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Liquidity provision strategy with reinforcement learning - #28

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sssay10 wants to merge 33 commits into
Logarithm-Labs:devfrom
sssay10:lp_strategy_with_rl
Open

Liquidity provision strategy with reinforcement learning#28
sssay10 wants to merge 33 commits into
Logarithm-Labs:devfrom
sssay10:lp_strategy_with_rl

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@sssay10

@sssay10 sssay10 commented May 12, 2025 •
edited by 0xBoringWozniak
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Code Changelog

  • Added a query to the graph to get hourly aggregations for uniswap v3 data.
  • New fields have been added to the global state and internal state of UniswapV3LPEntity for convenient calculation of impermanent loss, earned fees for the needs of training RL based strategy.
  • Updated the logic for calculating the trading fee in UniswapV3LPEntity. Now the tax is taken only for the transfer of token_1 to token_0. ​​This is less than it was before.
  • Added gymnasium like environment for training RL-agent
  • Added class for calculating various statistics useful for training RL-agent.
  • Added class implementing strategy based on RL.
  • Minor fixes for tests and linters have been made.

Checklist:

  • PR to dev branch
  • Label of PR
  • Review is requested up
  • tests created & runned

0xBoringWozniak and others added 30 commits July 9, 2024 00:03
@0xBoringWozniak
Update loaders module (Logarithm-Labs#6)
3223d3b
@cutient
Minor fixes. AAVE entity update. (Logarithm-Labs#9)
5995e2e 
* Fix Logarithm-Labs#2
* Fix Logarithm-Labs#4
* Fix Logarithm-Labs#5
* Fix Logarithm-Labs#8
* Rename loaders tests due to conflict
* Add test for calculate_repay
* Fix Logarithm-Labs#10
* Fix Lido APR
@0xBoringWozniak
Updated docs. Changed and created release notes.
d4c3e4b
@0xBoringWozniak
Fixed naming issues.
9d7c6fa
@0xBoringWozniak
Merge branch 'main' into dev
78c1953
@LightAllmight
Hyperliquid backtest (Logarithm-Labs#15)
a8d7ab3 
* hyperliquid prices and FR loader
* hyperliquid prices and FR loader
* Hyperliquid loader and tests update
* Fix .idea artifacts
@LightAllmight
Add Hyperliquid Entity (Logarithm-Labs#16)
cd411c6 
* Update Hyperliquid Entities
* minor fixes Hyperliquid Entities
@0xBoringWozniak
Fix Hyperliquid loaders
5bb65e7
@0xBoringWozniak
Fix HL Loaders
c74de21
@0xBoringWozniak
Update test_hyperliquid.py
96fd50a
@0xBoringWozniak
Add HyperliquidBasisStrategy by Logarithm Labs (Logarithm-Labs#18)
d06c3c8
@LightAllmight
Add Hyperliquid ManagedBasisStrategy pipeline (Logarithm-Labs#19)
9aa9726
@0xBoringWozniak
Add Hyperliquid Basis example (Logarithm-Labs#20)
02a4c5b
@0xBoringWozniak
Uniswap v3 reset tau strategy (Logarithm-Labs#17)
aaa9d7a 
* tau strategy initial
* Add tau strategy examples
* Tau Strategy: Add minutes data
* Fix timestamps to UTC
@0xBoringWozniak
Fix base_path both for logger and data loaders
1b4db05
@0xBoringWozniak
Fix logs & data paths
949c580
@0xBoringWozniak
linters refactoring
191405f
@0xBoringWozniak
Update logging in DefaultPipeline
25dbe5d
@0xBoringWozniak
Update tau_reset_strategy.py
888a30c
@0xBoringWozniak
Trader - AI Agent Backtesting pipeline (Logarithm-Labs#22)
0370229 
* Create an example pipeline with AI Agent trader.

* isort formatting

* Linters refactoring

* Update fractal/core/entities/single_spot_exchange.py

Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>

* Update examples/agent_trader/agent_strategy.py

Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>

* Update fractal/core/launcher.py

Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>

---------

Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>
@0xBoringWozniak
loadaers module patch
37f6205 
- set UTC datetime only
- upgrade tests structure
- update imports
@0xBoringWozniak
format imports
d257590
@0xBoringWozniak
pylint fix
bde7534
@0xBoringWozniak
Update setup.py
beaa351
@0xBoringWozniak
Merge branch 'main' into dev
b782fa7
@0xBoringWozniak
Merge branch 'main' into dev
e05e89e
@0xBoringWozniak
Merge branch 'main' into dev
2cac40f
@sssay10
fix uniswapv3 hour data loader, add rl_strategy and notebook with exa…
ae9ae47 
…mple
@sssay10
add notebook with example
6754463
@sssay10
add price statistics, lvr to reward, random start_point
3ded3d1
@0xBoringWozniak
0xBoringWozniak self-requested a review May 13, 2025 17:11
@0xBoringWozniak 0xBoringWozniak added research Notebook / study / strategy write-up under examples/ — research artifact, not framework code. new strategy labels May 13, 2025
@0xBoringWozniak 0xBoringWozniak added area: strategy fractal/strategies/ — BasisTrading, HyperliquidBasis, TauReset. and removed new strategy labels May 1, 2026
@0xBoringWozniak 0xBoringWozniak mentioned this pull request May 1, 2026
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@0xBoringWozniak 0xBoringWozniak Awaiting requested review from 0xBoringWozniak 0xBoringWozniak is a code owner

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area: strategy fractal/strategies/ — BasisTrading, HyperliquidBasis, TauReset. research Notebook / study / strategy write-up under examples/ — research artifact, not framework code.

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@sssay10 @0xBoringWozniak @cutient @LightAllmight