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Merge branch 'develop' into backtest_live_models

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This commit is contained in:
Wagner Costa Santos
2022-10-20 11:59:37 -03:00
parent 02fc59d473 7192ed7be6
commit 52b60c5cbb
43 changed files with 650 additions and 236 deletions
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108
freqtrade/freqai/data_drawer.py
View File

@@ -1,14 +1,15 @@
import collections
import json
import logging
import re
import shutil
import threading
from datetime import datetime, timezone
from pathlib import Path
from typing import Any, Dict, Tuple, TypedDict
import numpy as np
import pandas as pd
import psutil
import rapidjson
from joblib import dump, load
from joblib.externals import cloudpickle
@@ -65,6 +66,8 @@ class FreqaiDataDrawer:
self.pair_dict: Dict[str, pair_info] = {}
# dictionary holding all actively inferenced models in memory given a model filename
self.model_dictionary: Dict[str, Any] = {}
# all additional metadata that we want to keep in ram
self.meta_data_dictionary: Dict[str, Dict[str, Any]] = {}
self.model_return_values: Dict[str, DataFrame] = {}
self.historic_data: Dict[str, Dict[str, DataFrame]] = {}
self.historic_predictions: Dict[str, DataFrame] = {}
@@ -78,30 +81,60 @@ class FreqaiDataDrawer:
self.historic_predictions_bkp_path = Path(
self.full_path / "historic_predictions.backup.pkl")
self.pair_dictionary_path = Path(self.full_path / "pair_dictionary.json")
self.metric_tracker_path = Path(self.full_path / "metric_tracker.json")
self.follow_mode = follow_mode
if follow_mode:
self.create_follower_dict()
self.load_drawer_from_disk()
self.load_historic_predictions_from_disk()
self.load_metric_tracker_from_disk()
self.training_queue: Dict[str, int] = {}
self.history_lock = threading.Lock()
self.save_lock = threading.Lock()
self.pair_dict_lock = threading.Lock()
self.metric_tracker_lock = threading.Lock()
self.old_DBSCAN_eps: Dict[str, float] = {}
self.empty_pair_dict: pair_info = {
"model_filename": "", "trained_timestamp": 0,
"data_path": "", "extras": {}}
self.metric_tracker: Dict[str, Dict[str, Dict[str, list]]] = {}
def update_metric_tracker(self, metric: str, value: float, pair: str) -> None:
"""
General utility for adding and updating custom metrics. Typically used
for adding training performance, train timings, inferenc timings, cpu loads etc.
"""
with self.metric_tracker_lock:
if pair not in self.metric_tracker:
self.metric_tracker[pair] = {}
if metric not in self.metric_tracker[pair]:
self.metric_tracker[pair][metric] = {'timestamp': [], 'value': []}
timestamp = int(datetime.now(timezone.utc).timestamp())
self.metric_tracker[pair][metric]['value'].append(value)
self.metric_tracker[pair][metric]['timestamp'].append(timestamp)
def collect_metrics(self, time_spent: float, pair: str):
"""
Add metrics to the metric tracker dictionary
"""
load1, load5, load15 = psutil.getloadavg()
cpus = psutil.cpu_count()
self.update_metric_tracker('train_time', time_spent, pair)
self.update_metric_tracker('cpu_load1min', load1 / cpus, pair)
self.update_metric_tracker('cpu_load5min', load5 / cpus, pair)
self.update_metric_tracker('cpu_load15min', load15 / cpus, pair)
def load_drawer_from_disk(self):
"""
Locate and load a previously saved data drawer full of all pair model metadata in
present model folder.
:return: bool - whether or not the drawer was located
Load any existing metric tracker that may be present.
"""
exists = self.pair_dictionary_path.is_file()
if exists:
with open(self.pair_dictionary_path, "r") as fp:
self.pair_dict = json.load(fp)
self.pair_dict = rapidjson.load(fp, number_mode=rapidjson.NM_NATIVE)
elif not self.follow_mode:
logger.info("Could not find existing datadrawer, starting from scratch")
else:
@@ -110,7 +143,18 @@ class FreqaiDataDrawer:
"sending null values back to strategy"
)
return exists
def load_metric_tracker_from_disk(self):
"""
Tries to load an existing metrics dictionary if the user
wants to collect metrics.
"""
if self.freqai_info.get('write_metrics_to_disk', False):
