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GYM_TRADING

As of December 12, 2019.

Overview

This package is my implementation of an HFT environment extending a POMDP framework from OpenAI.

1. Envs

Module containing various environment implementations.

  • trend_following.py implementation where the agent uses market orders to trade crytocurrencies.
  • market_maker.py implementation where the agent uses limit orders to trade cryptocurrencies

2. Utils

Module containing utility classes for the gym_trading module.

  • broker.py, position.py, and order.py manages orders & executions, position inventories, and PnL calculations for envs
  • render_env.py renders midpoint price data as the agent steps through the environment
  • plot_history.py renders environment observations and PnL
  • reward.py contains the reward functions
  • statistics contains trackers for risk, rewards, etc.

3. Tests

Module containing test cases for gym_trading's modules.