intelligent-trading-bot/common/feature_generation.py

import os
from datetime import datetime, timezone, timedelta
from typing import Union
import json

import numpy as np
import pandas as pd

from common.utils import *
from common.feature_generation_rolling_agg import *

"""
Feature/label generation.
These features are computed using explict transformations.
(True) labels are features computed from future data but stored as properties of the current row (in contrast to normal features which are computed from past data).
(Currently) feature/label generation is not based on (explicit) models - all parameters are hard-coded.
Also, no parameter training is performed.
"""


def generate_features(df,use_differences, base_window, windows, area_windows, last_rows: int = 0):
    """
    Generate derived features by adding them as new columns to the data frame.
    It is important that the same parameters are used for both training and prediction.

    Most features compute rolling aggregation. However, instead of absolute values, the difference
    of this rolling aggregation to the (longer) base rolling aggregation is computed.

    The window sizes are used for encoding feature/column names and might look like 'close_120'
    for average close price for the last 120 minutes (relative to the average base price).
    The column names are needed when preparing data for training or prediction.
    The easiest way to get them is to return from this function and copy and the
    corresponding config attribute.
    """
    features = []
    to_drop = []

    if use_differences:
        df['close'] = to_diff(df['close'])
        df['volume'] = to_diff(df['volume'])
        df['trades'] = to_diff(df['trades'])

    # close rolling mean. format: 'close_<window>'
    weight_column_name = 'volume'  # None: no weighting; 'volume': volume average
    to_drop += add_past_weighted_aggregations(df, 'close', weight_column_name, np.nanmean, base_window, suffix='', last_rows=last_rows)  # Base column
    features += add_past_weighted_aggregations(df, 'close', weight_column_name, np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)

    # close rolling std. format: 'close_std_<window>'
    to_drop += add_past_aggregations(df, 'close', np.nanstd, base_window, last_rows=last_rows)  # Base column
    features += add_past_aggregations(df, 'close', np.nanstd, windows, '_std', to_drop[-1], 100.0, last_rows=last_rows)

    # volume rolling mean. format: 'volume_<window>'
    to_drop += add_past_aggregations(df, 'volume', np.nanmean, base_window, suffix='', last_rows=last_rows)  # Base column
    features += add_past_aggregations(df, 'volume', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)

    # Span: high-low difference. format: 'span_<window>'
    df['span'] = df['high'] - df['low']
    to_drop.append('span')
    to_drop += add_past_aggregations(df, 'span', np.nanmean, base_window, suffix='', last_rows=last_rows)  # Base column
    features += add_past_aggregations(df, 'span', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)

    # Number of trades format: 'trades_<window>'
    to_drop += add_past_aggregations(df, 'trades', np.nanmean, base_window, suffix='', last_rows=last_rows)  # Base column
    features += add_past_aggregations(df, 'trades', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)

    # tb_base_av / volume varies around 0.5 in base currency. format: 'tb_base_<window>>'
    df['tb_base'] = df['tb_base_av'] / df['volume']
    to_drop.append('tb_base')
    to_drop += add_past_aggregations(df, 'tb_base', np.nanmean, base_window, suffix='', last_rows=last_rows)  # Base column
    features += add_past_aggregations(df, 'tb_base', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)

    # UPDATE: do not generate, because very high correction (0.99999) with tb_base
    # tb_quote_av / quote_av varies around 0.5 in quote currency. format: 'tb_quote_<window>>'
    #df['tb_quote'] = df['tb_quote_av'] / df['quote_av']
    #to_drop.append('tb_quote')
    #to_drop += add_past_aggregations(df, 'tb_quote', np.nanmean, base_window, suffix='', last_rows=last_rows)  # Base column
    #features += add_past_aggregations(df, 'tb_quote', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)

    # Area over and under latest close price
    features += add_area_ratio(df, is_future=False, column_name="close", windows=area_windows, suffix = "_area", last_rows=last_rows)

    # Linear trend
    features += add_linear_trends(df, is_future=False, column_name="close", windows=windows, suffix="_trend", last_rows=last_rows)
    features += add_linear_trends(df, is_future=False, column_name="volume", windows=windows, suffix="_trend", last_rows=last_rows)

    df.drop(columns=to_drop, inplace=True)

    return features


def generate_features_futures(df, use_differences=False):
    """
    Generate derived features for futures.
    """
    # Parameters of moving averages
    windows = [1, 2, 5, 20, 60, 180]
    base_window = 360

    features = []
    to_drop = []

    if use_differences:
        df['f_close'] = to_diff(df['f_close'])
        df['f_volume'] = to_diff(df['f_volume'])
        df['f_trades'] = to_diff(df['f_trades'])

