{"id":1798,"date":"2025-01-16T07:54:00","date_gmt":"2025-01-15T23:54:00","guid":{"rendered":"https:\/\/blog.laoyulaoyu.top\/?p=1798"},"modified":"2024-12-22T12:02:05","modified_gmt":"2024-12-22T04:02:05","slug":"%e5%be%ae%e8%bd%af%e5%88%9a%e5%88%9a%e5%bc%80%e6%ba%90%e4%ba%86mars%ef%bc%9a%e9%87%91%e8%9e%8d%e5%b8%82%e5%9c%ba%e9%a2%84%e6%b5%8b%e7%9a%84%e6%96%b0%e9%87%8c%e7%a8%8b%e7%a2%91","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2025\/01\/16\/%e5%be%ae%e8%bd%af%e5%88%9a%e5%88%9a%e5%bc%80%e6%ba%90%e4%ba%86mars%ef%bc%9a%e9%87%91%e8%9e%8d%e5%b8%82%e5%9c%ba%e9%a2%84%e6%b5%8b%e7%9a%84%e6%96%b0%e9%87%8c%e7%a8%8b%e7%a2%91\/","title":{"rendered":"\u5fae\u8f6f\u521a\u521a\u5f00\u6e90\u4e86MarS\uff1a\u91d1\u878d\u5e02\u573a\u9884\u6d4b\u7684\u65b0\u91cc\u7a0b\u7891"},"content":{"rendered":"\n

\u4f5c\u8005\uff1a\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n

\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n
\n
\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u5404\u4f4d\u8bfb\u8005\u670b\u53cb\u4eec\uff0c\u4eca\u5929\u6211\u8981\u4ecb\u7ecd\u7684\u662f\u5fae\u8f6f\u6700\u65b0\u5f00\u6e90\u7684\u91d1\u878d\u5e02\u573a\u9884\u6d4b\u6a21\u578b\u2014\u2014MarS\u3002<\/mark>\u8fd9\u6b3e\u6a21\u578b\u5229\u7528\u771f\u5b9e\u5386\u53f2\u8ba2\u5355\u6570\u636e\u8bad\u7ec3\uff0c\u80fd\u6a21\u62df\u51fa\u6781\u4e3a\u903c\u771f\u7684\u91d1\u878d\u5e02\u573a\u73af\u5883\u3002\u4e0d\u4ec5\u9884\u6d4b\u51c6\u786e\u7387\u8fdc\u8d85\u4f20\u7edf\u6a21\u578b\uff0c\u8fd8\u80fd\u8ba9\u7528\u6237\u81ea\u5b9a\u4e49\u573a\u666f\u6d4b\u8bd5\u4ea4\u6613\u7b56\u7565\u3002\u65e0\u8bba\u4f60\u662f\u91d1\u878d\u4ece\u4e1a\u8005\u8fd8\u662f\u5bf9\u5e02\u573a\u8d8b\u52bf\u611f\u5174\u8da3\u7684\u670b\u53cb\uff0c\u8fd9\u4e2a\u9879\u76ee\u90fd\u5c06\u4e3a\u4f60\u5e26\u6765\u5168\u65b0\u7684\u89c6\u89d2\u548c\u542f\u53d1\u3002<\/pre>\n<\/blockquote>\n\n\n\n
\u4e00\u3001\u4ec0\u4e48\u662fMarS<\/strong><\/h2>\n\n\n\n
MarS\uff08Market Simulation\uff09<\/strong>\u662f\u5fae\u8f6f\u7814\u7a76\u9662\u5f00\u53d1\u7684\u4e00\u6b3e\u91d1\u878d\u5e02\u573a\u6a21\u62df\u5f15\u64ce\uff0c\u7531\u751f\u6210\u5f0f\u5927\u578b\u5e02\u573a\u6a21\u578b\uff08Large Market Model, LMM\uff09\u63d0\u4f9b\u652f\u6301\u3002\u5728\u5e02\u573a\u8d8b\u52bf\u9884\u6d4b\u65b9\u9762\uff0cMarS\u7684\u8868\u73b0\u660e\u663e\u4f18\u4e8e\u4f20\u7edf\u7684\u76f4\u63a5\u9884\u6d4b\u6a21\u578b\uff0c\u5145\u5206\u5c55\u73b0\u4e86\u5176\u5bf9\u5e02\u573a\u52a8\u6001\u7684\u6df1\u5165\u6d1e\u5bdf\u3002\u5728\u9884\u6d4b\u51c6\u786e\u7387\u65b9\u9762\uff0cMarS\u76f8\u8f83\u4e8e\u4f20\u7edf\u6a21\u578b\uff08\u4f8b\u5982DeepLOB\uff09\u5177\u6709\u660e\u663e\u4f18\u52bf\u3002\u89c6\u9891\u4ecb\u7ecd\u5982\u4e0b\uff1a<\/p>\n\n\n\n
\u4e8c\u3001\u603b\u4f53\u67b6\u6784<\/strong><\/h2>\n\n\n\n
\u603b\u4f53\u67b6\u6784\u8bbe\u8ba1\u5982\u4e0b\u56fe\uff1a<\/p>\n\n\n\n
\"\"<\/figure>\n\n\n\n
