trade

examples/trade/reward/vp_penalty.py

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+import numpy as np
+from .base import Instant_Reward
+
+
+class VP_Penalty_small(Instant_Reward):
+    """Reward: (Abs(vv_ratio_t - 1) * 10000 - v_t^2 * penalty) / 100"""
+
+    def __init__(self, config):
+        self.penalty = config["penalty"]
+
+    def get_reward(self, performance_raise, v_t, target, *args):
+        """
+
+        :param performance_raise: Abs(vv_ratio_t - 1) * 10000.
+        :param target: Target volume
+        :param v_t: The traded volume
+        """
+        assert target > 0
+        reward = performance_raise * v_t / target
+        reward -= self.penalty * (v_t / target) ** 2
+        assert not (
+            np.isnan(reward) or np.isinf(reward)
+        ), f"{performance_raise}, {v_t}, {target}"
+        return reward / 100
+
+
+class VP_Penalty_small_vec(VP_Penalty_small):
+    def get_reward(self, performance_raise, v_t, target, *args):
+        """
+
+        :param performance_raise: Abs(vv_ratio_t - 1) * 10000.
+        :param target: Target volume
+        :param v_t: The traded volume
+        """
+        assert target > 0
+        reward = performance_raise * v_t.sum() / target
+        reward -= self.penalty * ((v_t / target) ** 2).sum()
+        assert not (
+            np.isnan(reward) or np.isinf(reward)
+        ), f"{performance_raise}, {v_t}, {target}"
+        return reward / 100