    # close mean
    weight_column_name = 'f_volume'  # None: no weighting; 'volume': volume average
    to_drop += add_past_weighted_aggregations(df, 'f_close', weight_column_name, np.nanmean, base_window, suffix='')  # Base column
    features += add_past_weighted_aggregations(df, 'f_close', weight_column_name, np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['f_close_1', f_close_2', 'f_close_5', 'f_close_10', 'f_close_20']

    # close std
    to_drop += add_past_aggregations(df, 'f_close', np.nanstd, base_window)  # Base column
    features += add_past_aggregations(df, 'f_close', np.nanstd, windows[1:], '_std', to_drop[-1], 100.0)  # window 1 excluded
    # ['f_close_std_1', f_close_std_2', 'f_close_std_5', 'f_close_std_10', 'f_close_std_20']

    # volume mean
    to_drop += add_past_aggregations(df, 'f_volume', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'f_volume', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['f_volume_1', 'f_volume_2', 'f_volume_5', 'f_volume_10', 'f_volume_20']

    # Span: high-low difference
    df['f_span'] = df['f_high'] - df['f_low']
    to_drop.append('f_span')
    to_drop += add_past_aggregations(df, 'f_span', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'f_span', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['f_span_1', 'f_span_2', 'f_span_5', 'f_span_10', 'f_span_20']

    # Number of trades
    to_drop += add_past_aggregations(df, 'f_trades', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'f_trades', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['f_trades_1', 'f_trades_2', 'f_trades_5', 'f_trades_10', 'f_trades_20']

    # tb_base_av / volume varies around 0.5 in base currency
    #df['f_tb_base'] = df['f_tb_base_av'] / df['f_volume']
    #to_drop.append('f_tb_base')
    #to_drop += add_past_aggregations(df, 'f_tb_base', np.nanmean, base_window, suffix='')  # Base column
    #features += add_past_aggregations(df, 'f_tb_base', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['f_tb_base_1', 'f_tb_base_2', 'f_tb_base_5', 'f_tb_base_10', 'f_tb_base_20']

    # tb_quote_av / quote_av varies around 0.5 in quote currency
    #df['f_tb_quote'] = df['f_tb_quote_av'] / df['f_quote_av']
    #to_drop.append('f_tb_quote')
    #to_drop += add_past_aggregations(df, 'f_tb_quote', np.nanmean, base_window, suffix='')  # Base column
    #features += add_past_aggregations(df, 'f_tb_quote', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['f_tb_quote_1', 'f_tb_quote_2', 'f_tb_quote_5', 'f_tb_quote_10', 'f_tb_quote_20']

    # Area over and under latest close price
    features += add_area_ratio(df, is_future=False, column_name="f_close", windows=[20, 60, 120, 180], suffix = "_area")

    # Linear trend
    features += add_linear_trends(df, is_future=False, column_name="f_close", windows=windows[1:], suffix="_trend")  # window 1 excluded

    df.drop(columns=to_drop, inplace=True)

    return features


def generate_features_depth(df, use_differences=False):
    """
    Generate derived features from depth data.
    Original features:
    - gap, price,
    - bids_1,asks_1,
    - bids_2,asks_2,
    - bids_5,asks_5,
    - bids_10,asks_10,
    - bids_20,asks_20

    Features (33):
    gap_2,gap_5,gap_10,
    bids_1_2,bids_1_5,bids_1_10, asks_1_2,asks_1_5,asks_1_10,
    bids_2_2,bids_2_5,bids_2_10, asks_2_2,asks_2_5,asks_2_10,
    bids_5_2,bids_5_5,bids_5_10, asks_5_2,asks_5_5,asks_5_10,
    bids_10_2,bids_10_5,bids_10_10, asks_10_2,asks_10_5,asks_10_10,
    bids_20_2,bids_20_5,bids_20_10, asks_20_2,asks_20_5,asks_20_10,
    """
    # Parameters of moving averages
    windows = [2, 5, 10]
    base_window = 30

    features = []
    to_drop = []

