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jitanshurautjitanshuraut
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Reinforcement Learning Model Added (Version 1.5.0)
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10 files changed

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-90
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10 files changed

+758
-90
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‎CMakeLists.txt

Lines changed: 204 additions & 63 deletions
Original file line numberDiff line numberDiff line change
@@ -1,87 +1,228 @@
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cmake_minimum_required(VERSION 3.10)
2-
project(VelocityVortex)
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# cmake_minimum_required(VERSION 3.15)
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# project(VelocityVortex)
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# set(CMAKE_CXX_STANDARD 20)
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# set(CMAKE_CXX_STANDARD_REQUIRED True)
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# set(CMAKE_PREFIX_PATH "/usr/local/libtorch")
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# find_package(Torch REQUIRED)
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# include_directories(include)
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# find_package(Python3 COMPONENTS Interpreter Development NumPy REQUIRED)
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# include_directories(${Python3_INCLUDE_DIRS})
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# include_directories(${Python3_NumPy_INCLUDE_DIRS})
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# find_package(OpenSSL REQUIRED)
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# find_package(Boost REQUIRED COMPONENTS system)
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# find_package(jsoncpp REQUIRED)
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# find_package(CURL REQUIRED)
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# find_library(HIREDIS_LIB hiredis REQUIRED)
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# find_library(SQLITE3_LIB sqlite3 REQUIRED)
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# find_package(Threads REQUIRED)
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# add_library(websocketpp INTERFACE)
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# target_include_directories(websocketpp INTERFACE ${CMAKE_SOURCE_DIR}/websocketpp)
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# file(GLOB_RECURSE ALGO_ENGINE_SOURCES "src/AlgoEngine-Core/**/*.cpp")
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# file(GLOB_RECURSE DATA_FETCHER_SOURCES "src/Data-Fetcher-Core/*.cpp")
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# file(GLOB_RECURSE IO_BROKER_SOURCES "src/IO-Broker-Core/*.cpp")
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# file(GLOB_RECURSE ORDER_MANAGER_SOURCES "src/Order-Manager-Core/*.cpp")
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# file(GLOB_RECURSE RISK_ANALYSIS_SOURCES "src/Risk-Analysis-Core/*.cpp")
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# file(GLOB_RECURSE VELOCITY_BOT_SOURCES "src/Velocity-Bot/*.cpp")
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# file(GLOB_RECURSE BACKTESTING_BOT_SOURCES "src/Backtesting-Bot/*.cpp")
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# file(GLOB_RECURSE ORDERBOOK_SOURCES "src/Orderbook/*.cpp")
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# file(GLOB_RECURSE UTILITY_SOURCES "src/Utilities/*.cpp")
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# set(UTILITIES_SOURCES
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# include/Utilities/Bar.hpp
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# include/Utilities/OHLCV.hpp
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# include/Utilities/Quote.hpp
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# include/Utilities/SignalResult.hpp
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# include/Utilities/Trade.hpp
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# include/Utilities/Utilities.hpp
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# )
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# set(SOURCES
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# ${ALGO_ENGINE_SOURCES}
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# ${DATA_FETCHER_SOURCES}
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# ${IO_BROKER_SOURCES}
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# ${ORDER_MANAGER_SOURCES}
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# ${RISK_ANALYSIS_SOURCES}
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# ${VELOCITY_BOT_SOURCES}
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# ${BACKTESTING_BOT_SOURCES}
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# ${ORDERBOOK_SOURCES}
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# ${UTILITY_SOURCES}
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# src/main.cpp
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# )
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# add_executable(VelocityVortex ${SOURCES})
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# target_link_libraries(VelocityVortex
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# ${TORCH_LIBRARIES}
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# CURL::libcurl
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# jsoncpp_lib
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# ${HIREDIS_LIB}
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# ${SQLITE3_LIB}
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# ${Python3_LIBRARIES}
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# websocketpp
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# Threads::Threads
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# OpenSSL::SSL
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# OpenSSL::Crypto
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# ${Boost_LIBRARIES}
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# )
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# set(CMAKE_RUNTIME_OUTPUT_DIRECTORY ${CMAKE_BINARY_DIR}/..)
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# set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} ${TORCH_CXX_FLAGS}")
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cmake_minimum_required(VERSION 3.15)
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project(VelocityVortex
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VERSION 1.0.0
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DESCRIPTION "High-frequency trading system"
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LANGUAGES CXX)
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396