exists = self.metric_tracker_path.is_file()
if exists:
with open(self.metric_tracker_path, "r") as fp:
self.metric_tracker = rapidjson.load(fp, number_mode=rapidjson.NM_NATIVE)
else:
logger.info("Could not find existing metric tracker, starting from scratch")
def load_historic_predictions_from_disk(self):
"""
@@ -146,7 +190,7 @@ class FreqaiDataDrawer:
def save_historic_predictions_to_disk(self):
"""
Save data drawer full of all pair model metadata in present model folder.
Save historic predictions pickle to disk
"""
with open(self.historic_predictions_path, "wb") as fp:
cloudpickle.dump(self.historic_predictions, fp, protocol=cloudpickle.DEFAULT_PROTOCOL)
@@ -154,6 +198,15 @@ class FreqaiDataDrawer:
# create a backup
shutil.copy(self.historic_predictions_path, self.historic_predictions_bkp_path)
def save_metric_tracker_to_disk(self):
"""
Save metric tracker of all pair metrics collected.
"""
with self.save_lock:
with open(self.metric_tracker_path, 'w') as fp:
rapidjson.dump(self.metric_tracker, fp, default=self.np_encoder,
number_mode=rapidjson.NM_NATIVE)
def save_drawer_to_disk(self):
"""
Save data drawer full of all pair model metadata in present model folder.
@@ -453,9 +506,14 @@ class FreqaiDataDrawer:
)
# if self.live:
# store as much in ram as possible to increase performance
self.model_dictionary[coin] = model
self.pair_dict[coin]["model_filename"] = dk.model_filename
self.pair_dict[coin]["data_path"] = str(dk.data_path)
if coin not in self.meta_data_dictionary:
self.meta_data_dictionary[coin] = {}
self.meta_data_dictionary[coin]["train_df"] = dk.data_dictionary["train_features"]
self.meta_data_dictionary[coin]["meta_data"] = dk.data
self.save_drawer_to_disk()
return
@@ -466,7 +524,7 @@ class FreqaiDataDrawer:
presaved backtesting (prediction file loading).
"""
with open(dk.data_path / f"{dk.model_filename}_metadata.json", "r") as fp:
dk.data = json.load(fp)
dk.data = rapidjson.load(fp, number_mode=rapidjson.NM_NATIVE)
dk.training_features_list = dk.data["training_features_list"]
dk.label_list = dk.data["label_list"]
@@ -492,14 +550,19 @@ class FreqaiDataDrawer:
/ dk.data_path.parts[-1]
)
with open(dk.data_path / f"{dk.model_filename}_metadata.json", "r") as fp:
dk.data = json.load(fp)
dk.training_features_list = dk.data["training_features_list"]
dk.label_list = dk.data["label_list"]
if coin in self.meta_data_dictionary:
dk.data = self.meta_data_dictionary[coin]["meta_data"]
dk.data_dictionary["train_features"] = self.meta_data_dictionary[coin]["train_df"]
else:
with open(dk.data_path / f"{dk.model_filename}_metadata.json", "r") as fp:
dk.data = rapidjson.load(fp, number_mode=rapidjson.NM_NATIVE)
dk.data_dictionary["train_features"] = pd.read_pickle(
dk.data_path / f"{dk.model_filename}_trained_df.pkl"
)
dk.data_dictionary["train_features"] = pd.read_pickle(
dk.data_path / f"{dk.model_filename}_trained_df.pkl"
)
dk.training_features_list = dk.data["training_features_list"]
dk.label_list = dk.data["label_list"]
# try to access model in memory instead of loading object from disk to save time
if dk.live and coin in self.model_dictionary:
@@ -627,22 +690,3 @@ class FreqaiDataDrawer:
).reset_index(drop=True)
return corr_dataframes, base_dataframes
# to be used if we want to send predictions directly to the follower instead of forcing
# follower to load models and inference
# def save_model_return_values_to_disk(self) -> None:
# with open(self.full_path / str('model_return_values.json'), "w") as fp:
# json.dump(self.model_return_values, fp, default=self.np_encoder)
# def load_model_return_values_from_disk(self, dk: FreqaiDataKitchen) -> FreqaiDataKitchen:
# exists = Path(self.full_path / str('model_return_values.json')).resolve().exists()
# if exists:
# with open(self.full_path / str('model_return_values.json'), "r") as fp:
# self.model_return_values = json.load(fp)
# elif not self.follow_mode:
# logger.info("Could not find existing datadrawer, starting from scratch")
# else:
# logger.warning(f'Follower could not find pair_dictionary at {self.full_path} '
# 'sending null values back to strategy')
# return exists, dk

