Kronos/qlib/docs/component/rl/quickstart.rst

Quick Start
============
.. currentmodule:: qlib

QlibRL provides an example of an implementation of a single asset order execution task and the following is an example of the config file to train with QlibRL.

.. code-block:: yaml

    simulator:
        # Each step contains 30mins
        time_per_step: 30
        # Upper bound of volume, should be null or a float between 0 and 1, if it is a float, represent upper bound is calculated by the percentage of the market volume
        vol_limit: null
    env:
        # Concurrent environment workers.
        concurrency: 1
        # dummy or subproc or shmem. Corresponding to `parallelism in tianshou <https://tianshou.readthedocs.io/en/master/api/tianshou.env.html#vectorenv>`_.
        parallel_mode: dummy
    action_interpreter:
        class: CategoricalActionInterpreter
        kwargs:
            # Candidate actions, it can be a list with length L: [a_1, a_2,..., a_L] or an integer n, in which case the list of length n+1 is auto-generated, i.e., [0, 1/n, 2/n,..., n/n].
            values: 14
            # Total number of steps (an upper-bound estimation)
            max_step: 8
        module_path: qlib.rl.order_execution.interpreter
    state_interpreter:
        class: FullHistoryStateInterpreter
        kwargs:
            # Number of dimensions in data.
            data_dim: 6
            # Equal to the total number of records. For example, in SAOE per minute, data_ticks is the length of the day in minutes.
            data_ticks: 240
            # The total number of steps (an upper-bound estimation). For example, 390min / 30min-per-step = 13 steps.
            max_step: 8
            # Provider of the processed data.
            processed_data_provider:
                class: PickleProcessedDataProvider
                module_path: qlib.rl.data.pickle_styled
                kwargs:
                    data_dir: ./data/pickle_dataframe/feature
        module_path: qlib.rl.order_execution.interpreter
    reward:
        class: PAPenaltyReward
        kwargs:
            # The penalty for a large volume in a short time.
            penalty: 100.0
        module_path: qlib.rl.order_execution.reward
    data:
        source:
            order_dir: ./data/training_order_split
            data_dir: ./data/pickle_dataframe/backtest
            # number of time indexes
            total_time: 240
            # start time index
            default_start_time: 0
            # end time index
            default_end_time: 240
            proc_data_dim: 6
        num_workers: 0
        queue_size: 20
    network:
        class: Recurrent
        module_path: qlib.rl.order_execution.network
    policy:
        class: PPO
        kwargs:
            lr: 0.0001
        module_path: qlib.rl.order_execution.policy
    runtime:
        seed: 42
        use_cuda: false
    trainer:
        max_epoch: 2
        # Number of episodes collected in each training iteration
        repeat_per_collect: 5
        earlystop_patience: 2
        # Episodes per collect at training.
        episode_per_collect: 20
        batch_size: 16
        # Perform validation every n iterations
        val_every_n_epoch: 1
        checkpoint_path: ./checkpoints
        checkpoint_every_n_iters: 1


And the config file for backtesting:

.. code-block:: yaml

    order_file: ./data/backtest_orders.csv
    start_time: "9:45"
    end_time: "14:44"
    qlib:
        provider_uri_1min: ./data/bin
        feature_root_dir: ./data/pickle
        # feature generated by today's information
        feature_columns_today: [
            "$open", "$high", "$low", "$close", "$vwap", "$volume",
        ]
        # feature generated by yesterday's information
        feature_columns_yesterday: [
            "$open_v1", "$high_v1", "$low_v1", "$close_v1", "$vwap_v1", "$volume_v1",
        ]
    exchange:
        # the expression for buying and selling stock limitation
        limit_threshold: ['$close == 0', '$close == 0']
        # deal price for buying and selling
        deal_price: ["If($close == 0, $vwap, $close)", "If($close == 0, $vwap, $close)"]
    volume_threshold:
        # volume limits are both buying and selling, "cum" means that this is a cumulative value over time
        all: ["cum", "0.2 * DayCumsum($volume, '9:45', '14:44')"]
        # the volume limits of buying
        buy: ["current", "$close"]
        # the volume limits of selling, "current" means that this is a real-time value and will not accumulate over time
        sell: ["current", "$close"]
    strategies: 
        30min: 
            class: TWAPStrategy
            module_path: qlib.contrib.strategy.rule_strategy
            kwargs: {}
        1day: 
            class: SAOEIntStrategy
            module_path: qlib.rl.order_execution.strategy
            kwargs:
            state_interpreter:
                class: FullHistoryStateInterpreter
                module_path: qlib.rl.order_execution.interpreter
                kwargs:
                max_step: 8
                data_ticks: 240
                data_dim: 6
                processed_data_provider:
                    class: PickleProcessedDataProvider
                    module_path: qlib.rl.data.pickle_styled
                    kwargs:
                    data_dir: ./data/pickle_dataframe/feature
            action_interpreter: 
                class: CategoricalActionInterpreter
                module_path: qlib.rl.order_execution.interpreter
                kwargs: 
                values: 14
                max_step: 8
            network: 
                class: Recurrent
                module_path: qlib.rl.order_execution.network
                kwargs: {}
            policy: 
                class: PPO
                module_path: qlib.rl.order_execution.policy
                kwargs: 
                    lr: 1.0e-4
                    # Local path to the latest model. The model is generated during training, so please run training first if you want to run backtest with a trained policy. You could also remove this parameter file to run backtest with a randomly initialized policy.
                    weight_file: ./checkpoints/latest.pth
    # Concurrent environment workers.
    concurrency: 5

With the above config files, you can start training the agent by the following command:

.. code-block:: console

    $ python -m qlib.rl.contrib.train_onpolicy.py --config_path train_config.yml

After the training, you can backtest with the following command:

.. code-block:: console

    $ python -m qlib.rl.contrib.backtest.py --config_path backtest_config.yml

In that case, :class:`~qlib.rl.order_execution.simulator_qlib.SingleAssetOrderExecution` and :class:`~qlib.rl.order_execution.simulator_simple.SingleAssetOrderExecutionSimple` as examples for simulator, :class:`qlib.rl.order_execution.interpreter.FullHistoryStateInterpreter` and :class:`qlib.rl.order_execution.interpreter.CategoricalActionInterpreter` as examples for interpreter, :class:`qlib.rl.order_execution.policy.PPO` as an example for policy, and :class:`qlib.rl.order_execution.reward.PAPenaltyReward` as an example for reward.
For the single asset order execution task, if developers have already defined their simulator/interpreters/reward function/policy, they could launch the training and backtest pipeline by simply modifying the corresponding settings in the config files.
The details about the example can be found `here <https://github.com/microsoft/qlib/blob/main/examples/rl/README.md>`_. 

In the future, we will provide more examples for different scenarios such as RL-based portfolio construction.