def add_features(df: pd.DataFrame,
add_all=False,
drop_times=False,
sma="20,50,200",
ema="20,50"):
# df = df.drop("vl_incr", 1)
df['h'] = pd.to_numeric(df['datetime'].str[-9:-7])
df['min'] = pd.to_numeric(df['datetime'].str[-6:-4])
df['year'] = pd.to_numeric(df['datetime'].str[0:4])
for i in str(sma).split(","):
df['sma_' + str(i)] = df['last'].rolling(int(i)).mean()
# if ma:
# df['sma_20'] = df['last'].rolling(20).mean()
# df['sma_50'] = df['last'].rolling(50).mean()
# df['sma_200'] = df['last'].rolling(200).mean()
for i in str(ema).split(","):
df['ema_' + str(i)] = df['last'].ewm(span=int(i)).mean()
if drop_times:
df = df.drop("datetime", 1)
# df = df.drop("date", 1)
# df = df.drop("timestamp", 1)
if add_all:
df = df.astype('float32')
ta.add_all_ta_features(df,
open="open",
high='hi',
low='lo',
close='last',
volume='vl',
fillna=False)
return df
def test_general(self):
# Clean nan values
df = ta.utils.dropna(self._df)
# Add all ta features filling nans values
ta.add_all_ta_features(df=df,
open="Open",
high="High",
low="Low",
close="Close",
volume="Volume_BTC",
fillna=True)
# Add all ta features not filling nans values
ta.add_all_ta_features(df=df,
open="Open",
high="High",
low="Low",
close="Close",
volume="Volume_BTC",
fillna=False)
# Check added ta features are all numerical values after filling nans
input_cols = self._df.columns
df_with_ta = ta.add_all_ta_features(df=df,
open="Open",
high="High",
low="Low",
close="Close",
volume="Volume_BTC",
fillna=True)
ta_cols = [c for c in df_with_ta.columns if c not in input_cols]
assert df_with_ta[ta_cols].apply(lambda series: pd.to_numeric(
series, errors='coerce')).notnull().all().all()
def test_runs_with_external_feed_only(portfolio):
df = pd.read_csv("tests/data/input/bitfinex_(BTC,ETH)USD_d.csv").tail(100)
df = df.rename({"Unnamed: 0": "date"}, axis=1)
df = df.set_index("date")
bitfinex_btc = df.loc[:, [name.startswith("BTC") for name in df.columns]]
bitfinex_eth = df.loc[:, [name.startswith("ETH") for name in df.columns]]
ta.add_all_ta_features(
bitfinex_btc,
colprefix="BTC:",
**{k: "BTC:" + k
for k in ['open', 'high', 'low', 'close', 'volume']})
ta.add_all_ta_features(
bitfinex_eth,
colprefix="ETH:",
**{k: "ETH:" + k
for k in ['open', 'high', 'low', 'close', 'volume']})
streams = []
with NameSpace("bitfinex"):
for name in bitfinex_btc.columns:
streams += [
Stream.source(list(bitfinex_btc[name]),
dtype="float").rename(name)
]
for name in bitfinex_eth.columns:
streams += [
Stream.source(list(bitfinex_eth[name]),
dtype="float").rename(name)
]
feed = DataFeed(streams)
action_scheme = ManagedRiskOrders()
reward_scheme = SimpleProfit()
env = default.create(portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
feed=feed,
window_size=50,
enable_logger=False)
done = False
obs = env.reset()
while not done:
action = env.action_space.sample()
obs, reward, done, info = env.step(action)
assert obs.shape[0] == 50
def test_runs_with__external_feed_only(portfolio):
df = pd.read_csv("tests/data/input/coinbase_(BTC,ETH)USD_d.csv").tail(100)
df = df.rename({"Unnamed: 0": "date"}, axis=1)
df = df.set_index("date")
coinbase_btc = df.loc[:, [name.startswith("BTC") for name in df.columns]]
coinbase_eth = df.loc[:, [name.startswith("ETH") for name in df.columns]]
ta.add_all_ta_features(
coinbase_btc,
colprefix="BTC:",
**{k: "BTC:" + k for k in ['open', 'high', 'low', 'close', 'volume']}
)
ta.add_all_ta_features(
coinbase_eth,
colprefix="ETH:",
**{k: "ETH:" + k for k in ['open', 'high', 'low', 'close', 'volume']}
)
nodes = []
with Module("coinbase") as coinbase:
for name in coinbase_btc.columns:
