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_default_config from labeling.process import label_data import pandas as pd from training.directional_training import train_directional_model from training.bet_sizing import bet_sizing_with_meta_model 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, raw_config=fallback_raw_config, ) config.mode = "inference" __inference(config, pipeline_outcome) def __inference(config: Config, pipeline_outcome: PipelineOutcome): # 1. Load data, check for validity and process data 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. Cancelling Inference." # 2. Filter for significant events when we want to trade, and label data events, X, y, forward_returns = label_data( event_filter=config.event_filter, event_labeller=config.labeling, X=X, returns=returns, remove_overlapping_events=config.remove_overlapping_events, ) inference_from: pd.Timestamp = X.index[len(X.index) - 1] # 3. Train directional models directional_training_outcome = train_directional_model( X=X, y=y, forward_returns=forward_returns, config=config, model=config.directional_model, transformations=config.transformations, from_index=inference_from, preloaded_training_step=pipeline_outcome.directional_training, ) # 4. Run bet sizing on primary model's output bet_sizing_outcome = bet_sizing_with_meta_model( X=X, input_predictions=directional_training_outcome.predictions, y=y, forward_returns=forward_returns, model=config.meta_model, transformations=config.transformations, config=config, from_index=inference_from, transformations_over_time=pipeline_outcome.bet_sizing.transformations, preloaded_models=pipeline_outcome.bet_sizing.model_over_time, ) return PipelineOutcome(directional_training_outcome, bet_sizing_outcome) if __name__ == "__main__": run_inference(preload_models=True, fallback_raw_config=get_default_config())