from data_loader import load_data from data_loader.process import check_data from reporting.saving import load_models from run_pipeline import run_pipeline from config.types import Config, RawConfig from config.presets import get_dev_config, get_default_ensemble_config, get_lightweight_ensemble_config from labeling.process import label_data import pandas as pd from training.directional_training import train_directional_models from training.bet_sizing import bet_sizing_with_meta_models from training.ensemble import ensemble_weights from training.types import PipelineOutcome def run_inference(preload_models:bool, fallback_raw_config: RawConfig): if preload_models: pipeline_outcome, config = load_models(None) else: pipeline_outcome, config = run_pipeline(project_name='price-prediction', with_wandb = False, sweep = False, raw_config=fallback_raw_config) __inference(config, pipeline_outcome) def __inference(config: Config, pipeline_outcome: PipelineOutcome): # 1. Load data, check for validity and process data X, returns, forward_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. Cancelling Inference." events, X, y, forward_returns = label_data(config.event_filter, config.labeling, X, returns, forward_returns) inference_from: pd.Timestamp = X.index[len(X.index) - 2] # 2. 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, forward_returns) # 3. Train directional models directional_training_outcome = train_directional_models(X, y, forward_returns, config, config.directional_models, from_index = inference_from, preloaded_training_step = pipeline_outcome.directional_training) # 4. Run bet sizing on primary model's output bet_sizing_outcomes = [bet_sizing_with_meta_models(X, training_outcome.predictions, y, forward_returns, config.meta_models, config, 'meta', from_index = inference_from, transformations_over_time = preloaded_outcome.meta_transformations, preloaded_models = [b.model_over_time for b in preloaded_outcome.meta_training]) for training_outcome, preloaded_outcome in zip(directional_training_outcome.training, pipeline_outcome.bet_sizing)] # 4. Ensemble weights ensemble_outcome = ensemble_weights([o.weights for o in bet_sizing_outcomes], forward_returns, y, config.no_of_classes) # 5. (Optional) Additional bet sizing on top of the ensembled weights ensemble_bet_sizing_outcome = bet_sizing_with_meta_models(X, ensemble_outcome.weights, y, forward_returns, config.meta_models, config, 'ensemble', from_index = inference_from, transformations_over_time = pipeline_outcome.secondary_bet_sizing.meta_transformations, preloaded_models= [b.model_over_time for b in pipeline_outcome.secondary_bet_sizing.meta_training]) if len(config.meta_models) > 0 else None return PipelineOutcome(directional_training_outcome, bet_sizing_outcomes, ensemble_outcome, ensemble_bet_sizing_outcome) if __name__ == '__main__': run_inference(preload_models=True, fallback_raw_config=get_lightweight_ensemble_config())