train_cppo_llm_risk_01.py

#!/usr/bin/env python
# coding: utf-8
#run with the command: OMPI_ALLOW_RUN_AS_ROOT=1 OMPI_ALLOW_RUN_AS_ROOT_CONFIRM=1 mpirun -np 4 python3 train_cppo.py


from datasets import load_dataset
import pandas as pd
#from finrl.agents.stablebaselines3.models import DRLAgent
from finrl.config import INDICATORS, TRAINED_MODEL_DIR, RESULTS_DIR
from finrl.main import check_and_make_directories
from env_stocktrading_llm_risk_01 import StockTradingEnv

check_and_make_directories([TRAINED_MODEL_DIR])


import numpy as np
import scipy.signal
from gymnasium.spaces import Box, Discrete

import torch
import torch.nn as nn
from torch.distributions.normal import Normal
from torch.distributions.categorical import Categorical

###############

import numpy as np
import torch
from torch.optim import Adam
import gymnasium as gym
import time
import spinup.algos.pytorch.ppo.core as core
from spinup.utils.logx import EpochLogger
from spinup.utils.mpi_pytorch import setup_pytorch_for_mpi, sync_params, mpi_avg_grads
from spinup.utils.mpi_tools import mpi_fork, mpi_avg, proc_id, mpi_statistics_scalar, num_procs


# from Huggging Face :
dataset = load_dataset("benstaf/nasdaq_2013_2023", data_files="train_data_deepseek_risk_2013_2018.csv")

# Convert to pandas DataFrame
train = pd.DataFrame(dataset['train'])

#train = pd.read_csv('train_data_qwen_risk.csv')

train = train.drop('Unnamed: 0',axis=1)

# Create a new index based on unique dates
unique_dates = train['date'].unique()
date_to_idx = {date: idx for idx, date in enumerate(unique_dates)}

# Create new index based on the date mapping
train['new_idx'] = train['date'].map(date_to_idx)

# Set this as the index
train = train.set_index('new_idx')


#missing values with 0
train['llm_sentiment'].fillna(0, inplace=True) #0 is outside scope of sentiment scores (min is 1)

train['llm_risk'].fillna(3, inplace=True) #neutral risk score is 3



#### end data loading and preparation




stock_dimension = len(train.tic.unique())
state_space = 1 + 2*stock_dimension + (2+len(INDICATORS))*stock_dimension  #add dimensions for LLM sentiment and risk
print(f"Stock Dimension: {stock_dimension}, State Space: {state_space}")


# In[16]:


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)


# ## Environment for training

# In[17]:


env_train, _ = e_train_gym.get_sb_env()
#print(type(env_train))

#Custom CPPO agent


def combined_shape(length, shape=None):
    if shape is None:
        return (length,)
    return (length, shape) if np.isscalar(shape) else (length, *shape)


def mlp(sizes, activation, output_activation=nn.Identity):
    layers = []
    for j in range(len(sizes)-1):
        act = activation if j < len(sizes)-2 else output_activation
        layers += [nn.Linear(sizes[j], sizes[j+1]), act()]
    return nn.Sequential(*layers)


def count_vars(module):
    return sum([np.prod(p.shape) for p in module.parameters()])


def discount_cumsum(x, discount):
    """
    magic from rllab for computing discounted cumulative sums of vectors.

    input:
        vector x,
        [x0,
         x1,
         x2]

    output:
        [x0 + discount * x1 + discount^2 * x2,
         x1 + discount * x2,
         x2]
    """
    return scipy.signal.lfilter([1], [1, float(-discount)], x[::-1], axis=0)[::-1]


class Actor(nn.Module):

    def _distribution(self, obs):
        raise NotImplementedError

    def _log_prob_from_distribution(self, pi, act):
        raise NotImplementedError

    def forward(self, obs, act=None):
        # Produce action distributions for given observations, and
        # optionally compute the log likelihood of given actions under
        # those distributions.
        pi = self._distribution(obs)
        logp_a = None
        if act is not None:
            logp_a = self._log_prob_from_distribution(pi, act)
        return pi, logp_a


class MLPCategoricalActor(Actor):

    def __init__(self, obs_dim, act_dim, hidden_sizes, activation):
        super().__init__()
        self.logits_net = mlp([obs_dim] + list(hidden_sizes) + [act_dim], activation)

    def _distribution(self, obs):
        logits = self.logits_net(obs)
        return Categorical(logits=logits)

    def _log_prob_from_distribution(self, pi, act):
        return pi.log_prob(act)


class MLPGaussianActor(Actor):

