trade

examples/trade/reward/ppo_reward.py

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+import numpy as np
+from .base import Abs_Reward
+
+
+class PPO_Reward(Abs_Reward):
+    """The reward function defined in IJCAI 2020"""
+
+    def __init__(self, *args):
+        pass
+
+    def isinstant(self):
+        return False
+
+    def get_reward(self, performace_raise, ffr, this_tt_ratio, is_buy):
+        if is_buy:
+            this_tt_ratio = 1 / this_tt_ratio
+        if this_tt_ratio < 1:
+            return -1.0
+        elif this_tt_ratio < 1.1:
+            return 0.0
+        else:
+            return 1.0