{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Optimizing SMACross Trading with MultiModal Agent"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"In the `agent_trade_strategist` demo. We explored an agent that could write trading strategy. But optimizing the strategy can be a hard problem, as the analysis it could do is really limited. Thus it would be crucial for us to turn on its vision swicth !\n",
"\n",
"In this demo, we introduce a multimodal agent to leverage the current strategy, and adjust parameters accordingly."
]
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
"import autogen\n",
"from autogen import AssistantAgent, UserProxyAgent\n",
"from autogen.agentchat.contrib.multimodal_conversable_agent import MultimodalConversableAgent\n",
"from autogen.cache import Cache\n",
"from textwrap import dedent"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"config_list_4v = autogen.config_list_from_json(\n",
" \"../OAI_CONFIG_LIST\",\n",
" filter_dict={\n",
" \"model\": [\"gpt-4-1106-vision-preview\"],\n",
" },\n",
")\n",
"config_list = autogen.config_list_from_json(\n",
" \"../OAI_CONFIG_LIST\",\n",
" filter_dict={\n",
" \"model\": [\"gpt-4-0125-preview\"],\n",
" },\n",
")\n",
"llm_config_4v = {\"config_list\": config_list_4v, \"temperature\": 0.0}\n",
"llm_config = {\"config_list\": config_list, \"temperature\": 0.0}"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"For this task, we need:\n",
"- A normal llm agent as image provider: Call charting functions / provide backtesting result charts for multimodal agent\n",
"- A multimodal agent as strategist: Inspect charts and determine parameters to use for strategy\n",
"- A user proxy to execute python functions and control the conversations."
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
"from finrobot.toolkits import register_toolkits\n",
"from finrobot.functional.charting import MplFinanceUtils\n",
"from finrobot.functional.quantitative import BackTraderUtils\n",
"from finrobot.functional.coding import IPythonUtils\n",
"\n",
"\n",
"strategist = MultimodalConversableAgent(\n",
" name=\"Trade_Strategist\",\n",
" system_message=dedent(\n",
" \"\"\"\n",
" You are a trading strategist who inspect financial charts and optimize trading strategies.\n",
" You have been tasked with developing a Simple Moving Average (SMA) Crossover strategy.\n",
" You have the following main actions to take:\n",
" 1. Ask the backtesting analyst to plot historical stock price data with designated ma parameters.\n",
" 2. Inspect the stock price chart and determine fast/slow parameters.\n",
" 3. Ask the backtesting analyst to backtest the SMACrossover trading strategy with designated parameters to evaluate its performance. \n",
" 4. Inspect the backtest result and optimize the fast/slow parameters based on the returned results.\n",
" Reply TERMINATE when you think the strategy is good enough.\n",
" \"\"\"\n",
" ),\n",
" llm_config=llm_config_4v,\n",
")\n",
"\n",
"analyst = AssistantAgent(\n",
" name=\"Backtesting_Analyst\",\n",
" system_message=dedent(\n",
" \"\"\"\n",
" You are a backtesting analyst with a strong command of quantitative analysis tools. \n",
" You have two main tasks to perform, choose one each time you are asked by the trading strategist:\n",
" 1. Plot historical stock price data with designated ma parameters according to the trading strategist's need.\n",
" 2. Backtest the SMACross trading strategy with designated parameters and save the results as image file.\n",
