308 lines
14 KiB
Python
308 lines
14 KiB
Python
import os
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from datetime import datetime, timezone, timedelta
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from typing import Union
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import json
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import numpy as np
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import pandas as pd
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from common.utils import *
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from common.feature_generation_rolling_agg import *
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"""
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Feature/label generation.
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These features are computed using explict transformations.
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(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).
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(Currently) feature/label generation is not based on (explicit) models - all parameters are hard-coded.
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Also, no parameter training is performed.
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"""
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def generate_features(df,use_differences, base_window, windows, area_windows, last_rows: int = 0):
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"""
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Generate derived features by adding them as new columns to the data frame.
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It is important that the same parameters are used for both training and prediction.
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Most features compute rolling aggregation. However, instead of absolute values, the difference
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of this rolling aggregation to the (longer) base rolling aggregation is computed.
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The window sizes are used for encoding feature/column names and might look like 'close_120'
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for average close price for the last 120 minutes (relative to the average base price).
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The column names are needed when preparing data for training or prediction.
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The easiest way to get them is to return from this function and copy and the
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corresponding config attribute.
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"""
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features = []
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to_drop = []
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if use_differences:
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df['close'] = to_diff(df['close'])
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df['volume'] = to_diff(df['volume'])
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df['trades'] = to_diff(df['trades'])
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# close rolling mean. format: 'close_<window>'
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weight_column_name = 'volume' # None: no weighting; 'volume': volume average
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to_drop += add_past_weighted_aggregations(df, 'close', weight_column_name, np.nanmean, base_window, suffix='', last_rows=last_rows) # Base column
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features += add_past_weighted_aggregations(df, 'close', weight_column_name, np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)
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# close rolling std. format: 'close_std_<window>'
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to_drop += add_past_aggregations(df, 'close', np.nanstd, base_window, last_rows=last_rows) # Base column
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features += add_past_aggregations(df, 'close', np.nanstd, windows, '_std', to_drop[-1], 100.0, last_rows=last_rows)
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# volume rolling mean. format: 'volume_<window>'
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to_drop += add_past_aggregations(df, 'volume', np.nanmean, base_window, suffix='', last_rows=last_rows) # Base column
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features += add_past_aggregations(df, 'volume', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)
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# Span: high-low difference. format: 'span_<window>'
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df['span'] = df['high'] - df['low']
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to_drop.append('span')
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to_drop += add_past_aggregations(df, 'span', np.nanmean, base_window, suffix='', last_rows=last_rows) # Base column
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features += add_past_aggregations(df, 'span', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)
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# Number of trades format: 'trades_<window>'
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to_drop += add_past_aggregations(df, 'trades', np.nanmean, base_window, suffix='', last_rows=last_rows) # Base column
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features += add_past_aggregations(df, 'trades', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)
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# tb_base_av / volume varies around 0.5 in base currency. format: 'tb_base_<window>>'
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df['tb_base'] = df['tb_base_av'] / df['volume']
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to_drop.append('tb_base')
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to_drop += add_past_aggregations(df, 'tb_base', np.nanmean, base_window, suffix='', last_rows=last_rows) # Base column
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features += add_past_aggregations(df, 'tb_base', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)
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# UPDATE: do not generate, because very high correction (0.99999) with tb_base
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# tb_quote_av / quote_av varies around 0.5 in quote currency. format: 'tb_quote_<window>>'
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#df['tb_quote'] = df['tb_quote_av'] / df['quote_av']
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#to_drop.append('tb_quote')
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#to_drop += add_past_aggregations(df, 'tb_quote', np.nanmean, base_window, suffix='', last_rows=last_rows) # Base column
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#features += add_past_aggregations(df, 'tb_quote', np.nanmean, windows, '', to_drop[-1], 100.0, last_rows=last_rows)
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# Area over and under latest close price
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features += add_area_ratio(df, is_future=False, column_name="close", windows=area_windows, suffix = "_area", last_rows=last_rows)
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# Linear trend
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features += add_linear_trends(df, is_future=False, column_name="close", windows=windows, suffix="_trend", last_rows=last_rows)
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features += add_linear_trends(df, is_future=False, column_name="volume", windows=windows, suffix="_trend", last_rows=last_rows)
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df.drop(columns=to_drop, inplace=True)
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return features
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def generate_features_futures(df, use_differences=False):
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"""
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Generate derived features for futures.