    # gap mean
    to_drop += add_past_aggregations(df, 'gap', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'gap', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['gap_2', 'gap_5', 'gap_10']


    # bids_1 mean
    to_drop += add_past_aggregations(df, 'bids_1', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'bids_1', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['bids_1_2', 'bids_1_5', 'bids_1_10']
    # asks_1 mean
    to_drop += add_past_aggregations(df, 'asks_1', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'asks_1', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['asks_1_2', 'asks_1_5', 'asks_1_10']


    # bids_2 mean
    to_drop += add_past_aggregations(df, 'bids_2', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'bids_2', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['bids_2_2', 'bids_2_5', 'bids_2_10']
    # asks_2 mean
    to_drop += add_past_aggregations(df, 'asks_2', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'asks_2', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['asks_2_2', 'asks_2_5', 'asks_2_10']


    # bids_5 mean
    to_drop += add_past_aggregations(df, 'bids_5', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'bids_5', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['bids_5_2', 'bids_5_5', 'bids_5_10']
    # asks_5 mean
    to_drop += add_past_aggregations(df, 'asks_5', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'asks_5', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['asks_5_2', 'asks_5_5', 'asks_5_10']


    # bids_10 mean
    to_drop += add_past_aggregations(df, 'bids_10', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'bids_10', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['bids_10_2', 'bids_10_5', 'bids_10_10']
    # asks_10 mean
    to_drop += add_past_aggregations(df, 'asks_10', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'asks_10', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['asks_10_2', 'asks_10_5', 'asks_10_10']


    # bids_20 mean
    to_drop += add_past_aggregations(df, 'bids_20', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'bids_20', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['bids_20_2', 'bids_20_5', 'bids_20_10']
    # asks_20 mean
    to_drop += add_past_aggregations(df, 'asks_20', np.nanmean, base_window, suffix='')  # Base column
    features += add_past_aggregations(df, 'asks_20', np.nanmean, windows, '', to_drop[-1], 100.0)
    # ['asks_20_2', 'asks_20_5', 'asks_20_10']


    df.drop(columns=to_drop, inplace=True)

    return features


def add_threshold_feature(df, column_name: str, thresholds: list, out_names: list):
    """

    :param df:
    :param column_name: Column with values to compare with the thresholds
    :param thresholds: List of thresholds. For each of them an output column will be generated
    :param out_names: List of output column names (same length as thresholds)
    :return: List of output column names
    """

    for i, threshold in enumerate(thresholds):
        out_name = out_names[i]
        if threshold > 0.0:  # Max high
            if abs(threshold) >= 0.75:  # Large threshold
                df[out_name] = df[column_name] >= threshold  # At least one high is greater than the threshold
            else:  # Small threshold
                df[out_name] = df[column_name] <= threshold  # All highs are less than the threshold
        else:  # Min low
            if abs(threshold) >= 0.75:  # Large negative threshold
                df[out_name] = df[column_name] <= threshold  # At least one low is less than the (negative) threshold
            else:  # Small threshold
                df[out_name] = df[column_name] >= threshold  # All lows are greater than the (negative) threshold

    return out_names


def klines_to_df(klines: list):
    """
    Convert a list of klines to a data frame.
    """
    columns = [
        'timestamp',
        'open', 'high', 'low', 'close', 'volume',
        'close_time',
        'quote_av', 'trades', 'tb_base_av', 'tb_quote_av',
        'ignore'
    ]

    df = pd.DataFrame(klines, columns=columns)

    df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms')
    df['close_time'] = pd.to_datetime(df['close_time'], unit='ms')

    df["open"] = pd.to_numeric(df["open"])
    df["high"] = pd.to_numeric(df["high"])
    df["low"] = pd.to_numeric(df["low"])
    df["close"] = pd.to_numeric(df["close"])
    df["volume"] = pd.to_numeric(df["volume"])

    df["quote_av"] = pd.to_numeric(df["quote_av"])
    df["trades"] = pd.to_numeric(df["trades"])
    df["tb_base_av"] = pd.to_numeric(df["tb_base_av"])
    df["tb_quote_av"] = pd.to_numeric(df["tb_quote_av"])

    if "timestamp" in df.columns:
        df.set_index('timestamp', inplace=True)

    return df


if __name__ == "__main__":
    pass