stable/freqtrade/freqai/data_drawer.py

272 lines
11 KiB
Python

import collections
import json
import logging
import re
import shutil
import threading
from pathlib import Path
from typing import Any, Dict, Tuple
# import pickle as pk
import numpy as np
import pandas as pd
from pandas import DataFrame
# from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
logger = logging.getLogger(__name__)
class FreqaiDataDrawer:
"""
Class aimed at holding all pair models/info in memory for better inferencing/retrainig/saving
/loading to/from disk.
This object remains persistent throughout live/dry, unlike FreqaiDataKitchen, which is
reinstantiated for each coin.
"""
def __init__(self, full_path: Path, config: dict, follow_mode: bool = False):
self.config = config
self.freqai_info = config.get('freqai', {})
# dictionary holding all pair metadata necessary to load in from disk
self.pair_dict: Dict[str, Any] = {}
# dictionary holding all actively inferenced models in memory given a model filename
self.model_dictionary: Dict[str, Any] = {}
self.model_return_values: Dict[str, Any] = {}
self.pair_data_dict: Dict[str, Any] = {}
self.historic_data: Dict[str, Any] = {}
# self.populated_historic_data: Dict[str, Any] = {} ?
self.follower_dict: Dict[str, Any] = {}
self.full_path = full_path
self.follow_mode = follow_mode
if follow_mode:
self.create_follower_dict()
self.load_drawer_from_disk()
self.training_queue: Dict[str, int] = {}
self.history_lock = threading.Lock()
# self.create_training_queue(pair_whitelist)
def load_drawer_from_disk(self):
"""
Locate and load a previously saved data drawer full of all pair model metadata in
present model folder.
:returns:
exists: bool = whether or not the drawer was located
"""
exists = Path(self.full_path / str('pair_dictionary.json')).resolve().exists()
if exists:
with open(self.full_path / str('pair_dictionary.json'), "r") as fp:
self.pair_dict = 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
def save_drawer_to_disk(self):
"""
Save data drawer full of all pair model metadata in present model folder.
"""
with open(self.full_path / str('pair_dictionary.json'), "w") as fp:
json.dump(self.pair_dict, fp, default=self.np_encoder)
def save_follower_dict_to_disk(self):
"""
Save follower dictionary to disk (used by strategy for persistent prediction targets)
"""
follower_name = self.config.get('bot_name', 'follower1')
with open(self.full_path / str('follower_dictionary-' +
follower_name + '.json'), "w") as fp:
json.dump(self.follower_dict, fp, default=self.np_encoder)
def create_follower_dict(self):
"""
Create or dictionary for each follower to maintain unique persistent prediction targets
"""
follower_name = self.config.get('bot_name', 'follower1')
whitelist_pairs = self.config.get('exchange', {}).get('pair_whitelist')
exists = Path(self.full_path / str('follower_dictionary-' +
follower_name + '.json')).resolve().exists()
if exists:
logger.info('Found an existing follower dictionary')
for pair in whitelist_pairs:
self.follower_dict[pair] = {}
with open(self.full_path / str('follower_dictionary-' +
follower_name + '.json'), "w") as fp:
json.dump(self.follower_dict, fp, default=self.np_encoder)
def np_encoder(self, object):
if isinstance(object, np.generic):
return object.item()
def get_pair_dict_info(self, pair: str) -> Tuple[str, int, bool, bool]:
"""
Locate and load existing model metadata from persistent storage. If not located,
create a new one and append the current pair to it and prepare it for its first
training
:params:
metadata: dict = strategy furnished pair metadata
:returns:
model_filename: str = unique filename used for loading persistent objects from disk
trained_timestamp: int = the last time the coin was trained
coin_first: bool = If the coin is fresh without metadata
return_null_array: bool = Follower could not find pair metadata
"""
pair_in_dict = self.pair_dict.get(pair)
data_path_set = self.pair_dict.get(pair, {}).get('data_path', None)
return_null_array = False
if pair_in_dict:
model_filename = self.pair_dict[pair]['model_filename']
trained_timestamp = self.pair_dict[pair]['trained_timestamp']
coin_first = self.pair_dict[pair]['first']
elif not self.follow_mode:
self.pair_dict[pair] = {}
model_filename = self.pair_dict[pair]['model_filename'] = ''
coin_first = self.pair_dict[pair]['first'] = True
trained_timestamp = self.pair_dict[pair]['trained_timestamp'] = 0
self.pair_dict[pair]['priority'] = len(self.pair_dict)
if not data_path_set and self.follow_mode:
logger.warning(f'Follower could not find current pair {pair} in '
f'pair_dictionary at path {self.full_path}, sending null values '
'back to strategy.')
