rl_order_execution

RL Example for Order Execution

This folder comprises an example of Reinforcement Learning (RL) workflows for order execution scenario, including both training workflows and backtest workflows.

Data Processing

Get Data

python -m qlib.run.get_data qlib_data qlib_data --target_dir ./data/bin --region hs300 --interval 5min

Generate Pickle-Style Data

To run codes in this example, we need data in pickle format. To achieve this, run following commands (might need a few minutes to finish):

python scripts/gen_pickle_data.py -c scripts/pickle_data_config.yml
python scripts/gen_training_orders.py
python scripts/merge_orders.py

When finished, the structure under data/ should be:

data
├── bin
├── orders
└── pickle

Training

Each training task is specified by a config file. The config file for task TASKNAME is exp_configs/train_TASKNAME.yml. This example provides two training tasks:

• PPO: Method proposed by IJCAL 2020 paper "An End-to-End Optimal Trade Execution Framework based on Proximal Policy Optimization".
• OPDS: Method proposed by AAAI 2021 paper "Universal Trading for Order Execution with Oracle Policy Distillation".

The main differece between these two methods is their reward functions. Please see their config files for details.

Take OPDS as an example, to run the training workflow, run:

python -m qlib.rl.contrib.train_onpolicy --config_path exp_configs/train_opds.yml --run_backtest

Metrics, logs, and checkpoints will be stored under outputs/opds (configured by exp_configs/train_opds.yml).

Backtest

Once the training workflow has completed, the trained model can be used for the backtesting workflow. Still taking OPDS as an example, once training is finished, the latest checkpoint of the model can be found at outputs/opds/checkpoints/latest.pth. To run backtest workflow:

1. Uncomment the weight_file parameter in exp_configs/train_opds.yml (it is commented by default). While it is possible to run the backtesting workflow without setting a checkpoint, this will lead to randomly initialized model results, thus making them meaningless.
2. Run python -m qlib.rl.contrib.backtest --config_path exp_configs/backtest_opds.yml.

The backtest result is stored in outputs/checkpoints/backtest_result.csv.

In addition to OPDS and PPO, we also provide TWAP (Time-weighted average price) as a weak baseline. The config file for TWAP is exp_configs/backtest_twap.yml.

Gap between backtest and training pipeline's testing

It is worthy to notice that the results of the backtesting process may differ from the results of the testing process used during training. This is because different simulators are used to simulate market conditions during training and backtesting. In training pipeline, the simplified simulator called SingleAssetOrderExecutionSimple is used for efficiency reasons. SingleAssetOrderExecutionSimple makes no restriction to trading amounts. No matter what the amount of the order is, it can be completely executed. However, during backtesting, a more realistic simulator called SingleAssetOrderExecution is used. It takes into account practical constraints in more real-world scenarios (for example, the trading volume must be a multiple of the smallest trading unit). As a result, the amount of an order that is actually executed during backtesting may differ from the amount expected to be executed.

If you would like to obtain results that are exactly the same as those obtained during testing in the training pipeline, you could run training pipeline with only backtest phrase. In order to do this:

• Modify the training config. Add the path of the checkpoint you want to use (see following for an example).
• Run python -m qlib.rl.contrib.train_onpolicy --config_path PATH/TO/CONFIG --run_backtest --no_training

...
policy:
  class: PPO  # PPO, DQN
  kwargs:
    lr: 0.0001
    weight_file: PATH/TO/CHECKPOINT
  module_path: qlib.rl.order_execution.policy
...

Benchmarks (TBD)

To accurately evaluate the performance of models using Reinforcement Learning algorithms, it's best to run experiments multiple times and compute the average performance across all trials. However, given the time-consuming nature of model training, this is not always feasible. An alternative approach is to run each training task only once, selecting the 10 checkpoints with the highest validation performance to simulate multiple trials. In this example, we use "Price Advantage (PA)" as the metric for selecting these checkpoints. The average performance of these 10 checkpoints on the testing set is as follows:

Model	PA mean with std.
OPDS (with PPO policy)	0.4785 ± 0.7815
OPDS (with DQN policy)	-0.0114 ± 0.5780
PPO	-1.0935 ± 0.0922
TWAP	≈ 0.0 ± 0.0

The table above also includes TWAP as a rule-based baseline. The ideal PA of TWAP should be 0.0, however, in this example, the order execution is divided into two steps: first, the order is split equally among each half hour, and then each five minutes within each half hour. Since trading is forbidden during the last five minutes of the day, this approach may slightly differ from traditional TWAP over the course of a full day (as there are 5 minutes missing in the last "half hour"). Therefore, the PA of TWAP can be considered as a number that is close to 0.0. To verify this, you may run a TWAP backtest and check the results.