nodes += [Stream(name, list(coinbase_btc[name]))]
for name in coinbase_eth.columns:
nodes += [Stream(name, list(coinbase_eth[name]))]
feed = DataFeed()(coinbase)
action_scheme = ManagedRiskOrders()
reward_scheme = SimpleProfit()
env = TradingEnvironment(
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
feed=feed,
window_size=50,
use_internal=False,
enable_logger=False
)
done = False
obs = env.reset()
while not done:
action = env.action_space.sample()
obs, reward, done, info = env.step(action)
n_features = coinbase_btc.shape[1] + coinbase_eth.shape[1]
assert obs.shape == (50, n_features)
def delete_row(self):
# Instantiating a Workbook object by excel file path
workbook = self.Workbook(self.dataDir + 'Book1.xls')
# Accessing the first worksheet in the Excel file
worksheet = workbook.getWorksheets().get(0)
# Deleting 3rd row from the worksheet
worksheet.getCells().deleteRows(2, 1, True)
# Saving the modified Excel file in default (that is Excel 2003) format
workbook.save(self.dataDir + "Delete Row.xls")
print
"Delete Row Successfully."
# Clean nan values
df = ta.utils.dropna(df)
# Add all ta features filling nans values
df = ta.add_all_ta_features(df, "Open", "High", "Low", "Close", "Volume_BTC", fillna=True)
######################################################################
df['Signal'] = 0
sell = []
buy = []
date_sell = []
date_buy = []
indicators = ['trend_psar']
for indicator in indicators:
for y in range(10, len(df.index)):
if df[indicator].iloc[y] <= df['Close'].iloc[y] and (df[indicator].iloc[y - 1] > df['Close'].iloc[y - 1]):
first_buy_signal = y
print(first_buy_signal)
break
for x in range(first_buy_signal - 1, len(df.index)):
if df[indicator].iloc[x] >= df['Close'].iloc[x] and (df[indicator].iloc[x - 1] < df['Close'].iloc[x - 1]):
df['Signal'].iloc[x] = 'Sell'
sell.append(df['Close'].iloc[x])
date_sell.append(df['Date'].iloc[x])
elif df[indicator].iloc[x] <= df['Close'].iloc[x] and (df[indicator].iloc[x - 1] > df['Close'].iloc[x - 1]):
df['Signal'].iloc[x] = 'Buy'
buy.append(df['Close'].iloc[x])
date_buy.append(df['Date'].iloc[x])
sell.append(0)
date_sell.append(0)
profits = pd.DataFrame()
profits['Buy'] = buy
profits['Buy Date'] = date_buy
profits['Sell'] = sell
profits['Sell Date'] = date_sell
profits['Profits'] = ((profits['Sell'] - profits['Buy']) / profits['Sell']) * 100
profits.drop(profits.tail(1).index, inplace=True) # drop last n rows
sum(profits['Profits'])
indicators_value.append(sum(profits['Profits']))
#####################################################################
tik = df.iloc[0]['TICKER']
ticker_name.append(tik)
def add_indicators(df):
print("Adding technical indicators")
df = ta.add_all_ta_features(df, "1. open", "2. high", "3. low", "4. close", "6. volume", fillna=True)
# df['100ma'] = df['5. adjusted close'].rolling(window=100).mean()
# df['9ema'] = df['5. adjusted close'].ewm(span=9, adjust=False).mean()
# df['12ema'] = df['5. adjusted close'].ewm(span=12, adjust=False).mean()
# df['26ema'] = df['5. adjusted close'].ewm(span=26, adjust=False).mean()
# df['macd'] = df['12ema'] - df['26ema']
# previousRow = 0
# for index, row in df.iterrows():
# df.loc[index, 'macd_relChange'] = abs(row.macd-previousRow)*100
# previousRow = row.macd
# # Add bollinger band high indicator filling Nans values
# df['bb_high_indicator'] = ta.bollinger_hband_indicator(df["close"], n=20, ndev=2, fillna=True)
# # Add bollinger band low indicator filling Nans values
# df['bb_low_indicator'] = ta.bollinger_lband_indicator(df["close"], n=20, ndev=2, fillna=True)
# # Add bollinger band high
# df['bb_high'] = ta.bollinger_hband(df["close"], n=20, ndev=2, fillna=True)
# # Add bolling band low
# df['bb_low'] = ta.bollinger_lband(df["close"], n=20, ndev=2, fillna=True)
# # Get rid of infinite changes
# df = df.replace([np.inf, -np.inf], np.nan)
# # Replace NaN with 0
# df.fillna(0, inplace=True)
return df
