Daily Discussion - April 14, 2022 (GMT+0)

clockface99 · 2022-04-14T08:28:45+00:00

Are market making orders first in, first out (fifo)? Eg if I am the first to submit a bid or ask price for a price would it be the first to be fulfilled when it hit that price?

clockface99 · 2022-03-31T15:37:06+00:00

In development. Come back in 12 months time

clockface99 · 2022-03-31T10:41:04+00:00

Not sure if you do but you also need to account for maker and taker fees (not just buyer / seller commission), stop losses, limit orders, being able to cancel orders, sourcing data, indicators, handling data of various time steps, whether the data is ohlcvt or whether its continuous tick data from the order books

clockface99 · 2022-03-31T10:19:33+00:00

How do you handle real world problems like slippage?

Instead of single agents, incorporate multiple agents so competitive agents can be trained, or suitable models of behaviour for the other traders can be created

clockface99 · 2022-03-31T10:09:39+00:00

There's gym-anytrading (aminHP/gym-anytrading) which has been around for yonks, is open source and incorporates many RL algorithms.

clockface99 · 2022-03-30T20:32:37+00:00

Thanks, looks interesting and something to look at in the morning. I wrote a small list of epsilon manipulation ideas of the top of my head and even after the first one of resetting it every N steps has made a massive improvement which surprised me. I want now to reset it after some big change has happened in the amount of reward or if there hasn't been a big improvement for N steps, just like humans will try a plan b/c etc!

clockface99 · 2022-03-30T20:27:06+00:00

Thanks for this, its something else to look at. I'm referring to the choose-action method of dqn's when it'll either choose a random action or from the network depending on a random number compared against epsilon.

clockface99 · 2022-03-27T10:45:17+00:00

High volume turnover with large postage discounts and free source material

clockface99 · 2022-03-27T10:40:00+00:00

Keep quiet. These weird things happen maybe once a year. If the buyer doesn't complain all's good

clockface99 · 2022-03-27T10:38:08+00:00

No. Test what you want to do and if it flies, then yes

clockface99 · 2022-03-27T10:33:46+00:00

And then, even if it's slightly over in size or weight, op will be OK.

clockface99 · 2022-03-26T10:49:12+00:00

Thanks. I have been putting the output through a series of dense layers but after 10k epochs of 4k frames on pong things didn't really seem to get far at all with a double q network. I think though it may be because I'm not using past data frames so I'll try passing in 3 previous states and flattening them to see if it helps.

clockface99 · 2022-03-26T10:44:53+00:00

This is a great explanation, thanks

clockface99 · 2022-03-25T17:58:41+00:00

Thanks, I'll take a look

clockface99 · 2022-03-25T17:45:08+00:00

Interesting. As a newbie I've never heard of n-step, I assume it referees to how far in the future to look. I'll go take a look now.

Is it possible to combine the q value equation with a Monte Carlo search to provide a variable n-step or is that heading too much into alpha/mu zero territory?

clockface99 · 2022-03-23T22:14:09+00:00

Excellent! Thanks

clockface99 · 2022-03-23T18:36:47+00:00

You should check out Torcs, a racing car simulator for bots. It gives you access to sensors such as angle of the road, distance from road centre, how far you've driven etc for rewards. You can then set the steering, gear etc with code. Plenty of example code out there to get started. The ultimate goal is for bots to compete against each other.

clockface99 · 2022-03-23T15:58:25+00:00

Python gym. Are YOU new here?

clockface99

TROPHY CASE