from .types import Config, RawConfig from utils.helpers import flatten from feature_extractors.feature_extractor_presets import presets as feature_extractor_presets from models.model_map import get_model from data_loader.collections import data_collections from labeling.eventfilters_map import eventfilters_map from labeling.labellers_map import labellers_map from models.sklearn import SKLearnModel from sklearn.ensemble import VotingClassifier def preprocess_config(raw_config: RawConfig) -> Config: config_dict = vars(raw_config) config_dict = __preprocess_model_config(config_dict) config_dict = __preprocess_feature_extractors_config(config_dict) config_dict = __preprocess_data_collections_config(config_dict) config_dict = __preprocess_event_filter_config(config_dict) config_dict = __preprocess_event_labeller_config(config_dict) config_dict['no_of_classes'] = 'two' config_dict['mode'] = 'training' config = Config(**config_dict) return config def __preprocess_feature_extractors_config(data_dict: dict) -> dict: data_dict = data_dict.copy() keys = ['own_features', 'other_features', 'exogenous_features'] for key in keys: preset_names = data_dict[key] data_dict[key] = flatten([feature_extractor_presets[preset_name] for preset_name in preset_names]) return data_dict def __preprocess_model_config(model_config: dict) -> dict: directional_models = [get_model(model_name) for model_name in model_config['directional_models']] model_config.pop('directional_models') model_config['directional_model'] = SKLearnModel(VotingClassifier([(m.name, m)for m in directional_models], voting ='soft')) if len(model_config['meta_models']) > 0: meta_models = [get_model(model_name) for model_name in model_config['meta_models']] model_config['meta_model'] = SKLearnModel(VotingClassifier([(m.name, m)for m in meta_models], voting ='soft')) model_config.pop('meta_models') return model_config def __preprocess_data_collections_config(data_dict: dict) -> dict: keys = ['assets', 'other_assets', 'exogenous_data'] for key in keys: preset_names = data_dict[key] data_dict[key] = flatten([data_collections[preset_name] for preset_name in preset_names]) target_asset = next(iter([asset for asset in data_dict['assets'] if asset[1] == data_dict['target_asset']]), None) if target_asset is None: raise Exception('Target asset wasnt found in assets') data_dict['target_asset'] = target_asset return data_dict def __preprocess_event_filter_config(data_dict: dict) -> dict: data_dict['event_filter'] = eventfilters_map[data_dict['event_filter']] return data_dict def __preprocess_event_labeller_config(config_dict: dict) -> dict: config_dict['labeling'] = labellers_map[config_dict['labeling']](config_dict['forecasting_horizon']) return config_dict