def PCA_TA(df):
openval = _PCA_TA(df, 'open')
closeval = _PCA_TA(df, 'close')
askval = _PCA_TA(df, 'ask')
bidval = _PCA_TA(df, 'bid')
import random
News_countval = [random.choice(df['News_count']) for i in range(181)]
newdf = pd.DataFrame({
'open': openval,
'close': closeval,
'bid': bidval,
'ask': askval,
'News_count': News_countval
})
df = df[["open", "ask", "bid", "close", "News_count"]]
df = pd.concat([df, newdf], ignore_index=True)
df = ta.add_all_ta_features(df,
"open",
"ask",
"bid",
"close",
"News_count",
fillna=True)
return df
def _download_kline_interval(symbol, start_date, end_date,
candlestick_interval, config_path):
#read in the config
config = read_config(path=config_path)
#create the client
client = Client(api_key=config["binance"]["key"],
api_secret=config["binance"]["secret"])
#download the data and safe it in a dataframe
print(f"Downloading {candlestick_interval} klines...")
raw_data = client.get_historical_klines(symbol=symbol,
interval=candlestick_interval,
start_str=start_date,
end_str=end_date)
data = pd.DataFrame(raw_data)
#clean the dataframe
data = data.astype(float)
data.drop(data.columns[[7, 8, 9, 10, 11]], axis=1, inplace=True)
data.rename(columns={
0: 'open_time',
1: 'open',
2: 'high',
3: 'low',
4: 'close',
5: 'volume',
6: 'close_time'
},
inplace=True)
#set the correct times
data['close_time'] += 1
data['close_time'] = pd.to_datetime(data['close_time'], unit='ms')
data['open_time'] = pd.to_datetime(data['open_time'], unit='ms')
#check for nan values
if data.isna().values.any():
raise Exception(
"Nan values in data, please discard this object and try again")
#add the technical analysis data
with warnings.catch_warnings():
warnings.filterwarnings("ignore")
data = ta.add_all_ta_features(data,
open='open',
high="high",
low="low",
close="close",
volume="volume",
fillna=True)
#drop first 60 rows
data = data.iloc[60:]
#reset the index
data.reset_index(inplace=True, drop=True)
return data
def calculate_indicators(product: Product, **kwargs):
try:
days = 60
better_start_date = fucking_date.now() - datetime.timedelta(days)
better_end_date = fucking_date.now()
shortened_better_data = get_data_for_timespan(better_start_date,
better_end_date, product)
# IMPORTANT TODO CALCULATE DATA FOR EVERY POSSIBLE RELATION IN A 3DIMENSIONAL ARRAY7
complete_data = pd.DataFrame(shortened_better_data,
columns=[
"Product", "Timestamp", "Open",
"High", "Low", "Close", "Volume"
])
all_indicators = add_all_ta_features(complete_data,
open="Open",
high="High",
low="Low",
close="Close",
volume="Volume",
fillna=True)
product.calculated_indicators = all_indicators
product.rsi = all_indicators["momentum_rsi"].values[-1]
except Exception as e:
pass
def engineer_features(df, period='5T'):
"""Takes a df, engineers ta features, and returns a df
default period=['5T']"""
# convert unix closing_time to datetime
df['date'] = pd.to_datetime(df['closing_time'], unit='s')
# time resampling to fill gaps in data
df = resample_ohlcv(df, period)
# move date off the index
df = df.reset_index()
# create closing_time
closing_time = df.date.values
df.drop(columns='date', inplace=True)
# create feature to indicate where rows were gaps in data
df['nan_ohlcv'] = df['close'].apply(lambda x: 1 if pd.isnull(x) else 0)
# fill gaps in data
df = fill_nan(df)
