import logging from time import time from typing import Any from pandas import DataFrame import numpy as np from freqtrade.freqai.data_kitchen import FreqaiDataKitchen from freqtrade.freqai.freqai_interface import IFreqaiModel import tensorflow as tf logger = logging.getLogger(__name__) class BaseTensorFlowModel(IFreqaiModel): """ Base class for TensorFlow type models. User *must* inherit from this class and set fit() and predict(). """ def __init__(self, **kwargs): super().__init__(config=kwargs['config']) self.keras = True if self.ft_params.get("DI_threshold", 0): self.ft_params["DI_threshold"] = 0 logger.warning("DI threshold is not configured for Keras models yet. Deactivating.") def train( self, unfiltered_df: DataFrame, pair: str, dk: FreqaiDataKitchen, **kwargs ) -> Any: """ Filter the training data and train a model to it. Train makes heavy use of the datakitchen for storing, saving, loading, and analyzing the data. :param unfiltered_df: Full dataframe for the current training period :param metadata: pair metadata from strategy. :return: :model: Trained model which can be used to inference (self.predict) """ logger.info(f"-------------------- Starting training {pair} --------------------") start_time = time() # filter the features requested by user in the configuration file and elegantly handle NaNs features_filtered, labels_filtered = dk.filter_features( unfiltered_df, dk.training_features_list, dk.label_list, training_filter=True, ) start_date = unfiltered_df["date"].iloc[0].strftime("%Y-%m-%d") end_date = unfiltered_df["date"].iloc[-1].strftime("%Y-%m-%d") logger.info(f"-------------------- Training on data from {start_date} to " f"{end_date} --------------------") # split data into train/test data. data_dictionary = dk.make_train_test_datasets(features_filtered, labels_filtered) if not self.freqai_info.get("fit_live_predictions", 0) or not self.live: dk.fit_labels() # normalize all data based on train_dataset only data_dictionary = dk.normalize_data(data_dictionary) # optional additional data cleaning/analysis self.data_cleaning_train(dk) logger.info( f"Training model on {len(dk.data_dictionary['train_features'].columns)} features" ) logger.info(f"Training model on {len(data_dictionary['train_features'])} data points") model = self.fit(data_dictionary, dk) end_time = time() logger.info(f"-------------------- Done training {pair} " f"({end_time - start_time:.2f} secs) --------------------") return model class WindowGenerator: def __init__( self, input_width, label_width, shift, train_df=None, val_df=None, test_df=None, train_labels=None, val_labels=None, test_labels=None, batch_size=None, ): # Store the raw data. self.train_df = train_df self.val_df = val_df self.test_df = test_df self.train_labels = train_labels self.val_labels = val_labels self.test_labels = test_labels self.batch_size = batch_size self.input_width = input_width self.label_width = label_width self.shift = shift self.total_window_size = input_width + shift self.input_slice = slice(0, input_width) self.input_indices = np.arange(self.total_window_size)[self.input_slice] def make_dataset(self, data, labels=None): data = np.array(data, dtype=np.float32) if labels is not None: labels = np.array(labels, dtype=np.float32) ds = tf.keras.preprocessing.timeseries_dataset_from_array( data=data, targets=labels, sequence_length=self.total_window_size, sequence_stride=1, sampling_rate=1, shuffle=False, batch_size=self.batch_size, ) return ds @property def train(self): return self.make_dataset(self.train_df, self.train_labels) @property def val(self): return self.make_dataset(self.val_df, self.val_labels) @property def test(self): return self.make_dataset(self.test_df, self.test_labels) @property def inference(self): return self.make_dataset(self.test_df) @property def example(self): """Get and cache an example batch of `inputs, labels` for plotting.""" result = getattr(self, "_example", None) if result is None: # No example batch was found, so get one from the `.train` dataset result = next(iter(self.train)) # And cache it for next time self._example = result return result