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"""
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# Parameters of moving averages
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windows = [1, 2, 5, 20, 60, 180]
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base_window = 360
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features = []
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to_drop = []
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if use_differences:
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df['f_close'] = to_diff(df['f_close'])
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df['f_volume'] = to_diff(df['f_volume'])
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df['f_trades'] = to_diff(df['f_trades'])
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# close mean
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weight_column_name = 'f_volume' # None: no weighting; 'volume': volume average
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to_drop += add_past_weighted_aggregations(df, 'f_close', weight_column_name, np.nanmean, base_window, suffix='') # Base column
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features += add_past_weighted_aggregations(df, 'f_close', weight_column_name, np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['f_close_1', f_close_2', 'f_close_5', 'f_close_10', 'f_close_20']
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# close std
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to_drop += add_past_aggregations(df, 'f_close', np.nanstd, base_window) # Base column
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features += add_past_aggregations(df, 'f_close', np.nanstd, windows[1:], '_std', to_drop[-1], 100.0) # window 1 excluded
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# ['f_close_std_1', f_close_std_2', 'f_close_std_5', 'f_close_std_10', 'f_close_std_20']
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# volume mean
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to_drop += add_past_aggregations(df, 'f_volume', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'f_volume', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['f_volume_1', 'f_volume_2', 'f_volume_5', 'f_volume_10', 'f_volume_20']
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# Span: high-low difference
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df['f_span'] = df['f_high'] - df['f_low']
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to_drop.append('f_span')
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to_drop += add_past_aggregations(df, 'f_span', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'f_span', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['f_span_1', 'f_span_2', 'f_span_5', 'f_span_10', 'f_span_20']
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# Number of trades
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to_drop += add_past_aggregations(df, 'f_trades', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'f_trades', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['f_trades_1', 'f_trades_2', 'f_trades_5', 'f_trades_10', 'f_trades_20']
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# tb_base_av / volume varies around 0.5 in base currency
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#df['f_tb_base'] = df['f_tb_base_av'] / df['f_volume']
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#to_drop.append('f_tb_base')
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#to_drop += add_past_aggregations(df, 'f_tb_base', np.nanmean, base_window, suffix='') # Base column
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#features += add_past_aggregations(df, 'f_tb_base', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['f_tb_base_1', 'f_tb_base_2', 'f_tb_base_5', 'f_tb_base_10', 'f_tb_base_20']
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# tb_quote_av / quote_av varies around 0.5 in quote currency
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#df['f_tb_quote'] = df['f_tb_quote_av'] / df['f_quote_av']
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#to_drop.append('f_tb_quote')
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#to_drop += add_past_aggregations(df, 'f_tb_quote', np.nanmean, base_window, suffix='') # Base column
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#features += add_past_aggregations(df, 'f_tb_quote', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['f_tb_quote_1', 'f_tb_quote_2', 'f_tb_quote_5', 'f_tb_quote_10', 'f_tb_quote_20']
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# Area over and under latest close price
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features += add_area_ratio(df, is_future=False, column_name="f_close", windows=[20, 60, 120, 180], suffix = "_area")
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# Linear trend
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features += add_linear_trends(df, is_future=False, column_name="f_close", windows=windows[1:], suffix="_trend") # window 1 excluded
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df.drop(columns=to_drop, inplace=True)
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return features
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def generate_features_depth(df, use_differences=False):
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"""
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Generate derived features from depth data.
