Tag v0.1 has the code which follows this README. Tag v0.2 is a major overhaul after lessons learned in a finance job, and much of this README won't match the new code. I can't get tests to converge in either case, so something is fundamentally missing from this project - ie, don't count on making money (use as a starting-point / education instead). I'm stepping away for a while and won't be very active here, but I'm not completely abandoning.
A TensorForce-based Bitcoin trading bot (algo-trader). Uses deep reinforcement learning to automatically buy/sell/hold BTC based on price history.
This project goes with Episode 26+ of Machine Learning Guide. Those episodes are tutorial for this project; including an intro to Deep RL, hyperparameter decisions, etc.
- Python 3.6+ (I use template strings a lot)
- Install & setup Postgres
- Create two databases:
btc_historyandhyper_runs. You can call these whatever you want, and just use one db instead of two if you prefer (see Data section). cp config.example.json config.json, pop ^ intoconfig.json
- Create two databases:
- Install TA-Lib manually.
pip install -r requirements.txt- If issues, try installing these deps manually.
- Install TensorForce from git repo (constantly changing, we chase HEAD)
git clone https://github.com/lefnire/tensorforce.gitcd tensorforce && pip install -e .
Note: you'll wanna run this on a GPU rig with some RAM. I'm using a 1080ti and 16GB RAM; 8GB+ is often in used. You can use a standard PC, no GPU (CPU-only); in that case pip install -I tensorflow==1.5.0rc1 (instead of tensorflow-gpu). The only downside is performance; CPU is way slower than GPU for ConvNet computations. Worth evaluating this repo on a CPU before you decide "yeah, it's worth the upgrade."
- Download mczielinski/bitcoin-historical-data
- Extract to
data/bitcoin-historical-data python -c 'from data.data import setup_runs_table;setup_runs_table()'- if you get
ModuleNotFoundError: No module named 'data.data', prefix commands withPYTHONPATH=. python ... - If you have trouble with that, just copy/paste the SQL from that file, execute against your
hyper_runsDB from above.
- if you get
The crux of practical reinforcement learning is finding the right hyper-parameter combo (things like neural-network width/depth, L1 / L2 / Dropout numbers, etc). Some papers have listed optimal default hypers. Eg, the Proximate Policy Optimization (PPO) paper has a set of good defaults. But in my experience, they don't work well for our purposes (time-series / trading). I'll keep my own "best defaults" updated in this project, but YMMV and you'll very likely need to try different hyper combos yourself. The file hypersearch.py will search hypers forever, ever honing in on better and better combos (using Bayesian Optimization (BO), see gp.py). See Hypersearch section below for more details.
python hypersearch.py
Optional flags:
--guess <int>: sometimes you don't want BO, which is pretty willy-nilly at first, to do the searching. Instead you want to try a hunch or two of your own first. See instructions inutils.py#guess_overrides.--net-type <lstm|conv2d>: see discussion below (LSTM v CNN)--boost: you can optionally use gradient boosting when searching for the best hyper combo, instead of BO. BO is more exploratory and thorough, gradient boosting is more "find the best solution now". I tend to use--boostafter say 100 runs are in the database, since BO may still be dilly-dallying till 200-300 and daylight's burning. Boost will suck in the early runs.--autoencode: many of you might hit some GPU RAM constraints (hypersearch crashes due to maxed memory). If so, use this flag. It dimensionality-reduces the price-history timesteps so more can fit into RAM. It does so destructively - think of lossy image compression - but might be required for your case. See #6 for info on what leads to mem-maxing.--n-steps <int>,--n-tests <int>: vary how long to train and how often to report.n-stepsis number of timesteps to train (in 10k; ie--n-steps 100means 1M).n-testsis how many times to split that and report back to you / save an entry for viz.
