { - switch (rewardType) { - case "dummy" -> { return dummyReward(bar, actionID); } - case "openDiff" -> { return openDiffReward(bar, lastBar, actionID); } - default -> { return 0; } - } - } - - private static double dummyReward(BarField bar, int actionID) { - return 0; - } - - private static double openDiffReward(BarField bar, BarField lastBar, int actionID) { - - return bar.getOpenPrice() - lastBar.getOpenPrice(); - } -} \ No newline at end of file -- Gitee From a3caea781315060df801b8ec6a8384646e29cba9 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 17 Oct 2023 15:29:00 +0800 Subject: [PATCH 39/45] update pom.xml in northstar-rl --- northstar-rl/pom.xml | 10 ++++++++++ .../java/org/dromara/northstar/rl/HttpRLClient.java | 6 ++---- .../java/org/dromara/northstar/rl/agent/Agent.java | 2 +- .../java/org/dromara/northstar/rl/agent/PPOAgent.java | 2 +- .../org/dromara/northstar/rl/reward/DummyReward.java | 2 +- .../java/org/dromara/northstar/rl/reward/Reward.java | 2 +- .../java/org/dromara/northstar/rl/state/BaseState.java | 2 +- .../java/org/dromara/northstar/rl/state/State.java | 2 +- 8 files changed, 18 insertions(+), 10 deletions(-) diff --git a/northstar-rl/pom.xml b/northstar-rl/pom.xml index cb6318c6..c045efa3 100644 --- a/northstar-rl/pom.xml +++ b/northstar-rl/pom.xml @@ -18,11 +18,21 @@ com.alibaba fastjson + + org.apache.httpcomponents + httpclient + 4.5.13 + org.junit.jupiter junit-jupiter 5.8.2 test + + org.projectlombok + lombok + 1.18.26 + diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index 38d3efac..48429967 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -1,7 +1,5 @@ package org.dromara.northstar.rl; -import javax.swing.text.html.parser.Entity; - import org.apache.http.HttpEntity; import org.apache.http.client.methods.CloseableHttpResponse; import org.apache.http.client.methods.HttpPost; @@ -13,8 +11,8 @@ import org.dromara.northstar.rl.agent.Agent; import org.dromara.northstar.rl.reward.Reward; import org.dromara.northstar.rl.state.State; -import com.alibaba.fastjson2.JSON; -import com.alibaba.fastjson2.JSONObject; +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java index 1b65763e..0e0a2670 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/Agent.java @@ -1,7 +1,7 @@ package org.dromara.northstar.rl.agent; -import com.alibaba.fastjson2.JSONObject; +import com.alibaba.fastjson.JSONObject; public interface Agent { diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java index 4c366b80..cc959a70 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -1,6 +1,6 @@ package org.dromara.northstar.rl.agent; -import com.alibaba.fastjson2.JSONObject; +import com.alibaba.fastjson.JSONObject; public class PPOAgent implements Agent { public String indicatorSymbol; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java index dba78b28..0d77e2cb 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java @@ -1,6 +1,6 @@ package org.dromara.northstar.rl.reward; -import com.alibaba.fastjson2.JSONObject; +import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; public class DummyReward implements Reward{ diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java index ea670c21..d469c238 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/Reward.java @@ -1,6 +1,6 @@ package org.dromara.northstar.rl.reward; -import com.alibaba.fastjson2.JSONObject; +import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java index feb7099e..070b11cc 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/BaseState.java @@ -2,7 +2,7 @@ package org.dromara.northstar.rl.state; import java.util.List; -import com.alibaba.fastjson2.JSONObject; +import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java index 89c68ee5..7cc7a71a 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/state/State.java @@ -1,6 +1,6 @@ package org.dromara.northstar.rl.state; -import com.alibaba.fastjson2.JSONObject; +import com.alibaba.fastjson.JSONObject; import xyz.redtorch.pb.CoreField.BarField; public interface State { -- Gitee From 417d0c887abd7315ca5b041faa741d11284f3382 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 17 Oct 2023 17:42:15 +0800 Subject: [PATCH 40/45] update --- .../src/main/java/org/dromara/northstar/rl/HttpRLClient.java | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index 48429967..2606c429 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -19,7 +19,7 @@ import xyz.redtorch.pb.CoreField.BarField; public class HttpRLClient { protected String getActionUrl = "http://localhost:5001/get-action"; protected String initInfoUrl = "http://localhost:5001/init-info"; - protected CloseableHttpClient httpClient = HttpClients.createDefault(); + // protected CloseableHttpClient httpClient = HttpClients.createDefault(); protected State state; protected Agent agent; protected Reward reward; @@ -39,6 +39,7 @@ public class HttpRLClient { String jsonContent = mergedData.toString(); try { + CloseableHttpClient httpClient = HttpClients.createDefault(); HttpPost httpPost = new HttpPost(initInfoUrl); httpPost.setHeader("Content-Type", "application/json"); StringEntity entity = new StringEntity(jsonContent); @@ -66,6 +67,7 @@ public class HttpRLClient { JSONObject mergedData = mergeJSON(stateData, rewardData); try { + CloseableHttpClient httpClient = HttpClients.createDefault(); HttpPost httpPost = new HttpPost(getActionUrl); httpPost.setHeader("Content-Type", "application/json"); StringEntity entity = new StringEntity(mergedData.toString()); -- Gitee From 8d189fe414e37678d9c877f555fee323c794a861 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 17 Oct 2023 17:50:56 +0800 Subject: [PATCH 41/45] update --- northstar-rl/pom.xml | 13 ++++--------- .../java/org/dromara/northstar/rl/HttpRLClient.java | 1 - .../northstar/rl/agent/PPOAgentDescription.java | 3 ++- 3 files changed, 6 insertions(+), 11 deletions(-) diff --git a/northstar-rl/pom.xml b/northstar-rl/pom.xml index c045efa3..1a500818 100644 --- a/northstar-rl/pom.xml +++ b/northstar-rl/pom.xml @@ -14,25 +14,20 @@ org.dromara northstar-api - - com.alibaba - fastjson - org.apache.httpcomponents httpclient 4.5.13 + + com.alibaba + fastjson + org.junit.jupiter junit-jupiter 5.8.2 test - - org.projectlombok - lombok - 1.18.26 - diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java index 2606c429..27749a7c 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/HttpRLClient.java @@ -19,7 +19,6 @@ import xyz.redtorch.pb.CoreField.BarField; public class HttpRLClient { protected String getActionUrl = "http://localhost:5001/get-action"; protected String initInfoUrl = "http://localhost:5001/init-info"; - // protected CloseableHttpClient httpClient = HttpClients.createDefault(); protected State state; protected Agent agent; protected Reward reward; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java index d08c7f79..3f919524 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java @@ -11,7 +11,8 @@ import lombok.NoArgsConstructor; @Data public class PPOAgentDescription { - private String indicatorSymbol; + @Builder.Default + private String indicatorSymbol = "hello"; @Builder.Default private String agentName = "ppo"; -- Gitee From cce0d82395bc10e4e3869d415ca6835014c6bf85 Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Tue, 17 Oct 2023 18:01:19 +0800 Subject: [PATCH 42/45] Successfully installed --- .../web/restful/GatewayDataController.java | 63 +++++++++++++++++++ northstar-monitor/package-lock.json | 44 ++++++------- 2 files changed, 86 insertions(+), 21 deletions(-) create mode 100644 northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java diff --git a/northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java b/northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java new file mode 100644 index 00000000..614feef7 --- /dev/null +++ b/northstar-main/src/main/java/org/dromara/northstar/web/restful/GatewayDataController.java @@ -0,0 +1,63 @@ +package org.dromara.northstar.web.restful; + +import java.time.LocalDate; +import java.time.Period; +import java.util.Collections; +import java.util.List; + +import org.dromara.northstar.common.constant.ChannelType; +import org.dromara.northstar.common.model.GatewayDescription; +import org.dromara.northstar.common.model.ResultBean; +import org.dromara.northstar.common.utils.MarketDataLoadingUtils; +import org.dromara.northstar.data.IGatewayRepository; +import org.dromara.northstar.data.IMarketDataRepository; +import org.dromara.northstar.gateway.Contract; +import org.dromara.northstar.gateway.IContractManager; +import org.springframework.beans.factory.annotation.Autowired; +import org.springframework.util.Assert; +import org.springframework.web.bind.annotation.GetMapping; +import org.springframework.web.bind.annotation.RequestMapping; +import org.springframework.web.bind.annotation.RestController; + +import xyz.redtorch.pb.CoreField.BarField; + +@RequestMapping("/northstar/data") +@RestController +public class GatewayDataController { + + @Autowired + private IMarketDataRepository mdRepo; + + @Autowired + private IGatewayRepository gatewayRepo; + + @Autowired + private IContractManager contractMgr; + + private MarketDataLoadingUtils utils = new MarketDataLoadingUtils(); + + @GetMapping("/bar/min") + public ResultBean> loadWeeklyBarData(String gatewayId, String unifiedSymbol, long refStartTimestamp, boolean firstLoad){ + Assert.notNull(unifiedSymbol, "合约代码不能为空"); + GatewayDescription gd = gatewayRepo.findById(gatewayId); + if(gd.getChannelType() == ChannelType.PLAYBACK || gd.getChannelType() == ChannelType.SIM) { + return new ResultBean<>(Collections.emptyList()); + } + Contract contract = contractMgr.getContract(gd.getChannelType(), unifiedSymbol); + LocalDate start = utils.getFridayOfLastWeek(refStartTimestamp); + if(firstLoad && Period.between(start, LocalDate.now()).getDays() < 7) { + start = start.minusWeeks(1); + } + LocalDate end = utils.getCurrentTradeDay(refStartTimestamp, firstLoad); + List result = Collections.emptyList(); + for(int i=0; i<3; i++) { + result = mdRepo.loadBars(contract.contractField(), start.minusWeeks(i), end.minusWeeks(i)); + if(!result.isEmpty()) { + break; + } + } + + return new ResultBean<>(result.stream().map(BarField::toByteArray).toList()); + } + +} diff --git a/northstar-monitor/package-lock.json b/northstar-monitor/package-lock.json index 00c9f82c..6e4ddb1c 100644 --- a/northstar-monitor/package-lock.json +++ b/northstar-monitor/package-lock.json @@ -3504,6 +3504,29 @@ "webpack-merge": "^5.7.3", "webpack-virtual-modules": "^0.4.2", "whatwg-fetch": "^3.6.2" + }, + "dependencies": { + "@vue/vue-loader-v15": { + "version": "npm:vue-loader@15.10.2", + "resolved": "https://registry.npmjs.org/vue-loader/-/vue-loader-15.10.2.tgz", + "integrity": "sha512-ndeSe/8KQc/nlA7TJ+OBhv2qalmj1s+uBs7yHDRFaAXscFTApBzY9F1jES3bautmgWjDlDct0fw8rPuySDLwxw==", + "dev": true, + "requires": { + "@vue/component-compiler-utils": "^3.1.0", + "hash-sum": "^1.0.2", + "loader-utils": "^1.1.0", + "vue-hot-reload-api": "^2.3.0", + "vue-style-loader": "^4.1.0" + }, + "dependencies": { + "hash-sum": { + "version": "1.0.2", + "resolved": "https://registry.npmjs.org/hash-sum/-/hash-sum-1.0.2.tgz", + "integrity": "sha512-fUs4B4L+mlt8/XAtSOGMUO1TXmAelItBPtJG7CyHJfYTdDjwisntGO2JQz7oUsatOY9o68+57eziUVNw/mRHmA==", + "dev": true + } + } + } } }, "@vue/cli-shared-utils": { @@ -3658,27 +3681,6 @@ "eslint-config-prettier": "^6.0.0" } }, - "@vue/vue-loader-v15": { - "version": "npm:vue-loader@15.10.2", - "resolved": "https://registry.npmjs.org/vue-loader/-/vue-loader-15.10.2.tgz", - "integrity": "sha512-ndeSe/8KQc/nlA7TJ+OBhv2qalmj1s+uBs7yHDRFaAXscFTApBzY9F1jES3bautmgWjDlDct0fw8rPuySDLwxw==", - "dev": true, - "requires": { - "@vue/component-compiler-utils": "^3.1.0", - "hash-sum": "^1.0.2", - "loader-utils": "^1.1.0", - "vue-hot-reload-api": "^2.3.0", - "vue-style-loader": "^4.1.0" - }, - "dependencies": { - "hash-sum": { - "version": "1.0.2", - "resolved": "https://registry.npmjs.org/hash-sum/-/hash-sum-1.0.2.tgz", - "integrity": "sha512-fUs4B4L+mlt8/XAtSOGMUO1TXmAelItBPtJG7CyHJfYTdDjwisntGO2JQz7oUsatOY9o68+57eziUVNw/mRHmA==", - "dev": true - } - } - }, "@vue/web-component-wrapper": { "version": "1.3.0", "resolved": "https://registry.npmmirror.com/@vue/web-component-wrapper/-/web-component-wrapper-1.3.0.tgz", -- Gitee From 25389cd0d56bfe2cc075522e094c94083acdb30e Mon Sep 17 00:00:00 2001 From: unknown <1754376900@qq.com> Date: Mon, 23 Oct 2023 22:52:30 +0800 Subject: [PATCH 43/45] =?UTF-8?q?