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Original features:
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- gap, price,
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- bids_1,asks_1,
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- bids_2,asks_2,
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- bids_5,asks_5,
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- bids_10,asks_10,
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- bids_20,asks_20
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Features (33):
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gap_2,gap_5,gap_10,
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bids_1_2,bids_1_5,bids_1_10, asks_1_2,asks_1_5,asks_1_10,
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bids_2_2,bids_2_5,bids_2_10, asks_2_2,asks_2_5,asks_2_10,
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bids_5_2,bids_5_5,bids_5_10, asks_5_2,asks_5_5,asks_5_10,
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bids_10_2,bids_10_5,bids_10_10, asks_10_2,asks_10_5,asks_10_10,
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bids_20_2,bids_20_5,bids_20_10, asks_20_2,asks_20_5,asks_20_10,
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"""
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# Parameters of moving averages
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windows = [2, 5, 10]
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base_window = 30
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features = []
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to_drop = []
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# gap mean
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to_drop += add_past_aggregations(df, 'gap', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'gap', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['gap_2', 'gap_5', 'gap_10']
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# bids_1 mean
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to_drop += add_past_aggregations(df, 'bids_1', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'bids_1', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['bids_1_2', 'bids_1_5', 'bids_1_10']
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# asks_1 mean
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to_drop += add_past_aggregations(df, 'asks_1', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'asks_1', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['asks_1_2', 'asks_1_5', 'asks_1_10']
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# bids_2 mean
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to_drop += add_past_aggregations(df, 'bids_2', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'bids_2', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['bids_2_2', 'bids_2_5', 'bids_2_10']
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# asks_2 mean
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to_drop += add_past_aggregations(df, 'asks_2', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'asks_2', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['asks_2_2', 'asks_2_5', 'asks_2_10']
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# bids_5 mean
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to_drop += add_past_aggregations(df, 'bids_5', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'bids_5', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['bids_5_2', 'bids_5_5', 'bids_5_10']
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# asks_5 mean
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to_drop += add_past_aggregations(df, 'asks_5', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'asks_5', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['asks_5_2', 'asks_5_5', 'asks_5_10']
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# bids_10 mean
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to_drop += add_past_aggregations(df, 'bids_10', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'bids_10', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['bids_10_2', 'bids_10_5', 'bids_10_10']
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# asks_10 mean
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to_drop += add_past_aggregations(df, 'asks_10', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'asks_10', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['asks_10_2', 'asks_10_5', 'asks_10_10']
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# bids_20 mean
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to_drop += add_past_aggregations(df, 'bids_20', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'bids_20', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['bids_20_2', 'bids_20_5', 'bids_20_10']
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# asks_20 mean
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to_drop += add_past_aggregations(df, 'asks_20', np.nanmean, base_window, suffix='') # Base column
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features += add_past_aggregations(df, 'asks_20', np.nanmean, windows, '', to_drop[-1], 100.0)
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# ['asks_20_2', 'asks_20_5', 'asks_20_10']
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df.drop(columns=to_drop, inplace=True)
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return features
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def add_threshold_feature(df, column_name: str, thresholds: list, out_names: list):
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"""
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:param df:
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:param column_name: Column with values to compare with the thresholds
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:param thresholds: List of thresholds. For each of them an output column will be generated
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:param out_names: List of output column names (same length as thresholds)
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:return: List of output column names
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"""
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for i, threshold in enumerate(thresholds):
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out_name = out_names[i]
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if threshold > 0.0: # Max high
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if abs(threshold) >= 0.75: # Large threshold
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df[out_name] = df[column_name] >= threshold # At least one high is greater than the threshold
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else: # Small threshold
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df[out_name] = df[column_name] <= threshold # All highs are less than the threshold
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else: # Min low
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if abs(threshold) >= 0.75: # Large negative threshold
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df[out_name] = df[column_name] <= threshold # At least one low is less than the (negative) threshold
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else: # Small threshold
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df[out_name] = df[column_name] >= threshold # All lows are greater than the (negative) threshold
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return out_names
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def klines_to_df(klines: list):
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"""
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Convert a list of klines to a data frame.
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"""
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columns = [
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'timestamp',
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'open', 'high', 'low', 'close', 'volume',
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'close_time',
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'quote_av', 'trades', 'tb_base_av', 'tb_quote_av',
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'ignore'
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]
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df = pd.DataFrame(klines, columns=columns)
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df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms')
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df['close_time'] = pd.to_datetime(df['close_time'], unit='ms')
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df["open"] = pd.to_numeric(df["open"])
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df["high"] = pd.to_numeric(df["high"])
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df["low"] = pd.to_numeric(df["low"])
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df["close"] = pd.to_numeric(df["close"])
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df["volume"] = pd.to_numeric(df["volume"])
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df["quote_av"] = pd.to_numeric(df["quote_av"])
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df["trades"] = pd.to_numeric(df["trades"])
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df["tb_base_av"] = pd.to_numeric(df["tb_base_av"])
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df["tb_quote_av"] = pd.to_numeric(df["tb_quote_av"])
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if "timestamp" in df.columns:
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df.set_index('timestamp', inplace=True)
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return df
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if __name__ == "__main__":
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pass
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