Once you've found a good hyper combo from above (this could take days or weeks!), it's time to run your results.
python run.py --name <str>
--name <str>(required): name of the folder to save your run (during training) or load from (during--live/--test-live.--id <int>: the id of some winning hyper-combo you want to run with. Without this, it'll run from the hard-coded hyper defaults.--early-stop <int>: sometimes your models can overfit. In particular, PPO can give you great performance for a long time and then crash-and-burn. That kind of behavior will be obvious in your visualization (below), so you can tell your run to stop after x consecutive positive episodes (depends on the agent - some find an optimum and roll for 3 positive episodes, some 8, just eyeball your graph).--live: whooa boy, time to put your agent on GDAX and make real trades! I'm gonna let you figure out how to plug it in on your own, 'cause that's danger territory. I ain't responsible for shit. In fact, let's make that real - disclaimer at the end of README.--test-live: same aslive, but without making the real trades. This will start monitoring a live-updated database (from config.json), same aslive, but instead of making the actual trade, it pretends it did and reports back how much you would have made/lost. Dry-run. You'll definitely want to run this once or twice before running--live.
First, run python run.py [--id 10] --name test. This will train your model using run 10 (from hypersearch.py) and save to saves/test. Without --id it will use the hard-coded deafults. You can hit Ctrl-C once during training to kill training (in case you see a sweet-spot and don't want to overfit).
Second, run python run.py [--id 10] --name test --[test-]live to run in live/test-live mode. If you used --id before, use it again here so that loading the model matches it to its net architecture.
TensorForce comes pre-built with reward visualization on a TensorBoard. Check out their Github, you'll see. I needed much more customization than that for viz, so we're not using TensorBoard. I created a mini Flask server (2 routes) and a D3 React dashboard where you can slice & dice hyper combos, visualize progression, etc. If you click on a single run, it'll display a graph of the buy/sell signals that agent took in a time-slice (test-set) so you can eyeball whether he's being smart.
- Server:
cd visualize;FLASK_APP=server.py flask run - Client:
cd visualize/clientnpm install;npm install -g webpack-dev-servernpm start=> localhost:8080
This project is a TensorForce-based Bitcoin trading bot (algo-trader). It uses deep reinforcement learning to automatically buy/sell/hold BTC based on what it learns about BTC price history. Most blogs / tutorials / boilerplate BTC trading-bots you'll find out there use supervised machine learning, likely an LTSM. That's well and good - supervised learning learns what makes a time-series tick so it can predict the next-step future. But that's where it stops. It says "the price will go up next", but it doesn't tell you what to do. Well that's simple, buy, right? Ah, buy low, sell high - it's not that simple. Thousands of lines of code go into trading rules, "if this then that" style. Reinforcement learning takes supervised to the next level - it embeds supervised within its architecture, and then decides what to do. It's beautiful stuff! Check out:
- Sutton & Barto: de-facto textbook on RL basics
- CS 294: the modern deep-learning spin on ^.
- Machine Learning for Trading: teaches you algo-trading, stock stuff, and applied RL.
This project goes with Episode 26+ of Machine Learning Guide. Those episodes are tutorial for this project; including an intro to Deep RL, hyperparameter decisions, etc.
For this project I recommend using the Kaggle dataset described in Setup. It's a really solid dataset, best I've found! I'm personally using a friend's live-ticker DB. Unfortunately you can't. It's his personal thing, he may one day open it up as a paid API or something, we'll see. There's also some files in data/populate which use the CryptoWat.ch API. Great API going forward, but doesn't have the history you'll need to train on. If any y'all find anything better than the Kaggle set, LMK.
So here's how this project splits up databases (see config.json). We start with a history DB, which has all the historical BTC prices for multiple exchanges. Import it, train on it. Then we have an optionally separate runs database, which saves the results of each of your hypersearch.py runs. This data is used by our BO or Boost algo to search for better hyper combos. You can have runs table in your history database if you want, one-and-the-same. I have them separate because I want the history DB on localhost for performance reason (it's a major perf difference, you'll see), and runs as a public hosted DB, which allows me to collect runs from separate AWS p3.8xlarge running instances.
Then, when you're ready for live mode, you'll want a live database which is real-time, constantly collecting exchange ticker data. --live will handle keeping up with that database. Again, these can all 3 be the same database if you want, I'm just doing it my way for performance.
