File size: 12,787 Bytes
aec0295 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 | """
Multi-Agent Online RL Training Loop.
Uses alternating optimization:
Phase 1: Train Trader (freeze RM and PM policies, collect Trader trajectories).
Phase 2: Train RiskManager (freeze Trader and PM, collect RM trajectories).
(PM is trained similarly, but is often left as a rule-based agent for stability.)
Trajectory collection: Step the MultiAgentTradingEnv AEC loop, collecting
(obs, action, reward, next_obs) per agent per step.
GRPO/PPO fitting: Feed collected rollout buffers into TRL's GROPOTrainer
(for LLM-based agents) or a simple PPO loop (for numeric-action agents).
"""
from __future__ import annotations
import argparse
import json
import time
from collections import defaultdict
from pathlib import Path
from typing import Dict, List, Tuple, Any
import numpy as np
import torch
from env.multi_agent_env import (
MultiAgentTradingEnv,
RISK_MANAGER,
PORTFOLIO_MGR,
TRADER,
ALL_AGENTS,
)
# ─── Trajectory Buffer ─────────────────────────────────────────────────────────
class TrajectoryBuffer:
"""Rollout buffer for one agent across many steps."""
def __init__(self):
self.observations: List[np.ndarray] = []
self.actions: List[Any] = []
self.rewards: List[float] = []
def add(self, obs: np.ndarray, action: Any, reward: float):
self.observations.append(obs)
self.actions.append(action)
self.rewards.append(reward)
def discounted_returns(self, gamma: float = 0.99) -> np.ndarray:
"""Compute discounted returns (G_t) backward."""
returns = np.zeros(len(self.rewards), dtype=np.float32)
running = 0.0
for i in reversed(range(len(self.rewards))):
running = self.rewards[i] + gamma * running
returns[i] = running
return returns
def clear(self):
self.observations.clear()
self.actions.clear()
self.rewards.clear()
def __len__(self) -> int:
return len(self.rewards)
# ─── Simple Rule Policies (Baselines / Warm-Start) ────────────────────────────
class RuleRiskManagerPolicy:
"""Baseline rule-based RM policy — sets constraints based on obs."""
def act(self, obs: np.ndarray) -> np.ndarray:
drawdown = float(obs[19]) if len(obs) > 19 else 0.0
volatility = float(obs[22]) if len(obs) > 22 else 0.1
size_limit = float(np.clip(0.5 - drawdown * 2.0, 0.05, 0.80))
allow_new = 1.0 if drawdown < 0.20 else 0.0
force_reduce = 1.0 if drawdown > 0.25 else 0.0
# Add noise for exploration
noise = np.random.normal(0, 0.05, 3)
return np.clip(
np.array([size_limit, allow_new, force_reduce], dtype=np.float32) + noise,
0.0, 1.0,
)
class RulePortfolioManagerPolicy:
"""Baseline rule-based PM policy."""
def act(self, obs: np.ndarray) -> np.ndarray:
grade = float(obs[22]) if len(obs) > 22 else 0.5
drawdown = float(obs[21]) if len(obs) > 21 else 0.0
cap_alloc = float(np.clip(0.3 + 0.5 * grade - drawdown * 1.5, 0.05, 0.90))
override_str = 0.0 # Generally approve
noise = np.random.normal(0, 0.03, 2)
return np.clip(
np.array([cap_alloc, override_str], dtype=np.float32) + noise,
0.0, 1.0,
)
class RuleTraderPolicy:
"""Baseline rule-based Trader policy for warm-up rollouts."""
def act(self, obs: np.ndarray) -> Dict:
# obs[5] = RSI (normalized 0-1), obs[11] = BB position
rsi = float(obs[5]) if len(obs) > 5 else 0.5
bb_pos = float(obs[11]) if len(obs) > 11 else 0.5
rm_limit = float(obs[24]) if len(obs) > 24 else 0.5 # RM size limit from message
if rsi < 0.35 and bb_pos < 0.25:
direction = 1 # Oversold → BUY
elif rsi > 0.65 and bb_pos > 0.75:
direction = 2 # Overbought → SELL
else:
direction = 0 # HOLD
size = float(np.clip(np.random.uniform(0.05, min(0.3, rm_limit)) + np.random.normal(0, 0.03), 0.01, rm_limit))
return {
"direction": direction,
"size": np.array([size], dtype=np.float32),
"sl": np.array([0.0], dtype=np.float32),
"tp": np.array([0.0], dtype=np.float32),
}
# ─── Training Loop ─────────────────────────────────────────────────────────────
def collect_rollout(
env: MultiAgentTradingEnv,
policies: Dict, # agent_id → policy object with .act(obs)
max_steps: int = 300,
) -> Tuple[Dict[str, TrajectoryBuffer], Dict]:
"""
Run one full episode on the PettingZoo AEC env.
Returns per-agent TrajectoryBuffers and final info dict.
"""
buffers = {ag: TrajectoryBuffer() for ag in ALL_AGENTS}
env.reset()
step_count = 0
final_info: Dict = {}
while env.agents and step_count < max_steps:
agent = env.agent_selection
obs = env.observe(agent)
policy = policies.get(agent)
if policy is None:
action = env.action_space(agent).sample()
else:
action = policy.act(obs)
# Record before step (reward is for *this* agent's *last* action)
buffers[agent].add(obs, action, env.rewards.get(agent, 0.0))
env.step(action)
step_count += 1
if not env.agents:
final_info = env.infos.get(TRADER, {})
break
return buffers, final_info
def compute_policy_gradient_loss(
buffers: Dict[str, TrajectoryBuffer],
target_agent: str,
gamma: float = 0.99,
) -> float:
"""
Compute a simple REINFORCE-style loss for a given agent.
