AI4Finance-Foundation / AI4Finance-Foundation/FinRL
Issue with the StockTradingEnv for 1m ticker data
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Mô tả
I've been trying to train a model with 1m of tick data for the DOW_30 Index. Everything works perfectly fine for daily data, but when I do the same steps for 1m, I get errors. I've resolved the errors in the feature engineering by making modifications locally, as it looks like there was no support for 1m data.
raw data - https://www.dropbox.com/s/sdhzjl7jv5oaada/raw_dow30_2022-09-11_2022-09-18_1m.csv?dl=0
feature engineered data (without turbulence index) - https://www.dropbox.com/s/ohtdcsh01e88j3y/fe_dow30_2022-09-11_2022-09-18_1m.csv?dl=0
```python
from finrl.config import INDICATORS
from finrl.meta.env_stock_trading.env_stocktrading import StockTradingEnv
stock_dimension = len(train.tic.unique())
state_space = 1 + 2*stock_dimension + len(INDICATORS)*stock_dimension
buy_cost_list = sell_cost_list = [0.001] * stock_dimension
num_stock_shares = [0] * stock_dimension
env_kwargs = {
"hmax": 100,
"initial_amount": 1000000,
"num_stock_shares": num_stock_shares,
"buy_cost_pct": buy_cost_list,
"sell_cost_pct": sell_cost_list,
"state_space": state_space,
"stock_dim": stock_dimension,
"tech_indicator_list": INDICATORS,
"action_space": stock_dimension,
"reward_scaling": 1e-4
}
e_train_gym = StockTradingEnv(df = train, **env_kwargs)
```
**Error** - AttributeError: 'numpy.float64' object has no attribute 'values'
On digging deeper, it looks like the error is coming while initializing the state in the **_StockTradingEnv_** class under **__initiate_state_** function. It looks like it's expecting an array **_self.data.close.values.tolist()_** but as per the initial declaration **_self.data = self.df.loc[self.day, :]_**, a scalar value is coming.
Please let me know if I'm doing anything wrong. Also, help me with any existing implementation on 1m data.
Thank you
Lokesh Soni
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