kyledufrane / abides-jpmc-public

ABIDES: Agent-Based Interactive Discrete Event Simulation environment

1. About The Project
2. Citing ABIDES
3. Getting Started
   • Installation
4. Usage (regular)
   • Using a Python Script
   • Using the `abides` Command
5. Usage (Gym)
6. Default Available Markets Configurations
7. Contributing
8. License
9. Acknowledgments

About The Project

ABIDES (Agent Based Interactive Discrete Event Simulator) is a general purpose multi-agent discrete event simulator. Agents exclusively communicate through an advanced messaging system that supports latency models.

The project is currently broken down into 3 parts: ABIDES-Core, ABIDES-Markets and ABIDES-Gym.

• ABIDES-Core: Core general purpose simulator that be used as a base to build simulations of various systems.
• ABIDES-Markets: Extension of ABIDES-Core to financial markets. Contains implementation of an exchange mimicking NASDAQ, stylised trading agents and configurations.
• ABIDES-Gym: Extra layer to wrap the simulator into an OpenAI Gym environment for reinforcement learning use. 2 ready to use trading environments available. Possibility to build other financial markets environments easily.

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Citing ABIDES

ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets or use the following BibTeX:

@misc{amrouni2021abidesgym,
      title={ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets}, 
      author={Selim Amrouni and Aymeric Moulin and Jared Vann and Svitlana Vyetrenko and Tucker Balch and Manuela Veloso},
      year={2021},
      eprint={2110.14771},
      archivePrefix={arXiv},
      primaryClass={cs.MA}
}

ABIDES: Towards High-Fidelity Market Simulation for AI Research or by using the following BibTeX:

@misc{byrd2019abides,
      title={ABIDES: Towards High-Fidelity Market Simulation for AI Research}, 
      author={David Byrd and Maria Hybinette and Tucker Hybinette Balch},
      year={2019},
      eprint={1904.12066},
      archivePrefix={arXiv},
      primaryClass={cs.MA}
}

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Getting Started

Installation

1. Download the ABIDES source code, either directly from GitHub or with git:

   git clone https://github.com/jpmorganchase/abides-jpmc-public

   Note: The latest stable version is contained within the main branch.

2. Run the install script to install the ABIDES packages and their dependencies:

   sh install.sh
   

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Usage (regular)

Regular ABIDES simulations can be run either directly in python or through the command line

For more examples, please refer to the Documentation

Using a Python Script:

from abides_markets.configs import rmsc04
from abides_core import abides

config_state = rmsc04.build_config(seed = 0, end_time = '10:00:00')
end_state = abides.run(config_state)

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Using the abides Command:

The config can be loaded and the simulation run using the abides command in the terminal (from directory root):

$ abides abides-markets/abides_markets/configs/rmsc04.py --end_time "10:00:00"

The first argument is a path to a valid ABIDES configuration file.

Any further arguments are optional and can be used to overwrite any parameters in the config file.

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Usage (Gym)

ABIDES can also be run through a Gym interface using ABIDES-Gym environments.

import gym
import abides_gym

env = gym.make(
    "markets-daily_investor-v0",
    background_config="rmsc04",
)

env.seed(0)
initial_state = env.reset()
for i in range(5):
    state, reward, done, info = env.step(0)

Default Available Markets Configurations

ABIDES currently has the following available background Market Simulation Configuration:

• RMSC03: 1 Exchange Agent, 1 POV Market Maker Agent, 100 Value Agents, 25 Momentum Agents, 5000 Noise Agents

• RMSC04: 1 Exchange Agent, 2 Market Maker Agents, 102 Value Agents, 12 Momentum Agents, 1000 Noise Agents

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Contributing

Contributions are what make the open source community such an amazing place to learn, inspire, and create. Any contributions you make are greatly appreciated.

If you have a suggestion that would make this better, please fork the repo and create a pull request. You can also simply open an issue with the tag "enhancement". Don't forget to give the project a star! Thanks again!

TODO: add information about JPMC contribution agreement

1. Fork the Project
2. Create your Feature Branch (git checkout -b feature/AmazingFeature)
3. Commit your Changes (git commit -m 'Add some AmazingFeature')
4. Push to the Branch (git push origin feature/AmazingFeature)
5. Open a Pull Request

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License

Distributed under the BSD 3-Clause "New" or "Revised" License. See LICENSE for more information.

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Acknowledgments

ABIDES was originally developed by David Byrd and Tucker Balch: https://github.com/abides-sim/abides ABIDES is currently developed and maintained by Jared Vann (aka @jaredvann), Selim Amrouni (aka @selimamrouni), and Aymeric Moulin (@AymericCAMoulin). Important Note: We do not do technical support, nor consulting and don't answer personal questions per email.

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