Import 9 alphaear finance skills
- alphaear-deepear-lite: DeepEar Lite API integration - alphaear-logic-visualizer: Draw.io XML finance diagrams - alphaear-news: Real-time finance news (10+ sources) - alphaear-predictor: Kronos time-series forecasting - alphaear-reporter: Professional financial reports - alphaear-search: Web search + local RAG - alphaear-sentiment: FinBERT/LLM sentiment analysis - alphaear-signal-tracker: Signal evolution tracking - alphaear-stock: A-Share/HK/US stock data Updates: - All scripts updated to use universal .env path - Added JINA_API_KEY, LLM_*, DEEPSEEK_API_KEY to .env.example - Updated load_dotenv() to use ~/.config/opencode/.env
This commit is contained in:
Kunthawat Greethong
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import numpy as np
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import pandas as pd
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import torch
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from huggingface_hub import PyTorchModelHubMixin
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import sys
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from tqdm import trange
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sys.path.append("../")
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from model.module import *
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class KronosTokenizer(nn.Module, PyTorchModelHubMixin):
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"""
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KronosTokenizer module for tokenizing input data using a hybrid quantization approach.
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This tokenizer utilizes a combination of encoder and decoder Transformer blocks
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along with the Binary Spherical Quantization (BSQuantizer) to compress and decompress input data.
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Args:
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d_in (int): Input dimension.
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d_model (int): Model dimension.
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n_heads (int): Number of attention heads.
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ff_dim (int): Feed-forward dimension.
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n_enc_layers (int): Number of encoder layers.
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n_dec_layers (int): Number of decoder layers.
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ffn_dropout_p (float): Dropout probability for feed-forward networks.
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attn_dropout_p (float): Dropout probability for attention mechanisms.
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resid_dropout_p (float): Dropout probability for residual connections.
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s1_bits (int): Number of bits for the pre token in BSQuantizer.
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s2_bits (int): Number of bits for the post token in BSQuantizer.
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beta (float): Beta parameter for BSQuantizer.
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gamma0 (float): Gamma0 parameter for BSQuantizer.
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gamma (float): Gamma parameter for BSQuantizer.
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zeta (float): Zeta parameter for BSQuantizer.
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group_size (int): Group size parameter for BSQuantizer.
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"""
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def __init__(self, d_in, d_model, n_heads, ff_dim, n_enc_layers, n_dec_layers, ffn_dropout_p, attn_dropout_p, resid_dropout_p, s1_bits, s2_bits, beta, gamma0, gamma, zeta, group_size):
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super().__init__()
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self.d_in = d_in
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self.d_model = d_model
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self.n_heads = n_heads
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self.ff_dim = ff_dim
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self.enc_layers = n_enc_layers
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self.dec_layers = n_dec_layers
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self.ffn_dropout_p = ffn_dropout_p
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self.attn_dropout_p = attn_dropout_p
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self.resid_dropout_p = resid_dropout_p
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self.s1_bits = s1_bits
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self.s2_bits = s2_bits
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self.codebook_dim = s1_bits + s2_bits # Total dimension of the codebook after quantization
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self.embed = nn.Linear(self.d_in, self.d_model)
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self.head = nn.Linear(self.d_model, self.d_in)
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# Encoder Transformer Blocks
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self.encoder = nn.ModuleList([
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TransformerBlock(self.d_model, self.n_heads, self.ff_dim, self.ffn_dropout_p, self.attn_dropout_p, self.resid_dropout_p)
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for _ in range(self.enc_layers - 1)
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])
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# Decoder Transformer Blocks
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self.decoder = nn.ModuleList([
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TransformerBlock(self.d_model, self.n_heads, self.ff_dim, self.ffn_dropout_p, self.attn_dropout_p, self.resid_dropout_p)
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for _ in range(self.dec_layers - 1)
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])
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self.quant_embed = nn.Linear(in_features=self.d_model, out_features=self.codebook_dim) # Linear layer before quantization
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self.post_quant_embed_pre = nn.Linear(in_features=self.s1_bits, out_features=self.d_model) # Linear layer after quantization (pre part - s1 bits)
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self.post_quant_embed = nn.Linear(in_features=self.codebook_dim, out_features=self.d_model) # Linear layer after quantization (full codebook)
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self.tokenizer = BSQuantizer(self.s1_bits, self.s2_bits, beta, gamma0, gamma, zeta, group_size) # BSQuantizer module
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def forward(self, x):
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"""
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Forward pass of the KronosTokenizer.