=E4=BF=AE=E6=94=B9bug?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../dromara/northstar/rl/agent/PPOAgent.java | 28 +++++++++++------- .../rl/agent/PPOAgentDescription.java | 7 +++-- .../northstar/rl/reward/DummyReward.java | 2 +- .../northstar/rl/reward/OpenDiffReward.java | 29 +++++++++++++++++++ .../rl/reward/OpenDiffRewardDescription.java | 17 +++++++++++ 5 files changed, 70 insertions(+), 13 deletions(-) create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffReward.java create mode 100644 northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffRewardDescription.java diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java index cc959a70..49333ab3 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgent.java @@ -3,6 +3,7 @@ package org.dromara.northstar.rl.agent; import com.alibaba.fastjson.JSONObject; public class PPOAgent implements Agent { + public String modelPath; public String indicatorSymbol; public String agentName; public int stateDim; @@ -16,6 +17,7 @@ public class PPOAgent implements Agent { public String modelVersion; public PPOAgent(PPOAgentDescription agentDescription) { + this.modelPath = agentDescription.getModelPath(); this.indicatorSymbol = agentDescription.getIndicatorSymbol(); this.agentName = agentDescription.getAgentName(); this.stateDim = agentDescription.getStateDim(); @@ -31,16 +33,22 @@ public class PPOAgent implements Agent { @Override public JSONObject createAgent() { JSONObject agentData = new JSONObject(); - agentData.put("indicatorSymbol", this.indicatorSymbol); - agentData.put("agentName", this.agentName); - agentData.put("stateDim", this.stateDim); - agentData.put("actionDim", this.actionDim); - agentData.put("lrActor", this.lrActor); - agentData.put("lrCritic", this.lrCritic); - agentData.put("gamma", this.gamma); - agentData.put("kEpochs", this.kEpochs); - agentData.put("epsClip", this.epsClip); - agentData.put("isTrain", this.isTrain); + if (this.isTrain) { + agentData.put("indicatorSymbol", this.indicatorSymbol); + agentData.put("agentName", this.agentName); + agentData.put("stateDim", this.stateDim); + agentData.put("actionDim", this.actionDim); + agentData.put("lrActor", this.lrActor); + agentData.put("lrCritic", this.lrCritic); + agentData.put("gamma", this.gamma); + agentData.put("kEpochs", this.kEpochs); + agentData.put("epsClip", this.epsClip); + agentData.put("isTrain", this.isTrain); + } + else { + agentData.put("modelPath", this.modelPath); + agentData.put("isTrain", this.isTrain); + } return agentData; } } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java index 3f919524..dba3e134 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/agent/PPOAgentDescription.java @@ -12,7 +12,10 @@ import lombok.NoArgsConstructor; public class PPOAgentDescription { @Builder.Default - private String indicatorSymbol = "hello"; + private String modelPath = "hello"; + + @Builder.Default + private String indicatorSymbol = "rb0000@SHFE@FUTURES"; @Builder.Default private String agentName = "ppo"; @@ -39,7 +42,7 @@ public class PPOAgentDescription { private double epsClip = 0.2; @Builder.Default - private boolean isTrain = false; + private boolean isTrain = true; @Builder.Default private String modelVersion = "1"; diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java index 0d77e2cb..0cd8c752 100644 --- a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/DummyReward.java @@ -21,7 +21,7 @@ public class DummyReward implements Reward{ public JSONObject getReward(BarField bar, BarField lastBar) { double reward = 0; JSONObject rewardData = new JSONObject(); - rewardData.put("reward", reward); + rewardData.put("lastReward", reward); return rewardData; } diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffReward.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffReward.java new file mode 100644 index 00000000..cc14b9c8 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffReward.java @@ -0,0 +1,29 @@ +package org.dromara.northstar.rl.reward; + +import com.alibaba.fastjson.JSONObject; + +import xyz.redtorch.pb.CoreField.BarField; + +public class OpenDiffReward implements Reward{ + private String rewardType; + + public OpenDiffReward(OpenDiffRewardDescription openDiffRewardDescription) { + this.rewardType = openDiffRewardDescription.getRewardType(); + } + + @Override + public JSONObject createReward() { + JSONObject rewardData = new JSONObject(); + rewardData.put("rewardType", "open-diff"); + return rewardData; + } + + @Override + public JSONObject getReward(BarField bar, BarField lastBar) { + double reward = bar.getOpenPrice() - lastBar.getOpenPrice(); + JSONObject rewardData = new JSONObject(); + rewardData.put("lastReward", reward); + return rewardData; + } + +} diff --git a/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffRewardDescription.java b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffRewardDescription.java new file mode 100644 index 00000000..3a1daec3 --- /dev/null +++ b/northstar-rl/src/main/java/org/dromara/northstar/rl/reward/OpenDiffRewardDescription.java @@ -0,0 +1,17 @@ +package org.dromara.northstar.rl.reward; + +import lombok.AllArgsConstructor; +import lombok.Builder; +import lombok.Data; +import lombok.NoArgsConstructor; + +@AllArgsConstructor +@NoArgsConstructor +@Builder(toBuilder = true) +@Data +public class OpenDiffRewardDescription { + + @Builder.Default + private String RewardType = "open-diff"; + +} -- Gitee From 6690b865ddf964e0f89383cd16a42e4bbb997f95 Mon Sep 17 00:00:00 2001 From: Carver_007 Date: Thu, 9 Nov 2023 23:41:48 +0800 Subject: [PATCH 44/45] =?UTF-8?q?=E9=9B=86=E6=88=90=E8=80=81=E8=99=8E?= =?UTF-8?q?=E8=AF=81=E5=8A=B5?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- northstar-gateway-tiger/.gitignore | 31 + northstar-gateway-tiger/LICENSE | 674 ++++++++++++++++++ northstar-gateway-tiger/README.md | 5 + northstar-gateway-tiger/pom.xml | 87 +++ .../gateway/tiger/OrderTradeQueryProxy.java | 249 +++++++ .../northstar/gateway/tiger/TigerConfig.java | 29 + .../gateway/tiger/TigerContract.java | 112 +++ .../gateway/tiger/TigerContractProvider.java | 67 ++ .../tiger/TigerDataServiceManager.java | 50 ++ .../gateway/tiger/TigerGatewayFactory.java | 40 ++ .../gateway/tiger/TigerGatewaySettings.java | 32 + .../gateway/tiger/TigerHttpClient.java | 405 +++++++++++ .../northstar/gateway/tiger/TigerLoader.java | 36 + .../tiger/TigerMarketGatewayAdapter.java | 317 ++++++++ .../tiger/TigerTradeGatewayAdapter.java | 307 ++++++++ .../gateway/tiger/time/CnStockTradeTime.java | 23 + .../gateway/tiger/time/HkStockTradeTime.java | 23 + .../gateway/tiger/time/UsStockTradeTime.java | 32 + pom.xml | 6 + 19 files changed, 2525 insertions(+) create mode 100644 northstar-gateway-tiger/.gitignore create mode 100644 northstar-gateway-tiger/LICENSE create mode 100644 northstar-gateway-tiger/README.md create mode 100644 northstar-gateway-tiger/pom.xml create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/OrderTradeQueryProxy.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerConfig.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContract.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContractProvider.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerDataServiceManager.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewayFactory.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewaySettings.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerHttpClient.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerLoader.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerMarketGatewayAdapter.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerTradeGatewayAdapter.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/CnStockTradeTime.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/HkStockTradeTime.java create mode 100644 northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/UsStockTradeTime.java diff --git a/northstar-gateway-tiger/.gitignore b/northstar-gateway-tiger/.gitignore new file mode 100644 index 00000000..a2a3040a --- /dev/null +++ b/northstar-gateway-tiger/.gitignore @@ -0,0 +1,31 @@ +HELP.md +target/ +!.mvn/wrapper/maven-wrapper.jar +!**/src/main/** +!**/src/test/** + +### STS ### +.apt_generated +.classpath +.factorypath +.project +.settings +.springBeans +.sts4-cache + +### IntelliJ IDEA ### +.idea +*.iws +*.iml +*.ipr + +### NetBeans ### +/nbproject/private/ +/nbbuild/ +/dist/ +/nbdist/ +/.nb-gradle/ +build/ + +### VS Code ### +.vscode/ diff --git a/northstar-gateway-tiger/LICENSE b/northstar-gateway-tiger/LICENSE new file mode 100644 index 00000000..94a9ed02 --- /dev/null +++ b/northstar-gateway-tiger/LICENSE @@ -0,0 +1,674 @@ + GNU GENERAL PUBLIC LICENSE + Version 3, 29 June 2007 + + Copyright (C) 2007 Free Software Foundation, Inc. + Everyone is permitted to copy and distribute verbatim copies + of this license document, but changing it is not allowed. + + Preamble + + The GNU General Public License is a free, copyleft license for +software and other kinds of works. + + The licenses for most software and other practical works are designed +to take away your freedom to share and change the works. 