23
freqtrade/freqai/freqai_interface.py
View File

@@ -7,7 +7,7 @@ from collections import deque
from datetime import datetime, timezone
from pathlib import Path
from threading import Lock
from typing import Any, Dict, List, Tuple
from typing import Any, Dict, List, Literal, Tuple
import numpy as np
import pandas as pd
@@ -148,7 +148,7 @@ class IFreqaiModel(ABC):
dataframe = dk.remove_features_from_df(dk.return_dataframe)
self.clean_up()
if self.live:
self.inference_timer('stop')
self.inference_timer('stop', metadata["pair"])
return dataframe
def clean_up(self):
@@ -217,12 +217,14 @@ class IFreqaiModel(ABC):
logger.warning(f"Training {pair} raised exception {msg.__class__.__name__}. "
f"Message: {msg}, skipping.")
self.train_timer('stop')
self.train_timer('stop', pair)
# only rotate the queue after the first has been trained.
self.train_queue.rotate(-1)
self.dd.save_historic_predictions_to_disk()
if self.freqai_info.get('write_metrics_to_disk', False):
self.dd.save_metric_tracker_to_disk()
def start_backtesting(
self, dataframe: DataFrame, metadata: dict, dk: FreqaiDataKitchen
@@ -677,7 +679,7 @@ class IFreqaiModel(ABC):
return
def inference_timer(self, do='start'):
def inference_timer(self, do: Literal['start', 'stop'] = 'start', pair: str = ''):
"""
Timer designed to track the cumulative time spent in FreqAI for one pass through
the whitelist. This will check if the time spent is more than 1/4 the time
@@ -688,7 +690,10 @@ class IFreqaiModel(ABC):
self.begin_time = time.time()
elif do == 'stop':
end = time.time()
self.inference_time += (end - self.begin_time)
time_spent = (end - self.begin_time)
if self.freqai_info.get('write_metrics_to_disk', False):
self.dd.update_metric_tracker('inference_time', time_spent, pair)
self.inference_time += time_spent
if self.pair_it == self.total_pairs:
logger.info(
f'Total time spent inferencing pairlist {self.inference_time:.2f} seconds')
@@ -699,7 +704,7 @@ class IFreqaiModel(ABC):
self.inference_time = 0
return
def train_timer(self, do='start'):
def train_timer(self, do: Literal['start', 'stop'] = 'start', pair: str = ''):
"""
Timer designed to track the cumulative time spent training the full pairlist in
FreqAI.
@@ -709,7 +714,11 @@ class IFreqaiModel(ABC):
self.begin_time_train = time.time()
elif do == 'stop':
end = time.time()
self.train_time += (end - self.begin_time_train)
time_spent = (end - self.begin_time_train)
if self.freqai_info.get('write_metrics_to_disk', False):
self.dd.collect_metrics(time_spent, pair)
self.train_time += time_spent
if self.pair_it_train == self.total_pairs:
logger.info(
f'Total time spent training pairlist {self.train_time:.2f} seconds')

12
freqtrade/freqai/prediction_models/CatboostClassifier.py
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@@ -1,4 +1,5 @@
import logging
import sys
from pathlib import Path
from typing import Any, Dict
@@ -30,6 +31,14 @@ class CatboostClassifier(BaseClassifierModel):
label=data_dictionary["train_labels"],
weight=data_dictionary["train_weights"],
)
if self.freqai_info.get("data_split_parameters", {}).get("test_size", 0.1) == 0:
test_data = None
else:
test_data = Pool(
data=data_dictionary["test_features"],
label=data_dictionary["test_labels"],
weight=data_dictionary["test_weights"],
)
cbr = CatBoostClassifier(
allow_writing_files=True,
@@ -40,6 +49,7 @@ class CatboostClassifier(BaseClassifierModel):
init_model = self.get_init_model(dk.pair)
cbr.fit(train_data, init_model=init_model)
cbr.fit(X=train_data, eval_set=test_data, init_model=init_model,
log_cout=sys.stdout, log_cerr=sys.stderr)
return cbr

4
freqtrade/freqai/prediction_models/CatboostRegressor.py
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@@ -1,4 +1,5 @@
import logging
import sys
from pathlib import Path
from typing import Any, Dict
@@ -47,6 +48,7 @@ class CatboostRegressor(BaseRegressionModel):
**self.model_training_parameters,
)
model.fit(X=train_data, eval_set=test_data, init_model=init_model)
model.fit(X=train_data, eval_set=test_data, init_model=init_model,
log_cout=sys.stdout, log_cerr=sys.stderr)
return model

7
freqtrade/freqai/prediction_models/CatboostRegressorMultiTarget.py
View File

@@ -1,4 +1,5 @@
import logging
import sys
from pathlib import Path
from typing import Any, Dict
@@ -58,8 +59,10 @@ class CatboostRegressorMultiTarget(BaseRegressionModel):
fit_params = []
for i in range(len(eval_sets)):
fit_params.append(
{'eval_set': eval_sets[i], 'init_model': init_models[i]})
fit_params.append({
'eval_set': eval_sets[i], 'init_model': init_models[i],
'log_cout': sys.stdout, 'log_cerr': sys.stderr,
})
model = FreqaiMultiOutputRegressor(estimator=cbr)
thread_training = self.freqai_info.get('multitarget_parallel_training', False)