" For both tasks, after the tool calling, you should do as follows:\n",
" 1. display the created & saved image file using the `display_image` tool;\n",
" 2. Assume the saved image file is \"test.png\", reply as follows: \"Optimize the fast/slow parameters based on this image . TERMINATE\".\n",
" \"\"\"\n",
" ),\n",
" llm_config=llm_config,\n",
")\n",
"analyst_executor = UserProxyAgent(\n",
" name=\"Backtesting_Analyst_Executor\",\n",
" human_input_mode=\"NEVER\",\n",
" is_termination_msg=lambda x: x.get(\"content\", \"\")\n",
" and x.get(\"content\", \"\").find(\"TERMINATE\") >= 0,\n",
" code_execution_config={\n",
" \"last_n_messages\": 1,\n",
" \"work_dir\": \"coding\",\n",
" \"use_docker\": False,\n",
" }, # Please set use_docker=True if docker is available to run the generated code. Using docker is safer than running the generated code directly.\n",
")\n",
"register_toolkits(\n",
" [\n",
" BackTraderUtils.back_test,\n",
" MplFinanceUtils.plot_stock_price_chart,\n",
" IPythonUtils.display_image,\n",
" ],\n",
" analyst,\n",
" analyst_executor,\n",
")"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {},
"outputs": [],
"source": [
"def reflection_message_analyst(recipient, messages, sender, config):\n",
" print(\"Reflecting strategist's response ...\")\n",
" last_msg = recipient.chat_messages_for_summary(sender)[-1][\"content\"]\n",
" return (\n",
" \"Message from Trade Strategist is as follows:\"\n",
" + last_msg\n",
" + \"\\n\\nBased on his information, conduct a backtest on the specified stock and strategy, and report your backtesting results back to the strategist.\"\n",
" )\n",
"\n",
"\n",
"user_proxy = UserProxyAgent(\n",
" name=\"User_Proxy\",\n",
" is_termination_msg=lambda x: x.get(\"content\", \"\")\n",
" and x.get(\"content\", \"\").endswith(\"TERMINATE\"),\n",
" human_input_mode=\"NEVER\",\n",
" max_consecutive_auto_reply=10,\n",
" code_execution_config={\n",
" \"last_n_messages\": 1,\n",
" \"work_dir\": \"coding\",\n",
" \"use_docker\": False,\n",
" }, # User Proxy dont need to execute code here\n",
")\n",
"\n",
"user_proxy.register_nested_chats(\n",
" [\n",
" {\n",
" \"sender\": analyst_executor,\n",
" \"recipient\": analyst,\n",
" \"message\": reflection_message_analyst,\n",
" \"max_turns\": 10,\n",
" \"summary_method\": \"last_msg\",\n",
" }\n",
" ],\n",
" trigger=strategist,\n",
")"
]
},
{
"cell_type": "code",
"execution_count": 12,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"\u001b[33mUser_Proxy\u001b[0m (to Trade_Strategist):\n",
"\n",
"\n",
"Based on Microsoft's stock data from 2022-01-01 to 2024-01-01, determine the possible optimal parameters for an SMACrossover Strategy over this period. \n",
"First, ask the analyst to plot a candlestick chart of the stock price data to visually inspect the price movements and make an initial assessment.\n",
"Then, ask the analyst to backtest the strategy parameters using the backtesting tool, and report results back for further optimization.\n",
"\n",
"\n",
"--------------------------------------------------------------------------------\n",
"\u001b[31m\n",
">>>>>>>> USING AUTO REPLY...\u001b[0m\n",
"\u001b[33mTrade_Strategist\u001b[0m (to User_Proxy):\n",
"\n",
"Certainly, let's start by getting a visual on the stock price movements.\n",
"\n",
"1. Please plot a candlestick chart of Microsoft's stock price data from 2022-01-01 to 2024-01-01. Include a 50-day and a 200-day Simple Moving Average on the chart for initial assessment.\n",
"\n",