    def __init__(self, obs_dim, act_dim, hidden_sizes, activation):
        super().__init__()
        log_std = -0.5 * np.ones(act_dim, dtype=np.float32)
        self.log_std = torch.nn.Parameter(torch.as_tensor(log_std))
        self.mu_net = mlp([obs_dim] + list(hidden_sizes) + [act_dim], activation)

    def _distribution(self, obs):
        mu = self.mu_net(obs)
        std = torch.exp(self.log_std)
        return Normal(mu, std)

    def _log_prob_from_distribution(self, pi, act):
        return pi.log_prob(act).sum(axis=-1)    # Last axis sum needed for Torch Normal distribution


class MLPCritic(nn.Module):

    def __init__(self, obs_dim, hidden_sizes, activation):
        super().__init__()
        self.v_net = mlp([obs_dim] + list(hidden_sizes) + [1], activation)

    def forward(self, obs):
        return torch.squeeze(self.v_net(obs), -1) # Critical to ensure v has right shape.



class MLPActorCritic(nn.Module):
    def __init__(self, observation_space, action_space,
                 hidden_sizes=(64, 64), activation=nn.Tanh):
        super().__init__()

        obs_dim = observation_space.shape[0]

        # policy builder depends on action space
        if isinstance(action_space, Box):
            self.pi = MLPGaussianActor(obs_dim, action_space.shape[0], hidden_sizes, activation)
        elif isinstance(action_space, Discrete):
            self.pi = MLPCategoricalActor(obs_dim, action_space.n, hidden_sizes, activation)

        # build value function
        self.v = MLPCritic(obs_dim, hidden_sizes, activation)

    def step(self, obs):
        with torch.no_grad():
            pi = self.pi._distribution(obs)
            a = pi.sample()
            logp_a = self.pi._log_prob_from_distribution(pi, a)
            v = self.v(obs)
        return a.numpy(), v.numpy(), logp_a.numpy()

    def act(self, obs):
        return self.step(obs)[0]


###############################


class CPPOBuffer:
    """
    A buffer for storing trajectories experienced by a PPO agent interacting
    with the environment, and using Generalized Advantage Estimation (GAE-Lambda)
    for calculating the advantages of state-action pairs.
    """

    def __init__(self, obs_dim, act_dim, size, gamma=0.99, lam=0.95):
        self.obs_buf = np.zeros(core.combined_shape(size, obs_dim), dtype=np.float32)
        self.act_buf = np.zeros(core.combined_shape(size, act_dim), dtype=np.float32)
        self.adv_buf = np.zeros(size, dtype=np.float32)
        self.rew_buf = np.zeros(size, dtype=np.float32)
        self.ret_buf = np.zeros(size, dtype=np.float32)
        self.val_buf = np.zeros(size, dtype=np.float32)
        self.valupdate_buf = np.zeros(size, dtype=np.float32)
        self.logp_buf = np.zeros(size, dtype=np.float32)
        self.gamma, self.lam = gamma, lam
        self.ptr, self.path_start_idx, self.max_size = 0, 0, size

    def store(self, obs, act, rew, val, valupdate, logp):
        """
        Append one timestep of agent-environment interaction to the buffer.
        """
        assert self.ptr < self.max_size     # buffer has to have room so you can store
        self.obs_buf[self.ptr] = obs
        self.act_buf[self.ptr] = act
        self.rew_buf[self.ptr] = rew.item()
        self.val_buf[self.ptr] = val.item()
        self.valupdate_buf[self.ptr] = valupdate.item()
        self.logp_buf[self.ptr] = logp.item()
        self.ptr += 1

    def finish_path(self, last_val=0):
        """
        Call this at the end of a trajectory, or when one gets cut off
        by an epoch ending. This looks back in the buffer to where the
        trajectory started, and uses rewards and value estimates from
        the whole trajectory to compute advantage estimates with GAE-Lambda,
        as well as compute the rewards-to-go for each state, to use as
        the targets for the value function.

