mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-29 03:37:45 +00:00
Mark Aron Szulyovszky
442915f847
* feat(Data): create DataSource, DataCollection, added hourly crypto data * fix(Data): hourly data format, loading & config
64 lines
2.2 KiB
Python
64 lines
2.2 KiB
Python
import pytorch_lightning as pl
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from pytorch_lightning.callbacks import EarlyStopping, LearningRateMonitor
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from pytorch_forecasting import TimeSeriesDataSet, TemporalFusionTransformer
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from pytorch_forecasting.data import GroupNormalizer
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from pytorch_forecasting.metrics import QuantileLoss
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import sys
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sys.path.insert(0, '..')
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from data_loader.load_data import load_files
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print("success")
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def load_format_data(data_dir):
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print("Data Starting ===>", end=" ")
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# load data
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data = load_files(data_dir, add_features=True, log_returns=False, narrow_format=True)
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# need to treat time as an independent column
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data = data.reset_index().rename({'index':'time'}, axis = 'columns')
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# we need a `time_idx` column for pytorch-forecasting, so we convert the time column to a time index by encoding the dates as consecutive days from the first date.
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data['time_idx'] = (data['time']-data['time'].min()).astype('timedelta64[D]').astype(int)+1
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# volume needs some love before we can use it
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data.drop(columns=['volume'], inplace=True)
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data['month'] = data['month'].astype(str)
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data['day_month'] = data['day_month'].astype(str)
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data['day_week'] = data['day_week'].astype(str)
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print("<=== Data Loaded")
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print(data.head(3))
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print(data.describe())
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print("")
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return data
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def create_dataloaders(data, kwargs):
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print("DataLoader Starting ===>", end=" ")
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# training_cutoff = "YYYY-MM-DD" # day for cutoff
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# training_cutoff = data["time_idx"].max() - max_prediction_length
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batch_size = kwargs['batch_size']
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del kwargs['batch_size']
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training_dataset = TimeSeriesDataSet(
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data, # data[lambda x: x.date < training_cutoff],
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**kwargs
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)
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#%%
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# create validation and training dataset
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validation = TimeSeriesDataSet.from_dataset(training_dataset, data, predict=True, stop_randomization=True)
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train_dataloader = training_dataset.to_dataloader(train=True, batch_size=batch_size, num_workers=0)
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val_dataloader = validation.to_dataloader(train=False, batch_size=batch_size, num_workers=0)
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print("<=== DataLoader Created")
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return training_dataset, train_dataloader, val_dataloader |