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qinmoelei / EarnHFT

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Is this an idealized condition? #8

Closed Dreamlikec closed 3 weeks ago

Dreamlikec commented 3 weeks ago

I see your code in 'RL/agent/low_level/ddqn_pes_risk_aware.py', the default transaction_cost is set to 0.00015, As we known most of exchanges have a commission fee rate of 0.001, So is the result in your paper as such low commission fee rate ?

qinmoelei commented 3 weeks ago

The commission fee rate is from Binance. If you have an account of VIP 9 and use BNB to settle the commission fee, the rate is 0.00015.

It is quite common in distributed exchanges to have such a low commission fee since those exchanges, unlike traditional markets like the stock markets, need to attract customers all by themselves, and lowering the commission fee is the most common way (Binance will even cancel a trading pair's commission from time to time). Since we are doing high-frequency trading, the commission fee rate has an extremely high impact on our results, and therefore, we choose the commission fee with which most of the orders are conducted in this market.

The commission fee rate for different trading pairs differs in my paper. For more details, see Appendix D.3 in the paper.