"--------------------------------------------------------------------------------\n",
"Reflecting strategist's response ...\n",
"\u001b[34m\n",
"********************************************************************************\u001b[0m\n",
"\u001b[34mStarting a new chat....\u001b[0m\n",
"\u001b[34m\n",
"********************************************************************************\u001b[0m\n",
"\u001b[33mBacktesting_Analyst_Executor\u001b[0m (to Backtesting_Analyst):\n",
"\n",
"Message from Trade Strategist is as follows:Certainly, let's start by getting a visual on the stock price movements.\n",
"\n",
"1. Please plot a candlestick chart of Microsoft's stock price data from 2022-01-01 to 2024-01-01. Include a 50-day and a 200-day Simple Moving Average on the chart for initial assessment.\n",
"\n",
"Based on his information, conduct a backtest on the specified stock and strategy, and report your backtesting results back to the strategist.\n",
"\n",
"--------------------------------------------------------------------------------\n",
"\u001b[33mBacktesting_Analyst\u001b[0m (to Backtesting_Analyst_Executor):\n",
"\n",
"\u001b[32m***** Suggested tool call (call_CgHll9hsFHau3D7dGfFSyV26): plot_stock_price_chart *****\u001b[0m\n",
"Arguments: \n",
"{\"end_date\":\"2024-01-01\",\"mav\":[50,200],\"save_path\":\"microsoft_stock_price_chart.png\",\"start_date\":\"2022-01-01\",\"style\":\"default\",\"ticker_symbol\":\"MSFT\",\"type\":\"candle\"}\n",
"\u001b[32m***************************************************************************************\u001b[0m\n",
"\n",
"--------------------------------------------------------------------------------\n",
"\u001b[35m\n",
">>>>>>>> EXECUTING FUNCTION plot_stock_price_chart...\u001b[0m\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"[*********************100%%**********************] 1 of 1 completed\n"
]
},
{
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Matplotlib will then trigger a resize in the client,\n // which will in turn request a refresh of the image.\n this.send_message('resize', { width: x_pixels, height: y_pixels });\n};\n\nmpl.figure.prototype.send_message = function (type, properties) {\n properties['type'] = type;\n properties['figure_id'] = this.id;\n this.ws.send(JSON.stringify(properties));\n};\n\nmpl.figure.prototype.send_draw_message = function () {\n if (!this.waiting) {\n this.waiting = true;\n this.ws.send(JSON.stringify({ type: 'draw', figure_id: this.id }));\n }\n};\n\nmpl.figure.prototype.handle_save = function (fig, _msg) {\n var format_dropdown = fig.format_dropdown;\n var format = format_dropdown.options[format_dropdown.selectedIndex].value;\n fig.ondownload(fig, format);\n};\n\nmpl.figure.prototype.handle_resize = function (fig, msg) {\n var size = msg['size'];\n if (size[0] !== fig.canvas.width || size[1] !== fig.canvas.height) {\n fig._resize_canvas(size[0], size[1], msg['forward']);\n fig.send_message('refresh', {});\n }\n};\n\nmpl.figure.prototype.handle_rubberband = function (fig, msg) {\n var x0 = msg['x0'] / fig.ratio;\n var y0 = (fig.canvas.height - msg['y0']) / fig.ratio;\n var x1 = msg['x1'] / fig.ratio;\n var y1 = (fig.canvas.height - msg['y1']) / fig.ratio;\n x0 = Math.floor(x0) + 0.5;\n y0 = Math.floor(y0) + 0.5;\n x1 = Math.floor(x1) + 0.5;\n y1 = Math.floor(y1) + 0.5;\n var min_x = Math.min(x0, x1);\n var min_y = Math.min(y0, y1);\n var width = Math.abs(x1 - x0);\n var height = Math.abs(y1 - y0);\n\n fig.rubberband_context.clearRect(\n 0,\n 0,\n fig.canvas.width / fig.ratio,\n fig.canvas.height / fig.ratio\n );\n\n fig.rubberband_context.strokeRect(min_x, min_y, width, height);\n};\n\nmpl.figure.prototype.handle_figure_label = function (fig, msg) {\n // Updates the figure title.