        The "last_val" argument should be 0 if the trajectory ended
        because the agent reached a terminal state (died), and otherwise
        should be V(s_T), the value function estimated for the last state.
        This allows us to bootstrap the reward-to-go calculation to account
        for timesteps beyond the arbitrary episode horizon (or epoch cutoff).
        """

        path_slice = slice(self.path_start_idx, self.ptr)
        rews = np.append(self.rew_buf[path_slice], last_val)
        vals = np.append(self.val_buf[path_slice], last_val)

        # the next two lines implement GAE-Lambda advantage calculation
        deltas = rews[:-1] + self.gamma * vals[1:] - vals[:-1]
        self.adv_buf[path_slice] = core.discount_cumsum(deltas, self.gamma * self.lam)

        self.adv_buf = self.adv_buf - self.valupdate_buf

        # the next line computes rewards-to-go, to be targets for the value function
        self.ret_buf[path_slice] = core.discount_cumsum(rews, self.gamma)[:-1]

        self.path_start_idx = self.ptr

    def get(self):
        """
        Call this at the end of an epoch to get all of the data from
        the buffer, with advantages appropriately normalized (shifted to have
        mean zero and std one). Also, resets some pointers in the buffer.
        """
        assert self.ptr == self.max_size    # buffer has to be full before you can get
        self.ptr, self.path_start_idx = 0, 0
        # the next two lines implement the advantage normalization trick
        adv_mean, adv_std = mpi_statistics_scalar(self.adv_buf)
        self.adv_buf = (self.adv_buf - adv_mean) / adv_std
        data = dict(obs=self.obs_buf, act=self.act_buf, ret=self.ret_buf,
                    adv=self.adv_buf, logp=self.logp_buf)
        return {k: torch.as_tensor(v, dtype=torch.float32) for k,v in data.items()}


def cppo(env_fn,
         actor_critic=core.MLPActorCritic,
         ac_kwargs=dict(hidden_sizes=[256, 128], activation=torch.nn.ReLU),
         seed=42,
         steps_per_epoch=20000,  # Larger batch size to handle market variability
         epochs=100,  # More epochs for better convergence
         gamma=0.995,  # Higher discount factor for long-term trends
         clip_ratio=0.7,  # Lower clip ratio for smoother updates
         pi_lr=3e-5,  # Slower learning for the policy
         vf_lr=1e-4,  # Slower learning for the value function
         train_pi_iters=100,  # Increased policy update iterations
         train_v_iters=100,  # Increased value function update iterations
         lam=0.95,  # GAE smoothing factor for advantage estimation
         max_ep_len=3000,  # Extended maximum episode length for longer trading horizons
         target_kl=0.35,  # Slightly relaxed KL divergence target
         logger_kwargs=dict(),
         save_freq=10,
         alpha=0.85,  # Adjusted risk sensitivity
         beta=3000.0,  # Adjusted beta for risk constraints
         nu_lr=5e-4,  # Learning rate for Lagrange multiplier (slightly slower)
         lam_lr=5e-4,  # Learning rate for CVaR Lagrange multiplier
         nu_start=0.1,  # Starting value for nu
         lam_start=0.01,  # Starting value for lambda
         nu_delay=0.75,  # Delayed nu updates for better stability
         lam_low_bound=0.001,  # Lower bound for lambda
         delay=1.0,  # Update delay for constraints
         cvar_clip_ratio=0.05):  # CVaR clipping ratio



    # Special function to avoid certain slowdowns from PyTorch + MPI combo.
    setup_pytorch_for_mpi()

    # Set up logger and save configuration
    logger = EpochLogger(**logger_kwargs)
    logger.save_config(locals())

    # Random seed
    seed += 10000 * proc_id()
    torch.manual_seed(seed)
    np.random.seed(seed)

    # Instantiate environment
    env = env_fn()
    obs_dim = env.observation_space.shape
    act_dim = env.action_space.shape

    # Create actor-critic module
    ac = actor_critic(env.observation_space, env.action_space, **ac_kwargs)

    # Sync params across processes
    sync_params(ac)

    # Count variables
    var_counts = tuple(core.count_vars(module) for module in [ac.pi, ac.v])
    logger.log('\nNumber of parameters: \t pi: %d, \t v: %d\n'%var_counts)

    # Set up experience buffer
    local_steps_per_epoch = int(steps_per_epoch / num_procs())
    buf = CPPOBuffer(obs_dim, act_dim, local_steps_per_epoch, gamma, lam)

    # parameter of cvar
    nu = nu_start
    cvarlam = lam_start

    # Set up function for computing PPO policy loss
    def compute_loss_pi(data):
        obs, act, adv, logp_old = data['obs'], data['act'], data['adv'], data['logp']

        # Policy loss
        pi, logp = ac.pi(obs, act)
        ratio = torch.exp(logp - logp_old)
        clip_adv = torch.clamp(ratio, 1-clip_ratio, 1+clip_ratio) * adv
        loss_pi = -(torch.min(ratio * adv, clip_adv)).mean()

