Ledger Example

Install master branch of TensorTrade

!pip install git+https://github.com/tensortrade-org/tensortrade.git -U

import tensortrade.env.default as default

from tensortrade.feed.core import Stream, DataFeed
from tensortrade.data.cdd import CryptoDataDownload
from tensortrade.oms.wallets import Portfolio, Wallet
from tensortrade.oms.exchanges import Exchange
from tensortrade.oms.services.execution.simulated import execute_order
from tensortrade.oms.instruments import USD, BTC, ETH, LTC

Load Data for Exchanges

Using the tensortrade.data.cdd module you can load data from any csv file provided at:

• https://www.cryptodatadownload.com/data/northamerican/

using the CryptoDataDownload class.

cdd = CryptoDataDownload()
bitfinex_btc = cdd.fetch("Bitfinex", "USD", "BTC", "1h")
bitfinex_eth = cdd.fetch("Bitfinex", "USD", "ETH", "1h")

bitstamp_btc = cdd.fetch("Bitstamp", "USD", "BTC", "1h")
bitstamp_eth = cdd.fetch("Bitstamp", "USD", "ETH", "1h")
bitstamp_ltc = cdd.fetch("Bitstamp", "USD", "LTC", "1h")

Inspect Transactions

bitfinex = Exchange("bitfinex", service=execute_order)(
    Stream.source(list(bitfinex_btc['close'][-100:]), dtype="float").rename("USD-BTC"),
    Stream.source(list(bitfinex_eth['close'][-100:]), dtype="float").rename("USD-ETH")
)

bitstamp = Exchange("bitstamp", service=execute_order)(
    Stream.source(list(bitstamp_btc['close'][-100:]), dtype="float").rename("USD-BTC"),
    Stream.source(list(bitstamp_eth['close'][-100:]), dtype="float").rename("USD-ETH"),
    Stream.source(list(bitstamp_ltc['close'][-100:]), dtype="float").rename("USD-LTC")
)

portfolio = Portfolio(USD, [
    Wallet(bitfinex, 10000 * USD),
    Wallet(bitfinex, 10 * BTC),
    Wallet(bitfinex, 5 * ETH),
    Wallet(bitstamp, 1000 * USD),
    Wallet(bitstamp, 5 * BTC),
    Wallet(bitstamp, 20 * ETH),
    Wallet(bitstamp, 3 * LTC)
])

feed = DataFeed([
    Stream.source(list(bitstamp_eth['volume'][-100:]), dtype="float").rename("volume:/USD-ETH"),
    Stream.source(list(bitstamp_ltc['volume'][-100:]), dtype="float").rename("volume:/USD-LTC")
])

env = default.create(
    portfolio=portfolio,
    action_scheme=default.actions.SimpleOrders(),
    reward_scheme=default.rewards.SimpleProfit(),
    feed=feed
)

done = False
obs = env.reset()
while not done:
    action = env.action_space.sample()
    obs, reward, done, info = env.step(action)

portfolio.ledger.as_frame().head(7)

Inspect Transactions of ManagedRiskOrders

portfolio = Portfolio(USD, [
    Wallet(bitfinex, 10000 * USD),
    Wallet(bitfinex, 0 * BTC),
    Wallet(bitfinex, 0 * ETH),
])

env = default.create(
    portfolio=portfolio,
    action_scheme=default.actions.ManagedRiskOrders(),
    reward_scheme=default.rewards.SimpleProfit(),
    feed=feed
)

done = False

while not done:
    action = env.action_space.sample()
    obs, reward, done, info = env.step(action)

portfolio.ledger.as_frame().head(20)

Transactions in Spreadsheets

To take a closer look at the transactions that are happening within the system, copy the transactions to a csv file and load it into any spreadsheet software. If where you are running this allows access to the system clipboard, you can directly copy the frame to your system clipboard by doing the following:

• portfolio.ledger.as_frame().to_clipboard(index=False)

Then just paste into any spreadsheet software (e.g. Execel, Google Sheets).