Env <\/strong>\u662f\u4e00\u4e2a\u7c7b\u4f3cgym<\/a>\u7684\u63a5\u53e3\u3002\u4e0b\u9762\u662f\u5982\u4f55\u4f7f\u7528 env \u548c\u566a\u58f0\u4ee3\u7406\u751f\u6210\u8ba2\u5355\u7684\u793a\u4f8b\uff1a<\/p>\n\n\n\n
agent = NoiseAgent(
symbol=symbol,
init_price=100000,
interval_seconds=1,
start_time=start_time,
end_time=end_time,
)
env = Env(exchange, description=\"Noise agent simulation\")
env.register_agent(agent)
env.push_events(create_exchange_events(config))
for observation in env.env():
action = observation.agent.get_action(observation)
env.step(action)<\/code><\/pre>\n\n\n\n
States <\/strong>\u4f1a\u968f\u7740\u6bcf\u7b14\u4ea4\u6613\u4fe1\u606f\u81ea\u52a8\u66f4\u65b0\uff0c\u5305\u62ec\u8ba2\u5355\u3001\u4ea4\u6613\u548c\u8ba2\u5355\u7c3f\u5feb\u7167\uff0c\u5373\u4f7f\u5728\u652f\u6301\u5ef6\u8fdf\u72b6\u6001\u7684\u73af\u5883\u4e2d\uff0c\u72b6\u6001\u5728\u5176\u751f\u547d\u5468\u671f\u5185\u4e5f\u7531\u4ee3\u7406\u548c\u96f6\u62f7\u8d1d\u5171\u4eab\u3002\u521b\u5efa\u65b0\u72b6\u6001\u975e\u5e38\u7b80\u5355\u3002\u4ee5\u4e0b\u662f\u521b\u5efa\u5305\u542b\u6240\u6709\u4ea4\u6613\u7684\u72b6\u6001\u7684\u793a\u4f8b\uff1a<\/p>\n\n\n\n
class TransState(State):\n    def __init__(self) -> None:\n        super().__init__()\n        self.transactons: List[Transaction] = []\n\n    def on_trading(self, trade_info: TradeInfo):\n        super().on_trading(trade_info)\n        self.transactons.extend(trade_info.transactions)\n\n    def on_open(self, cancel_transactions: List[Transaction], lob_snapshot: LobSnapshot, match_trans: Optional[Transaction] = None):\n        super().on_open(cancel_transactions=cancel_transactions, lob_snapshot=lob_snapshot, match_trans=match_trans)\n        self.transactons.extend(cancel_transactions)\n        if match_trans:\n            self.transactons.append(match_trans)\n\n    def on_close(self, close_orderbook: Orderbook, lob_snapshot: LobSnapshot, match_trans: Optional[Transaction] = None):\n        super().on_close(match_trans=match_trans, close_orderbook=close_orderbook, lob_snapshot=lob_snapshot)\n        if match_trans:\n            self.transactons.append(match_trans)<\/code><\/pre>\n\n\n\n
\u4e09\u3001\u4e3b\u8981\u529f\u80fd<\/strong><\/h2>\n\n\n\n
MarS\u7684\u529f\u80fd\u5e94\u7528\u8303\u56f4\u5e7f\u6cdb\uff0c\u6db5\u76d6\u4e86\u5e02\u573a\u8d8b\u52bf\u9884\u6d4b\u3001\u5f02\u5e38\u68c0\u6d4b\u7cfb\u7edf\u3001\u5e02\u573a\u5f71\u54cd\u5206\u6790\u4ee5\u53ca\u4f5c\u4e3a\u5f3a\u5316\u5b66\u4e60\u73af\u5883<\/strong>\u7b49\u591a\u4e2a\u9886\u57df\u3002<\/p>\n\n\n\n
2.1 \u5e02\u573a\u6a21\u62df<\/strong><\/h3>\n\n\n\n
MarS\u80fd\u591f\u751f\u6210\u4e0e\u771f\u5b9e\u5e02\u573a\u76f8\u4f3c\u7684\u8ba2\u5355\u5e8f\u5217\uff0c\u5e2e\u52a9\u7528\u6237\u8fdb\u884c\u5e02\u573a\u8d8b\u52bf\u9884\u6d4b\u548c\u5f02\u5e38\u68c0\u6d4b\u3002<\/p>\n\n\n\n
\u7cbe\u7ec6\u5316\u5e02\u573a\u52a8\u6001\u5efa\u6a21<\/strong>\uff1a<\/p>\n\n\n\n