        # Useful extra info
        approx_kl = (logp_old - logp).mean().item()
        ent = pi.entropy().mean().item()
        clipped = ratio.gt(1+clip_ratio) | ratio.lt(1-clip_ratio)
        clipfrac = torch.as_tensor(clipped, dtype=torch.float32).mean().item()
        pi_info = dict(kl=approx_kl, ent=ent, cf=clipfrac)

        return loss_pi, pi_info

    # Set up function for computing value loss
    def compute_loss_v(data):
        obs, ret = data['obs'], data['ret']
        return ((ac.v(obs) - ret)**2).mean()

    # Set up optimizers for policy and value function
    pi_optimizer = Adam(ac.pi.parameters(), lr=pi_lr)
    vf_optimizer = Adam(ac.v.parameters(), lr=vf_lr)

    # Set up model saving
    logger.setup_pytorch_saver(ac)

    def update():
        data = buf.get()

        pi_l_old, pi_info_old = compute_loss_pi(data)
        pi_l_old = pi_l_old.item()
        v_l_old = compute_loss_v(data).item()

        # Train policy with multiple steps of gradient descent
        for i in range(train_pi_iters):
            pi_optimizer.zero_grad()
            loss_pi, pi_info = compute_loss_pi(data)
            kl = mpi_avg(pi_info['kl'])
            if kl > 1.5 * target_kl:
                logger.log('Early stopping at step %d due to reaching max kl.'%i)
                break
            loss_pi.backward()
            mpi_avg_grads(ac.pi)    # average grads across MPI processes
            pi_optimizer.step()

        logger.store(StopIter=i)

        # Value function learning
        for i in range(train_v_iters):
            vf_optimizer.zero_grad()
            loss_v = compute_loss_v(data)
            loss_v.backward()
            mpi_avg_grads(ac.v)    # average grads across MPI processes
            vf_optimizer.step()

        # Log changes from update
        kl, ent, cf = pi_info['kl'], pi_info_old['ent'], pi_info['cf']
        logger.store(LossPi=pi_l_old, LossV=v_l_old,
                     KL=kl, Entropy=ent, ClipFrac=cf,
                     DeltaLossPi=(loss_pi.item() - pi_l_old),
                     DeltaLossV=(loss_v.item() - v_l_old))

    # Prepare for interaction with environment
    start_time = time.time()
    o, ep_ret, ep_len = env.reset(), 0, 0

    # Main loop: collect experience in env and update/log each epoch
    for epoch in range(epochs):
        trajectory_num = 0
        bad_trajectory_num = 0
        # nu = nu + nu_lr * cvarlam
        cvarlam = cvarlam + lam_lr * (beta - nu)
        lam_delta = 0
        nu_delta = 0
        update_num = 0

        for t in range(local_steps_per_epoch):
            a, v, logp = ac.step(torch.as_tensor(o, dtype=torch.float32))

            next_o, r, d, _ = env.step(a)
            ep_ret += r
            ep_len += 1

    #        llm_risks = next_o[stock_dimension:]     #extract llm risks scores
#            print("next_o State shape:", next_o.shape)
 #           print("next_o State contents:", next_o)

            llm_risks = np.array(next_o[0,-stock_dimension:])

  #          print("our stock dimension is " + str(stock_dimension))
   #         print("llm risks length is: " + str(llm_risks.shape))
    #        print("llm risks scores are  : " + str(llm_risks))
             
            # Define the mapping of LLM risk scores to weights
            risk_to_weight = {1: 0.999, 2: 0.9995, 3: 1.0, 4: 1.0005, 5: 1.001}

            # Apply the mapping to generate llm_risks_weights
            llm_risks_weights = np.vectorize(risk_to_weight.get)(llm_risks)
#            llm_risks_weights = llm_risks_weights.flatten() 

     #       print("llm risks weights are  : " + str(llm_risks_weights))



            #extract individual weights of each stock in the portfolio 
            prices = np.array(next_o[0,1:stock_dimension+1])
            shares = np.array(next_o[0,stock_dimension+1:stock_dimension*2+1])
 
      #      print("prices length is: " + str(prices.shape))

   
            # Calculate position values
            stock_values = prices * shares
            total_value = np.sum(stock_values)
            if total_value==0:
                  llm_risk_factor=1
            #      print("total_value is problematic: " +str(total_value))
             #     print("stock values is " + str(stock_values))
            # Renormalize the stock values so that their sum is 1
            else: 
                stock_weights = stock_values / total_value
                llm_risk_factor= np.dot(stock_weights,llm_risks_weights)

            adjusted_D_pi = llm_risk_factor*(ep_ret + v - r) #that's where llm risk scores are taken into account 
            # the num of trajectories
            trajectory_num += 1
            nu_delta += adjusted_D_pi
            updates = np.float32(0.0)
            if adjusted_D_pi < nu:
                bad_trajectory_num += 1
                lam_delta += adjusted_D_pi
                updates = delay * cvarlam / (1 - alpha) * (nu - adjusted_D_pi)
                if updates > abs(v) * cvar_clip_ratio:
                    # print("update: ", updates)
                    updates = abs(v) * cvar_clip_ratio
                    update_num += 1
                    # print("v", v)
                updates = np.float32(updates)