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set(CMAKE_CXX_STANDARD 20)
5-
set(CMAKE_CXX_STANDARD_REQUIRED True)
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set(CMAKE_CXX_STANDARD_REQUIRED ON)
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set(CMAKE_CXX_EXTENSIONS OFF)
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set(CMAKE_EXPORT_COMPILE_COMMANDS ON)
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include(CheckIPOSupported)
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check_ipo_supported(RESULT IPO_SUPPORTED)
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if(IPO_SUPPORTED)
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set(CMAKE_INTERPROCEDURAL_OPTIMIZATION TRUE)
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endif()
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if(NOT CMAKE_BUILD_TYPE)
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set(CMAKE_BUILD_TYPE Release)
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endif()
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if(CMAKE_CXX_COMPILER_ID MATCHES "GNU|Clang")
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add_compile_options(
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-O3
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-march=native
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-Wall
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-Wextra
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-Wpedantic
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-ffast-math
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)
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elseif(MSVC)
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add_compile_options(
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/O2
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/W4
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/arch:AVX2
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)
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endif()
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set(SOURCE_GROUPS
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"AlgoEngine-Core"
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"Data-Fetcher-Core"
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"IO-Broker-Core"
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"Order-Manager-Core"
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"Risk-Analysis-Core"
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"Velocity-Bot"
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"Backtesting-Bot"
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"Orderbook"
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"Utilities"
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)
6144

7-
include_directories(include)
8145

9-
find_package(Python3 COMPONENTS Interpreter Development NumPy REQUIRED)
146+
set(ALL_SOURCES src/main.cpp)
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foreach(GROUP ${SOURCE_GROUPS})
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file(GLOB_RECURSE GROUP_SOURCES
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"src/${GROUP}/*.cpp"
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"src/${GROUP}/*.hpp"
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)
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list(APPEND ALL_SOURCES ${GROUP_SOURCES})
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source_group(${GROUP} FILES ${GROUP_SOURCES})
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endforeach()
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11156

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add_executable(${PROJECT_NAME} ${ALL_SOURCES})
12158

13-
include_directories(${Python3_INCLUDE_DIRS})
14-
include_directories(${Python3_NumPy_INCLUDE_DIRS})
15-
include_directories(${OPENSSL_INCLUDE_DIR})
16-
include_directories(${Boost_INCLUDE_DIRS})
17-
include_directories(${JSONCPP_INCLUDE_DIRS})
159+
set(CMAKE_RUNTIME_OUTPUT_DIRECTORY ${CMAKE_BINARY_DIR}/bin)
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set(CMAKE_LIBRARY_OUTPUT_DIRECTORY ${CMAKE_BINARY_DIR}/lib)
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set(CMAKE_ARCHIVE_OUTPUT_DIRECTORY ${CMAKE_BINARY_DIR}/lib)
18162

19163

164+
set(CMAKE_PREFIX_PATH ${CMAKE_PREFIX_PATH} "/usr/local/libtorch")
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find_package(Torch REQUIRED)
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find_package(Python3 COMPONENTS Interpreter Development NumPy REQUIRED)
167+
find_package(OpenSSL REQUIRED)
168+
find_package(Boost REQUIRED COMPONENTS system)
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find_package(jsoncpp REQUIRED)
20170
find_package(CURL REQUIRED)
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find_package(Threads REQUIRED)
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173+
174+
21175
find_library(HIREDIS_LIB hiredis REQUIRED)
22176
find_library(SQLITE3_LIB sqlite3 REQUIRED)
23-
find_package(jsoncpp REQUIRED)
24177