# adding all the technical analysis features...
df = add_all_ta_features(df, 'open', 'high', 'low', 'close', 'base_volume', fillna=True)
# add closing time column
df['closing_time'] = closing_time
return df
def get_candles(symbol, tf):
global binance, contracts
candles_raw = binance.get_historical_candles(contracts[symbol], tf)
candles = {}
candles['close'] = [candle.data_dict['close'] for candle in candles_raw]
candles['open'] = [candle.data_dict['open'] for candle in candles_raw]
candles['high'] = [candle.data_dict['high'] for candle in candles_raw]
candles['low'] = [candle.data_dict['low'] for candle in candles_raw]
candles['volume'] = [candle.data_dict['volume'] for candle in candles_raw]
candles['timestamp'] = [
candle.data_dict['timestamp'] for candle in candles_raw
]
df = pd.DataFrame(data=candles)
df = ta.add_all_ta_features(df,
"open",
"high",
"low",
"close",
"volume",
fillna=True)
return {'candles': candles, 'df': df.to_dict()}
def feature_engineer(path):
# import csv and drop the Unnamed:0 column
df = pd.read_csv(path, index_col=0)[::-1][-60:]
# add close_diff feature
df['close_diff'] = df['close'] - df['close'].shift(1)
# engineer all ta features from ta library
df = add_all_ta_features(df,
"open",
"high",
"low",
"close",
"volume",
fillna=True)[-1:]
# get time of prediction
prediction_time = df.time.values
prediction_time = datetime.datetime.fromtimestamp(
prediction_time).strftime('%Y-%m-%d %H:%M:%S')
# drop null columns and time
drop_columns = [
'volume_obv', 'trend_adx', 'trend_adx_pos', 'trend_adx_neg',
'trend_trix', 'time'
]
df.drop(columns=drop_columns, inplace=True)
return [df, prediction_time]
def _feature_engineering(df, volume=True):
if volume:
df = ta.add_all_ta_features(df,
open="Open",
high="High",
low="Low",
close="Last",
volume="Volume",
fillna=False)
else:
df = ta.add_momentum_ta(df,
high="High",
low="Low",
close="Last",
volume="Volume",
fillna=False)
df = ta.add_volatility_ta(df,
high="High",
low="Low",
close="Last",
fillna=False)
df = ta.add_trend_ta(df,
high="High",
low="Low",
close="Last",
fillna=False)
df = ta.add_others_ta(df, close="Last", fillna=False)
df["trend_psar_up"] = df["trend_psar_up"].fillna(0.0)
df["trend_psar_down"] = df["trend_psar_down"].fillna(0.0)
return df
def pad_history():
full_resampled = resampled_df.append(df_mid, sort=False)
a = pd.DataFrame([full_resampled.iloc[0] for j in range(30+1-len(full_resampled))])
a = a.append(full_resampled, sort=False)
a.index = pd.date_range(start=df_mid.index[-1], periods=len(a), freq='-15Min').sort_values()
df_mid_ta = ta.add_all_ta_features(a, "open", "high", "low", "close", "vol", fillna=True)
return df_mid_ta
def get_state(self, device="cpu"):
#get the data
data = self.data.copy()
#add the technical analysis data
with warnings.catch_warnings():
warnings.filterwarnings("ignore")
data = ta.add_all_ta_features(data,
open='open',
high="high",
low="low",
close="close",
volume="volume",
fillna=True)
#select the features
data = data[self.HP.features]
#prep the data (data is now a numpy array)
data, _ = TrainDataBase._raw_data_prep(data=data,
derive=self.HP.derivation,
scaling_method=self.HP.scaling,
preloaded_scaler=self.scaler,
scaler_type=self.HP.scaler_type)
#get correct size
data = data.iloc[-self.HP.window_size:, :]
#convert to pytorch tensor and move to device
data = torch.tensor(data.to_numpy(), device=device)
#add the batch dimension
data = data.unsqueeze(dim=0)
return data
def transform(self, X, **transform_params):
X = ta.add_all_ta_features(df=X, open=self._open_column, high=self._high_column,
low=self._low_column, close=self._close_column,
volume=self._volume_column, fillna=self._fillna,
colprefix=self._colprefix)
return X.values
def add_ta_features2(df, ta_settings):
"""Add technial analysis features from typical financial dataset that
typically include columns such as "open", "high", "low", "price" and
"volume".