\n fig.header.textContent = msg['label'];\n};\n\nmpl.figure.prototype.handle_cursor = function (fig, msg) {\n fig.canvas_div.style.cursor = msg['cursor'];\n};\n\nmpl.figure.prototype.handle_message = function (fig, msg) {\n fig.message.textContent = msg['message'];\n};\n\nmpl.figure.prototype.handle_draw = function (fig, _msg) {\n // Request the server to send over a new figure.\n fig.send_draw_message();\n};\n\nmpl.figure.prototype.handle_image_mode = function (fig, msg) {\n fig.image_mode = msg['mode'];\n};\n\nmpl.figure.prototype.handle_history_buttons = function (fig, msg) {\n for (var key in msg) {\n if (!(key in fig.buttons)) {\n continue;\n }\n fig.buttons[key].disabled = !msg[key];\n fig.buttons[key].setAttribute('aria-disabled', !msg[key]);\n }\n};\n\nmpl.figure.prototype.handle_navigate_mode = function (fig, msg) {\n if (msg['mode'] === 'PAN') {\n fig.buttons['Pan'].classList.add('active');\n fig.buttons['Zoom'].classList.remove('active');\n } else if (msg['mode'] === 'ZOOM') {\n fig.buttons['Pan'].classList.remove('active');\n fig.buttons['Zoom'].classList.add('active');\n } else {\n fig.buttons['Pan'].classList.remove('active');\n fig.buttons['Zoom'].classList.remove('active');\n }\n};\n\nmpl.figure.prototype.updated_canvas_event = function () {\n // Called whenever the canvas gets updated.\n this.send_message('ack', {});\n};\n\n// A function to construct a web socket function for onmessage handling.\n// Called in the figure constructor.\nmpl.figure.prototype._make_on_message_function = function (fig) {\n return function socket_on_message(evt) {\n if (evt.data instanceof Blob) {\n var img = evt.data;\n if (img.type !== 'image/png') {\n /* FIXME: We get \"Resource interpreted as Image but\n * transferred with MIME type text/plain:\" errors on\n * Chrome. But how to set the MIME type? It doesn't seem\n * to be part of the websocket stream */\n img.type = 'image/png';\n }\n\n /* Free the memory for the previous frames */\n if (fig.imageObj.src) {\n (window.URL || window.webkitURL).revokeObjectURL(\n fig.imageObj.src\n );\n }\n\n fig.imageObj.src = (window.URL || window.webkitURL).createObjectURL(\n img\n );\n fig.updated_canvas_event();\n fig.waiting = false;\n return;\n } else if (\n typeof evt.data === 'string' &&\n evt.data.slice(0, 21) === 'data:image/png;base64'\n ) {\n fig.imageObj.src = evt.data;\n fig.updated_canvas_event();\n fig.waiting = false;\n return;\n }\n\n var msg = JSON.parse(evt.data);\n var msg_type = msg['type'];\n\n // Call the \"handle_{type}\" callback, which takes\n // the figure and JSON message as its only arguments.\n try {\n var callback = fig['handle_' + msg_type];\n } catch (e) {\n console.log(\n \"No handler for the '\" + msg_type + \"' message type: \",\n msg\n );\n return;\n }\n\n if (callback) {\n try {\n // console.log(\"Handling '\" + msg_type + \"' message: \", msg);\n callback(fig, msg);\n } catch (e) {\n console.log(\n \"Exception inside the 'handler_\" + msg_type + \"' callback:\",\n e,\n e.stack,\n msg\n );\n }\n }\n };\n};\n\nfunction getModifiers(event) {\n var mods = [];\n if (event.ctrlKey) {\n mods.push('ctrl');\n }\n if (event.altKey) {\n mods.push('alt');\n }\n if (event.shiftKey) {\n mods.push('shift');\n }\n if (event.metaKey) {\n mods.push('meta');\n }\n return mods;\n}\n\n/*\n * return a copy of an object with only non-object keys\n * we need this to avoid circular references\n * https://stackoverflow.com/a/24161582/3208463\n */\nfunction simpleKeys(original) {\n return Object.keys(original).reduce(function (obj, key) {\n if (typeof original[key] !