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Updates to RL environment to use lazy PNL (From #1561) #1580

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merged 4 commits into from
Jul 1, 2024
Merged

Updates to RL environment to use lazy PNL (From #1561) #1580

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00df3ce
Removing stale reference window_size
wshainin Jun 24, 2024
ae4c9a2
Terminated if step count >= episode len
wshainin Jun 24, 2024
6f673e2
Adding changes from lazy pnl update
wshainin Jun 24, 2024
1ee43c3
Linting fix
wshainin Jun 27, 2024
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20 changes: 14 additions & 6 deletions src/agent0/traiderdaive/gym_environments/full_hyperdrive_env.py
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Original file line number Diff line number Diff line change
Expand Up @@ -48,7 +48,6 @@ class Config:
max_positions_per_type: int = 10
base_reward_scale: float = 0.0
position_reward_scale: float = 1
window_size: int = 10
episode_length: int = 200
# The threshold for the probability of opening and closing orders
open_threshold: float = 0.5
Expand Down Expand Up @@ -107,9 +106,16 @@ def __init__(
self.eval_mode = gym_config.eval_mode
self.sample_actions = gym_config.sample_actions
if self.eval_mode:
local_chain_config = LocalChain.Config(block_timestamp_interval=12, db_port=5434, chain_port=10001)
db_port = 5434
chain_port = 10001
else:
local_chain_config = LocalChain.Config(block_timestamp_interval=12, db_port=5435, chain_port=10002)
db_port = 5435
chain_port = 10002

local_chain_config = LocalChain.Config(
block_timestamp_interval=12, db_port=db_port, chain_port=chain_port, calc_pnl=False
)

initial_pool_config = LocalHyperdrive.Config()
self.chain = LocalChain(local_chain_config)
self.interactive_hyperdrive = LocalHyperdrive(self.chain, initial_pool_config)
Expand Down Expand Up @@ -481,7 +487,7 @@ def step(self, action: np.ndarray) -> tuple[dict[str, np.ndarray], float, bool,
self._step_count += 1
terminated = False

if self._step_count > self.gym_config.episode_length:
if self._step_count >= self.gym_config.episode_length:
terminated = True

# TODO when does the episode stop?
Expand All @@ -508,7 +514,7 @@ def _get_observation(self) -> dict[str, np.ndarray]:
out_obs["lp_orders"] = np.zeros(2)

# Observation data uses floats
rl_bot_wallet = self.rl_bot.get_positions(coerce_float=True)
rl_bot_wallet = self.rl_bot.get_positions(coerce_float=True, calc_pnl=True)

if not rl_bot_wallet.empty:
position_duration = self.interactive_hyperdrive.config.position_duration
Expand Down Expand Up @@ -544,7 +550,9 @@ def _get_observation(self) -> dict[str, np.ndarray]:
def _calculate_reward(self) -> float:
# The total delta for this episode

current_wallet = self.interactive_hyperdrive.get_positions(show_closed_positions=True, coerce_float=True)
current_wallet = self.interactive_hyperdrive.get_positions(
show_closed_positions=True, calc_pnl=True, coerce_float=True
)
# Filter by rl bot
rl_bot_wallet = current_wallet[current_wallet["wallet_address"] == self.rl_bot.address]
# The rl_bot_wallet shows the pnl of all positions
Expand Down
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