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Args:
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x (torch.Tensor): Input tensor of shape (batch_size, seq_len, d_in).
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Returns:
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tuple: A tuple containing:
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- tuple: (z_pre, z) - Reconstructed outputs from decoder with s1_bits and full codebook respectively,
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both of shape (batch_size, seq_len, d_in).
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- torch.Tensor: bsq_loss - Loss from the BSQuantizer.
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- torch.Tensor: quantized - Quantized representation from BSQuantizer.
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- torch.Tensor: z_indices - Indices from the BSQuantizer.
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"""
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z = self.embed(x)
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for layer in self.encoder:
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z = layer(z)
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z = self.quant_embed(z) # (B, T, codebook)
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bsq_loss, quantized, z_indices = self.tokenizer(z)
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quantized_pre = quantized[:, :, :self.s1_bits] # Extract the first part of quantized representation (s1_bits)
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z_pre = self.post_quant_embed_pre(quantized_pre)
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z = self.post_quant_embed(quantized)
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# Decoder layers (for pre part - s1 bits)
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for layer in self.decoder:
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z_pre = layer(z_pre)
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z_pre = self.head(z_pre)
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# Decoder layers (for full codebook)
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for layer in self.decoder:
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z = layer(z)
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z = self.head(z)
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return (z_pre, z), bsq_loss, quantized, z_indices
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def indices_to_bits(self, x, half=False):
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"""
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Converts indices to bit representations and scales them.
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Args:
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x (torch.Tensor): Indices tensor.
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half (bool, optional): Whether to process only half of the codebook dimension. Defaults to False.
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Returns:
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torch.Tensor: Bit representation tensor.
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"""
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if half:
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x1 = x[0] # Assuming x is a tuple of indices if half is True
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x2 = x[1]
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mask = 2 ** torch.arange(self.codebook_dim//2, device=x1.device, dtype=torch.long) # Create a mask for bit extraction
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x1 = (x1.unsqueeze(-1) & mask) != 0 # Extract bits for the first half
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x2 = (x2.unsqueeze(-1) & mask) != 0 # Extract bits for the second half
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x = torch.cat([x1, x2], dim=-1) # Concatenate the bit representations
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else:
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mask = 2 ** torch.arange(self.codebook_dim, device=x.device, dtype=torch.long) # Create a mask for bit extraction
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x = (x.unsqueeze(-1) & mask) != 0 # Extract bits
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x = x.float() * 2 - 1 # Convert boolean to bipolar (-1, 1)
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q_scale = 1. / (self.codebook_dim ** 0.5) # Scaling factor
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x = x * q_scale
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return x
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def encode(self, x, half=False):
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"""
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Encodes the input data into quantized indices.
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Args:
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x (torch.Tensor): Input tensor of shape (batch_size, seq_len, d_in).
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half (bool, optional): Whether to use half quantization in BSQuantizer. Defaults to False.
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Returns:
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torch.Tensor: Quantized indices from BSQuantizer.
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"""
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z = self.embed(x)
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for layer in self.encoder:
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z = layer(z)
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z = self.quant_embed(z)
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bsq_loss, quantized, z_indices = self.tokenizer(z, half=half, collect_metrics=False)
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return z_indices
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def decode(self, x, half=False):
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"""
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Decodes quantized indices back to the input data space.
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Args:
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x (torch.Tensor): Quantized indices tensor.
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half (bool, optional): Whether the indices were generated with half quantization. Defaults to False.
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Returns:
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torch.Tensor: Reconstructed output tensor of shape (batch_size, seq_len, d_in).
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"""
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quantized = self.indices_to_bits(x, half)
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z = self.post_quant_embed(quantized)
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for layer in self.decoder:
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z = layer(z)
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z = self.head(z)
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return z
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class Kronos(nn.Module, PyTorchModelHubMixin):
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"""
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Kronos Model.
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Args:
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s1_bits (int): Number of bits for pre tokens.