You'll notice the --net-type <lstm|conv2d> flag in hypersearch.py and run.py. This will select between an LSTM Recurrent Neural Networks (RNNs) or Convolutional Neural Networks (CNN). I have them broken out of the hypersearch since they're so different, they kinda deserve their own runs DB each - but if someone can consolidate them into the hypersearch framework, please do. You may be thinking, "BTC prices is time-series, time-series is LSTM... why CNN?" It strangely turns out that LSTM doesn't do so hot here. In my own experience, in colleagues' experience, and in 2-3 papers I've read (here's one) - we're all coming to the same conclusion. We're not sure why... the running theory is vanishing/exploding gradient. LSTMs work well in NLP which has some maximum 50-word sentences or so. LSTMs mitigated vanilla RNN's vanishing/exploding gradient for such sentences, true - but BTC history is infinite (on-going). Maybe LSTM can only go so far with time-series. Another possibility is that Deep Reinforcement Learning is most commonly researched, published, and open-sourced using CNNs. This because RL is super video-game centric, self-driving cars, all the vision stuff. So maybe the math behind these models lends better to CNNs? Who knows. The point is - experiment with both. Report back on Github your own findings.
So how does CNN even make sense for time-series? Well we construct an "image" of a time-slice, where the x-axis is time (obviously), the y-axis (height) is nothing... it's [1]. The z-axis (channels) is features (OHLCV, VWAP, bid/ask, etc). This is kinda like our agent literally looking at an image of price actions, like we do when day-trading, but a bit more robot-friendly / less human-friendly.
[Update March 04 2018]: I'm having better success recently w/ LSTMs and have made that the default. A change in TensorForce perhaps?
TensorForce has all sorts of models you can play with. This project currently only supports Proximate Policy Optimization (PPO), but I encourage y'all to add in other models (esp VPG, TRPO, DDPG, ACKTR, etc) and submit PRs. ACKTR is the current state-of-the-art Policy Gradient model, but not yet available in TensorForce. PPO is the second-most-state-of-the-art, so we're using that. TRPO is 3rd, VPG is old. DDPG I haven't put much thought into.
Those are the Policy Gradient models. Then there's the Q-Learning approaches (DQNs, etc). We're not using those because they only support discrete actions, not continuous actions. Our agent has one discrete action (buy|sell|hold), and one continuous action (how much?). Without that "how much" continuous flexibility, building an algo-trader would be... well, not so cool. You could do something like (discrete action = (buy-$200, sell-$200, hold)), but I dunno man... continuous is slicker.
You're likely familiar with grid search and random search when searching for optimial hyperparameters for machine learning models. Grid search searches literally every possible combo - exhaustive, but takes infinity years (especially w/ the number of hypers we work with in this project). Random search throws a dart at random hyper combos over and over, and you just kill it eventually and take the best. Super naive - it works ok for other ML setups, but in RL hypers are the make-or-break; more than model selection. Seriously, I've found L1 / L2 / Dropout selection more consequential than PPO vs DQN, LSTM vs CNN, etc.
That's why we're using Bayesian Optimization (BO). Or sometimes you'll hear Gaussian Processes (GP), the thing you're optimizing with BO. See gp.py. BO starts off like random search, since it doesn't have anything to work with; and over time it hones in on the best hyper combo using Bayesian inference. Super meta - use ML to find the best hypers for your ML - but makes sense. Wait, why not use RL to find the best hypers? We could (and I tried), but deep RL takes 10s of thousands of runs before it starts converging; and each run takes some 8hrs. BO converges much quicker. I've also implemented my own flavor of hypersearch via Gradient Boosting (if you use --boost during training); more for my own experimentation.
We're using gp.py, which comes from thuijskens/bayesian-optimization. It uses scikit-learn's in-built GP functions. I also considered dedicated BO modules, like GPyOpt. I found gp.py easier to work with, but haven't compared it's relative performance, nor its optimal hypers (yes, BO has its own hypers... it's turtles all the way down. But luckily I hear you can pretty safely use BO's defaults). If anyone wants to explore any of that territory, please indeed!
GPL bit so we share our findings. Community effort, right? Boats and tides. Affero bit so we can all run our own trading instances w/ personal configs / mods. Heck, any of us could run this as a service / hedge fund. I'm pretty keen on this license, having used it in a prior internet company I'd founded; but if someone feels strongly about a different license, please open an issue & LMK - open to suggestions. See LICENSE.
By using this code you accept all responsibility for money lost because of this code.
FYI, I haven't made a dime. Doubtful the project as-is will fly. It could benefit from add-ons, like some NLP fundamentals functionality. But it's a start!