Support Tensorflow 2 #140
Comments
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@mcrowson , sorry for late reply/ I do not have plans to make support for TF2 ( should been mentioned that in package description) in near future due to lack of time/ If you can do commit on that - think it would be extremely helpful for others/ note that current tf code relies heavily on variables collections which needs to be refactored manually, so the process could take more time than expected |
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Hi @mcrowson! Are you going to work on this upgrade? If not- I can take it. If you have some work already done please commit it to your repo, then I could start from that point. |
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I do not plan to work on this. Go for it. |
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I did some fixes and now I am try to run all notebooks in examples. I can't see any unit tests in the project. Are they somewhere? Any suggestions how to test my changes? |
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@woj-i - sorry for late reply, |
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The migration process is not easy in this case. I would need some help here #144 |
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Hi @Kismuz, Using Virtual Environment created through PyCharm UBuntu Linux, I'm getting the following error during installation of setup.py: It does not seems like PyPI is officially supporting tensorflow <2 anymore. If no one is willing to migrate this btgym to Tensorflow 2, I foresee that btgym is going to EOL soon because new user like myself could no longer install btgym. If that's the direction btgym is heading to, I feel sad to see this fantastic project going to EOL. Alternatively, is there a plan to allow user to switch to other backend such as PyTorch besides Tensorflow? Or even better, strip btgym from any backend and let user hook them up by their own? My understanding for matplotlib to plot chart is slower than Plotly. Is there any plan to allow user to switch to Plotly as graph backend as well? |
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@Kismuz even for statistical arbitrage scenario? I remembered you have mentioned some fund had success in applying RL in arbitrage (sure, we don't know if they use level2 or OHLC)? Maybe you could share some of your personal experience? thanks! |
@mysl - It depends on market efficiency. From my experience OHLC-data approach does not works steadily on FX, stocks and other mature markets. A year ago it was possible to apply it to crypto; but as for now these strategies performance has been degraded.
to my humble experience LOB and trade flow data bear sufficient predictive ability even on mature markets |
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@Kismuz , thanks so much for the sharing. May I know the timeframe of the trade driven by the prediction from LOB? Holding position for a few or dozens of seconds? |
Hello, it's so sad to see this project will not be updated. You mentioned before " To get good predictors one should utilise level2 data and build features upon order flow and order book events. This can't be implemented without rebuilding Btgym from scratch", |
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@yglpyn8888 , you're correct
... and that's exactly what is not possible with current environment implementation which uses Backtrader package as core backtesting engine |
OK，do you have plan to implement a new trading environment in the future, which is not based on backtrader, just provides the core functions of an environment ？ |
and others
Expected behaviour:
Environment fully supports TF2
Actual behaviour:
Only 1.5 is supported for certain scripts
I ran the automatic upgrade tool on the library and it generated the following report. For the most part it moved everything along, but there are several errors in the script for fully deprecated classes that we'll need to reference another way.
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