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s2_bits (int): Number of bits for post tokens.
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n_layers (int): Number of Transformer blocks.
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d_model (int): Dimension of the model's embeddings and hidden states.
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n_heads (int): Number of attention heads in the MultiheadAttention layers.
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ff_dim (int): Dimension of the feedforward network in the Transformer blocks.
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ffn_dropout_p (float): Dropout probability for the feedforward network.
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attn_dropout_p (float): Dropout probability for the attention layers.
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resid_dropout_p (float): Dropout probability for residual connections.
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token_dropout_p (float): Dropout probability for token embeddings.
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learn_te (bool): Whether to use learnable temporal embeddings.
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"""
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def __init__(self, s1_bits, s2_bits, n_layers, d_model, n_heads, ff_dim, ffn_dropout_p, attn_dropout_p, resid_dropout_p, token_dropout_p, learn_te, news_dim=None):
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super().__init__()
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self.s1_bits = s1_bits
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self.s2_bits = s2_bits
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self.n_layers = n_layers
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self.d_model = d_model
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self.n_heads = n_heads
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self.learn_te = learn_te
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self.ff_dim = ff_dim
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self.ffn_dropout_p = ffn_dropout_p
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self.attn_dropout_p = attn_dropout_p
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self.resid_dropout_p = resid_dropout_p
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self.token_dropout_p = token_dropout_p
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self.news_dim = news_dim
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self.s1_vocab_size = 2 ** self.s1_bits
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self.token_drop = nn.Dropout(self.token_dropout_p)
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self.embedding = HierarchicalEmbedding(self.s1_bits, self.s2_bits, self.d_model)
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self.time_emb = TemporalEmbedding(self.d_model, self.learn_te)
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self.transformer = nn.ModuleList([
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TransformerBlock(self.d_model, self.n_heads, self.ff_dim, self.ffn_dropout_p, self.attn_dropout_p, self.resid_dropout_p)
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for _ in range(self.n_layers)
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])
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self.norm = RMSNorm(self.d_model)
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self.dep_layer = DependencyAwareLayer(self.d_model)
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self.head = DualHead(self.s1_bits, self.s2_bits, self.d_model)
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if self.news_dim is not None:
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self.news_proj = nn.Linear(self.news_dim, self.d_model)
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else:
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self.news_proj = None
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self.apply(self._init_weights)
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def _init_weights(self, module):
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if isinstance(module, nn.Linear):
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nn.init.xavier_normal_(module.weight)
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if module.bias is not None:
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nn.init.zeros_(module.bias)
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elif isinstance(module, nn.Embedding):
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nn.init.normal_(module.weight, mean=0, std=self.embedding.d_model ** -0.5)
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elif isinstance(module, nn.LayerNorm):
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nn.init.ones_(module.weight)
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nn.init.zeros_(module.bias)
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elif isinstance(module, RMSNorm):
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nn.init.ones_(module.weight)
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def forward(self, s1_ids, s2_ids, stamp=None, padding_mask=None, use_teacher_forcing=False, s1_targets=None, news_emb=None):
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"""
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Args:
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s1_ids (torch.Tensor): Input tensor of s1 token IDs. Shape: [batch_size, seq_len]
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s2_ids (torch.Tensor): Input tensor of s2 token IDs. Shape: [batch_size, seq_len]
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stamp (torch.Tensor, optional): Temporal stamp tensor. Shape: [batch_size, seq_len]. Defaults to None.
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padding_mask (torch.Tensor, optional): Mask for padding tokens. Shape: [batch_size, seq_len]. Defaults to None.
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use_teacher_forcing (bool, optional): Whether to use teacher forcing for s1 decoding. Defaults to False.
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s1_targets (torch.Tensor, optional): Target s1 token IDs for teacher forcing. Shape: [batch_size, seq_len]. Defaults to None.
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news_emb (torch.Tensor, optional): News embedding tensor. Shape: [batch_size, news_dim]. Defaults to None.
