import pandas as pd from typing import Optional, Union import warnings from data_loader.load_data import load_data from data_loader.process_data import process_data, check_data from reporting.types import Reporting from training.training_steps import primary_step, secondary_step def run_inference_pipeline(data_config:dict, training_config:dict, model_config:dict, all_models_all_assets:list[Reporting.Asset]): configs = dict(model_config=model_config, training_config=training_config, data_config=data_config) configs['data_config']['target_asset'] = data_config['assets'][0] primary_models, secondary_models = __select_models(configs, all_models_all_assets) result = __inference(configs, primary_models, secondary_models) return result def __inference(configs:dict, primary_models:Union[Reporting.Training_Step,None], secondary_models:Union[Reporting.Training_Step, None]): reporting = Reporting() asset = configs['data_config']['target_asset'] # 1. Load data, truncate it, check for validity and process data (feature selection, dimensionality reduction, etc.) X, y, target_returns = load_data(**configs['data_config']) X, y = __select_data(X, y, configs['training_config']) assert check_data(X, y, configs['training_config']) == False, "Data is not valid. Cancelling Inference." X, original_X = 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, asset, target_returns, configs, reporting, primary_models) # 3. Train an Ensemble model with optional metalabeling for each asset if secondary_step is not None: warnings.warn("Secondary models are not specified.") training_step_secondary = secondary_step(X, y, original_X, current_predictions, asset, target_returns, configs, reporting, secondary_models) # 4. Save the models reporting.all_assets.append(Reporting.Asset(ticker=asset, primary=training_step_primary, secondary=training_step_secondary)) return reporting def __select_models( configs:dict, all_models_all_assets:list[Reporting.Asset])-> tuple[Union[Reporting.Training_Step,None], Union[Reporting.Training_Step, None]]: target_asset_name = configs['data_config']['target_asset'][1] primary_step, secondary_step, = None, None target_asset_models = next((x for x in all_models_all_assets if x.name == target_asset_name), None) if target_asset_models is not None: if len(target_asset_models.primary.base)>0: primary_step = target_asset_models.primary else: warnings.warn("No primary models found for {}.".format(target_asset_name)) if len(target_asset_models.secondary.base)>0: secondary_step = target_asset_models.secondary else: warnings.warn("No secondary models found for {}.".format(target_asset_name)) else: assert("No models found for asset: " + target_asset_name) return primary_step, secondary_step def __select_data(X:pd.DataFrame, y:pd.Series, training_config:dict)-> tuple[pd.DataFrame, pd.Series]: window_size = training_config['sliding_window_size_primary'] num_rows = X.shape[0] if num_rows <= window_size: return X.copy(), y.copy() else: return X.truncate(before=int(num_rows-window_size), after=num_rows, copy=True), y.truncate(before=int(num_rows-window_size), after=num_rows, copy=True)