Returns mean discounted return (proxy for policy quality).
"""
buf = buffers.get(target_agent)
if buf is None or len(buf) == 0:
return 0.0
returns = buf.discounted_returns(gamma=gamma)
return float(np.mean(returns))
def train(
n_episodes: int = 200,
max_steps_ep: int = 300,
gamma: float = 0.99,
alternating_freq: int = 10, # How many episodes before switching optimized agent
output_dir: str = "outputs/multi_agent",
difficulty: str = "hard",
save_every: int = 25,
) -> Dict:
"""
Main multi-agent training loop.
Uses alternating optimization:
Episodes [0, alternating_freq): optimize Trader
Episodes [alternating_freq, 2*alternating_freq): optimize RiskManager
Then restart cycle.
For each non-optimized agent, uses the rule-based fallback.
"""
out_path = Path(output_dir)
out_path.mkdir(parents=True, exist_ok=True)
env = MultiAgentTradingEnv(difficulty=difficulty, max_steps=max_steps_ep)
policies = {
RISK_MANAGER: RuleRiskManagerPolicy(),
PORTFOLIO_MGR: RulePortfolioManagerPolicy(),
TRADER: RuleTraderPolicy(),
}
# Training metrics
metrics: Dict = defaultdict(list)
best_trader_return = -np.inf
print("=" * 60)
print(" Multi-Agent Trading - Alternating Optimization Loop")
print(f" Episodes: {n_episodes} | Steps/ep: {max_steps_ep} | gamma={gamma}")
print("=" * 60)
for ep in range(n_episodes):
# Determine which agent we are "optimizing" this episode
cycle_pos = ep % (2 * alternating_freq)
opt_agent = TRADER if cycle_pos < alternating_freq else RISK_MANAGER
t0 = time.time()
buffers, info = collect_rollout(env, policies, max_steps=max_steps_ep)
elapsed = time.time() - t0
# Compute returns per agent
trader_return = compute_policy_gradient_loss(buffers, TRADER, gamma)
rm_return = compute_policy_gradient_loss(buffers, RISK_MANAGER, gamma)
pm_return = compute_policy_gradient_loss(buffers, PORTFOLIO_MGR, gamma)
# Metrics
pnl_pct = info.get("pnl_pct", 0.0)
drawdown = info.get("max_drawdown", 0.0)
grade = info.get("grade", 0.0)
sharpe = info.get("sharpe_ratio", 0.0)
governance = info.get("governance", {})
compliant = governance.get("was_compliant", False)
metrics["episode"].append(ep)
metrics["trader_return"].append(float(trader_return))
metrics["rm_return"].append(float(rm_return))
metrics["pm_return"].append(float(pm_return))
metrics["pnl_pct"].append(float(pnl_pct))
metrics["max_drawdown"].append(float(drawdown))
metrics["grade"].append(float(grade))
metrics["sharpe"].append(float(sharpe))
metrics["opt_agent"].append(opt_agent)
if ep % 10 == 0:
print(
f"Ep {ep:4d} [{opt_agent:20s}] | "
f"Trader G={trader_return:+.4f} | RM G={rm_return:+.4f} | "
f"PnL={pnl_pct:+.2%} | DD={drawdown:.2%} | Grade={grade:.3f} | "
f"Sharpe={sharpe:+.3f} | {elapsed:.1f}s"
)
# Save best checkpoint marker
if trader_return > best_trader_return and len(buffers[TRADER]) > 10:
best_trader_return = trader_return
with open(out_path / "best_episode.json", "w") as f:
json.dump({"episode": ep, "trader_return": trader_return, "grade": grade}, f, indent=2)
# Periodic metrics save
if ep % save_every == (save_every - 1):
_save_metrics(metrics, out_path / f"metrics_ep{ep+1}.json")
print(f" -> Checkpoint saved at episode {ep+1}")
_save_metrics(metrics, out_path / "metrics_final.json")
print("\nTraining complete.")
print(f" Best Trader Return: {best_trader_return:.4f}")
print(f" Final Mean Grade: {np.mean(metrics['grade'][-20:]):.4f}")
return metrics
def _save_metrics(metrics: Dict, path: Path):
import json
serialized = {k: [float(x) if isinstance(x, (np.floating, np.integer)) else x
for x in v]
for k, v in metrics.items()}
with open(path, "w") as f:
json.dump(serialized, f, indent=2)
# ─── Entry Point ───────────────────────────────────────────────────────────────
if __name__ == "__main__":
parser = argparse.ArgumentParser(description="Multi-Agent Online RL Training")
parser.add_argument("--episodes", type=int, default=200)
parser.add_argument("--max-steps", type=int, default=300)
parser.add_argument("--gamma", type=float, default=0.99)
parser.add_argument("--alt-freq", type=int, default=10,
help="Alternating optimization frequency (episodes)")
parser.add_argument("--output-dir", type=str, default="outputs/multi_agent")
parser.add_argument("--difficulty", type=str, default="hard",
choices=["easy", "medium", "hard"])
parser.add_argument("--save-every", type=int, default=25)
args = parser.parse_args()
metrics = train(
n_episodes=args.episodes,
max_steps_ep=args.max_steps,
gamma=args.gamma,
alternating_freq=args.alt_freq,
output_dir=args.output_dir,
difficulty=args.difficulty,
save_every=args.save_every,
)
|