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Returns:
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Tuple[torch.Tensor, torch.Tensor]:
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- s1 logits: Logits for s1 token predictions. Shape: [batch_size, seq_len, s1_vocab_size]
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- s2_logits: Logits for s2 token predictions, conditioned on s1. Shape: [batch_size, seq_len, s2_vocab_size]
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"""
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x = self.embedding([s1_ids, s2_ids])
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if stamp is not None:
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time_embedding = self.time_emb(stamp)
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x = x + time_embedding
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x = self.token_drop(x)
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for layer in self.transformer:
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x = layer(x, key_padding_mask=padding_mask)
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x = self.norm(x)
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if news_emb is not None and self.news_proj is not None:
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news_bias = self.news_proj(news_emb).unsqueeze(1) # [B, 1, d_model]
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x = x + news_bias
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s1_logits = self.head(x)
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if use_teacher_forcing:
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sibling_embed = self.embedding.emb_s1(s1_targets)
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else:
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s1_probs = F.softmax(s1_logits.detach(), dim=-1)
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sample_s1_ids = torch.multinomial(s1_probs.view(-1, self.s1_vocab_size), 1).view(s1_ids.shape)
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sibling_embed = self.embedding.emb_s1(sample_s1_ids)
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x2 = self.dep_layer(x, sibling_embed, key_padding_mask=padding_mask) # Dependency Aware Layer: Condition on s1 embeddings
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s2_logits = self.head.cond_forward(x2)
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return s1_logits, s2_logits
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def decode_s1(self, s1_ids, s2_ids, stamp=None, padding_mask=None, news_emb=None):
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"""
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Decodes only the s1 tokens.
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This method performs a forward pass to predict only s1 tokens. It returns the s1 logits
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and the context representation from the Transformer, which can be used for subsequent s2 decoding.
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Args:
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s1_ids (torch.Tensor): Input tensor of s1 token IDs. Shape: [batch_size, seq_len]
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s2_ids (torch.Tensor): Input tensor of s2 token IDs. Shape: [batch_size, seq_len]
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stamp (torch.Tensor, optional): Temporal stamp tensor. Shape: [batch_size, seq_len]. Defaults to None.
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padding_mask (torch.Tensor, optional): Mask for padding tokens. Shape: [batch_size, seq_len]. Defaults to None.
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news_emb (torch.Tensor, optional): News embedding tensor. Shape: [batch_size, news_dim]. Defaults to None.
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Returns:
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Tuple[torch.Tensor, torch.Tensor]:
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- s1 logits: Logits for s1 token predictions. Shape: [batch_size, seq_len, s1_vocab_size]
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- context: Context representation from the Transformer. Shape: [batch_size, seq_len, d_model]
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"""
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x = self.embedding([s1_ids, s2_ids])
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if stamp is not None:
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time_embedding = self.time_emb(stamp)
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x = x + time_embedding
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x = self.token_drop(x)
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for layer in self.transformer:
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x = layer(x, key_padding_mask=padding_mask)
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x = self.norm(x)
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if news_emb is not None and self.news_proj is not None:
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news_bias = self.news_proj(news_emb).unsqueeze(1) # [B, 1, d_model]
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x = x + news_bias
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s1_logits = self.head(x)
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return s1_logits, x
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def decode_s2(self, context, s1_ids, padding_mask=None):
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"""
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Decodes the s2 tokens, conditioned on the context and s1 tokens.
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This method decodes s2 tokens based on a pre-computed context representation (typically from `decode_s1`)
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and the s1 token IDs. It uses the dependency-aware layer and the conditional s2 head to predict s2 tokens.
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Args:
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context (torch.Tensor): Context representation from the transformer (output of decode_s1).
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Shape: [batch_size, seq_len, d_model]
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s1_ids (torch.torch.Tensor): Input tensor of s1 token IDs. Shape: [batch_size, seq_len]
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padding_mask (torch.Tensor, optional): Mask for padding tokens. Shape: [batch_size, seq_len]. Defaults to None.
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Returns:
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torch.Tensor: s2 logits. Shape: [batch_size, seq_len, s2_vocab_size]
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"""
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sibling_embed = self.embedding.emb_s1(s1_ids)
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x2 = self.dep_layer(context, sibling_embed, key_padding_mask=padding_mask)
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return self.head.cond_forward(x2)
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def top_k_top_p_filtering(
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logits,
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top_k: int = 0,
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top_p: float = 1.0,
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filter_value: float = -float("Inf"),
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min_tokens_to_keep: int = 1,
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):
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"""Filter a distribution of logits using top-k and/or nucleus (top-p) filtering
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Args:
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logits: logits distribution shape (batch size, vocabulary size)
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if top_k > 0: keep only top k tokens with highest probability (top-k filtering).
