mirror of
https://github.com/microsoft/qlib.git
synced 2026-07-04 03:21:00 +08:00
95 lines
2.8 KiB
Python
95 lines
2.8 KiB
Python
# Copyright (c) Microsoft Corporation.
|
|
# Licensed under the MIT License.
|
|
|
|
from typing import Union
|
|
|
|
|
|
from ..backtest.executor import BaseExecutor
|
|
from .interpreter import StateInterpreter, ActionInterpreter
|
|
from ..utils import init_instance_by_config
|
|
|
|
|
|
class BaseRLEnv:
|
|
"""Base environment for reinforcement learning"""
|
|
|
|
def reset(self, **kwargs):
|
|
raise NotImplementedError("reset is not implemented!")
|
|
|
|
def step(self, action):
|
|
"""
|
|
step method of rl env
|
|
Parameters
|
|
----------
|
|
action :
|
|
action from rl policy
|
|
|
|
Returns
|
|
-------
|
|
env state to rl policy
|
|
"""
|
|
raise NotImplementedError("step is not implemented!")
|
|
|
|
|
|
class QlibRLEnv:
|
|
"""qlib-based RL env"""
|
|
|
|
def __init__(
|
|
self,
|
|
executor: BaseExecutor,
|
|
):
|
|
"""
|
|
Parameters
|
|
----------
|
|
executor : BaseExecutor
|
|
qlib multi-level/single-level executor, which can be regarded as gamecore in RL
|
|
"""
|
|
self.executor = executor
|
|
|
|
def reset(self, **kwargs):
|
|
self.executor.reset(**kwargs)
|
|
|
|
|
|
class QlibIntRLEnv(QlibRLEnv):
|
|
"""(Qlib)-based RL (Env) with (Interpreter)"""
|
|
|
|
def __init__(
|
|
self,
|
|
executor: BaseExecutor,
|
|
state_interpreter: Union[dict, StateInterpreter],
|
|
action_interpreter: Union[dict, ActionInterpreter],
|
|
):
|
|
"""
|
|
|
|
Parameters
|
|
----------
|
|
state_interpreter : Union[dict, StateInterpreter]
|
|
interpreter that interprets the qlib execute result into rl env state.
|
|
|
|
action_interpreter : Union[dict, ActionInterpreter]
|
|
interpreter that interprets the rl agent action into qlib order list
|
|
"""
|
|
super(QlibIntRLEnv, self).__init__(executor=executor)
|
|
self.state_interpreter = init_instance_by_config(state_interpreter, accept_types=StateInterpreter)
|
|
self.action_interpreter = init_instance_by_config(action_interpreter, accept_types=ActionInterpreter)
|
|
|
|
def step(self, action):
|
|
"""
|
|
step method of rl env, it run as following step:
|
|
- Use `action_interpreter.interpret` method to interpret the agent action into order list
|
|
- Execute the order list with qlib executor, and get the executed result
|
|
- Use `state_interpreter.interpret` method to interpret the executed result into env state
|
|
|
|
Parameters
|
|
----------
|
|
action :
|
|
action from rl policy
|
|
|
|
Returns
|
|
-------
|
|
env state to rl policy
|
|
"""
|
|
_interpret_decision = self.action_interpreter.interpret(action=action)
|
|
_execute_result = self.executor.execute(trade_decision=_interpret_decision)
|
|
_interpret_state = self.state_interpreter.interpret(execute_result=_execute_result)
|
|
return _interpret_state
|