http://github.com/bukosabino/ta
Args:
df(pandas.DataFrame): original DataFrame.
ta_settings(dict): configuration.
Returns:
pandas.DataFrame: DataFrame with new features included.
"""
if ta_settings:
# Add ta features filling NaN values
df = add_all_ta_features(df,
"open",
"high",
"low",
"price",
"volume",
fillna=True)
return df
def addAllTechnicalIndicators(df):
df = df.copy()
assert all([
a == b for a, b in zip(df.columns,
['open', 'high', 'low', 'close', 'volume'])
]), "Columns must be open, high, low, close, volume"
df = ta.add_all_ta_features(df,
open="open",
high="high",
low="low",
close="close",
volume="volume")
df['ao'] = pandas_ta.ao(df['high'], df['low'], fast=5, slow=34)
df['apo'] = pandas_ta.apo(df['close'], fast=12, slow=26)
df['bop'] = pandas_ta.bop(df['open'], df['high'], df['low'],
df['close'])
df['cg'] = pandas_ta.cg(df['close'], length=10)
df['fwma'] = pandas_ta.fwma(df['close'], length=10)
df['kurtosis'] = pandas_ta.kurtosis(df['close'], length=30)
return df
def preprocess_dataset(df,
indicators=[
'trend_sma_fast', 'trend_ema_fast', 'trend_macd',
'momentum_roc', 'volatility_bbh', 'volatility_bbl',
'volatility_bbp', 'momentum_stoch',
'momentum_stoch_signal'
]):
data = df.copy()
tmp = df.copy()
data = set_up_down(data)
#tmp = ta.add_all_ta_features(tmp, open="Open", high="High", low="Low", close="Close", volume="Volume",fillna=True)
data = ta.add_all_ta_features(data,
open="Open",
high="High",
low="Low",
close="Close",
volume="Volume",
fillna=True)
#data=data[['Date','Close','NextDayUp']]
#data[indicators] = tmp[indicators]
data = data.drop(df.head(30).index)
return data
def ta_test():
ticker_list = [
'aapl', 'amzn', 'msft', 'amd', 'nvda', 'goog', 'baba', 'fitb', 'mu',
'fb', 'sq', 'tsm', 'qcom', 'mo', 'bp', 'unh', 'cvs', 'tpr'
]
data = {}
conn = connect()
timestamp1 = datetime(2008, 1, 1)
timestamp2 = datetime(2030, 1, 1)
for i in ticker_list:
data[i] = get_data_interval(conn,
'data_daily_{}'.format(i),
timestamp1,
timestamp2,
pandas=True)
data[i] = ta.add_all_ta_features(data[i],
open='open',
high='high',
low='low',
close='close',
volume='volume')
print(data[i])
train, test, label_train, label_test = process_data(data)
print_distribution(train, label_train)
print_distribution(test, label_test)
train_cnn(cnn(input_shape=(30, 4), num_classes=num_classes), train,
label_train, test, label_test)
def initHistory(share_name):
"""
This function generates a history from a share name
Parameters
----------
share_name: str
Share name in yahoo format
Returns
-------
A pandas with last share values and TA
"""
df = __getLastPrices(share_name, HISTORY_LENGTH)
if df is not None:
df = ta.add_all_ta_features(df,
"open",
"high",
"low",
"close",
"volume",
fillna=True)
for day in PREDICTIONS_DAYS:
column_name = PREDICTION_PREFIX + str(day)
df[column_name] = np.nan
for i in range(0, len(df)):
makePredictions(df, i)
return df
def ta_xtrain_def(self):
# op = self.df['open']
# hi = self.df['high']
# lo = self.df['low']
# cl = self.df['close']
# self.talibdf= self.df.drop(['date'],axis=1)
# candle_names = talib.get_function_groups()['Pattern Recognition']
# for candle in candle_names:
# self.talibdf[candle] = getattr(talib, candle)(op, hi, lo, cl)
df = self.df
