intelligent-trading-bot/scripts/train.py

from pathlib import Path
from datetime import datetime, timezone, timedelta
import click
from tqdm import tqdm

import numpy as np
import pandas as pd

from service.App import *
from common.model_store import *
from common.generators import train_feature_set

"""
Train models for all target labels and all algorithms declared in the configuration using the specified features.
"""

@click.command()
@click.option('--config_file', '-c', type=click.Path(), default='', help='Configuration file name')
def main(config_file):
    load_config(config_file)
    config = App.config

    App.model_store = ModelStore(config)
    App.model_store.load_models()

    time_column = config["time_column"]

    now = datetime.now()

    symbol = config["symbol"]
    data_path = Path(config["data_folder"]) / symbol

    # Determine desired data length depending on train/predict mode
    is_train = config.get("train")
    if is_train:
        window_size = config.get("train_length")
        print(f"WARNING: Train mode is specified although this script is intended for prediction and will not train models.")
    else:
        window_size = config.get("predict_length")
    features_horizon = config.get("features_horizon")
    if window_size:
        window_size += features_horizon

    #
    # Load feature matrix
    #
    file_path = data_path / config.get("matrix_file_name")
    if not file_path.is_file():
        print(f"ERROR: Input file does not exist: {file_path}")
        return

    print(f"Loading data from source data file {file_path}...")
    if file_path.suffix == ".parquet":
        df = pd.read_parquet(file_path)
    elif file_path.suffix == ".csv":
        df = pd.read_csv(file_path, parse_dates=[time_column], date_format="ISO8601")
    else:
        print(f"ERROR: Unknown extension of the input file '{file_path.suffix}'. Only 'csv' and 'parquet' are supported")
        return

    print(f"Finished loading {len(df)} records with {len(df.columns)} columns from the source file {file_path}")

    # Select only the data necessary for analysis
    if window_size:
        df = df.tail(window_size)
        df = df.reset_index(drop=True)

    print(f"Input data size {len(df)} records. Range: [{df.iloc[0][time_column]}, {df.iloc[-1][time_column]}]")

    #
    # Prepare data by selecting columns and rows
    #

    # Default (common) values for all trained features
    train_features_all = config.get("train_features")
    labels_all = config["labels"]

    # Select necessary features and labels
    out_columns = [time_column, 'open', 'high', 'low', 'close', 'volume', 'close_time']
    out_columns = [x for x in out_columns if x in df.columns]
    all_features = train_features_all + labels_all
    df = df[out_columns + [x for x in all_features if x not in out_columns]]

    for label in labels_all:
        if np.issubdtype(df[label].dtype, bool):
            df[label] = df[label].astype(int)  # For classification tasks we want to use integers

    label_horizon = config["label_horizon"]  # Labels are generated from future data and hence we might want to explicitly remove some tail rows
    train_length = config.get("train_length")

    # Remove the tail data for which no (correct) labels are available
    # The reason is that these labels are computed from future values which are not available and hence labels might be wrong
    if label_horizon:
        df = df.head(-label_horizon)

    # Limit maximum length for all algorithms (algorithms can further limit their train size)
    if train_length:
        df = df.tail(train_length)

    # Handle NULLs
    df.replace([np.inf, -np.inf], np.nan, inplace=True)
    na_df = df[ df[train_features_all].isna().any(axis=1) ]
    if len(na_df) > 0:
        print(f"WARNING: There exist {len(na_df)} rows with NULLs in some feature columns")

    df = df.reset_index(drop=True)  # To remove gaps in index before use

    #
    # Train feature models
    #
    train_feature_sets = config.get("train_feature_sets", [])
    if not train_feature_sets:
        print(f"ERROR: no train feature sets defined. Nothing to process.")
        return

    print(f"Start training models for {len(df)} input records.")

    models = dict()
    for i, fs in enumerate(train_feature_sets):
        fs_now = datetime.now()
        print(f"Start train feature set {i}/{len(train_feature_sets)}. Generator {fs.get('generator')}...")

        fs_models = train_feature_set(df, fs, config)
        models.update(fs_models)

        fs_elapsed = datetime.now() - fs_now
        print(f"Finished train feature set {i}/{len(train_feature_sets)}. Generator {fs.get('generator')}. Time: {str(fs_elapsed).split('.')[0]}")

    print(f"Finished training models.")

    #
    # Store all collected models in files
    #
    for score_column_name, model_pair in models.items():
        App.model_store.put_model_pair(score_column_name, model_pair)

    print(f"Models stored in path: {App.model_store.model_path.absolute()}")

    #
    # End
    #
    elapsed = datetime.now() - now
    print(f"Finished training models in {str(elapsed).split('.')[0]}")


if __name__ == '__main__':
    main()