            # save and log
            # print("updates: ", updates)
            buf.store(o, a, r, v, updates, logp)
            # buf.store(o, a, r, v, logp)
            logger.store(VVals=v)

            # Update obs (critical!)
            o = next_o

            timeout = ep_len == max_ep_len
            terminal = d or timeout
            epoch_ended = t==local_steps_per_epoch-1

            if terminal or epoch_ended:
                if epoch_ended and not(terminal):
                    print('Warning: trajectory cut off by epoch at %d steps.'%ep_len, flush=True)
                # if trajectory didn't reach terminal state, bootstrap value target
                if timeout or epoch_ended:
                    _, v, _ = ac.step(torch.as_tensor(o, dtype=torch.float32))
                else:
                    v = 0
                buf.finish_path(v)
                if terminal:
                    # only save EpRet / EpLen if trajectory finished
                    logger.store(EpRet=ep_ret, EpLen=ep_len)
                o, ep_ret, ep_len = env.reset(), 0, 0

        if bad_trajectory_num > 0:
            lam_delta = lam_delta / bad_trajectory_num
        if trajectory_num > 0:
            nu_delta = nu_delta / trajectory_num
        nu = nu_delta * nu_delay



        # Save model
        if (epoch % save_freq == 0) or (epoch == epochs-1):
            logger.save_state({'env': env}, None)

        # Perform PPO update!
        update()

        # Log info about epoch
        logger.log_tabular('Epoch', epoch)
        logger.log_tabular('EpRet', with_min_and_max=True)
        logger.log_tabular('EpLen', average_only=True)
        logger.log_tabular('VVals', with_min_and_max=True)
        logger.log_tabular('TotalEnvInteracts', (epoch+1)*steps_per_epoch)
        logger.log_tabular('LossPi', average_only=True)
        logger.log_tabular('LossV', average_only=True)
        logger.log_tabular('DeltaLossPi', average_only=True)
        logger.log_tabular('DeltaLossV', average_only=True)
        logger.log_tabular('Entropy', average_only=True)
        logger.log_tabular('KL', average_only=True)
        logger.log_tabular('ClipFrac', average_only=True)
        logger.log_tabular('StopIter', average_only=True)
        logger.log_tabular('Time', time.time()-start_time)
        logger.dump_tabular()

        print("-" * 37)
        print("bad_trajectory_num:", bad_trajectory_num)
        print("update num:", update_num)
        print("nu:", nu)
        print("lam:", cvarlam)
        print("-" * 37, flush=True)
    return ac


#####################################################################



import argparse
parser = argparse.ArgumentParser()
parser.add_argument('--env', type=str, default=env_train) #'HalfCheetah-v2')
parser.add_argument('--hid', type=int, default=512)
parser.add_argument('--l', type=int, default=2)
parser.add_argument('--seed', '-s', type=int, default=0)
parser.add_argument('--cpu', type=int, default=4)
parser.add_argument('--exp_name', type=str, default='cppo')


parser.add_argument('-f', '--file', type=str, help='Kernel connection file')  # Add this line
parser.add_argument('extra_args', nargs=argparse.REMAINDER)  # Catch-all for unrecognized arguments


args = parser.parse_args()

#    mpi_fork(args.cpu)  # run parallel code with mpi

from spinup.utils.run_utils import setup_logger_kwargs
logger_kwargs = setup_logger_kwargs(args.exp_name, args.seed)

trained_cppo=cppo(lambda : args.env, actor_critic=MLPActorCritic,
        ac_kwargs=dict(hidden_sizes=[args.hid]*args.l), 
        seed=args.seed, logger_kwargs=logger_kwargs)


# Save the model
model_path = TRAINED_MODEL_DIR + "/agent_cppo_deepseek_100_epochs_20k_01.pth"
torch.save(trained_cppo.state_dict(), model_path)
print("Training finished and saved in " + model_path)

# Trained agents should have already been saved in the "trained_models" drectory after you run the code blocks above.
# 
# For Colab users, the zip files should be at "./trained_models" or "/content/trained_models".
# 
# For users running on your local environment, the zip files should be at "./trained_models".