25178

26-
find_package(Threads REQUIRED)
27-
find_package(OpenSSL REQUIRED)
28-
find_package(Boost REQUIRED COMPONENTS system)
29-
30179

31180
add_library(websocketpp INTERFACE)
32-
target_include_directories(websocketpp INTERFACE ${CMAKE_SOURCE_DIR}/websocketpp)
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34-
35-
file(GLOB_RECURSE ALGO_ENGINE_SOURCES "src/AlgoEngine-Core/indicators/*.cpp")
36-
file(GLOB_RECURSE DATA_FETCHER_SOURCES "src/Data-Fetcher-Core/*.cpp")
37-
file(GLOB_RECURSE IO_BROKER_SOURCES "src/IO-Broker-Core/*.cpp")
38-
file(GLOB_RECURSE ORDER_MANAGER_SOURCES "src/Order-Manager-Core/*.cpp")
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file(GLOB_RECURSE RISK_ANALYSIS_SOURCES "src/Risk-Analysis-Core/*.cpp")
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file(GLOB_RECURSE VELOCITY_BOT_SOURCES "src/Velocity-Bot/*.cpp")
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file(GLOB_RECURSE BACKTESTING_BOT_SOURCES "src/Backtesting-Bot/*.cpp")
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file(GLOB_RECURSE ORDERBOOK_SOURCES "src/Orderbook/*.cpp")
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file(GLOB_RECURSE UTILITY_SOURCES "src/Utilities/*.cpp")
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set(UTILITIES_SOURCES
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include/Utilities/Bar.hpp
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include/Utilities/OHLCV.hpp
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include/Utilities/Quote.hpp
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include/Utilities/SignalResult.hpp
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include/Utilities/Trade.hpp
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include/Utilities/Utilities.hpp
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target_include_directories(websocketpp
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INTERFACE
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${CMAKE_SOURCE_DIR}/websocketpp
53184
)
54185

55186

56-
set(SOURCES
57-
${ALGO_ENGINE_SOURCES}
58-
${DATA_FETCHER_SOURCES}
59-
${IO_BROKER_SOURCES}
60-
${ORDER_MANAGER_SOURCES}
61-
${RISK_ANALYSIS_SOURCES}
62-
${VELOCITY_BOT_SOURCES}
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${BACKTESTING_BOT_SOURCES}
64-
${ORDERBOOK_SOURCES}
65-
${UTILITY_SOURCES}
66-
src/main.cpp
187+
target_include_directories(${PROJECT_NAME}
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PRIVATE
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${CMAKE_SOURCE_DIR}/include
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${Python3_INCLUDE_DIRS}
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${Python3_NumPy_INCLUDE_DIRS}
67192
)
68193

69-
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add_executable(VelocityVortex ${SOURCES})
71-
72-
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target_link_libraries(VelocityVortex
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CURL::libcurl
75-
jsoncpp_lib
76-
${HIREDIS_LIB}
77-
${SQLITE3_LIB}
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${Python3_LIBRARIES}
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websocketpp
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Threads::Threads
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OpenSSL::SSL
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OpenSSL::Crypto
83-
${Boost_LIBRARIES}
194+
target_link_libraries(${PROJECT_NAME}
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PRIVATE
196+
${TORCH_LIBRARIES}
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CURL::libcurl
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jsoncpp_lib
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${HIREDIS_LIB}
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${SQLITE3_LIB}
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${Python3_LIBRARIES}
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websocketpp
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Threads::Threads
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OpenSSL::SSL
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OpenSSL::Crypto
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${Boost_LIBRARIES}
84207
)
85208