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But first, please read +. diff --git a/northstar-gateway-tiger/README.md b/northstar-gateway-tiger/README.md new file mode 100644 index 00000000..03170248 --- /dev/null +++ b/northstar-gateway-tiger/README.md @@ -0,0 +1,5 @@ +# northstar-gateway-tiger + +northstar盈富量化平台老虎证券网关接口实现 + +使用时,需要依赖 northstar 主程序进行加载,详情参考 https://gitee.com/dromara/northstar \ No newline at end of file diff --git a/northstar-gateway-tiger/pom.xml b/northstar-gateway-tiger/pom.xml new file mode 100644 index 00000000..229ceda5 --- /dev/null +++ b/northstar-gateway-tiger/pom.xml @@ -0,0 +1,87 @@ + + 4.0.0 + northstar-gateway-tiger + northstar-gateway-tiger + + + org.dromara + northstar + 7.0.0-SNAPSHOT + + + + true + 17 + UTF-8 + ${java.version} + ${java.version} + + + + + org.dromara + northstar-api + + + com.alibaba + fastjson + + + commons-io + commons-io + + + org.apache.commons + commons-lang3 + + + org.projectlombok + lombok + + + org.slf4j + slf4j-api + + + io.github.tigerbrokers + openapi-java-sdk + 1.4.9 + + + org.springframework.boot + spring-boot-starter-test + 2.6.14 + test + + + + + + org.apache.maven.plugins + maven-compiler-plugin + + + org.jacoco + jacoco-maven-plugin + + + **/org/dromara/northstar/gateway/sim/market/* + + + + + + + + + + + + + + + + + + \ No newline at end of file diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/OrderTradeQueryProxy.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/OrderTradeQueryProxy.java new file mode 100644 index 00000000..a19789e3 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/OrderTradeQueryProxy.java @@ -0,0 +1,249 @@ +package org.dromara.northstar.gateway.tiger; + +import java.time.Instant; +import java.time.LocalDateTime; +import java.time.ZoneId; +import java.time.ZoneOffset; +import java.util.ArrayList; +import java.util.HashMap; +import java.util.HashSet; +import java.util.List; +import java.util.Map; +import java.util.Objects; +import java.util.Set; + +import org.apache.commons.lang3.StringUtils; +import org.dromara.northstar.common.constant.ChannelType; +import org.dromara.northstar.common.constant.DateTimeConstant; +import org.dromara.northstar.gateway.IContractManager; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONArray; +import com.alibaba.fastjson.JSONObject; +import com.alibaba.fastjson.serializer.SerializerFeature; +import com.tigerbrokers.stock.openapi.client.https.request.TigerHttpRequest; +import com.tigerbrokers.stock.openapi.client.https.response.TigerHttpResponse; +import com.tigerbrokers.stock.openapi.client.struct.enums.MethodName; +import com.tigerbrokers.stock.openapi.client.struct.enums.SecType; +import com.tigerbrokers.stock.openapi.client.util.builder.AccountParamBuilder; + +import lombok.extern.slf4j.Slf4j; +import xyz.redtorch.pb.CoreEnum.DirectionEnum; +import xyz.redtorch.pb.CoreEnum.OffsetFlagEnum; +import xyz.redtorch.pb.CoreEnum.OrderStatusEnum; +import xyz.redtorch.pb.CoreEnum.TimeConditionEnum; +import xyz.redtorch.pb.CoreField.ContractField; +import xyz.redtorch.pb.CoreField.OrderField; +import xyz.redtorch.pb.CoreField.TradeField; + +@Slf4j +public class OrderTradeQueryProxy { + + private static final long EXPIRY = 24 * 3600 * 1000; // 一天以内 + private final TigerHttpClient client; + private final IContractManager contractMgr; + private final String accountId; + private final String gatewayId; + + private Map orderIds = new HashMap<>(); + private Set tradeIds = new HashSet<>(); + + public OrderTradeQueryProxy(TigerHttpClient client, IContractManager contractMgr,String gatewayId, String accountId) { + this.client = client; + this.contractMgr = contractMgr; + this.accountId = accountId; + this.gatewayId = gatewayId; + } + + public List getDeltaOrder() { + TigerHttpRequest request = new TigerHttpRequest(MethodName.ORDERS); + String bizContent = AccountParamBuilder.instance() + .account(accountId) + .limit(100) + .buildJson(); + + request.setBizContent(bizContent); + TigerHttpResponse response = client.execute(request); + if(!response.isSuccess()) { + log.warn("查询订单返回异常:{}", response.getMessage()); + throw new IllegalStateException(response.getMessage()); + } + JSONObject data = JSON.parseObject(response.getData()); + JSONArray items = data.getJSONArray("items"); + List resultList = new ArrayList<>(100); + for(int i=0; i EXPIRY; + } + + private long getOpenTime(JSONObject json) { + return json.getLongValue("openTime"); + } + + private OrderField convertOrder(JSONObject json) { + Long id = json.getLong("id"); + String orderId = id + ""; + DirectionEnum direction = switch(json.getString("action")) { + case "BUY" -> DirectionEnum.D_Buy; + case "SELL" -> DirectionEnum.D_Sell; + default -> DirectionEnum.D_Unknown; + }; + + OffsetFlagEnum offset = switch(direction) { + case D_Buy -> OffsetFlagEnum.OF_Open; + case D_Sell -> OffsetFlagEnum.OF_Close; + default -> throw new IllegalArgumentException("Unexpected value: " + direction); + }; + + OrderStatusEnum orderStatus = switch(json.getString("status")) { + case "Filled" -> OrderStatusEnum.OS_AllTraded; + case "Cancelled" -> OrderStatusEnum.OS_Canceled; + case "Initial", "PendingSubmit", "Submitted" -> OrderStatusEnum.OS_Touched; + case "Invalid", "Inactive" -> OrderStatusEnum.OS_Rejected; + default -> throw new IllegalArgumentException("Unexpected value: " + json.getString("status")); + }; + + TimeConditionEnum timeCondition = switch(json.getString("timeInForce")) { + case "DAY" -> TimeConditionEnum.TC_GFD; + case "GTC" -> TimeConditionEnum.TC_GTC; + case "GTD" -> TimeConditionEnum.TC_GTD; + default -> throw new IllegalArgumentException("Unexpected value: " + json.getString("")); + }; + + String symbol = json.getString("symbol"); + ContractField contract = contractMgr.getContract(ChannelType.TIGER, symbol).contractField(); + String orderMsg = json.getString("remark"); + if(orderStatus == OrderStatusEnum.OS_Rejected && !orderIds.containsKey(id)) { + if(StringUtils.isEmpty(orderMsg)) { + log.warn("废单反馈:{}", json.toString(SerializerFeature.PrettyFormat)); + } else { + long openTime = getOpenTime(json); + LocalDateTime ldt = LocalDateTime.ofInstant(Instant.ofEpochMilli(openTime), ZoneId.systemDefault()); + log.warn("废单信息:{} {} {}", ldt, contract.getName(), orderMsg); + } + } + Instant ins = Instant.ofEpochMilli(getOpenTime(json)); + String tradingDay = LocalDateTime.ofInstant(ins, ZoneOffset.ofHours(0)).toLocalDate().format(DateTimeConstant.D_FORMAT_INT_FORMATTER); + String orderDate = LocalDateTime.ofInstant(ins, ZoneId.systemDefault()).toLocalDate().format(DateTimeConstant.D_FORMAT_INT_FORMATTER); + int tradedVol = json.getIntValue("filledQuantity"); + int totalVol = json.getIntValue("totalQuantity"); + double price = (int) (json.getDoubleValue("limitPrice") / contract.getPriceTick()) * contract.getPriceTick(); + return OrderField.newBuilder() + .setAccountId(accountId) + .setGatewayId(gatewayId) + .setContract(contract) + .setOrderId(orderId) + .setDirection(direction) + .setOffsetFlag(offset) + .setOrderDate(orderDate) + .setTotalVolume(totalVol) + .setTradedVolume(tradedVol) + .setPrice(price) + .setTradingDay(tradingDay) + .setOrderDate(orderDate) + .setOrderTime(LocalDateTime.ofInstant(ins, ZoneId.systemDefault()).toLocalTime().format(DateTimeConstant.T_FORMAT_FORMATTER)) + .setTimeCondition(timeCondition) + .setOrderStatus(orderStatus) + .build(); + } + + public List getTrades(String symbol) { + log.trace("查询TIGER成交信息"); + + TigerHttpRequest request = new TigerHttpRequest(MethodName.ORDER_TRANSACTIONS); + String bizContent = AccountParamBuilder.instance() + .account(accountId) + .secType(SecType.STK) + .symbol(symbol) + .limit(100) + .buildJson(); + request.setBizContent(bizContent); + TigerHttpResponse response = client.execute(request); + if(!response.isSuccess()) { + log.warn("查询成交返回异常:{}", response.getMessage()); + throw new IllegalStateException(response.getMessage()); + } + + return resolveData(response); + } + + public List getDeltaTrade(Long id) { + log.trace("查询TIGER成交信息"); + + TigerHttpRequest request = new TigerHttpRequest(MethodName.ORDER_TRANSACTIONS); + String bizContent = AccountParamBuilder.instance() + .account(accountId) + .secType(SecType.STK) + .orderId(id) + .limit(100) + .buildJson(); + request.setBizContent(bizContent); + TigerHttpResponse response = client.execute(request); + if(!response.isSuccess()) { + log.warn("查询成交返回异常:{}", response.getMessage()); + throw new IllegalStateException(response.getMessage()); + } + + return resolveData(response); + } + + private List resolveData(TigerHttpResponse response){ + JSONArray data = JSON.parseObject(response.getData()).getJSONArray("items"); + List resultList = new ArrayList<>(); + for(int i=0; i DirectionEnum.D_Buy; + case "SELL" -> DirectionEnum.D_Sell; + default -> DirectionEnum.D_Unknown; + }; + OffsetFlagEnum offset = switch(direction) { + case D_Buy -> OffsetFlagEnum.OF_Open; + case D_Sell -> OffsetFlagEnum.OF_Close; + default -> throw new IllegalArgumentException("Unexpected value: " + direction); + }; + TradeField trade = TradeField.newBuilder() + .setAccountId(accountId) + .setGatewayId(gatewayId) + .setTradeId(tradeId + "") + .setOrderId(orderId) + .setDirection(direction) + .setOffsetFlag(offset) + .setContract(contract) + .setPrice(json.getDoubleValue("filledPrice")) + .setVolume(json.getIntValue("filledQuantity")) + .setTradeDate(json.getString("transactedAt").split(" ")[0]) + .setTradeTime(json.getString("transactedAt").split(" ")[1]) + .setTradeTimestamp(tradeTime) + .setContract(contractMgr.getContract(ChannelType.TIGER, symbol).contractField()) + .build(); + resultList.add(trade); + } + return resultList; + } +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerConfig.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerConfig.java new file mode 100644 index 00000000..bae88d20 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerConfig.java @@ -0,0 +1,29 @@ +package org.dromara.northstar.gateway.tiger; + +import org.dromara.northstar.common.event.FastEventEngine; +import org.dromara.northstar.gateway.IMarketCenter; +import org.springframework.context.annotation.Bean; +import org.springframework.context.annotation.Configuration; + +import lombok.extern.slf4j.Slf4j; + +@Slf4j +@Configuration +public class TigerConfig { + + static { + log.info("====================================================="); + log.info(" 加载gateway-tiger "); + log.info("====================================================="); + } + + @Bean + TigerGatewayFactory tigerGatewayFactory(FastEventEngine feEngine, IMarketCenter marketCenter) { + return new TigerGatewayFactory(feEngine, marketCenter); + } + + @Bean + TigerDataServiceManager tigerDataServiceManager() { + return new TigerDataServiceManager(); + } +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContract.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContract.java new file mode 100644 index 00000000..c9bc649d --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContract.java @@ -0,0 +1,112 @@ +package org.dromara.northstar.gateway.tiger; + +import java.util.Objects; +import java.util.Optional; + +import org.dromara.northstar.common.constant.ChannelType; +import org.dromara.northstar.common.model.Identifier; +import org.dromara.northstar.gateway.Instrument; +import org.dromara.northstar.gateway.TradeTimeDefinition; +import org.dromara.northstar.gateway.model.ContractDefinition; +import org.dromara.northstar.gateway.tiger.time.CnStockTradeTime; +import org.dromara.northstar.gateway.tiger.time.HkStockTradeTime; +import org.dromara.northstar.gateway.tiger.time.UsStockTradeTime; + +import com.tigerbrokers.stock.openapi.client.https.domain.contract.item.ContractItem; + +import xyz.redtorch.pb.CoreEnum.CurrencyEnum; +import xyz.redtorch.pb.CoreEnum.ExchangeEnum; +import xyz.redtorch.pb.CoreEnum.ProductClassEnum; +import xyz.redtorch.pb.CoreField.ContractField; + +public class TigerContract implements Instrument{ + + private ContractItem item; + + private ContractDefinition contractDef; + + public TigerContract(ContractItem item) { + this.item = item; + } + + @Override + public String name() { + return item.getName() + "-" + item.getSymbol(); + } + + @Override + public Identifier identifier() { + return Identifier.of(String.format("%s@%s@%s@%s", item.getSymbol(), exchange(), productClass(), channelType())); + } + + @Override + public ProductClassEnum productClass() { + return switch(item.getSecType()) { + case "STK" -> ProductClassEnum.EQUITY; + case "OPT" -> ProductClassEnum.OPTION; + case "FUT" -> ProductClassEnum.FUTURES; + case "WAR" -> ProductClassEnum.WARRANTS; + case "IOPT" -> ProductClassEnum.SPOTOPTION; + default -> throw new IllegalArgumentException("Unexpected value: " + item.getSecType()); + }; + } + + @Override + public ExchangeEnum exchange() { + return switch(item.getExchange()) { + case "SMART","VALUE" -> ExchangeEnum.SMART; + case "SEHKSZSE" -> ExchangeEnum.SZSE; + case "SEHKNTL" -> ExchangeEnum.SSE; + case "SEHK" -> ExchangeEnum.SEHK; + default -> throw new IllegalArgumentException("Unexpected value: " + item.getExchange()); + }; + } + + @Override + public TradeTimeDefinition tradeTimeDefinition() { + if(Objects.isNull(contractDef)) { + throw new IllegalStateException(identifier().value() + " 没有合约定义信息"); + } + return switch(contractDef.getTradeTimeType()) { + case "CN_STK_TT" -> new CnStockTradeTime(); + case "HK_STK_TT" -> new HkStockTradeTime(); + case "US_STK_TT" -> new UsStockTradeTime(); + default -> throw new IllegalArgumentException("Unexpected value: " + contractDef.getTradeTimeType()); + }; + } + + @Override + public ChannelType channelType() { + return ChannelType.TIGER; + } + + @Override + public ContractField contractField() { + return ContractField.newBuilder() + .setGatewayId("TIGER") + .setSymbol(item.getSymbol()) + .setUnifiedSymbol(String.format("%s@%s@%s", item.getSymbol(), exchange(), productClass())) + .setName(item.getName()) + .setFullName(item.getName()) + .setCurrency(CurrencyEnum.valueOf(item.getCurrency())) + .setExchange(exchange()) + .setProductClass(productClass()) + .setContractId(identifier().value()) + .setMultiplier(Optional.ofNullable(item.getMultiplier()).orElse(1D)) + .setPriceTick(item.getMinTick()) + .setLongMarginRatio(Optional.ofNullable(item.getLongInitialMargin()).orElse(0D)) + .setShortMarginRatio(Optional.ofNullable(item.getShortInitialMargin()).orElse(0D)) + .setLastTradeDateOrContractMonth(Optional.ofNullable(item.getContractMonth()).orElse("")) + .setStrikePrice(Optional.ofNullable(item.getStrike()).orElse(0D)) + .setThirdPartyId(String.format("%s@TIGER", item.getSymbol())) + .setCommissionFee(contractDef.getCommissionFee()) + .setCommissionRate(contractDef.getCommissionRate()) + .build(); + } + + @Override + public void setContractDefinition(ContractDefinition contractDef) { + this.contractDef = contractDef; + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContractProvider.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContractProvider.java new file mode 100644 index 00000000..934ded4f --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerContractProvider.java @@ -0,0 +1,67 @@ +package org.dromara.northstar.gateway.tiger; + +import java.util.List; +import java.util.Map; +import java.util.stream.Collectors; + +import org.dromara.northstar.gateway.IMarketCenter; + +import com.tigerbrokers.stock.openapi.client.config.ClientConfig; +import com.tigerbrokers.stock.openapi.client.https.domain.contract.model.ContractsModel; +import com.tigerbrokers.stock.openapi.client.https.domain.quote.item.SymbolNameItem; +import com.tigerbrokers.stock.openapi.client.https.request.contract.ContractsRequest; +import com.tigerbrokers.stock.openapi.client.https.request.quote.QuoteSymbolNameRequest; +import com.tigerbrokers.stock.openapi.client.https.response.contract.ContractsResponse; +import com.tigerbrokers.stock.openapi.client.https.response.quote.QuoteSymbolNameResponse; +import com.tigerbrokers.stock.openapi.client.struct.enums.Language; +import com.tigerbrokers.stock.openapi.client.struct.enums.Market; + +import lombok.extern.slf4j.Slf4j; + +@Slf4j +public class TigerContractProvider { + + private TigerGatewaySettings settings; + + private IMarketCenter mktCenter; + + public TigerContractProvider(TigerGatewaySettings settings, IMarketCenter mktCenter) { + this.mktCenter = mktCenter; + this.settings = settings; + } + + /** + * 加载可用合约 + */ + public void loadContractOptions() { + ClientConfig clientConfig = ClientConfig.DEFAULT_CONFIG; + clientConfig.tigerId = settings.getTigerId(); + clientConfig.defaultAccount = settings.getAccountId(); + clientConfig.privateKey = settings.getPrivateKey(); + clientConfig.license = settings.getLicense(); + clientConfig.secretKey = settings.getSecretKey(); + clientConfig.language = Language.zh_CN; + TigerHttpClient client = TigerHttpClient.getInstance().clientConfig(clientConfig); + doLoadContracts(Market.CN, client); + doLoadContracts(Market.HK, client); + doLoadContracts(Market.US, client); + } + + private void doLoadContracts(Market market, TigerHttpClient client) { + QuoteSymbolNameResponse response = client.execute(QuoteSymbolNameRequest.newRequest(market)); + if(!response.isSuccess()) { + log.warn("TIGER 加载 [{}] 市场合约失败", market); + return; + } + Map symbolNameMap = response.getSymbolNameItems().stream().collect(Collectors.toMap(item -> item.getSymbol(), item -> item.getName())); + List symbols = response.getSymbolNameItems().stream().map(SymbolNameItem::getSymbol).toList(); + ContractsRequest contractsRequest = ContractsRequest.newRequest(new ContractsModel(symbols)); + ContractsResponse contractsResponse = client.execute(contractsRequest); + contractsResponse.getItems().stream().map(item -> { + item.setName(symbolNameMap.get(item.getSymbol())); + return new TigerContract(item); + }).forEach(c -> mktCenter.addInstrument(c)); + log.info("加载TIGER网关 [{}] 的合约{}个", market, contractsResponse.getItems().size()); + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerDataServiceManager.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerDataServiceManager.java new file mode 100644 index 00000000..db50bef2 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerDataServiceManager.java @@ -0,0 +1,50 @@ +package org.dromara.northstar.gateway.tiger; + +import java.time.LocalDate; +import java.util.List; + +import org.dromara.northstar.common.IDataServiceManager; + +import xyz.redtorch.pb.CoreEnum.ExchangeEnum; +import xyz.redtorch.pb.CoreField.BarField; +import xyz.redtorch.pb.CoreField.ContractField; + +public class TigerDataServiceManager implements IDataServiceManager{ + + @Override + public List getMinutelyData(ContractField contract, LocalDate startDate, LocalDate endDate) { + // TODO Auto-generated method stub + return null; + } + + @Override + public List getQuarterlyData(ContractField contract, LocalDate startDate, LocalDate endDate) { + // TODO Auto-generated method stub + return null; + } + + @Override + public List getHourlyData(ContractField contract, LocalDate startDate, LocalDate endDate) { + // TODO Auto-generated method stub + return null; + } + + @Override + public List getDailyData(ContractField contract, LocalDate startDate, LocalDate endDate) { + // TODO Auto-generated method stub + return null; + } + + @Override + public List getHolidays(ExchangeEnum exchange, LocalDate startDate, LocalDate endDate) { + // TODO Auto-generated method stub + return null; + } + + @Override + public List getAllContracts(ExchangeEnum exchange) { + // TODO Auto-generated method stub + return null; + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewayFactory.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewayFactory.java new file mode 100644 index 00000000..e67e715d --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewayFactory.java @@ -0,0 +1,40 @@ +package org.dromara.northstar.gateway.tiger; + +import org.dromara.northstar.common.event.FastEventEngine; +import org.dromara.northstar.common.model.GatewayDescription; +import org.dromara.northstar.gateway.Gateway; +import org.dromara.northstar.gateway.GatewayFactory; +import org.dromara.northstar.gateway.IMarketCenter; + +import com.alibaba.fastjson.JSON; + +public class TigerGatewayFactory implements GatewayFactory { + + private FastEventEngine feEngine; + + private IMarketCenter mktCenter; + + private boolean contractLoaded; + + public TigerGatewayFactory(FastEventEngine feEngine, IMarketCenter mktCenter) { + this.feEngine = feEngine; + this.mktCenter = mktCenter; + } + + @Override + public Gateway newInstance(GatewayDescription gatewayDescription) { + TigerGatewaySettings settings = JSON.parseObject(JSON.toJSONString(gatewayDescription.getSettings()), TigerGatewaySettings.class); + gatewayDescription.setSettings(settings); + if (!contractLoaded) { + new TigerContractProvider(settings, mktCenter).loadContractOptions(); + contractLoaded = true; + } + + return switch (gatewayDescription.getGatewayUsage()) { + case MARKET_DATA -> new TigerMarketGatewayAdapter(gatewayDescription, feEngine, mktCenter); + case TRADE -> new TigerTradeGatewayAdapter(feEngine, gatewayDescription, mktCenter); + default -> throw new IllegalArgumentException("未知网关用途:" + gatewayDescription.getGatewayUsage()); + }; + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewaySettings.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewaySettings.java new file mode 100644 index 00000000..921b1685 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerGatewaySettings.java @@ -0,0 +1,32 @@ +package org.dromara.northstar.gateway.tiger; + +import org.dromara.northstar.common.GatewaySettings; +import org.dromara.northstar.common.constant.FieldType; +import org.dromara.northstar.common.model.DynamicParams; +import org.dromara.northstar.common.model.Setting; + +import com.tigerbrokers.stock.openapi.client.struct.enums.License; + +import lombok.Getter; +import lombok.Setter; + +@Getter +@Setter +public class TigerGatewaySettings extends DynamicParams implements GatewaySettings { + + @Setting(label="用户ID", order=10, type=FieldType.TEXT) + private String tigerId; + + @Setting(label="账户ID", order=20, type=FieldType.TEXT) + private String accountId; + + @Setting(label="RSA私钥", order=30, type=FieldType.TEXT) + private String privateKey; + + @Setting(label="证书类型", order=40, type=FieldType.SELECT, optionsVal = {"TBNZ", "TBSG"}) + private License license; + + @Setting(label="secretKey", order=50, type=FieldType.TEXT, required = false) + private String secretKey; + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerHttpClient.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerHttpClient.java new file mode 100644 index 00000000..16d5da95 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerHttpClient.java @@ -0,0 +1,405 @@ +package org.dromara.northstar.gateway.tiger; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONObject; +import com.alibaba.fastjson.serializer.SerializerFeature; +import com.alibaba.fastjson2.JSONWriter.Feature; +import com.tigerbrokers.stock.openapi.client.TigerApiException; +import com.tigerbrokers.stock.openapi.client.config.ClientConfig; +import com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants; +import com.tigerbrokers.stock.openapi.client.https.client.TigerClient; +import com.tigerbrokers.stock.openapi.client.https.domain.ApiModel; +import com.tigerbrokers.stock.openapi.client.https.domain.BatchApiModel; +import com.tigerbrokers.stock.openapi.client.https.domain.contract.item.ContractItem; +import com.tigerbrokers.stock.openapi.client.https.domain.trade.model.TradeOrderModel; +import com.tigerbrokers.stock.openapi.client.https.domain.user.item.LicenseItem; +import com.tigerbrokers.stock.openapi.client.https.request.TigerHttpRequest; +import com.tigerbrokers.stock.openapi.client.https.request.TigerRequest; +import com.tigerbrokers.stock.openapi.client.https.response.TigerHttpResponse; +import com.tigerbrokers.stock.openapi.client.https.response.TigerResponse; +import com.tigerbrokers.stock.openapi.client.https.response.contract.ContractResponse; +import com.tigerbrokers.stock.openapi.client.https.validator.ValidatorManager; +import com.tigerbrokers.stock.openapi.client.struct.enums.AccountType; +import com.tigerbrokers.stock.openapi.client.struct.enums.BizType; +import com.tigerbrokers.stock.openapi.client.struct.enums.Env; +import com.tigerbrokers.stock.openapi.client.struct.enums.License; +import com.tigerbrokers.stock.openapi.client.struct.enums.MethodName; +import com.tigerbrokers.stock.openapi.client.struct.enums.MethodType; +import com.tigerbrokers.stock.openapi.client.struct.enums.TigerApiCode; +import com.tigerbrokers.stock.openapi.client.util.AccountUtil; +import com.tigerbrokers.stock.openapi.client.util.ApiLogger; +import com.tigerbrokers.stock.openapi.client.util.FastJsonPropertyFilter; +import com.tigerbrokers.stock.openapi.client.util.HttpUtils; +import com.tigerbrokers.stock.openapi.client.util.NetworkUtil; +import com.tigerbrokers.stock.openapi.client.util.SdkVersionUtils; +import com.tigerbrokers.stock.openapi.client.util.StringUtils; +import com.tigerbrokers.stock.openapi.client.util.TigerSignature; +import com.tigerbrokers.stock.openapi.client.util.builder.AccountParamBuilder; +import java.security.Security; +import java.util.HashMap; +import java.util.List; +import java.util.Map; +import java.util.concurrent.Executors; +import java.util.concurrent.ScheduledThreadPoolExecutor; +import java.util.concurrent.ThreadFactory; +import java.util.concurrent.TimeUnit; + +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.ACCESS_TOKEN; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.ACCOUNT_TYPE; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.BIZ_CONTENT; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.CHARSET; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.DEVICE_ID; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.METHOD; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.SDK_VERSION; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.SIGN; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.SIGN_TYPE; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.TIGER_ID; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.TIMESTAMP; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.TRADE_TOKEN; +import static com.tigerbrokers.stock.openapi.client.constant.TigerApiConstants.VERSION; +import static com.tigerbrokers.stock.openapi.client.https.request.TigerCommonRequest.V2_0; + +public class TigerHttpClient implements TigerClient { + + private String serverUrl; + private String quoteServerUrl; + private String paperServerUrl; + private String tigerId; + private String privateKey; + private String tigerPublicKey; + private String accessToken; + private String tradeToken; + private String accountType; + private String deviceId; + + private static final String ONLINE_PUBLIC_KEY = + "MIGfMA0GCSqGSIb3DQEBAQUAA4GNADCBiQKBgQDNF3G8SoEcCZh2rshUbayDgLLrj6rKgzNMxDL2HSnKcB0+GPOsndqSv+a4IBu9+I3fyBp5hkyMMG2+AXugd9pMpy6VxJxlNjhX1MYbNTZJUT4nudki4uh+LMOkIBHOceGNXjgB+cXqmlUnjlqha/HgboeHSnSgpM3dKSJQlIOsDwIDAQAB"; + + private static final String SANDBOX_PUBLIC_KEY = + "MIGfMA0GCSqGSIb3DQEBAQUAA4GNADCBiQKBgQCbm21i11hgAENGd3/f280PSe4g9YGkS3TEXBYMidihTvHHf+tJ0PYD0o3PruI0hl3qhEjHTAxb75T5YD3SGK4IBhHn/Rk6mhqlGgI+bBrBVYaXixmHfRo75RpUUuWACyeqQkZckgR0McxuW9xRMIa2cXZOoL1E4SL4lXKGhKoWbwIDAQAB"; + + private String signType = TigerApiConstants.SIGN_TYPE_RSA; + private String charset = TigerApiConstants.CHARSET_UTF8; + + private static final long REFRESH_URL_INTERVAL_SECONDS = 300; + private ScheduledThreadPoolExecutor domainExecutorService; + + static { + Security.setProperty("jdk.certpath.disabledAlgorithms", ""); + } + + private TigerHttpClient() { + } + + private static class SingletonInner { + private static TigerHttpClient singleton = new TigerHttpClient(); + } + + /** + * get TigerHttpClient instance + * @return TigerHttpClient + */ + public static TigerHttpClient getInstance() { + return TigerHttpClient.SingletonInner.singleton; + } + + public TigerHttpClient clientConfig(ClientConfig clientConfig) { + init(clientConfig.serverUrl, clientConfig.tigerId, clientConfig.privateKey); + initDomainRefreshTask(); + if (clientConfig.isAutoGrabPermission) { + TigerHttpRequest request = new TigerHttpRequest(MethodName.GRAB_QUOTE_PERMISSION); + request.setBizContent(AccountParamBuilder.instance().buildJsonWithoutDefaultAccount()); + TigerHttpResponse response = execute(request); + ApiLogger.info("tigerId:{}, grab_quote_permission:{}, data:{}", + tigerId, response.getMessage(), response.getData()); + } + return this; + } + + /** please use TigerHttpClient.getInstance().clientConfig(ClientConfig.DEFAULT_CONFIG) */ + @Deprecated + public TigerHttpClient(String serverUrl, String tigerId, String privateKey) { + init(serverUrl, tigerId, privateKey); + } + + private void init(String serverUrl, String tigerId, String privateKey) { + if (tigerId == null) { + throw new RuntimeException("tigerId is empty."); + } + if (privateKey == null) { + throw new RuntimeException("privateKey is empty."); + } + this.tigerId = tigerId; + this.privateKey = privateKey; + if (ClientConfig.DEFAULT_CONFIG.getEnv() == Env.PROD) { + this.tigerPublicKey = ONLINE_PUBLIC_KEY; + } else { + this.tigerPublicKey = SANDBOX_PUBLIC_KEY; + } + this.deviceId = NetworkUtil.getDeviceId(); + + initLicense(); + if (Env.PROD == ClientConfig.DEFAULT_CONFIG.getEnv() || StringUtils.isEmpty(serverUrl)) { + refreshUrl(); + } else { + this.serverUrl = serverUrl; + } + if (this.serverUrl == null) { + throw new RuntimeException("serverUrl is empty."); + } + } + + @Deprecated + public TigerHttpClient(String serverUrl) { + this.serverUrl = serverUrl; + } + + @Deprecated + public TigerHttpClient(String serverUrl, String accessToken) { + this.serverUrl = serverUrl; + this.accessToken = accessToken; + } + + private void initLicense() { + if (null == ClientConfig.DEFAULT_CONFIG.license) { + try { + Map urlMap = NetworkUtil.getHttpServerAddress(null, this.serverUrl); + this.serverUrl = urlMap.get(BizType.COMMON); + TigerHttpRequest request = new TigerHttpRequest(MethodName.USER_LICENSE); + request.setBizContent(AccountParamBuilder.instance().buildJsonWithoutDefaultAccount()); + TigerHttpResponse response = execute(request); + if (response.isSuccess()) { + LicenseItem data = JSON.parseObject(response.getData(), LicenseItem.class); + ApiLogger.debug("license:{}", data); + ClientConfig.DEFAULT_CONFIG.license = License.valueOf(data.getLicense()); + } + } catch (Exception e) { + ApiLogger.debug("get license fail. tigerId:{}", tigerId); + } + } + } + + private void initDomainRefreshTask() { + synchronized (TigerHttpClient.SingletonInner.singleton) { + if (domainExecutorService == null || domainExecutorService.isTerminated()) { + domainExecutorService = new ScheduledThreadPoolExecutor(1, new ThreadFactory() { + @Override + public Thread newThread(Runnable r) { + Thread t = Executors.defaultThreadFactory().newThread(r); + t.setDaemon(true); + return t; + } + }); + domainExecutorService.scheduleWithFixedDelay( + new Runnable() { + @Override + public void run() { + refreshUrl(); + } + }, REFRESH_URL_INTERVAL_SECONDS, + REFRESH_URL_INTERVAL_SECONDS, TimeUnit.SECONDS); + } + } + } + + private void refreshUrl() { + try { + Map urlMap = NetworkUtil.getHttpServerAddress(ClientConfig.DEFAULT_CONFIG.license, this.serverUrl); + String newServerUrl = urlMap.get(BizType.TRADE); + if (newServerUrl == null) { + newServerUrl = urlMap.get(BizType.COMMON); + } + String newQuoteServerUrl = urlMap.get(BizType.QUOTE) == null ? newServerUrl : urlMap.get(BizType.QUOTE); + String newPaperServerUrl = urlMap.get(BizType.PAPER) == null ? newServerUrl : urlMap.get(BizType.PAPER); + + this.serverUrl = newServerUrl; + this.quoteServerUrl = newQuoteServerUrl; + this.paperServerUrl = newPaperServerUrl; + } catch (Throwable t) { + ApiLogger.error("refresh serverUrl error", t); + } + } + + public String getAccessToken() { + return accessToken; + } + + public void setAccessToken(String accessToken) { + this.accessToken = accessToken; + } + + public void setTradeToken(String tradeToken) { + this.tradeToken = tradeToken; + } + + public String getTradeToken() { + return tradeToken; + } + + public void setAccountType(AccountType accountType) { + if (accountType != null) { + this.accountType = accountType.name(); + } + } + + public String getAccountType() { + return accountType; + } + + @Override + public T execute(TigerRequest request) { + T response; + String param = null; + String data = null; + try { + validate(request); + // after successful verification(string enumeration values may be reset), generate JSON data + param = JSON.toJSONString(buildParams(request), SerializerFeature.WriteEnumUsingToString); + ApiLogger.debug("request param:{}", param); + + data = HttpUtils.post(getServerUrl(request), param); + + if (StringUtils.isEmpty(data)) { + throw new TigerApiException(TigerApiCode.EMPTY_DATA_ERROR); + } + response = JSON.parseObject(data, request.getResponseClass()); + if (MethodName.CONTRACT == request.getApiMethodName()) { + convertContractItem(response, request.getApiVersion()); + } + if (StringUtils.isEmpty(this.tigerPublicKey) || response.getSign() == null) { + return response; + } + boolean signSuccess = + TigerSignature.rsaCheckContent(request.getTimestamp(), response.getSign(), this.tigerPublicKey, this.charset); + + if (!signSuccess) { + throw new TigerApiException(TigerApiCode.SIGN_CHECK_FAILED); + } + return response; + } catch (RuntimeException e) { + ApiLogger.error(tigerId, request.getApiMethodName(), request.getApiVersion(), param, data, e); + return errorResponse(tigerId, request, e); + } catch (TigerApiException e) { + ApiLogger.error(tigerId, request.getApiMethodName(), request.getApiVersion(), param, data, e); + return errorResponse(tigerId, request, e); + } catch (Exception e) { + ApiLogger.error(tigerId, request.getApiMethodName(), request.getApiVersion(), param, data, e); + return errorResponse(tigerId, request, e); + } + } + + private void convertContractItem(TigerResponse response, String apiVersion) { + if (response instanceof ContractResponse) { + ContractResponse contractResponse = (ContractResponse) response; + if (StringUtils.isEmpty(contractResponse.getData())) { + return; + } + if (V2_0.equals(apiVersion)) { + List items = ContractItem.convertFromJsonV2(contractResponse.getData()); + contractResponse.setItems(items); + if (items != null && items.size() > 0) { + contractResponse.setItem(items.get(0)); + } + } else { + contractResponse.setItem(ContractItem.convertFromJson(contractResponse.getData())); + } + } + } + + private T errorResponse(String tigerId, TigerRequest request, TigerApiException e) { + try { + ApiLogger.error(tigerId, request.getApiMethodName(), request.getApiVersion(), e); + + T response = request.getResponseClass().newInstance(); + response.setCode(e.getErrCode()); + response.setMessage(e.getErrMsg()); + return response; + } catch (Exception e1) { + ApiLogger.error(tigerId, request.getApiMethodName(), request.getApiVersion(), e1); + return null; + } + } + + private T errorResponse(String tigerId, TigerRequest request, Exception e) { + try { + ApiLogger.error(tigerId, request.getApiMethodName(), request.getApiVersion(), e); + + T response = request.getResponseClass().newInstance(); + response.setCode(TigerApiCode.CLIENT_API_ERROR.getCode()); + response.setMessage(TigerApiCode.CLIENT_API_ERROR.getMessage() + "(" + e.getMessage() + ")"); + return response; + } catch (Exception e1) { + ApiLogger.error(tigerId, request.getApiMethodName(), request.getApiVersion(), e1); + return null; + } + } + + private Map buildParams(TigerRequest request) { + Map params = new HashMap<>(); + params.put(METHOD, request.getApiMethodName().getValue()); + params.put(VERSION, request.getApiVersion()); + params.put(SDK_VERSION, SdkVersionUtils.getSdkVersion()); + if (request instanceof TigerHttpRequest) { + params.put(BIZ_CONTENT, ((TigerHttpRequest) request).getBizContent()); + } else { + ApiModel apiModel = request.getApiModel(); + if (apiModel instanceof BatchApiModel) { + params.put(BIZ_CONTENT, JSON.toJSONString(((BatchApiModel) apiModel).getItems(), SerializerFeature.WriteEnumUsingToString)); + } else if (apiModel instanceof TradeOrderModel) { + params.put(BIZ_CONTENT, JSON.toJSONString(apiModel, SerializerFeature.WriteEnumUsingToString)); + } else { + params.put(BIZ_CONTENT, JSON.toJSONString(apiModel, SerializerFeature.WriteEnumUsingToString)); + } + } + params.put(TIMESTAMP, request.getTimestamp()); + params.put(CHARSET, this.charset); + params.put(TIGER_ID, this.tigerId); + params.put(SIGN_TYPE, this.signType); + if (this.accessToken != null) { + params.put(ACCESS_TOKEN, this.accessToken); + } + if (this.tradeToken != null) { + params.put(TRADE_TOKEN, this.tradeToken); + } + if (this.accountType != null) { + params.put(ACCOUNT_TYPE, this.accountType); + } + if (this.deviceId != null) { + params.put(DEVICE_ID, this.deviceId); + } + if (this.tigerId != null) { + String content = TigerSignature.getSignContent(params); + params.put(SIGN, TigerSignature.rsaSign(content, privateKey, charset)); + } + + return params; + } + + /** + * validate parameters + * @param request + * @throws TigerApiException + */ + private void validate(TigerRequest request) throws TigerApiException { + if (request instanceof TigerHttpRequest) { + return; + } + // TigerCommonRequest + ValidatorManager.getInstance().validate(request.getApiModel()); + } + + private String getServerUrl(TigerRequest request) { + String url = null; + MethodType methodType = request.getApiMethodName().getType(); + if (MethodType.QUOTE == methodType) { + url = this.quoteServerUrl; + } else if (MethodType.TRADE == methodType && paperServerUrl != null) { + String account = AccountUtil.parseAccount(request); + if (AccountUtil.isVirtualAccount(account)) { + url = this.paperServerUrl; + } + } + return url == null ? this.serverUrl : url; + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerLoader.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerLoader.java new file mode 100644 index 00000000..f35c6a0e --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerLoader.java @@ -0,0 +1,36 @@ +package org.dromara.northstar.gateway.tiger; + +import org.dromara.northstar.common.GatewaySettings; +import org.dromara.northstar.common.constant.ChannelType; +import org.dromara.northstar.gateway.GatewayMetaProvider; +import org.dromara.northstar.gateway.IMarketCenter; +import org.springframework.beans.factory.annotation.Autowired; +import org.springframework.boot.CommandLineRunner; +import org.springframework.core.annotation.Order; +import org.springframework.stereotype.Component; + +import lombok.extern.slf4j.Slf4j; + +@Slf4j +@Order(0) // 加载顺序需要显式声明,否则会最后才被加载,从而导致加载网关与模组时报异常 +@Component +public class TigerLoader implements CommandLineRunner{ + + @Autowired + private IMarketCenter mktCenter; + + @Autowired + private TigerDataServiceManager dsMgr; + + @Autowired + private GatewayMetaProvider gatewayMetaProvider; + + @Autowired + private TigerGatewayFactory tigerFactory; + + public void run(String... args) throws Exception { + GatewaySettings tigerGatewaySettings = new TigerGatewaySettings(); + gatewayMetaProvider.add(ChannelType.TIGER, tigerGatewaySettings, tigerFactory, dsMgr); + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerMarketGatewayAdapter.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerMarketGatewayAdapter.java new file mode 100644 index 00000000..f8437c05 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerMarketGatewayAdapter.java @@ -0,0 +1,317 @@ +package org.dromara.northstar.gateway.tiger; + +import java.time.Instant; +import java.time.LocalDateTime; +import java.time.ZoneId; +import java.time.ZoneOffset; +import java.util.List; +import java.util.Set; +import java.util.concurrent.ConcurrentHashMap; +import java.util.concurrent.ConcurrentMap; + +import org.dromara.northstar.common.constant.ChannelType; +import org.dromara.northstar.common.constant.ConnectionState; +import org.dromara.northstar.common.constant.DateTimeConstant; +import org.dromara.northstar.common.event.FastEventEngine; +import org.dromara.northstar.common.event.NorthstarEventType; +import org.dromara.northstar.common.model.GatewayDescription; +import org.dromara.northstar.gateway.IContractManager; +import org.dromara.northstar.gateway.MarketGateway; + +import com.alibaba.fastjson.JSONObject; +import com.tigerbrokers.stock.openapi.client.config.ClientConfig; +import com.tigerbrokers.stock.openapi.client.socket.ApiComposeCallback; +import com.tigerbrokers.stock.openapi.client.socket.WebSocketClient; +import com.tigerbrokers.stock.openapi.client.struct.SubscribedSymbol; +import com.tigerbrokers.stock.openapi.client.struct.enums.Language; +import com.tigerbrokers.stock.openapi.client.struct.enums.QuoteKeyType; +import com.tigerbrokers.stock.openapi.client.util.ApiLogger; + +import lombok.extern.slf4j.Slf4j; +import xyz.redtorch.pb.CoreEnum.CommonStatusEnum; +import xyz.redtorch.pb.CoreEnum.ProductClassEnum; +import xyz.redtorch.pb.CoreField.ContractField; +import xyz.redtorch.pb.CoreField.NoticeField; +import xyz.redtorch.pb.CoreField.TickField; + +/** + * 老虎证券行情网关适配器 + * @author KevinHuangwl + * + */ +@Slf4j +public class TigerMarketGatewayAdapter implements MarketGateway { + + private GatewayDescription gd; + + private FastEventEngine feEngine; + + private WebSocketClient client; + + private TigerSpi spi; + + private ConnectionState connState = ConnectionState.DISCONNECTED; + + public TigerMarketGatewayAdapter(GatewayDescription gd, FastEventEngine feEngine, IContractManager contractMgr) { + this.gd = gd; + this.feEngine = feEngine; + this.spi = new TigerSpi(feEngine, contractMgr); + + TigerGatewaySettings settings = (TigerGatewaySettings) gd.getSettings(); + ClientConfig clientConfig = ClientConfig.DEFAULT_CONFIG; + clientConfig.tigerId = settings.getTigerId(); + clientConfig.defaultAccount = settings.getAccountId(); + clientConfig.privateKey = settings.getPrivateKey(); + clientConfig.license = settings.getLicense(); + clientConfig.secretKey = settings.getSecretKey(); + clientConfig.language = Language.zh_CN; + this.client = WebSocketClient.getInstance().clientConfig(clientConfig).apiComposeCallback(spi); + ApiLogger.setEnabled(true, "logs/"); + } + + @Override + public void connect() { + client.connect(); + connState = ConnectionState.CONNECTED; + feEngine.emitEvent(NorthstarEventType.GATEWAY_READY, gd.getGatewayId()); + } + + @Override + public void disconnect() { + client.disconnect(); + connState = ConnectionState.DISCONNECTED; + } + + @Override + public ConnectionState getConnectionState() { + return connState; + } + + @Override + public boolean getAuthErrorFlag() { + return false; + } + + @Override + public boolean subscribe(ContractField contract) { + if(contract.getProductClass() == ProductClassEnum.EQUITY) { + client.subscribeQuote(Set.of(contract.getSymbol()), QuoteKeyType.ALL); + log.info("TIGER网关订阅合约 {} {}", contract.getName(), contract.getUnifiedSymbol()); + } + // TODO 期货期权暂没实现 + return true; + } + + @Override + public boolean unsubscribe(ContractField contract) { + if(contract.getProductClass() == ProductClassEnum.EQUITY) { + client.cancelSubscribeQuote(Set.of(contract.getSymbol())); + } + // TODO 期货期权暂没实现 + return true; + } + + @Override + public boolean isActive() { + return spi.isActive(); + } + + @Override + public ChannelType channelType() { + return ChannelType.TIGER; + } + + @Override + public GatewayDescription gatewayDescription() { + gd.setConnectionState(getConnectionState()); + return gd; + } + + @Override + public String gatewayId() { + return gd.getGatewayId(); + } + + class TigerSpi implements ApiComposeCallback { + + static final String MKT_STAT = "marketStatus"; + static final String ASK_P = "askPrice"; + static final String ASK_V = "askSize"; + static final String BID_P = "bidPrice"; + static