from typing import Optional from config.types import Config, RawConfig from config.preprocess import preprocess_config from config.presets import get_default_config from data_loader.load import load_data from data_loader.process import check_data from labeling.process import label_data from reporting.wandb import launch_wandb, override_config_with_wandb_values from reporting.reporting import report_results from reporting.saving import save_models from training.directional_training import train_directional_model from training.bet_sizing import bet_sizing_with_meta_model from training.types import PipelineOutcome import ray ray.init() def run_pipeline( project_name: str, with_wandb: bool, sweep: bool, raw_config: RawConfig ) -> tuple[PipelineOutcome, Config]: wandb, config = setup_config(project_name, with_wandb, sweep, raw_config) pipeline_outcome = run_training(config) report_results( pipeline_outcome.directional_training.training.stats, pipeline_outcome.get_output_stats(), pipeline_outcome.get_output_weights(), config, wandb, sweep, ) if config.save_models: save_models(pipeline_outcome, config) return pipeline_outcome, config def setup_config( project_name: str, with_wandb: bool, sweep: bool, raw_config: RawConfig ) -> tuple[Optional[object], Config]: wandb = None if with_wandb: wandb = launch_wandb( project_name=project_name, default_config=raw_config, sweep=sweep ) raw_config = override_config_with_wandb_values(wandb, raw_config) config = preprocess_config(raw_config) return wandb, config def run_training(config: Config) -> PipelineOutcome: print("---> Load data, check for validity") X, returns = load_data( assets=config.assets, other_assets=config.other_assets, exogenous_data=config.exogenous_data, target_asset=config.target_asset, load_non_target_asset=config.load_non_target_asset, own_features=config.own_features, other_features=config.other_features, exogenous_features=config.exogenous_features, ) assert check_data(X, config) == True, "Data is not valid." print("---> Filter for significant events when we want to trade, and label data") events, X, y, forward_returns = label_data( config.event_filter, config.labeling, X, returns ) print("---> Train directional models") directional_training_outcome = train_directional_model( X, y, forward_returns, config, config.directional_model, config.transformations, from_index=None, preloaded_training_step=None, ) print("---> Run bet sizing on directional model's output") bet_sizing_outcomes = bet_sizing_with_meta_model( X, directional_training_outcome.training.predictions, y, forward_returns, config.meta_model, config.transformations, config, "meta", None, None, None, ) return PipelineOutcome(directional_training_outcome, bet_sizing_outcomes) if __name__ == "__main__": run_pipeline( project_name="price-prediction", with_wandb=False, sweep=False, raw_config=get_default_config(), )