== 'object') {\n obj[key] = original[key];\n }\n return obj;\n }, {});\n}\n\nmpl.figure.prototype.mouse_event = function (event, name) {\n if (name === 'button_press') {\n this.canvas.focus();\n this.canvas_div.focus();\n }\n\n // from https://stackoverflow.com/q/1114465\n var boundingRect = this.canvas.getBoundingClientRect();\n var x = (event.clientX - boundingRect.left) * this.ratio;\n var y = (event.clientY - boundingRect.top) * this.ratio;\n\n this.send_message(name, {\n x: x,\n y: y,\n button: event.button,\n step: event.step,\n modifiers: getModifiers(event),\n guiEvent: simpleKeys(event),\n });\n\n return false;\n};\n\nmpl.figure.prototype._key_event_extra = function (_event, _name) {\n // Handle any extra behaviour associated with a key event\n};\n\nmpl.figure.prototype.key_event = function (event, name) {\n // Prevent repeat events\n if (name === 'key_press') {\n if (event.key === this._key) {\n return;\n } else {\n this._key = event.key;\n }\n }\n if (name === 'key_release') {\n this._key = null;\n }\n\n var value = '';\n if (event.ctrlKey && event.key !== 'Control') {\n value += 'ctrl+';\n }\n else if (event.altKey && event.key !== 'Alt') {\n value += 'alt+';\n }\n else if (event.shiftKey && event.key !== 'Shift') {\n value += 'shift+';\n }\n\n value += 'k' + event.key;\n\n this._key_event_extra(event, name);\n\n this.send_message(name, { key: value, guiEvent: simpleKeys(event) });\n return false;\n};\n\nmpl.figure.prototype.toolbar_button_onclick = function (name) {\n if (name === 'download') {\n this.handle_save(this, null);\n } else {\n this.send_message('toolbar_button', { name: name });\n }\n};\n\nmpl.figure.prototype.toolbar_button_onmouseover = function (tooltip) {\n this.message.textContent = tooltip;\n};\n\n///////////////// REMAINING CONTENT GENERATED BY embed_js.py /////////////////\n// prettier-ignore\nvar _JSXTOOLS_RESIZE_OBSERVER=function(A){var t,i=new WeakMap,n=new WeakMap,a=new WeakMap,r=new WeakMap,o=new Set;function s(e){if(!(this instanceof s))throw new TypeError(\"Constructor requires 'new' operator\");i.set(this,e)}function h(){throw new TypeError(\"Function is not a constructor\")}function c(e,t,i,n){e=0 in arguments?Number(arguments[0]):0,t=1 in arguments?Number(arguments[1]):0,i=2 in arguments?Number(arguments[2]):0,n=3 in arguments?Number(arguments[3]):0,this.right=(this.x=this.left=e)+(this.width=i),this.bottom=(this.y=this.top=t)+(this.height=n),Object.freeze(this)}function d(){t=requestAnimationFrame(d);var s=new WeakMap,p=new Set;o.forEach((function(t){r.get(t).forEach((function(i){var r=t instanceof window.SVGElement,o=a.get(t),d=r?0:parseFloat(o.paddingTop),f=r?0:parseFloat(o.paddingRight),l=r?0:parseFloat(o.paddingBottom),u=r?0:parseFloat(o.paddingLeft),g=r?0:parseFloat(o.borderTopWidth),m=r?0:parseFloat(o.borderRightWidth),w=r?0:parseFloat(o.borderBottomWidth),b=u+f,F=d+l,v=(r?0:parseFloat(o.borderLeftWidth))+m,W=g+w,y=r?0:t.offsetHeight-W-t.clientHeight,E=r?0:t.offsetWidth-v-t.clientWidth,R=b+v,z=F+W,M=r?t.width:parseFloat(o.width)-R-E,O=r?t.height:parseFloat(o.height)-z-y;if(n.has(t)){var k=n.get(t);if(k[0]===M&&k[1]===O)return}n.set(t,[M,O]);var