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if top_p < 1.0: keep the top tokens with cumulative probability >= top_p (nucleus filtering).
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Nucleus filtering is described in Holtzman et al. (http://arxiv.org/abs/1904.09751)
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Make sure we keep at least min_tokens_to_keep per batch example in the output
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From: https://gist.github.com/thomwolf/1a5a29f6962089e871b94cbd09daf317
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"""
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if top_k > 0:
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top_k = min(max(top_k, min_tokens_to_keep), logits.size(-1)) # Safety check
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# Remove all tokens with a probability less than the last token of the top-k
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indices_to_remove = logits < torch.topk(logits, top_k)[0][..., -1, None]
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logits[indices_to_remove] = filter_value
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return logits
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if top_p < 1.0:
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sorted_logits, sorted_indices = torch.sort(logits, descending=True)
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cumulative_probs = torch.cumsum(F.softmax(sorted_logits, dim=-1), dim=-1)
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# Remove tokens with cumulative probability above the threshold (token with 0 are kept)
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sorted_indices_to_remove = cumulative_probs > top_p
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if min_tokens_to_keep > 1:
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# Keep at least min_tokens_to_keep (set to min_tokens_to_keep-1 because we add the first one below)
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sorted_indices_to_remove[..., :min_tokens_to_keep] = 0
|
||||
# Shift the indices to the right to keep also the first token above the threshold
|
||||
sorted_indices_to_remove[..., 1:] = sorted_indices_to_remove[..., :-1].clone()
|
||||
sorted_indices_to_remove[..., 0] = 0
|
||||
|
||||
# scatter sorted tensors to original indexing
|
||||
indices_to_remove = sorted_indices_to_remove.scatter(1, sorted_indices, sorted_indices_to_remove)
|
||||
logits[indices_to_remove] = filter_value
|
||||
return logits
|
||||
|
||||
|
||||
def sample_from_logits(logits, temperature=1.0, top_k=None, top_p=None, sample_logits=True):
|
||||
logits = logits / temperature
|
||||
if top_k is not None or top_p is not None:
|
||||
if top_k > 0 or top_p < 1.0:
|
||||
logits = top_k_top_p_filtering(logits, top_k=top_k, top_p=top_p)
|
||||
|
||||
probs = F.softmax(logits, dim=-1)
|
||||
|
||||
if not sample_logits:
|
||||
_, x = top_k(probs, k=1, dim=-1)
|
||||
else:
|
||||
x = torch.multinomial(probs, num_samples=1)
|
||||
|
||||
return x
|
||||
|
||||
|
||||
def auto_regressive_inference(tokenizer, model, x, x_stamp, y_stamp, max_context, pred_len, clip=5, T=1.0, top_k=0, top_p=0.99, sample_count=5, verbose=False, news_emb=None):
|
||||
with torch.no_grad():
|
||||
x = torch.clip(x, -clip, clip)
|
||||
|
||||
device = x.device
|
||||
x = x.unsqueeze(1).repeat(1, sample_count, 1, 1).reshape(-1, x.size(1), x.size(2)).to(device)
|
||||
x_stamp = x_stamp.unsqueeze(1).repeat(1, sample_count, 1, 1).reshape(-1, x_stamp.size(1), x_stamp.size(2)).to(device)
|
||||
