myTestFreqAI/freqtrade/freqai/prediction_models/PyTorchTransformerRegressor.py

from typing import Any

import numpy as np
import numpy.typing as npt
import pandas as pd
import torch

from freqtrade.freqai.base_models.BasePyTorchRegressor import BasePyTorchRegressor
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.torch.PyTorchDataConvertor import (
    DefaultPyTorchDataConvertor,
    PyTorchDataConvertor,
)
from freqtrade.freqai.torch.PyTorchModelTrainer import PyTorchTransformerTrainer
from freqtrade.freqai.torch.PyTorchTransformerModel import PyTorchTransformerModel


class PyTorchTransformerRegressor(BasePyTorchRegressor):
    """
    This class implements the fit method of IFreqaiModel.
    in the fit method we initialize the model and trainer objects.
    the only requirement from the model is to be aligned to PyTorchRegressor
    predict method that expects the model to predict tensor of type float.
    the trainer defines the training loop.

    parameters are passed via `model_training_parameters` under the freqai
    section in the config file. e.g:
    {
        ...
        "freqai": {
            ...
            "conv_width": 30,  // PyTorchTransformer is based on windowing
            "feature_parameters": {
                ...
                "include_shifted_candles": 0,  // which removes the need for shifted candles
                ...
            },
            "model_training_parameters" : {
                "learning_rate": 3e-4,
                "trainer_kwargs": {
                    "n_steps": 5000,
                    "batch_size": 64,
                    "n_epochs": null
                },
                "model_kwargs": {
                    "hidden_dim": 512,
                    "dropout_percent": 0.2,
                    "n_layer": 1,
                },
            }
        }
    }
    """

    @property
    def data_convertor(self) -> PyTorchDataConvertor:
        return DefaultPyTorchDataConvertor(target_tensor_type=torch.float)

    def __init__(self, **kwargs) -> None:
        super().__init__(**kwargs)
        config = self.freqai_info.get("model_training_parameters", {})
        self.learning_rate: float = config.get("learning_rate", 3e-4)
        self.model_kwargs: dict[str, Any] = config.get("model_kwargs", {})
        self.trainer_kwargs: dict[str, Any] = config.get("trainer_kwargs", {})

    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 holding all data for train, test,
            labels, weights
        :param dk: The datakitchen object for the current coin/model
        """

        n_features = data_dictionary["train_features"].shape[-1]
        n_labels = data_dictionary["train_labels"].shape[-1]
        model = PyTorchTransformerModel(
            input_dim=n_features,
            output_dim=n_labels,
            time_window=self.window_size,
            **self.model_kwargs,
        )
        model.to(self.device)
        optimizer = torch.optim.AdamW(model.parameters(), lr=self.learning_rate)
        criterion = torch.nn.MSELoss()
        # check if continual_learning is activated, and retrieve the model to continue training
        trainer = self.get_init_model(dk.pair)
        if trainer is None:
            trainer = PyTorchTransformerTrainer(
                model=model,
                optimizer=optimizer,
                criterion=criterion,
                device=self.device,
                data_convertor=self.data_convertor,
                window_size=self.window_size,
                tb_logger=self.tb_logger,
                **self.trainer_kwargs,
            )
        trainer.fit(data_dictionary, self.splits)
        return trainer

    def predict(
        self, unfiltered_df: pd.DataFrame, dk: FreqaiDataKitchen, **kwargs
    ) -> tuple[pd.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)
        """

        dk.find_features(unfiltered_df)
        dk.data_dictionary["prediction_features"], _ = dk.filter_features(
            unfiltered_df, dk.training_features_list, training_filter=False
        )

        dk.data_dictionary["prediction_features"], outliers, _ = dk.feature_pipeline.transform(
            dk.data_dictionary["prediction_features"], outlier_check=True
        )

        x = self.data_convertor.convert_x(
            dk.data_dictionary["prediction_features"], device=self.device
        )
        # if user is asking for multiple predictions, slide the window
        # along the tensor
        x = x.unsqueeze(0)
        # create empty torch tensor
        self.model.model.eval()
        yb = torch.empty(0).to(self.device)
        if x.shape[1] > self.window_size:
            ws = self.window_size
            for i in range(0, x.shape[1] - ws):
                xb = x[:, i : i + ws, :].to(self.device)
                y = self.model.model(xb)
                yb = torch.cat((yb, y), dim=1)
        else:
            yb = self.model.model(x)

        yb = yb.cpu().squeeze(0)
        pred_df = pd.DataFrame(yb.detach().numpy(), columns=dk.label_list)
        pred_df, _, _ = dk.label_pipeline.inverse_transform(pred_df)

        if self.ft_params.get("DI_threshold", 0) > 0:
            dk.DI_values = dk.feature_pipeline["di"].di_values
        else:
            dk.DI_values = np.zeros(outliers.shape[0])
        dk.do_predict = outliers

        if x.shape[1] > 1:
            zeros_df = pd.DataFrame(
                np.zeros((x.shape[1] - len(pred_df), len(pred_df.columns))), columns=pred_df.columns
            )
            pred_df = pd.concat([zeros_df, pred_df], axis=0, ignore_index=True)
        return (pred_df, dk.do_predict)