from typing import Tuple from pathlib import Path import click import numpy as np import pandas as pd from service.App import * from common.generators import generate_feature_set # # Parameters # class P: in_nrows = 50_000_000 # Load only this number of records tail_rows = int(10.0 * 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_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("merge_file_name") 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}...") 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", nrows=P.in_nrows) 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.") df = df.iloc[-P.tail_rows:] 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]}]") # # Generate derived features # feature_sets = App.config.get("feature_sets", []) if not feature_sets: print(f"ERROR: no feature sets defined. Nothing to process.") return # 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 features for {len(df)} input records.") all_features = [] for i, fs in enumerate(feature_sets): fs_now = datetime.now() print(f"Start feature set {i}/{len(feature_sets)}. Generator {fs.get('generator')}...") df, new_features = generate_feature_set(df, fs, last_rows=0) all_features.extend(new_features) fs_elapsed = datetime.now() - fs_now print(f"Finished feature set {i}/{len(feature_sets)}. Generator {fs.get('generator')}. Features: {len(new_features)}. Time: {str(fs_elapsed).split('.')[0]}") print(f"Finished generating features.") 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("feature_file_name") out_path = (data_path / out_file_name).resolve() print(f"Storing features with {len(df)} records and {len(df.columns)} columns in output file {out_path}...") if out_path.suffix == ".parquet": df.to_parquet(out_path, index=False) elif out_path.suffix == ".csv": df.to_csv(out_path, index=False, float_format="%.6f") else: print(f"ERROR: Unknown extension of the output file '{out_path.suffix}'. Only 'csv' and 'parquet' are supported") return print(f"Stored output file {out_path} with {len(df)} records") # # Store feature list # 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)} features in output file {out_path.with_suffix('.txt')}") elapsed = datetime.now() - now print(f"Finished generating {len(all_features)} features in {str(elapsed).split('.')[0]}. Time per feature: {str(elapsed/len(all_features)).split('.')[0]}") if __name__ == '__main__': main()