y_stamp = y_stamp.unsqueeze(1).repeat(1, sample_count, 1, 1).reshape(-1, y_stamp.size(1), y_stamp.size(2)).to(device)
|
||||
|
||||
x_token = tokenizer.encode(x, half=True)
|
||||
|
||||
initial_seq_len = x.size(1)
|
||||
batch_size = x_token[0].size(0)
|
||||
total_seq_len = initial_seq_len + pred_len
|
||||
full_stamp = torch.cat([x_stamp, y_stamp], dim=1)
|
||||
|
||||
generated_pre = x_token[0].new_empty(batch_size, pred_len)
|
||||
generated_post = x_token[1].new_empty(batch_size, pred_len)
|
||||
|
||||
pre_buffer = x_token[0].new_zeros(batch_size, max_context)
|
||||
post_buffer = x_token[1].new_zeros(batch_size, max_context)
|
||||
buffer_len = min(initial_seq_len, max_context)
|
||||
if buffer_len > 0:
|
||||
start_idx = max(0, initial_seq_len - max_context)
|
||||
pre_buffer[:, :buffer_len] = x_token[0][:, start_idx:start_idx + buffer_len]
|
||||
post_buffer[:, :buffer_len] = x_token[1][:, start_idx:start_idx + buffer_len]
|
||||
|
||||
if verbose:
|
||||
ran = trange
|
||||
else:
|
||||
ran = range
|
||||
for i in ran(pred_len):
|
||||
current_seq_len = initial_seq_len + i
|
||||
window_len = min(current_seq_len, max_context)
|
||||
|
||||
if current_seq_len <= max_context:
|
||||
input_tokens = [
|
||||
pre_buffer[:, :window_len],
|
||||
post_buffer[:, :window_len]
|
||||
]
|
||||
else:
|
||||
input_tokens = [pre_buffer, post_buffer]
|
||||
|
||||
context_end = current_seq_len
|
||||
context_start = max(0, context_end - max_context)
|
||||
current_stamp = full_stamp[:, context_start:context_end, :].contiguous()
|
||||
|
||||
s1_logits, context = model.decode_s1(input_tokens[0], input_tokens[1], current_stamp, news_emb=news_emb)
|
||||
s1_logits = s1_logits[:, -1, :]
|
||||
sample_pre = sample_from_logits(s1_logits, temperature=T, top_k=top_k, top_p=top_p, sample_logits=True)
|
||||
|
||||
s2_logits = model.decode_s2(context, sample_pre)
|
||||
s2_logits = s2_logits[:, -1, :]
|
||||
sample_post = sample_from_logits(s2_logits, temperature=T, top_k=top_k, top_p=top_p, sample_logits=True)
|
||||
|
||||
generated_pre[:, i] = sample_pre.squeeze(-1)
|
||||
generated_post[:, i] = sample_post.squeeze(-1)
|
||||
|
||||
if current_seq_len < max_context:
|
||||
pre_buffer[:, current_seq_len] = sample_pre.squeeze(-1)
|
||||
post_buffer[:, current_seq_len] = sample_post.squeeze(-1)
|
||||
else:
|
||||
pre_buffer.copy_(torch.roll(pre_buffer, shifts=-1, dims=1))
|
||||
post_buffer.copy_(torch.roll(post_buffer, shifts=-1, dims=1))
|
||||
pre_buffer[:, -1] = sample_pre.squeeze(-1)
|
||||
post_buffer[:, -1] = sample_post.squeeze(-1)
|
||||
|
||||
full_pre = torch.cat([x_token[0], generated_pre], dim=1)
|
||||
full_post = torch.cat([x_token[1], generated_post], dim=1)
|
||||
|
||||
context_start = max(0, total_seq_len - max_context)
|
||||
input_tokens = [
|
||||
full_pre[:, context_start:total_seq_len].contiguous(),
|
||||
full_post[:, context_start:total_seq_len].contiguous()
|
||||
]
|
||||
z = tokenizer.decode(input_tokens, half=True)
|
||||
z = z.reshape(-1, sample_count, z.size(1), z.size(2))
|
||||
preds = z.cpu().numpy()
|
||||
preds = np.mean(preds, axis=1)
|
||||
|
||||
return preds
|
||||
|
||||
|
||||
def calc_time_stamps(x_timestamp):
|
||||
time_df = pd.DataFrame()
|
||||
time_df['minute'] = x_timestamp.dt.minute
|
||||
time_df['hour'] = x_timestamp.dt.hour
|
||||
time_df['weekday'] = x_timestamp.dt.weekday
|
||||
time_df['day'] = x_timestamp.dt.day
|
||||
time_df['month'] = x_timestamp.dt.month
|
||||
return time_df
|
||||
|
||||
|
||||
class KronosPredictor:
|
||||
|
||||
def __init__(self, model, tokenizer, device="cuda:0", max_context=512, clip=5):
|
||||
self.tokenizer = tokenizer