df = df.drop(['date'], axis=1)
self.talibdf = add_all_ta_features(df,
open="open",
high="high",
low="low",
close="close",
volume="volume").fillna(0)
training_data_len = math.ceil(len(self.talibdf) * .99)
x_train = []
y_train = []
train_data = np.array(self.talibdf)[0:training_data_len, :]
for i in range(60, len(train_data) - 61):
x_train.append(train_data[i - 60:i, :])
y_train.append(train_data[i:i + 60, 0])
self.ta_x_train, self.ta_y_train = np.array(x_train), np.array(y_train)
# x_train=np.array(x_train)
# x_train=x_train.reshape([x_train.shape[0],x_train.shape[1]*x_train.shape[2]])
# y_train=np.array(y_train)
# self.dxtrain=xgb.DMatrix(x_train)
# self.dytrain=xgb.DMatrix(y_train)
# self.dtrain = xgb.DMatrix(x_train, label=y_train)
########################################################################################
test_data = np.array(self.talibdf)[training_data_len - 60:, :]
x_test = []
y_test = []
for i in range(60, len(test_data) - 61):
x_test.append(test_data[i - 60:i, :])
y_test.append(test_data[i:i + 60, 0])
self.ta_x_test, self.ta_y_test = np.array(x_test), np.array(y_test)
# x_test=np.array(x_test)
# x_test=x_test.reshape([x_test.shape[0],x_test.shape[1]*x_test.shape[2]])
# y_test=np.array(y_test)
# self.dxtest=xgb.DMatrix(x_test)
# self.dytest=xgb.DMatrix(y_test)
# self.dtest = xgb.DMatrix(x_test, label=y_test)
print(self.name + ' : ta_x_train shape : ', str(self.ta_x_train.shape))
print(self.name + ' : ta_y_train shape : ', str(self.ta_y_train.shape))
print(self.name + ' : ta_x_test shape : ', str(self.ta_x_test.shape))
print(self.name + ' : ta_y_test shape : ', str(self.ta_y_test.shape))
print('ta_xtrain_def end............')
def add_all_indicators(self):
for frame in self._stock_prices:
frame.data = add_all_ta_features(frame.data, 'open', 'high', 'low',
'close', 'volume')
self._current_indicators[frame.symbol] = {}
self._current_indicators[
frame.symbol]['indicators'] = frame.data.iloc[:, 6:]
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# Add all ta features
# dataframe = dropna(dataframe)
dataframe = add_all_ta_features(
dataframe, open="open", high="high", low="low", close="close", volume="volume", fillna=False)
# dataframe.to_csv("df.csv", index=True)
print(metadata['pair'])
return dataframe
def __init__(self, data):
self.data = data
self._features = ta.add_all_ta_features(self.data,
open="Open",
high="High",
low="Low",
close="Close",
volume="Volume")
def add_technical_indicators(history):
return add_all_ta_features(
history,
open="Open",
high="High",
low="Low",
close="Close",
volume="Volume") # Substantiate data with momentum indicators
def add_technical_indicators(raw_data):
return ta.add_all_ta_features(raw_data,
"Open",
"High",
"Low",
"Close",
"Volume",
fillna=True)
def tech(df):
import ta
return ta.add_all_ta_features(df,
open="open",
high="high",
low="low",
close="close",
volume="volume")
def add_all_ta(self, df):
df_ta = ta.add_all_ta_features(df,
open='open',
high='high',
low='low',
close='close',
volume='volume',
fillna=True)
return df_ta
def add_ta_features(df):
dd = add_all_ta_features(df,
open="open",
high="high",
low="low",
close="close",
volume="volume")
df = dd.copy()
return df