return_null_array = True
return model_filename, trained_timestamp, coin_first, return_null_array
def set_pair_dict_info(self, metadata: dict) -> None:
pair_in_dict = self.pair_dict.get(metadata['pair'])
if pair_in_dict:
return
else:
self.pair_dict[metadata['pair']] = {}
self.pair_dict[metadata['pair']]['model_filename'] = ''
self.pair_dict[metadata['pair']]['first'] = True
self.pair_dict[metadata['pair']]['trained_timestamp'] = 0
self.pair_dict[metadata['pair']]['priority'] = len(self.pair_dict)
return
def pair_to_end_of_training_queue(self, pair: str) -> None:
# march all pairs up in the queue
for p in self.pair_dict:
self.pair_dict[p]['priority'] -= 1
# send pair to end of queue
self.pair_dict[pair]['priority'] = len(self.pair_dict)
def set_initial_return_values(self, pair: str, dh, dataframe: DataFrame) -> None:
self.model_return_values[pair] = dataframe
self.model_return_values[pair]['target_mean'] = dh.data['target_mean']
self.model_return_values[pair]['target_std'] = dh.data['target_std']
if self.freqai_info.get('feature_parameters', {}).get('DI_threshold', 0) > 0:
self.model_return_values[pair]['DI_values'] = dh.DI_values
def append_model_predictions(self, pair: str, predictions, do_preds,
target_mean, target_std, dh, len_df) -> None:
# strat seems to feed us variable sized dataframes - and since we are trying to build our
# own return array in the same shape, we need to figure out how the size has changed
# and adapt our stored/returned info accordingly.
length_difference = len(self.model_return_values[pair]['prediction']) - len_df
i = 0
if length_difference == 0:
i = 1
elif length_difference > 0:
i = length_difference + 1
df = self.model_return_values[pair].shift(-i)
df['prediction'].iloc[-1] = predictions[-1]
df['do_predict'].iloc[-1] = do_preds[-1]
df['target_mean'].iloc[-1] = target_mean
df['target_std'].iloc[-1] = target_std
if self.freqai_info.get('feature_parameters', {}).get('DI_threshold', 0) > 0:
df['DI_values'].iloc[-1] = dh.DI_values[-1]
if length_difference < 0:
prepend_df = pd.DataFrame(np.zeros((abs(length_difference) - 1, len(df.columns))),
columns=df.columns)
df = pd.concat([prepend_df, df], axis=0)
def return_null_values_to_strategy(self, dataframe: DataFrame, dh) -> None:
dataframe['prediction'] = 0
dataframe['do_predict'] = 0
dataframe['target_mean'] = 0
dataframe['target_std'] = 0
if self.freqai_info.get('feature_parameters', {}).get('DI_threshold', 0) > 0:
dataframe['DI_value'] = 0
def purge_old_models(self) -> None:
model_folders = [x for x in self.full_path.iterdir() if x.is_dir()]
pattern = re.compile(r"sub-train-(\w+)(\d{10})")
delete_dict: Dict[str, Any] = {}
for dir in model_folders:
result = pattern.match(str(dir.name))
if result is None:
break
coin = result.group(1)
timestamp = result.group(2)
if coin not in delete_dict:
delete_dict[coin] = {}
delete_dict[coin]['num_folders'] = 1
delete_dict[coin]['timestamps'] = {int(timestamp): dir}
else:
delete_dict[coin]['num_folders'] += 1
delete_dict[coin]['timestamps'][int(timestamp)] = dir
for coin in delete_dict:
if delete_dict[coin]['num_folders'] > 2:
sorted_dict = collections.OrderedDict(
sorted(delete_dict[coin]['timestamps'].items()))
num_delete = len(sorted_dict) - 2
deleted = 0
for k, v in sorted_dict.items():
if deleted >= num_delete:
break
logger.info(f'Freqai purging old model file {v}')
shutil.rmtree(v)
deleted += 1
def update_follower_metadata(self):
# follower needs to load from disk to get any changes made by leader to pair_dict
self.load_drawer_from_disk()
if self.config.get('freqai', {}).get('purge_old_models', False):
self.purge_old_models()
# 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, dh: 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, dh