85
freqtrade/freqai/prediction_models/XGBoostRFClassifier.py Normal file
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@@ -0,0 +1,85 @@
import logging
from typing import Any, Dict, Tuple
import numpy as np
import numpy.typing as npt
import pandas as pd
from pandas import DataFrame
from pandas.api.types import is_integer_dtype
from sklearn.preprocessing import LabelEncoder
from xgboost import XGBRFClassifier
from freqtrade.freqai.base_models.BaseClassifierModel import BaseClassifierModel
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
logger = logging.getLogger(__name__)
class XGBoostRFClassifier(BaseClassifierModel):
"""
User created prediction model. The class needs to override three necessary
functions, predict(), train(), fit(). The class inherits ModelHandler which
has its own DataHandler where data is held, saved, loaded, and managed.
"""
def fit(self, data_dictionary: Dict, dk: FreqaiDataKitchen, **kwargs) -> Any:
"""
User sets up the training and test data to fit their desired model here
:params:
:data_dictionary: the dictionary constructed by DataHandler to hold
all the training and test data/labels.
"""
X = data_dictionary["train_features"].to_numpy()
y = data_dictionary["train_labels"].to_numpy()[:, 0]
le = LabelEncoder()
if not is_integer_dtype(y):
y = pd.Series(le.fit_transform(y), dtype="int64")
if self.freqai_info.get('data_split_parameters', {}).get('test_size', 0.1) == 0:
eval_set = None
else:
test_features = data_dictionary["test_features"].to_numpy()
test_labels = data_dictionary["test_labels"].to_numpy()[:, 0]
if not is_integer_dtype(test_labels):
test_labels = pd.Series(le.transform(test_labels), dtype="int64")
eval_set = [(test_features, test_labels)]
train_weights = data_dictionary["train_weights"]
init_model = self.get_init_model(dk.pair)
model = XGBRFClassifier(**self.model_training_parameters)
model.fit(X=X, y=y, eval_set=eval_set, sample_weight=train_weights,
xgb_model=init_model)
return model
def predict(
self, unfiltered_df: DataFrame, dk: FreqaiDataKitchen, **kwargs
) -> Tuple[DataFrame, npt.NDArray[np.int_]]:
"""
Filter the prediction features data and predict with it.
:param: unfiltered_df: Full dataframe for the current backtest period.
:return:
:pred_df: dataframe containing the predictions
:do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove
data (NaNs) or felt uncertain about data (PCA and DI index)
"""
(pred_df, dk.do_predict) = super().predict(unfiltered_df, dk, **kwargs)
le = LabelEncoder()
label = dk.label_list[0]
labels_before = list(dk.data['labels_std'].keys())
labels_after = le.fit_transform(labels_before).tolist()
pred_df[label] = le.inverse_transform(pred_df[label])
pred_df = pred_df.rename(
columns={labels_after[i]: labels_before[i] for i in range(len(labels_before))})
return (pred_df, dk.do_predict)

45
freqtrade/freqai/prediction_models/XGBoostRFRegressor.py Normal file
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@@ -0,0 +1,45 @@
import logging
from typing import Any, Dict
from xgboost import XGBRFRegressor
from freqtrade.freqai.base_models.BaseRegressionModel import BaseRegressionModel
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
logger = logging.getLogger(__name__)
class XGBoostRFRegressor(BaseRegressionModel):
"""
User created prediction model. The class needs to override three necessary
functions, predict(), train(), fit(). The class inherits ModelHandler which
has its own DataHandler where data is held, saved, loaded, and managed.
"""
def fit(self, data_dictionary: Dict, dk: FreqaiDataKitchen, **kwargs) -> Any:
"""
User sets up the training and test data to fit their desired model here
:param data_dictionary: the dictionary constructed by DataHandler to hold
all the training and test data/labels.
"""
X = data_dictionary["train_features"]
y = data_dictionary["train_labels"]
if self.freqai_info.get("data_split_parameters", {}).get("test_size", 0.1) == 0:
eval_set = None
else:
eval_set = [(data_dictionary["test_features"], data_dictionary["test_labels"])]
eval_weights = [data_dictionary['test_weights']]
sample_weight = data_dictionary["train_weights"]
xgb_model = self.get_init_model(dk.pair)
model = XGBRFRegressor(**self.model_training_parameters)
model.fit(X=X, y=y, sample_weight=sample_weight, eval_set=eval_set,
sample_weight_eval_set=eval_weights, xgb_model=xgb_model)
return model