import pandas as pd from typing import Callable, Optional from operator import itemgetter from data_loader.load_data import load_data from data_loader.process_data import process_data, check_data from reporting.wandb import launch_wandb, register_config_with_wandb from reporting.reporting import report_results from models.saving import save_models from config.config import get_default_ensemble_config from config.preprocess import validate_config, preprocess_config from training.training_steps import primary_step, secondary_step from utils.encapsulation import Reporting, Asset, Training_Step import ray ray.init() def run_pipeline(project_name:str, with_wandb: bool, sweep: bool, get_config: Callable) -> tuple[list[Asset], dict, dict, pd.DataFrame, pd.DataFrame, pd.DataFrame]: wandb, model_config, training_config, data_config = __setup_config(project_name, with_wandb, sweep, get_config) reporting = __run_training(model_config, training_config, data_config) results, all_predictions, all_probabilities, all_models_all_assets = reporting.get_results() report_results(results, all_predictions, model_config, wandb, sweep, project_name) save_models(all_models_all_assets, data_config, training_config) return all_models_all_assets, data_config, training_config, results, all_predictions, all_probabilities def __setup_config(project_name:str, with_wandb: bool, sweep: bool, get_config: Callable) -> tuple[Optional[object], dict, dict, dict]: model_config, training_config, data_config = get_config() wandb = None if with_wandb: wandb = launch_wandb(project_name=project_name, default_config=dict(**model_config, **training_config, **data_config), sweep=sweep) model_config, training_config, data_config = register_config_with_wandb(wandb, model_config, training_config, data_config) model_config, training_config, data_config = preprocess_config(model_config, training_config, data_config) return wandb, model_config, training_config, data_config def __run_training(model_config:dict, training_config:dict, data_config:dict): validate_config(model_config, training_config, data_config) configs = dict(model_config=model_config, training_config=training_config, data_config=data_config) reporting = Reporting() for asset in data_config['assets']: print('--------\nPredicting: ', asset[1]) configs['data_config']['target_asset'] = asset # 1. Load data, check for validity and process data (feature selection, dimensionality reduction, etc.) X, y, target_returns = load_data(**configs['data_config']) if check_data(X, y, training_config) is False: continue X, original_X, X_pca = process_data(X, y, configs) # 2. Train a Primary model with optional metalabeling for each asset training_step_primary, current_predictions = primary_step(X, y, original_X, X_pca, asset, target_returns, configs, reporting) # 3. Train an Ensemble model with optional metalabeling for each asset training_step_secondary = secondary_step(X, y, original_X, X_pca, current_predictions, asset, target_returns, configs, reporting) # 4. Save the models reporting.all_assets.append(Asset(ticker=asset[1], primary=training_step_primary, secondary=training_step_secondary)) return reporting if __name__ == '__main__': run_pipeline(project_name='price-prediction', with_wandb = False, sweep = False, get_config=get_default_ensemble_config)