TradeMaster: An RL Platform for Trading

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TradeMaster is a first-of-its kind, best-in-class open-source platform for quantitative trading (QT) empowered by reinforcement learning (RL), which covers the full pipeline for the design, implementation, evaluation and deployment of RL-based algorithms.

:octocat: Hiring: multiple fully-funded PhD and RA positions are available under the supervision of Dr. Sun Shuo (first author of TradeMaster paper) at HKUST(GZ). Please send him an email if you are interested!

⭐ What's NEW! ⏰

Outline

• TradeMaster: An RL Platform for Trading
  • ⭐ What's NEW! ⏰
  • Outline
  • Overview
  • Installation
  • Tutorial
  • Useful Script
  • TradeMaster Sandbox
  • Dataset
  • Model Zoo
  • Visualization Toolkit
  • File Structure
  • Publications
  • News
  • Team
  • Competition
  • Contact Us

Overview

TradeMaster is composed of 6 key modules: 1) multi-modality market data of different financial assets at multiple granularity; 2) whole data preprocessing pipeline; 3) a series of high-fidelity data-driven market simulators for mainstream QT tasks; 4) efficient implementations of over 13 novel RL-based trading algorithms; 5) systematic evaluation toolkits with 6 axes and 17 measures; 6) different interfaces for interdisciplinary users.

Installation

Here are the installation tutorials for different operating systems and docker:

• Installation on Linux/Windows/MacOS
• Installation with Docker

Tutorial

We provide tutorials covering core features of TradeMaster for users to get start with.

We also provide a colab version of these tutorials that can be run directly. (colab tutorial)

Useful Script

• Automatic hyperparameter tuning
• Automatic feature generation
• Financial data imputation with diffusion models
• Train RL agents with Alpha158 technical indicators

TradeMaster Sandbox

• White paper
• Market dynamics modeling
• Website API
  1. Agent training Demo
  2. Market dynamics modeling tool
  3. Market simulator web service

Dataset

Dates are in YY/MM/DD format.

OHLCV: open, high, low, and close prices; volume: corresponding trading volume; LOB: Limit order book.

Users can download data of the above datasets from Google Drive or Baidu Cloud (extraction code:x24b)

Model Zoo

TradeMaster provides efficient implementations of the following algorithms:

DeepScalper based on Pytorch (Shuo Sun et al, CIKM 22)

OPD based on Pytorch (Fang et al, AAAI 21)

DeepTrader based on Pytorch (Wang et al, AAAI 21)

SARL based on Pytorch (Yunan Ye et al, AAAI 20)

ETEO based on Pytorch (Lin et al, 20)

Investor-Imitator based on Pytorch (Yi Ding et al, KDD 18)

EIIE based on Pytorch (Jiang et al, 17)

Classic RL based on Pytorch and Ray: PPO A2C Rainbow SAC DDPG DQN PG TD3

Visualization Toolkit

TradeMaster provides many visualization toolkits for a systematic evaluation of RL-based quantitative trading methods. Please check this paper and repository for details. Some examples are as follows:

PRIDE-Star is a star plot containing normalized score of 8 key financial measures such total return (TR) and Sharpe ratio (SR) to evaluate profitability,risk-control and diversity:

File Structure

| TradeMaster
| ├── configs
| ├── data
| │   ├── algorithmic_trading 
| │   ├── high_frequency_trading  
| │   ├── order_excution          
| │   └── porfolio_management
| ├── deploy
| │   ├── backend_client.py
| │   ├── backend_client_test.py 
| │   └── backend_service.py        
| │   ├── backend_service_test.py  
| ├── docs
| ├── figure
| ├── installation
| │   ├── docker.md
| │   ├── requirements.md
| ├── tools
| │   ├── algorithmic_trading          
| │   ├── data_preprocessor
| │   ├── high_frequency_trading
| │   ├── market_dynamics_labeling
| │   ├── missing_value_imputation  
| │   ├── order_excution  
| │   ├── porfolio_management  
| │   ├── __init__.py      
| ├── tradmaster       
| │   ├── agents   
| │   ├── datasets 
| │   ├── enviornments 
| │   ├── evaluation 
| │   ├── imputation 
| │   ├── losses
| │   ├── nets
| │   ├── preprocessor
| │   ├── optimizers
| │   ├── pretrained
| │   ├── trainers
| │   ├── transition
| │   ├── utils
| │   └── __init__.py     
| ├── unit_testing
| ├── Dockerfile
| ├── LICENSE
| ├── README.md
| ├── pyproject.toml
| └── requirements.txt

Publications

A multimodal foundation agent for financial trading: Tool-augmented, diversified, and generalist (KDD 2024)

MacroHFT: Memory augmented context-aware reinforcement learning on high frequency trading (KDD 2024)

Reinforcement learning with maskable stock representation for portfolio management in customizable stock pools (WWW 2024)

EarnHFT: Efficient hierarchical reinforcement learning for high frequency trading (AAAI 2024)

Market-GAN: Adding control to financial market data generation with semantic context (AAAI 2024)

TradeMaster: A holistic quantitative trading platform empowered by reinforcement learning (NeurIPS 2023)

Mastering stock markets with efficient mixture of diversified trading experts (KDD 2023)

PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets (Transactions on Machine learning Research 2023)

Reinforcement Learning for Quantitative Trading (Survey) (ACM Transactions on Intelligent Systems and Technology 2023)

Deep Reinforcement Learning for Quantitative Trading: Challenges and Opportunities (IEEE Intelligent Systems 2022)

DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities (CIKM 2022)

Commission Fee is not Enough: A Hierarchical Reinforced Framework for Portfolio Management (AAAI 21)

News

• [AI科技评论]TradeMaster最新发布沙盒工具箱，探索量化交易的全新维度
• [AAAI Summer Syposium]Call for participation on RL4Fintech syposium in Singapore
• [知乎]用强化学习在金融市场上赚钱？南洋理工发布全新基于强化学习的量化交易平台TradeMaster
• [机器之心]南洋理工发布量化交易大师TradeMaster，涵盖15种强化学习算法
• [运筹OR帷幄]量化交易大师TradeMaster
• [Medium]Introduction on TradeMaster
• [AAAI-23 Bridge Program]Host a tutorial on reinforcement learning for quantitative trading with TradeMaster

Team

• This repository is developed and maintained by AMI group at Nanyang Technological University.
• We have positions for software engineer, research associate and postdoc. If you are interested in working at the intersection of RL and quantitative trading, feel free to send us an email with your CV.

Competition

TradeMaster Cup 2022

Contact Us

If you have any further questions of this project, please contact TradeMaster.NTU@gmail.com