This is a monorepo containing code for training, evaluating, and serving a machine learning model for trading on the Coinbase Pro exchange.
Run
make install-dev
to install the project dependencies.
To build the Scala portion of the project run
make build-scala
This will run the Scala test suite and build a fat jar containing the Scala portion of the project. The jar will be located in the top level of this repo. On the Python side only the proto files need to be built. To do so run
make build-python-protos
There are a few different tests you can run to verify the integrity of your changes (see the Makefile for a complete list). To run the Scala test suite run
make test-scala
To run the Python test suite run
make test-python
You can also run subsets of the Python test suite with the following commands
make test-unit test-mypy test-pylint
Last if you set the appropriate values for the environment variables DB_HOST, POSTGRES_USERNAME, and POSTGRES_PASSWORD you can run
python3 coinbase_ml/train/train.py -u
to execute an end to end test, using the test configs. It should take a minute or two to run.
Continuous control with deep reinforcement learning
DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
An Empirical Evaluation of Generic Convolutional and Recurrent Networks for Sequence Modeling
Human-level control through Deep Reinforcement Learning