|
||||
self.model = model
|
||||
self.max_context = max_context
|
||||
self.clip = clip
|
||||
self.price_cols = ['open', 'high', 'low', 'close']
|
||||
self.vol_col = 'volume'
|
||||
self.amt_vol = 'amount'
|
||||
self.time_cols = ['minute', 'hour', 'weekday', 'day', 'month']
|
||||
self.device = device
|
||||
|
||||
self.tokenizer = self.tokenizer.to(self.device)
|
||||
self.model = self.model.to(self.device)
|
||||
|
||||
def generate(self, x, x_stamp, y_stamp, pred_len, T, top_k, top_p, sample_count, verbose, news_emb=None):
|
||||
|
||||
x_tensor = torch.from_numpy(np.array(x).astype(np.float32)).to(self.device)
|
||||
x_stamp_tensor = torch.from_numpy(np.array(x_stamp).astype(np.float32)).to(self.device)
|
||||
y_stamp_tensor = torch.from_numpy(np.array(y_stamp).astype(np.float32)).to(self.device)
|
||||
|
||||
preds = auto_regressive_inference(self.tokenizer, self.model, x_tensor, x_stamp_tensor, y_stamp_tensor, self.max_context, pred_len,
|
||||
self.clip, T, top_k, top_p, sample_count, verbose, news_emb=news_emb)
|
||||
preds = preds[:, -pred_len:, :]
|
||||
return preds
|
||||
|
||||
def predict(self, df, x_timestamp, y_timestamp, pred_len, T=1.0, top_k=0, top_p=0.9, sample_count=1, verbose=True, news_emb=None):
|
||||
|
||||
if not isinstance(df, pd.DataFrame):
|
||||
raise ValueError("Input must be a pandas DataFrame.")
|
||||
|
||||
if not all(col in df.columns for col in self.price_cols):
|
||||
raise ValueError(f"Price columns {self.price_cols} not found in DataFrame.")
|
||||
|
||||
df = df.copy()
|
||||
if self.vol_col not in df.columns:
|
||||
df[self.vol_col] = 0.0 # Fill missing volume with zeros
|
||||
df[self.amt_vol] = 0.0 # Fill missing amount with zeros
|
||||
if self.amt_vol not in df.columns and self.vol_col in df.columns:
|
||||
df[self.amt_vol] = df[self.vol_col] * df[self.price_cols].mean(axis=1)
|
||||
|
||||
if df[self.price_cols + [self.vol_col, self.amt_vol]].isnull().values.any():
|
||||
raise ValueError("Input DataFrame contains NaN values in price or volume columns.")
|
||||
|
||||
x_time_df = calc_time_stamps(x_timestamp)
|
||||
y_time_df = calc_time_stamps(y_timestamp)
|
||||
|
||||
x = df[self.price_cols + [self.vol_col, self.amt_vol]].values.astype(np.float32)
|
||||
x_stamp = x_time_df.values.astype(np.float32)
|
||||
y_stamp = y_time_df.values.astype(np.float32)
|
||||
|
||||
x_mean, x_std = np.mean(x, axis=0), np.std(x, axis=0)
|
||||
|
||||
x = (x - x_mean) / (x_std + 1e-5)
|
||||
x = np.clip(x, -self.clip, self.clip)
|
||||
|
||||
x = x[np.newaxis, :]
|
||||
x_stamp = x_stamp[np.newaxis, :]
|
||||
y_stamp = y_stamp[np.newaxis, :]
|
||||
|
||||
if news_emb is not None:
|
||||
news_emb_tensor = torch.from_numpy(np.array(news_emb).astype(np.float32)).to(self.device)
|
||||
# Ensure batch dimension for news_emb if only one sample
|
||||
if news_emb_tensor.ndim == 1:
|
||||
news_emb_tensor = news_emb_tensor.unsqueeze(0)
|
||||
else:
|
||||
news_emb_tensor = None
|
||||
|
||||
preds = self.generate(x, x_stamp, y_stamp, pred_len, T, top_k, top_p, sample_count, verbose, news_emb=news_emb_tensor)
|
||||
|
||||
preds = preds.squeeze(0)
|
||||
preds = preds * (x_std + 1e-5) + x_mean
|
||||
|
||||
pred_df = pd.DataFrame(preds, columns=self.price_cols + [self.vol_col, self.amt_vol], index=y_timestamp)
|
||||
return pred_df
|
||||
|
||||
|
||||
def predict_batch(self, df_list, x_timestamp_list, y_timestamp_list, pred_len, T=1.0, top_k=0, top_p=0.9, sample_count=1, verbose=True):
|
||||
"""
|
||||
Perform parallel (batch) prediction on multiple time series. All series must have the same historical length and prediction length (pred_len).
