We cant afford any contract. Please check wallet settings.
lamhk opened this issue · 9 comments
Hi, i encountered another issue using the new code. I tried to increase the capital from 200 to 20000 (for example) and it still happened the same way. Any idea? Thanks.
/TradzQAI-master$ python3.6 run.py -m train
DAT_ASCII_GRXEUR_M1_201711.csv : 0%| | 0/1 [00:00<?, ?it/sException in thread Thread-4: | 0/1 [00:00<?, ?it/s]
Traceback (most recent call last): | 0/18354 [00:00<?, ?it/s]
File "/usr/lib/python3.6/threading.py", line 916, in _bootstrap_inner
self.run()
File "/usr/lib/python3.6/threading.py", line 864, in run
self._target(*self._args, **self._kwargs)
File "/home/lamhk/TradzQAI-master/core/worker/local_worker.py", line 45, in run
self.step()
File "/home/lamhk/TradzQAI-master/core/worker/local_worker.py", line 71, in step
state, terminal, reward = self.env.execute(action)
File "/home/lamhk/TradzQAI-master/core/environnement/local_env.py", line 184, in execute
self.wallet.manage_exposure(self.contract_settings)
File "/home/lamhk/TradzQAI-master/core/environnement/base/wallet.py", line 197, in manage_exposure
raise ValueError('current_max_pos : {:.3f} We cant afford any contract. Please check wallet settings.'.format(self.risk_managment['current_max_pos']))
ValueError: current_max_pos : 0.000 We cant afford any contract. Please check wallet settings.
DAT_ASCII_GRXEUR_M1_201711.csv : 100%|████████████| 1/1 [00:00<00:00, 5.25it/s]
Regards,
lamhk
I found the "current_max_pos" is zero because the "contract_price" is very large like 13325. Any idea?
The current max pos is calculated with this function.
It use the current exposure (default is 10% of capital), the contract price, the contract size and the pip value (i should delete it by the way).
If you are using the classic contract type, you should set values large enought to be enable to afford any contract.
With 20000 capital and 13325 contract price, the exposure have to be at least at 67%.
I tried to increase the capital to larger value using the structure below, but when I printed the self.settings['capital'] value out (explicitly), it always stay as "200" no matter how I change the structure below, any idea?
self.settings = dict(
capital = 200000000,
fee = 0.3,
used_margin = 0,
GL_pip = 0,
GL_profit = 0
)
Where should I change the capital?
In which file are you making this changes ?
TradzQAI/config/ or TradzQAI/save/<agent>_<id>/config/ ?
I change the capital inside wallet.py, l tried it in TradzQAI/config and set capital to 2000000 and seems running now. Thanks.
The most of hard coded values are only used as default values for config directory building.
Hi, I train and eval with the following result, is Average trade means number of trades (buy/sell pairs)? I want to check how many number of buy/sell was done.
Also, is there a variable that could be used for transaction cost in the training and eval mode so that the agent could adjust the freq of buy/sell? Thx.
2018:10:02 17:44:43 000000 Average profit : 2630.15
2018:10:02 17:44:43 000001 Average max return : 0.275
2018:10:02 17:44:43 000002 Average max drawdown : -0.138
2018:10:02 17:44:43 000003 Average trade : 666.0
2018:10:02 17:44:43 000004 Average trade W/L : 0.303
2018:10:02 17:44:43 000005 Average percent return : 0.132
2018:10:02 17:44:43 000006 Day W/L : 1.0
2018:10:02 17:44:43 000007 Total day : 1
Also, I found it seems only one episode was done in the training stage, is this intended?
2018:10:02 17:35:14 000000 Starting episode : 1
2018:10:02 17:37:07 000000 Starting episode : 1
2018:10:02 17:38:38 000001 ######################################################
2018:10:02 17:38:38 000002 Total reward : -29586.958
2018:10:02 17:38:38 000003 Average daily reward : -1344.862
2018:10:02 17:38:38 000004 Total profit : -29545.8
2018:10:02 17:38:38 000005 Total trade : 1810
2018:10:02 17:38:38 000006 Sharp ratio : -22.235
2018:10:02 17:38:38 000007 Mean return : -1.610
2018:10:02 17:38:38 000008 Max Drawdown : -1.494
2018:10:02 17:38:38 000009 Max return : 0.001
2018:10:02 17:38:38 000010 Percent return : -1.477
2018:10:02 17:38:38 000011 Trade W/L : 0.273
2018:10:02 17:38:38 000012 Step : 18353
2018:10:02 17:38:38 000013 ######################################################
2018:10:02 17:40:35 000000 Starting episode : 1
2018:10:02 17:42:06 000001 ######################################################
2018:10:02 17:42:06 000002 Total reward : -31749.517
2018:10:02 17:42:06 000003 Average daily reward : -1443.160
2018:10:02 17:42:06 000004 Total profit : -31750.45
2018:10:02 17:42:06 000005 Total trade : 1475
2018:10:02 17:42:06 000006 Sharp ratio : -23.719
2018:10:02 17:42:06 000007 Mean return : -1.730
2018:10:02 17:42:06 000008 Max Drawdown : -1.590
2018:10:02 17:42:06 000009 Max return : 0.000
2018:10:02 17:42:06 000010 Percent return : -1.588
2018:10:02 17:42:06 000011 Trade W/L : 0.188
2018:10:02 17:42:06 000012 Step : 18353
2018:10:02 17:42:06 000013 ######################################################
The average trade is all trade done (buy/sell/draw). I guess you want to know how many of which is done, right ? No, you have to check if you change the episodes line in TradzQAI/config/environemment.json. The transaction cost is done with the fee value, also you can change the spread value.