final String BID_V = "bidSize"; + + private ConcurrentMap tickBuilderMap = new ConcurrentHashMap<>(); + + private FastEventEngine feEngine; + private IContractManager contractMgr; + + private long lastActive; + + public TigerSpi(FastEventEngine feEngine, IContractManager contractMgr) { + this.feEngine = feEngine; + this.contractMgr = contractMgr; + } + + @Override + public void orderStatusChange(JSONObject jsonObject) { + // TODO Auto-generated method stub + + } + + @Override + public void positionChange(JSONObject jsonObject) { + // TODO Auto-generated method stub + + } + + @Override + public void assetChange(JSONObject jsonObject) { + // TODO Auto-generated method stub + + } + + @Override + public void quoteChange(JSONObject jsonObject) { + lastActive = System.currentTimeMillis(); + if(log.isTraceEnabled()) { + log.trace("数据回报:{}", jsonObject); + } + if(jsonObject.containsKey("hourTradingTag")) { + return; //忽略盘前盘后数据 + } + try { + + String symbol = jsonObject.getString("symbol"); + long timestamp = jsonObject.getLongValue("timestamp"); + LocalDateTime ldt = LocalDateTime.ofInstant(Instant.ofEpochMilli(timestamp), ZoneId.systemDefault()); + ZoneId londonTimeZone = ZoneId.of(ZoneOffset.ofHours(0).getId()); // 伦敦时区正好可以让所有时区的交易计算在同一天 + tickBuilderMap.computeIfAbsent(symbol, key -> TickField.newBuilder() + .setGatewayId(gd.getGatewayId()) + .addAllAskPrice(List.of(0D)) + .addAllAskVolume(List.of(0)) + .addAllBidPrice(List.of(0D)) + .addAllBidVolume(List.of(0)) + .setUnifiedSymbol(contractMgr.getContract(ChannelType.TIGER, symbol).contractField().getUnifiedSymbol())); + if(jsonObject.containsKey(ASK_P)) tickBuilderMap.get(symbol).setAskPrice(0, jsonObject.getDoubleValue(ASK_P)); + if(jsonObject.containsKey(BID_P)) tickBuilderMap.get(symbol).setBidPrice(0, jsonObject.getDoubleValue(BID_P)); + if(jsonObject.containsKey(ASK_V)) tickBuilderMap.get(symbol).setAskVolume(0, jsonObject.getIntValue(ASK_V)); + if(jsonObject.containsKey(BID_V)) tickBuilderMap.get(symbol).setBidVolume(0, jsonObject.getIntValue(BID_V)); + + if(jsonObject.containsKey(MKT_STAT) && jsonObject.getString(MKT_STAT).equals("交易中")) { + // 交易数据更新 + feEngine.emitEvent(NorthstarEventType.TICK, tickBuilderMap.get(symbol) + .setActionDay(ldt.toLocalDate().format(DateTimeConstant.D_FORMAT_INT_FORMATTER)) + .setActionTime(ldt.toLocalTime().format(DateTimeConstant.T_FORMAT_WITH_MS_INT_FORMATTER)) + .setTradingDay(LocalDateTime.ofInstant(Instant.ofEpochMilli(timestamp), londonTimeZone).toLocalDate().format(DateTimeConstant.D_FORMAT_INT_FORMATTER)) + .setActionTimestamp(timestamp) + .setPreClosePrice(jsonObject.getDoubleValue("preClose")) + .setLastPrice(jsonObject.getDoubleValue("latestPrice")) + .setHighPrice(jsonObject.getDoubleValue("high")) + .setLowPrice(jsonObject.getDoubleValue("low")) + .setOpenPrice(jsonObject.getDoubleValue("open")) + .setVolume(jsonObject.getLongValue("volume")) + .build()); + } else if(!jsonObject.containsKey(MKT_STAT)){ + // 盘口数据更新 + feEngine.emitEvent(NorthstarEventType.TICK, tickBuilderMap.get(symbol) + .setActionDay(ldt.toLocalDate().format(DateTimeConstant.D_FORMAT_INT_FORMATTER)) + .setActionTime(ldt.toLocalTime().format(DateTimeConstant.T_FORMAT_WITH_MS_INT_FORMATTER)) + .setTradingDay(LocalDateTime.ofInstant(Instant.ofEpochMilli(timestamp), londonTimeZone).toLocalDate().format(DateTimeConstant.D_FORMAT_INT_FORMATTER)) + .setActionTimestamp(timestamp) + .build()); + } + } catch(Exception e) { + log.warn("异常数据:{}", jsonObject); + log.error("", e); + } + } + + @Override + public void tradeTickChange(JSONObject jsonObject) { + // TODO Auto-generated method stub + + } + + @Override + public void optionChange(JSONObject jsonObject) { + lastActive = System.currentTimeMillis(); + } + + @Override + public void futureChange(JSONObject jsonObject) { + lastActive = System.currentTimeMillis(); + } + + @Override + public void depthQuoteChange(JSONObject jsonObject) { + } + + @Override + public void subscribeEnd(String id, String subject, JSONObject jsonObject) { + log.info("成功订阅 [{} {} {}]", id, subject, jsonObject); + } + + @Override + public void cancelSubscribeEnd(String id, String subject, JSONObject jsonObject) { + log.info("取消订阅 [{} {} {}]", id, subject, jsonObject); + } + + @Override + public void getSubscribedSymbolEnd(SubscribedSymbol subscribedSymbol) { + } + + @Override + public void error(String errorMsg) { + NoticeField notice = NoticeField.newBuilder() + .setStatus(CommonStatusEnum.COMS_WARN) + .setContent(errorMsg) + .setTimestamp(System.currentTimeMillis()) + .build(); + feEngine.emitEvent(NorthstarEventType.NOTICE, notice); + } + + @Override + public void error(int id, int errorCode, String errorMsg) { + log.error("TIGER网关出错 [{} {} {}]", id, errorCode, errorMsg); + } + + @Override + public void connectionClosed() { + log.info("TIGER网关断开"); + } + + @Override + public void connectionKickoff(int errorCode, String errorMsg) { + NoticeField notice = NoticeField.newBuilder() + .setStatus(CommonStatusEnum.COMS_WARN) + .setContent(errorMsg) + .setTimestamp(System.currentTimeMillis()) + .build(); + feEngine.emitEvent(NorthstarEventType.NOTICE, notice); + } + + @Override + public void connectionAck() { + log.info("TIGER网关应答"); + } + + @Override + public void connectionAck(int serverSendInterval, int serverReceiveInterval) { + } + + @Override + public void hearBeat(String heartBeatContent) { + } + + @Override + public void serverHeartBeatTimeOut(String channelIdAsLongText) { + log.info("TIGER网关服务响应超时:{}", channelIdAsLongText); + } + + public boolean isActive() { + return System.currentTimeMillis() - lastActive < 3000; + } + + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerTradeGatewayAdapter.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerTradeGatewayAdapter.java new file mode 100644 index 00000000..08cf53ad --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/TigerTradeGatewayAdapter.java @@ -0,0 +1,307 @@ +package org.dromara.northstar.gateway.tiger; + +import java.util.HashMap; +import java.util.List; +import java.util.Map; +import java.util.Map.Entry; +import java.util.Optional; +import java.util.Timer; +import java.util.TimerTask; +import java.util.concurrent.ConcurrentHashMap; +import java.util.concurrent.ConcurrentMap; +import java.util.concurrent.Executor; +import java.util.concurrent.Executors; + +import org.apache.commons.lang3.StringUtils; +import org.dromara.northstar.common.constant.ChannelType; +import org.dromara.northstar.common.constant.ConnectionState; +import org.dromara.northstar.common.event.FastEventEngine; +import org.dromara.northstar.common.event.NorthstarEventType; +import org.dromara.northstar.common.model.GatewayDescription; +import org.dromara.northstar.gateway.IContractManager; +import org.dromara.northstar.gateway.TradeGateway; + +import com.alibaba.fastjson.JSON; +import com.alibaba.fastjson.JSONArray; +import com.alibaba.fastjson.JSONObject; +import com.tigerbrokers.stock.openapi.client.config.ClientConfig; +import com.tigerbrokers.stock.openapi.client.https.domain.trade.item.PrimeAssetItem; +import com.tigerbrokers.stock.openapi.client.https.domain.trade.model.TradeOrderModel; +import com.tigerbrokers.stock.openapi.client.https.request.TigerHttpRequest; +import com.tigerbrokers.stock.openapi.client.https.request.trade.PrimeAssetRequest; +import com.tigerbrokers.stock.openapi.client.https.request.trade.TradeOrderRequest; +import com.tigerbrokers.stock.openapi.client.https.response.TigerHttpResponse; +import com.tigerbrokers.stock.openapi.client.https.response.trade.PrimeAssetResponse; +import com.tigerbrokers.stock.openapi.client.https.response.trade.TradeOrderResponse; +import com.tigerbrokers.stock.openapi.client.struct.enums.ActionType; +import com.tigerbrokers.stock.openapi.client.struct.enums.Category; +import com.tigerbrokers.stock.openapi.client.struct.enums.Currency; +import com.tigerbrokers.stock.openapi.client.struct.enums.Language; +import com.tigerbrokers.stock.openapi.client.struct.enums.MethodName; +import com.tigerbrokers.stock.openapi.client.struct.enums.OrderType; +import com.tigerbrokers.stock.openapi.client.struct.enums.SecType; +import com.tigerbrokers.stock.openapi.client.struct.param.OrderParameter; +import com.tigerbrokers.stock.openapi.client.util.builder.AccountParamBuilder; +import com.tigerbrokers.stock.openapi.client.util.builder.TradeParamBuilder; + +import lombok.extern.slf4j.Slf4j; +import xyz.redtorch.pb.CoreEnum.CurrencyEnum; +import xyz.redtorch.pb.CoreEnum.PositionDirectionEnum; +import xyz.redtorch.pb.CoreField.AccountField; +import xyz.redtorch.pb.CoreField.CancelOrderReqField; +import xyz.redtorch.pb.CoreField.ContractField; +import xyz.redtorch.pb.CoreField.OrderField; +import xyz.redtorch.pb.CoreField.PositionField; +import xyz.redtorch.pb.CoreField.SubmitOrderReqField; +import xyz.redtorch.pb.CoreField.TradeField; + +/** + * 老虎证券交易网关适配器 + * @author KevinHuangwl + * + */ +@Slf4j +public class TigerTradeGatewayAdapter implements TradeGateway{ + + private final FastEventEngine feEngine; + private final GatewayDescription gd; + private final TigerGatewaySettings settings; + private final IContractManager contractMgr; + + private final ConcurrentMap orderIdMap = new ConcurrentHashMap<>(); + + private TigerHttpClient client; + private OrderTradeQueryProxy proxy; + private Timer timer; + + private ConnectionState connState = ConnectionState.DISCONNECTED; + + private Executor exec = Executors.newSingleThreadExecutor(); + + private Map lastPositions = new HashMap<>(); + + public TigerTradeGatewayAdapter(FastEventEngine feEngine, GatewayDescription gd, IContractManager contractMgr) { + this.feEngine = feEngine; + this.gd = gd; + this.settings = (TigerGatewaySettings) gd.getSettings(); + this.contractMgr = contractMgr; + } + + @Override + public synchronized void connect() { + ClientConfig clientConfig = ClientConfig.DEFAULT_CONFIG; + clientConfig.tigerId = settings.getTigerId(); + clientConfig.defaultAccount = settings.getAccountId(); + clientConfig.privateKey = settings.getPrivateKey(); + clientConfig.license = settings.getLicense(); + clientConfig.secretKey = settings.getSecretKey(); + clientConfig.language = Language.zh_CN; + client = TigerHttpClient.getInstance().clientConfig(clientConfig); + proxy = new OrderTradeQueryProxy(client, contractMgr, gatewayId(), settings.getAccountId()); + List orders = proxy.getDeltaOrder(); + List symbols = orders.stream().map(OrderField::getContract).map(ContractField::getSymbol).distinct().toList(); + + connState = ConnectionState.CONNECTED; + feEngine.emitEvent(NorthstarEventType.LOGGED_IN, gatewayId()); + + orders.forEach(order -> feEngine.emitEvent(NorthstarEventType.ORDER, order)); + symbols.forEach(symbol -> { + List trades = proxy.getTrades(symbol); + trades.forEach(trade -> feEngine.emitEvent(NorthstarEventType.TRADE, trade)); + }); + + timer = new Timer("TIGER_" + gatewayId(), true); + timer.scheduleAtFixedRate(new