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TradeMaster-NTU / TradeMaster

TradeMaster is an open-source platform for quantitative trading empowered by reinforcement learning :fire: :zap: :rainbow:
Apache License 2.0
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Can trademaster train using tick data? #152

Closed ztwe closed 1 year ago

ztwe commented 1 year ago

Can trademaster train using tick data?

If not, how to modify the project?

ai-gamer commented 1 year ago

Thanks for your interest on TradeMaster. May I ask what is the data structure of the tick data we want to train? What trading tasks are you working on?

ztwe commented 1 year ago

The data structure is like bid_5/bid_4/bid_3/bid_2/bid_1、ask_1/ask_2/ask_3/ask_4/ask_5, both for price and order. The training is about chinese future.

ai-gamer commented 1 year ago

You may take a look at this tutorial https://github.com/TradeMaster-NTU/TradeMaster/blob/1.0.0/tutorial/Tutorial6_DDQN.ipynb. I think it is using data with similar structures on Crypto trading.

ztwe commented 1 year ago

Besides data structure, could the environment support the trade which less than 1min, like buy and then sell within 1min.

ztwe commented 1 year ago

In addition, could the models and environment accept tick data(...bid_2/bid_1、ask_1/ask_2/...) and OHLCV data simultaneously?

ai-gamer commented 1 year ago

As far as I know, the current version is using technical indicators for states. I think it is possible to modify it to accept tick and OHLCV together. But intuitively, this may not be a very good way because it can be hard to train RL agents with good results using only raw tick and OHLCV data based on my previous experience.

ztwe commented 1 year ago

Thank you!