drift/labeling/process.py

from .types import EventFilter, EventLabeller, EventsDataFrame
from data_loader.types import ForwardReturnSeries, XDataFrame, ReturnSeries, ySeries

def label_data(
			event_filter: EventFilter,
			event_labeller: EventLabeller,
			X: XDataFrame,
			returns: ReturnSeries) -> tuple[EventsDataFrame, XDataFrame, ySeries, ForwardReturnSeries]:

	event_start_times = event_filter.get_event_start_times(returns)
	print("| Filtered out ", (1 - (len(event_start_times) / len(returns))) * 100, "% of timestamps" )

	events, forward_returns = event_labeller.label_events(event_start_times, returns)

	X = X.filter(items = events.index, axis = 0)
	y = events['label']
	forward_returns = events['returns']

	return events, X, y, forward_returns