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_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, sweep = 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(config.event_filter, config.labeling, X, returns) inference_from: pd.Timestamp = X.index[len(X.index) - 1] # 3. Train directional models directional_training_outcome = train_directional_model(X, y, forward_returns, config, config.directional_model, 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, directional_training_outcome.training.predictions, y, forward_returns, config.meta_model, config, 'meta', from_index = inference_from, transformations_over_time = pipeline_outcome.bet_sizing.meta_transformations, preloaded_models = pipeline_outcome.bet_sizing.meta_training.model_over_time) return PipelineOutcome(directional_training_outcome, bet_sizing_outcome) if __name__ == '__main__': run_inference(preload_models=True, fallback_raw_config=get_lightweight_ensemble_config())