add tensorflow interface

freqtrade/freqai/prediction_models/CNNPredictionModel.py

@@ -0,0 +1,144 @@
+import logging
+from typing import Any, Dict, Tuple
+
+from pandas import DataFrame
+from freqtrade.exceptions import OperationalException
+from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
+import tensorflow as tf
+from freqtrade.freqai.base_models.BaseTensorFlowModel import BaseTensorFlowModel, WindowGenerator
+from tensorflow.keras.layers import Input, Conv1D, Dense
+from tensorflow.keras.models import Model
+import numpy as np
+
+logger = logging.getLogger(__name__)
+
+# tf.config.run_functions_eagerly(True)
+# tf.data.experimental.enable_debug_mode()
+
+MAX_EPOCHS = 10
+
+
+class CNNPredictionModel(BaseTensorFlowModel):
+    """
+    User created prediction model. The class needs to override three necessary
+    functions, predict(), fit().
+    """
+
+    def fit(self, data_dictionary: Dict[str, Any], dk: FreqaiDataKitchen) -> 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.
+        """
+        train_df = data_dictionary["train_features"]
+        train_labels = data_dictionary["train_labels"]
+        test_df = data_dictionary["test_features"]
+        test_labels = data_dictionary["test_labels"]
+        n_labels = len(train_labels.columns)
+        if n_labels > 1:
+            raise OperationalException(
+                "Neural Net not yet configured for multi-targets. Please "
+                " reduce number of targets to 1 in strategy."
+            )
+
+        n_features = len(data_dictionary["train_features"].columns)
+        BATCH_SIZE = self.freqai_info.get("batch_size", 64)
+        input_dims = [BATCH_SIZE, self.CONV_WIDTH, n_features]
+
+        w1 = WindowGenerator(
+            input_width=self.CONV_WIDTH,
+            label_width=1,
+            shift=1,
+            train_df=train_df,
+            val_df=test_df,
+            train_labels=train_labels,
+            val_labels=test_labels,
+            batch_size=BATCH_SIZE,
+        )
+
+        model = self.create_model(input_dims, n_labels)
+
+        steps_per_epoch = np.ceil(len(test_df) / BATCH_SIZE)
+        lr_schedule = tf.keras.optimizers.schedules.InverseTimeDecay(
+            0.001, decay_steps=steps_per_epoch * 1000, decay_rate=1, staircase=False
+        )
+
+        early_stopping = tf.keras.callbacks.EarlyStopping(
+            monitor="loss", patience=3, mode="min", min_delta=0.0001
+        )
+
+        model.compile(
+            loss=tf.losses.MeanSquaredError(),
+            optimizer=tf.optimizers.Adam(lr_schedule),
+            metrics=[tf.metrics.MeanAbsoluteError()],
+        )
+
+        model.fit(
+            w1.train,
+            epochs=MAX_EPOCHS,
+            shuffle=False,
+            validation_data=w1.val,
+            callbacks=[early_stopping],
+            verbose=1,
+        )
+
+        return model
+
+    def predict(
+        self, unfiltered_dataframe: DataFrame, dk: FreqaiDataKitchen, first=True
+    ) -> Tuple[DataFrame, DataFrame]:
+        """
+        Filter the prediction features data and predict with it.
+        :param: unfiltered_dataframe: Full dataframe for the current backtest period.
+        :return:
+        :predictions: np.array of 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)
+        """
+
+        dk.find_features(unfiltered_dataframe)
+        filtered_dataframe, _ = dk.filter_features(
+            unfiltered_dataframe, dk.training_features_list, training_filter=False
+        )
+        filtered_dataframe = dk.normalize_data_from_metadata(filtered_dataframe)
+        dk.data_dictionary["prediction_features"] = filtered_dataframe
+
+        # optional additional data cleaning/analysis
+        self.data_cleaning_predict(dk, filtered_dataframe)
+
+        if first:
+            full_df = dk.data_dictionary["prediction_features"]
+
+            w1 = WindowGenerator(
+                input_width=self.CONV_WIDTH,
+                label_width=1,
+                shift=1,
+                test_df=full_df,
+                batch_size=len(full_df),
+            )
+
+            predictions = self.model.predict(w1.inference)
+            len_diff = len(dk.do_predict) - len(predictions)
+            if len_diff > 0:
+                dk.do_predict = dk.do_predict[len_diff:]
+
+        else:
+            data = dk.data_dictionary["prediction_features"]
+            data = tf.expand_dims(data, axis=0)
+            predictions = self.model(data, training=False)
+
+        predictions = predictions[:, 0, 0]
+        pred_df = DataFrame(predictions, columns=dk.label_list)
+
+        pred_df = dk.denormalize_labels_from_metadata(pred_df)
+
+        return (pred_df, np.ones(len(pred_df)))
+
+    def create_model(self, input_dims, n_labels) -> Any:
+
+        input_layer = Input(shape=(input_dims[1], input_dims[2]))
+        Layer_1 = Conv1D(filters=32, kernel_size=(self.CONV_WIDTH,), activation="relu")(input_layer)
+        Layer_3 = Dense(units=32, activation="relu")(Layer_1)
+        output_layer = Dense(units=n_labels)(Layer_3)
+        return Model(inputs=input_layer, outputs=output_layer)