from pathlib import Path import pandas as pd import click from service.App import * from scripts.features import generate_feature_set from common.label_generation_highlow import * from common.label_generation_topbot import * """ This script will load a feature file (or any file with close price), and add top-bot columns according to the label parameter, by finally storing both input data and the labels in the output file (can be the same file as input). """ # # Parameters # class P: in_nrows = 100_000_000 tail_rows = int(3.0 * 525_600) # Process only this number of last rows @click.command() @click.option('--config_file', '-c', type=click.Path(), default='', help='Configuration file name') def main(config_file): """ Load a file with close price (typically feature matrix), compute top-bottom labels, add them to the data, and store to output file. """ load_config(config_file) time_column = App.config["time_column"] now = datetime.now() # # Load merged data with regular time series # symbol = App.config["symbol"] data_path = Path(App.config["data_folder"]) / symbol file_path = (data_path / App.config.get("feature_file_name")).with_suffix(".csv") if not file_path.is_file(): print(f"Data file does not exist: {file_path}") return print(f"Loading data from source data file {file_path}...") df = pd.read_csv(file_path, parse_dates=[time_column], nrows=P.in_nrows) print(f"Finished loading {len(df)} records with {len(df.columns)} columns.") df = df.iloc[-P.tail_rows:] df = df.reset_index(drop=True) # # Generate derived features # label_sets = App.config.get("label_sets", []) if not label_sets: print(f"ERROR: no label sets defined. Nothing to process.") return # By default, we generate standard labels #label_sets = [{"column_prefix": "", "generator": "highlow", "feature_prefix": ""}] # Apply all feature generators to the data frame which get accordingly new derived columns # The feature parameters will be taken from App.config (depending on generator) print(f"Start generating labels for {len(df)} input records.") all_features = [] for fs in label_sets: df, new_features = generate_feature_set(df, fs, last_rows=0) all_features.extend(new_features) print(f"Finished generating labels.") print(f"Number of NULL values:") print(df[all_features].isnull().sum().sort_values(ascending=False)) # # Store feature matrix in output file # out_file_name = App.config.get("matrix_file_name") out_path = (data_path / out_file_name).with_suffix(".csv").resolve() print(f"Storing file with labels. {len(df)} records and {len(df.columns)} columns in output file...") df.to_csv(out_path, index=False, float_format="%.4f") # # Store labels # with open(out_path.with_suffix('.txt'), "a+") as f: f.write(", ".join([f'"{f}"' for f in all_features] ) + "\n\n") print(f"Stored {len(all_features)} labels in output file {out_path}") elapsed = datetime.now() - now print(f"Finished generating {len(all_features)} labels in {str(elapsed).split('.')[0]}. Time per label: {str(elapsed/len(all_features)).split('.')[0]}") print(f"Output file location: {out_path}") if __name__ == '__main__': main()