def test_inverse_transform(self):
"""
Test that we can reverse a transformation to the original values.
"""
encoder = CSEncoder(self.params)
cse = encoder.fit_transform(self.data)
# Inverse transform needs a dataframe as input, and the first CS.
df = cs_to_df(cse, self.params.cse_tags)
inv_cse = encoder.inverse_transform(df, cse[0])
for i in range(inv_cse.shape[0]):
self.assertEqual(inv_cse.iloc[i]['o'], self.data.iloc[i]['o'])
def predict_next(ticks: DataFrame, encoder: CSEncoder, nn: Dict[str, CS_NN],
params: CSDictionary) -> float:
"""
From a list of ticks, make a prediction of what will be the next CS.
:param ticks: a dataframe of ticks with the expected headers and size
corresponding to the window size of the network to be used.
:param encoder: the encoder used to train the network
:param nn: the recurrent network to make the prediction with
:param params: the parameters file read from configuration.
:return: the close value of the CS predicted.
"""
# Check that the input group of ticks match the size of the window of
# the network that is going to make the predict. That parameter is in
# the window_size attribute within the 'encoder'.
if ticks.shape[0] != encoder.params.window_size:
info_msg = 'Tickgroup resizing: {} -> {}'
params.log.info(
info_msg.format(ticks.shape[0], encoder.params.window_size))
ticks = ticks.iloc[-encoder.params.window_size():, :]
ticks.reset_index()
# encode the tick in CSE and OH. Reshape it to the expected LSTM format.
cs_tick = encoder.transform(ticks[params.ohlc_tags])
pred_body_cs = predict_body(cs_tick, encoder, nn)
pred_move_cs = predict_move(cs_tick, encoder, nn)
prediction_cs = pred_body_cs + pred_move_cs
# Build a single row dataframe with the entire prediction
prediction_df = pd.DataFrame(columns=params.cse_tags,
data=np.array(prediction_cs).reshape(
-1, len(params.cse_tags)))
cs_values = '|'.join('{}'.format(_)
for _ in prediction_df[params.cse_tags].values[0])
params.log.info(f"N2t {nn['body'].name} -> {cs_values}")
# Convert the prediction to a real tick
# TODO: Keep the date in predictions, so we can see for what date the
# prediction is being produced
# TODO: Instead of returning only the CLOSE value, return the entire
# candlestick.
pred = encoder.inverse_transform(prediction_df, cs_tick[-1])
return pred['c'].values[-1]