S=Object.create(h.prototype);S.target=t,S.contentRect=new c(u,d,M,O),s.has(i)||(s.set(i,[]),p.add(i)),s.get(i).push(S)}))})),p.forEach((function(e){i.get(e).call(e,s.get(e),e)}))}return s.prototype.observe=function(i){if(i instanceof window.Element){r.has(i)||(r.set(i,new Set),o.add(i),a.set(i,window.getComputedStyle(i)));var n=r.get(i);n.has(this)||n.add(this),cancelAnimationFrame(t),t=requestAnimationFrame(d)}},s.prototype.unobserve=function(i){if(i instanceof window.Element&&r.has(i)){var n=r.get(i);n.has(this)&&(n.delete(this),n.size||(r.delete(i),o.delete(i))),n.size||r.delete(i),o.size||cancelAnimationFrame(t)}},A.DOMRectReadOnly=c,A.ResizeObserver=s,A.ResizeObserverEntry=h,A}; // eslint-disable-line\nmpl.toolbar_items = [[\"Home\", \"Reset original view\", \"fa fa-home\", \"home\"], [\"Back\", \"Back to previous view\", \"fa fa-arrow-left\", \"back\"], [\"Forward\", \"Forward to next view\", \"fa fa-arrow-right\", \"forward\"], [\"\", \"\", \"\", \"\"], [\"Pan\", \"Left button pans, Right button zooms\\nx/y fixes axis, CTRL fixes aspect\", \"fa fa-arrows\", \"pan\"], [\"Zoom\", \"Zoom to rectangle\\nx/y fixes axis\", \"fa fa-square-o\", \"zoom\"], [\"\", \"\", \"\", \"\"], [\"Download\", \"Download plot\", \"fa fa-floppy-o\", \"download\"]];\n\nmpl.extensions = [\"eps\", \"jpeg\", \"pgf\", \"pdf\", \"png\", \"ps\", \"raw\", \"svg\", \"tif\", \"webp\"];\n\nmpl.default_extension = \"png\";/* global mpl */\n\nvar comm_websocket_adapter = function (comm) {\n // Create a \"websocket\"-like object which calls the given IPython comm\n // object with the appropriate methods. Currently this is a non binary\n // socket, so there is still some room for performance tuning.\n var ws = {};\n\n ws.binaryType = comm.kernel.ws.binaryType;\n ws.readyState = comm.kernel.ws.readyState;\n function updateReadyState(_event) {\n if (comm.kernel.ws) {\n ws.readyState = comm.kernel.ws.readyState;\n } else {\n ws.readyState = 3; // Closed state.\n }\n }\n comm.kernel.ws.addEventListener('open', updateReadyState);\n comm.kernel.ws.addEventListener('close', updateReadyState);\n comm.kernel.ws.addEventListener('error', updateReadyState);\n\n ws.close = function () {\n comm.close();\n };\n ws.send = function (m) {\n //console.log('sending', m);\n comm.send(m);\n };\n // Register the callback with on_msg.\n comm.on_msg(function (msg) {\n //console.log('receiving', msg['content']['data'], msg);\n var data = msg['content']['data'];\n if (data['blob'] !== undefined) {\n data = {\n data: new Blob(msg['buffers'], { type: data['blob'] }),\n };\n }\n // Pass the mpl event to the overridden (by mpl) onmessage function.\n ws.onmessage(data);\n });\n return ws;\n};\n\nmpl.mpl_figure_comm = function (comm, msg) {\n // This is the function which gets called when the mpl process\n // starts-up an IPython Comm through the \"matplotlib\" channel.\n\n var id = msg.content.data.id;\n // Get hold of the div created by the display call when the Comm\n // socket was opened in Python.\n var element = document.getElementById(id);\n var ws_proxy = comm_websocket_adapter(comm);\n\n function ondownload(figure, _format) {\n window.open(figure.canvas.toDataURL());\n }\n\n var fig = new mpl.figure(id, ws_proxy, ondownload, element);\n\n // Call onopen now - mpl needs it, as it is assuming we've passed it a real\n // web socket which is closed, not our websocket->open comm proxy.\n ws_proxy.onopen();\n\n fig.parent_element = element;\n fig.cell_info = mpl.find_output_cell(\"