TimerTask() { + + @Override + public void run() { + try { + queryAccount(); + queryPosition(); + TigerTradeGatewayAdapter.this.doQueryOrderAndTrade(); + } catch(Exception e) { + log.error("", e); + } + } + }, 3000, 1500); + } + + private void doQueryOrderAndTrade() { + proxy.getDeltaOrder().forEach(order -> { + Long id = Long.valueOf(order.getOrderId()); + String originOrderId = orderIdMap.get(id); + feEngine.emitEvent(NorthstarEventType.ORDER, order.toBuilder().setOriginOrderId(Optional.ofNullable(originOrderId).orElse("")).build()); + if(order.getTradedVolume() > 0) { + proxy.getDeltaTrade(Long.valueOf(order.getOrderId())) + .forEach(trade -> feEngine.emitEvent(NorthstarEventType.TRADE, trade.toBuilder().setOriginOrderId(Optional.ofNullable(originOrderId).orElse("")).build())); + } + }); + } + + @Override + public synchronized void disconnect() { + timer.cancel(); + timer = null; + client = null; + proxy = null; + feEngine.emitEvent(NorthstarEventType.LOGGED_OUT, gatewayId()); + connState = ConnectionState.DISCONNECTED; + } + + private void queryAccount() { + log.trace("查询TIGER账户信息"); + PrimeAssetRequest assetRequest = PrimeAssetRequest.buildPrimeAssetRequest(settings.getAccountId()); + PrimeAssetResponse primeAssetResponse = client.execute(assetRequest); + if(!primeAssetResponse.isSuccess()) { + log.warn("查询账户返回异常:{}", primeAssetResponse.getMessage()); + return; + } + //查询证券相关资产信息 + PrimeAssetItem.Segment segment = primeAssetResponse.getSegment(Category.S); // 暂不实现期货资产查询 + //查询账号中美元相关资产信息 + if (segment != null) { + PrimeAssetItem.CurrencyAssets assetByCurrency = segment.getAssetByCurrency(Currency.USD); + feEngine.emitEvent(NorthstarEventType.ACCOUNT, AccountField.newBuilder() + .setAccountId(settings.getAccountId()) + .setGatewayId(gatewayId()) + .setAvailable(assetByCurrency.getCashBalance()) + .setMargin(segment.getGrossPositionValue()) + .setBalance(segment.getNetLiquidation()) + .setPositionProfit(segment.getUnrealizedPL()) + .setCloseProfit(segment.getRealizedPL()) + .setCurrency(CurrencyEnum.USD) + .build()); + } + } + + private void queryPosition() { + log.trace("查询TIGER持仓信息"); + TigerHttpRequest request = new TigerHttpRequest(MethodName.POSITIONS); + String bizContent = AccountParamBuilder.instance() + .account(settings.getAccountId()) + .secType(SecType.STK) + .buildJson(); + + request.setBizContent(bizContent); + TigerHttpResponse response = client.execute(request); + if(!response.isSuccess()) { + log.warn("查询持仓返回异常:{}", response.getMessage()); + return; + } + // 解析具体字段 + JSONArray positions = JSON.parseObject(response.getData()).getJSONArray("items"); + Map positionMap = new HashMap<>(); + for(int i=0; i { + feEngine.emitEvent(NorthstarEventType.POSITION, pf.toBuilder().setPosition(0).build()); + }); + lastPositions = positionMap; + } + + @Override + public ConnectionState getConnectionState() { + return connState; + } + + @Override + public boolean getAuthErrorFlag() { + return false; + } + + @Override + public String submitOrder(SubmitOrderReqField submitOrderReq) { + if(connState != ConnectionState.CONNECTED) { + throw new IllegalStateException("网关未连线"); + } + + SecType secType = switch(submitOrderReq.getContract().getProductClass()) { + case EQUITY -> SecType.STK; + case FUTURES -> SecType.FUT; + default -> throw new IllegalArgumentException("Unexpected value: " + submitOrderReq.getContract().getProductClass()); + }; + + OrderType orderType = switch(submitOrderReq.getOrderPriceType()) { + case OPT_LimitPrice -> OrderType.LMT; + case OPT_AnyPrice -> OrderType.MKT; + default -> throw new IllegalArgumentException("老虎证券仅支持限价与市价两种订单类型"); + }; + + ActionType actionType = switch(submitOrderReq.getDirection()) { + case D_Buy -> ActionType.BUY; + case D_Sell -> ActionType.SELL; + default -> throw new IllegalArgumentException("Unexpected value: " + submitOrderReq.getDirection()); + }; + + TradeOrderModel model = new TradeOrderModel(); + model.setAccount(settings.getAccountId()); + model.setSymbol(submitOrderReq.getContract().getSymbol()); + model.setSecType(secType); + model.setOrderType(orderType); + model.setAction(actionType); + model.setLimitPrice(orderType == OrderType.MKT ? null : submitOrderReq.getPrice()); + model.setTotalQuantity(submitOrderReq.getVolume()); + model.setSecretKey(settings.getSecretKey()); + log.info("网关[{}] 下单:{}", gatewayId(), model); + TradeOrderResponse response = client.execute(TradeOrderRequest.newRequest(model)); + log.info("网关[{}] 下单反馈:{}", gatewayId(), JSON.toJSONString(response)); + Long id = response.getItem().getId(); + orderIdMap.put(id, submitOrderReq.getOriginOrderId()); + exec.execute(this::doQueryOrderAndTrade); + return id + ""; + } + + @Override + public boolean cancelOrder(CancelOrderReqField cancelOrderReq) { + if(connState != ConnectionState.CONNECTED) { + throw new IllegalStateException("网关未连线"); + } + for(Entry e : orderIdMap.entrySet()) { + if(StringUtils.isNotEmpty(cancelOrderReq.getOriginOrderId()) && StringUtils.equals(cancelOrderReq.getOriginOrderId(), e.getValue())) { + Long id = e.getKey(); + OrderParameter params = TradeParamBuilder.instance().account(settings.getAccountId()).id(id).secretKey(settings.getSecretKey()).build(); + String bizContent = JSON.toJSONString(params); + TigerHttpRequest request = new TigerHttpRequest(MethodName.CANCEL_ORDER); + request.setBizContent(bizContent); + log.info("网关[{}] 撤单:{}", gatewayId(), bizContent); + TigerHttpResponse response = client.execute(request); + log.info("网关[{}] 撤单反馈:{}", gatewayId(), JSON.toJSONString(response)); + return response.isSuccess(); + } + } + + return false; + } + + @Override + public GatewayDescription gatewayDescription() { + gd.setConnectionState(getConnectionState()); + return gd; + } + + @Override + public String gatewayId() { + return gd.getGatewayId(); + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/CnStockTradeTime.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/CnStockTradeTime.java new file mode 100644 index 00000000..f0d53bb7 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/CnStockTradeTime.java @@ -0,0 +1,23 @@ +package org.dromara.northstar.gateway.tiger.time; + +import java.time.LocalTime; +import java.util.List; + +import org.dromara.northstar.gateway.TradeTimeDefinition; +import org.dromara.northstar.gateway.model.PeriodSegment; + +/** + * A股连续交易时段 + * @author KevinHuangwl + * + */ +public class CnStockTradeTime implements TradeTimeDefinition{ + + @Override + public List tradeTimeSegments() { + return List.of( + new PeriodSegment(LocalTime.of(9, 31), LocalTime.of(11, 30)), + new PeriodSegment(LocalTime.of(13, 1), LocalTime.of(15, 0))); + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/HkStockTradeTime.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/HkStockTradeTime.java new file mode 100644 index 00000000..d22d43d8 --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/HkStockTradeTime.java @@ -0,0 +1,23 @@ +package org.dromara.northstar.gateway.tiger.time; + +import java.time.LocalTime; +import java.util.List; + +import org.dromara.northstar.gateway.TradeTimeDefinition; +import org.dromara.northstar.gateway.model.PeriodSegment; + +/** + * 港股连续交易时段 + * @author KevinHuangwl + * + */ +public class HkStockTradeTime implements TradeTimeDefinition{ + + @Override + public List tradeTimeSegments() { + return List.of( + new PeriodSegment(LocalTime.of(10, 1), LocalTime.of(12, 0)), + new PeriodSegment(LocalTime.of(13, 1), LocalTime.of(16, 0))); + } + +} diff --git a/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/UsStockTradeTime.java b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/UsStockTradeTime.java new file mode 100644 index 00000000..8207036f --- /dev/null +++ b/northstar-gateway-tiger/src/main/java/org/dromara/northstar/gateway/tiger/time/UsStockTradeTime.java @@ -0,0 +1,32 @@ +package org.dromara.northstar.gateway.tiger.time; + +import java.time.DayOfWeek; +import java.time.LocalDate; +import java.time.LocalTime; +import java.time.Month; +import java.util.List; + +import org.dromara.northstar.gateway.TradeTimeDefinition; +import org.dromara.northstar.gateway.model.PeriodSegment; +import org.dromara.northstar.gateway.time.DateUtils; + +/** + * 美股连续交易时段 + * @author KevinHuangwl + * + */ +public class UsStockTradeTime implements TradeTimeDefinition { + + + @Override + public List tradeTimeSegments() { + LocalDate now = LocalDate.now(); + LocalDate summerTimeStartDate = DateUtils.numOfWeekDay(now.getYear(), Month.MARCH, 2, DayOfWeek.SUNDAY); + LocalDate summerTimeEndDate = DateUtils.numOfWeekDay(now.getYear(), Month.NOVEMBER, 1, DayOfWeek.SUNDAY); + if(now.isAfter(summerTimeStartDate) && now.isBefore(summerTimeEndDate)) { + return List.of(new PeriodSegment(LocalTime.of(21, 1), LocalTime.of(4, 0))); + } + return List.of(new PeriodSegment(LocalTime.of(22, 1), LocalTime.of(5, 0))); + } + +} diff --git a/pom.xml b/pom.xml index 5404c25d..d3b869cf 100644 --- a/pom.xml +++ b/pom.xml @@ -48,6 +48,7 @@ northstar-api northstar-gateway-sim northstar-gateway-playback + northstar-gateway-tiger northstar-rl northstar-strategy-example northstar-main @@ -89,6 +90,11 @@ northstar-gateway-playback ${northstar-version} + + org.dromara + northstar-gateway-tiger + ${northstar-version} + org.dromara northstar-main -- Gitee From f8a69d58468abe7defe888a7bc98d8da0ab53160 Mon Sep 17 00:00:00 2001 From: Carver_007 Date: Thu, 9 Nov 2023 23:57:14 +0800 Subject: [PATCH 45/45] =?UTF-8?q?=E9=9B=86=E6=88=90=E8=80=81=E8=99=8E?= =?UTF-8?q?=E8=AF=81=E5=8A=B5?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../main/java/org/dromara/northstar/NorthstarApplication.java | 2 -- pom.xml | 2 +- 2 files changed, 1 insertion(+), 3 deletions(-) diff --git a/northstar-main/src/main/java/org/dromara/northstar/NorthstarApplication.java b/northstar-main/src/main/java/org/dromara/northstar/NorthstarApplication.java index 98673b75..9f0c17f1 100644 --- a/northstar-main/src/main/java/org/dromara/northstar/NorthstarApplication.java +++ b/northstar-main/src/main/java/org/dromara/northstar/NorthstarApplication.java @@ -1,7 +1,6 @@ package org.dromara.northstar; import org.springframework.boot.SpringApplication; -import org.springframework.boot.autoconfigure.EnableAutoConfiguration; import org.springframework.boot.autoconfigure.SpringBootApplication; import org.springframework.cache.annotation.EnableCaching; import org.springframework.data.jpa.repository.config.EnableJpaRepositories; @@ -9,7 +8,6 @@ import org.springframework.scheduling.annotation.EnableScheduling; @EnableCaching @EnableScheduling -@EnableAutoConfiguration @EnableJpaRepositories(basePackages = "org.dromara.northstar.data.jdbc") @SpringBootApplication public class NorthstarApplication { diff --git a/pom.xml b/pom.xml index d3b869cf..576ea1ad 100644 --- a/pom.xml +++ b/pom.xml @@ -44,7 +44,7 @@ northstar-external-archetype - northstar-monitor + northstar-api northstar-gateway-sim northstar-gateway-playback -- Gitee