trade

examples/trade/observation/ppo_obs.py

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+import pandas as pd
+import numpy as np
+from gym.spaces import Discrete, Box, Tuple, MultiDiscrete
+import math
+import json
+
+from .obs_rule import RuleObs
+
+
+class PPOObs(RuleObs):
+    """The observation defined in IJCAI 2020. The action of previous state is included in private state"""
+
+    def get_obs(
+        self,
+        raw_df,
+        feature_dfs,
+        t,
+        interval,
+        position,
+        target,
+        is_buy,
+        max_step_num,
+        interval_num,
+        action=0,
+    ):
+        if t == -1:
+            self.private_states = []
+
+        public_state = self.get_feature_res(feature_dfs, t, interval, whole_day=True)
+        # market_state = feature_dfs[0].reshape(-1)[:6*240]
+        private_state = np.array([position / target, (t + 1) / max_step_num, action])
+        self.private_states.append(private_state)
+        list_private_state = np.concatenate(self.private_states)
+        list_private_state = np.concatenate(
+            (
+                list_private_state,
+                [0.0] * 3 * (interval_num + 1 - len(self.private_states)),
+            )
+        )
+        seqlen = np.array([interval])
+        return np.concatenate((public_state, list_private_state, seqlen))