freqtrade/freqtrade

import logging
from typing import Any, Dict

from pandas import DataFrame
from sb3_contrib.common.maskable.callbacks import MaskableEvalCallback
from sb3_contrib.common.maskable.utils import is_masking_supported
from stable_baselines3.common.vec_env import SubprocVecEnv, VecMonitor

from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.prediction_models.ReinforcementLearner import ReinforcementLearner
from freqtrade.freqai.RL.BaseReinforcementLearningModel import make_env
from freqtrade.freqai.tensorboard.TensorboardCallback import TensorboardCallback


logger = logging.getLogger(__name__)


class ReinforcementLearner_multiproc(ReinforcementLearner):
    """
    Demonstration of how to build vectorized environments
    """

    def set_train_and_eval_environments(
        self,
        data_dictionary: Dict[str, Any],
        prices_train: DataFrame,
        prices_test: DataFrame,
        dk: FreqaiDataKitchen,
    ):
        """
        User can override this if they are using a custom MyRLEnv
        :param data_dictionary: dict = common data dictionary containing train and test
            features/labels/weights.
        :param prices_train/test: DataFrame = dataframe comprised of the prices to be used in
            the environment during training
        or testing
        :param dk: FreqaiDataKitchen = the datakitchen for the current pair
        """
        train_df = data_dictionary["train_features"]
        test_df = data_dictionary["test_features"]

        if self.train_env:
            self.train_env.close()
        if self.eval_env:
            self.eval_env.close()

        env_info = self.pack_env_dict(dk.pair)

        eval_freq = len(train_df) // self.max_threads

        env_id = "train_env"
        self.train_env = VecMonitor(
            SubprocVecEnv(
                [
                    make_env(self.MyRLEnv, env_id, i, 1, train_df, prices_train, env_info=env_info)
                    for i in range(self.max_threads)
                ]
            )
        )

        eval_env_id = "eval_env"
        self.eval_env = VecMonitor(
            SubprocVecEnv(
                [
                    make_env(
                        self.MyRLEnv, eval_env_id, i, 1, test_df, prices_test, env_info=env_info
                    )
                    for i in range(self.max_threads)
                ]
            )
        )

        self.eval_callback = MaskableEvalCallback(
            self.eval_env,
            deterministic=True,
            render=False,
            eval_freq=eval_freq,
            best_model_save_path=str(dk.data_path),
            use_masking=(self.model_type == "MaskablePPO" and is_masking_supported(self.eval_env)),
        )

        # TENSORBOARD CALLBACK DOES NOT RECOMMENDED TO USE WITH MULTIPLE ENVS,
        # IT WILL RETURN FALSE INFORMATION, NEVERTHELESS NOT THREAD SAFE WITH SB3!!!
        actions = self.train_env.env_method("get_actions")[0]
        self.tensorboard_callback = TensorboardCallback(verbose=1, actions=actions)