86209

87-
set(CMAKE_RUNTIME_OUTPUT_DIRECTORY ${CMAKE_BINARY_DIR}/..)
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target_compile_options(${PROJECT_NAME} PRIVATE ${TORCH_CXX_FLAGS})
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set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -pipe")
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if(CMAKE_VERSION VERSION_GREATER_EQUAL 3.16)
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target_precompile_headers(${PROJECT_NAME}
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PRIVATE
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<vector>
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<string>
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<memory>
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<map>
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<unordered_map>
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)
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endif()
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install(TARGETS ${PROJECT_NAME}
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RUNTIME DESTINATION bin
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LIBRARY DESTINATION lib
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ARCHIVE DESTINATION lib
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)

‎include/AlgoEngine-Core/Reinforcement_models/Agent_Deep_Q-Learning.hpp

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#pragma once
2+
#include <torch/torch.h>
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#include <vector>
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#include <random>
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#include <fstream>
6+
#include <sstream>
7+
#include <memory>
8+
#include <sstream>
9+
#include "AlgoEngine-Core/Reinforcement_models/Deep_Q-Learning.hpp"
10+
#include "Utilities/ModelTransfer.hpp"
11+
#include "Utilities/ReplayMemory.hpp"
12+
#include <torch/torch.h>
13+
#include <fstream>
14+
#include <memory>
15+
16+
class Agent
17+
{
18+
public:
19+
Agent(int replay_mem_size = 10000,
20+
int batch_size = 40,
21+
double gamma = 0.98,
22+
double eps_start = 1.0,
23+
double eps_end = 0.12,
24+
int eps_steps = 300,
25+
double learning_rate = 0.001,
26+
int input_dim = 24,
27+
int action_number = 3,
28+
bool is_double_dqn = true);
29+
30+
torch::Tensor select_action(torch::Tensor state);
31+
void optimize_model();
32+
void store_transition(torch::Tensor state, torch::Tensor action,
33+
torch::Tensor next_state, torch::Tensor reward);
34+
void update_target_network();
35+
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private:
37+
void optimize_double_dqn(const torch::Tensor &states, torch::Tensor &next_state_values,
38+
const std::vector<bool> &non_final_mask,
39+
const std::vector<torch::Tensor> &next_states);
40+
void optimize_regular_dqn(torch::Tensor &next_state_values,
41+
const std::vector<bool> &non_final_mask,
42+
const std::vector<torch::Tensor> &next_states);
43+
44+
int replay_mem_size;
45+
int batch_size;
46+
double gamma;
47+
double eps_start;
48+
double eps_end;
49+
int eps_steps;
50+
std::unique_ptr<ConvDuelingDQN> policy_net;
51+
std::unique_ptr<ConvDuelingDQN> target_net;
52+
torch::optim::Adam optimizer;
53+
ReplayMemory memory;
54+
std::mt19937 rng;
55+
int steps_done;
56+
bool is_double_dqn;
57+
torch::Device device;
58+
};

‎include/AlgoEngine-Core/Reinforcement_models/Deep_Q-Learning.hpp

Lines changed: 34 additions & 0 deletions
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#pragma once
2+
#ifndef CONV_NETWORKS_HPP
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#define CONV_NETWORKS_HPP
4+
5+
#include <torch/torch.h>
6+
7+
class ConvDQN : public torch::nn::Module
8+
{
9+
private:
10+
torch::nn::Sequential layers{nullptr};
11+
int input_dimension;
12+
int action_number;
13+
14+
public:
15+
ConvDQN(int input_dim, int action_number);
16+
17+
torch::Tensor forward(torch::Tensor x);
18+
};
19+
20+
class ConvDuelingDQN : public torch::nn::Module
21+
{
22+
private:
23+
torch::nn::Sequential value_stream{nullptr};
24+
torch::nn::Sequential advantage_stream{nullptr};
25+
int input_dimension;
26+
int action_number;
27+
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public:
29+
ConvDuelingDQN(int input_dim, int action_number);
30+
31+
torch::Tensor forward(torch::Tensor x);
32+
};
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#endif

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