|
||||
|
||||
Args:
|
||||
df_list (List[pd.DataFrame]): List of input DataFrames, each containing price columns and optional volume/amount columns.
|
||||
x_timestamp_list (List[pd.DatetimeIndex or Series]): List of timestamps corresponding to historical data, length should match the number of rows in each DataFrame.
|
||||
y_timestamp_list (List[pd.DatetimeIndex or Series]): List of future prediction timestamps, length should equal pred_len.
|
||||
pred_len (int): Number of prediction steps.
|
||||
T (float): Sampling temperature.
|
||||
top_k (int): Top-k filtering threshold.
|
||||
top_p (float): Top-p (nucleus sampling) threshold.
|
||||
sample_count (int): Number of parallel samples per series, automatically averaged internally.
|
||||
verbose (bool): Whether to display autoregressive progress.
|
||||
|
||||
Returns:
|
||||
List[pd.DataFrame]: List of prediction results in the same order as input, each DataFrame contains
|
||||
`open, high, low, close, volume, amount` columns, indexed by corresponding `y_timestamp`.
|
||||
"""
|
||||
# Basic validation
|
||||
if not isinstance(df_list, (list, tuple)) or not isinstance(x_timestamp_list, (list, tuple)) or not isinstance(y_timestamp_list, (list, tuple)):
|
||||
raise ValueError("df_list, x_timestamp_list, y_timestamp_list must be list or tuple types.")
|
||||
if not (len(df_list) == len(x_timestamp_list) == len(y_timestamp_list)):
|
||||
raise ValueError("df_list, x_timestamp_list, y_timestamp_list must have consistent lengths.")
|
||||
|
||||
num_series = len(df_list)
|
||||
|
||||
x_list = []
|
||||
x_stamp_list = []
|
||||
y_stamp_list = []
|
||||
means = []
|
||||
stds = []
|
||||
seq_lens = []
|
||||
y_lens = []
|
||||
|
||||
for i in range(num_series):
|
||||
df = df_list[i]
|
||||
if not isinstance(df, pd.DataFrame):
|
||||
raise ValueError(f"Input at index {i} is not a pandas DataFrame.")
|
||||
if not all(col in df.columns for col in self.price_cols):
|
||||
raise ValueError(f"DataFrame at index {i} is missing price columns {self.price_cols}.")
|
||||
|
||||
df = df.copy()
|
||||
if self.vol_col not in df.columns:
|
||||
df[self.vol_col] = 0.0
|
||||
df[self.amt_vol] = 0.0
|
||||
if self.amt_vol not in df.columns and self.vol_col in df.columns:
|
||||
df[self.amt_vol] = df[self.vol_col] * df[self.price_cols].mean(axis=1)
|
||||
|
||||
if df[self.price_cols + [self.vol_col, self.amt_vol]].isnull().values.any():
|
||||
raise ValueError(f"DataFrame at index {i} contains NaN values in price or volume columns.")
|
||||
|
||||
x_timestamp = x_timestamp_list[i]
|
||||
y_timestamp = y_timestamp_list[i]
|
||||
|
||||
x_time_df = calc_time_stamps(x_timestamp)
|
||||
y_time_df = calc_time_stamps(y_timestamp)
|
||||
|
||||
x = df[self.price_cols + [self.vol_col, self.amt_vol]].values.astype(np.float32)
|
||||
x_stamp = x_time_df.values.astype(np.float32)
|
||||
y_stamp = y_time_df.values.astype(np.float32)
|
||||
|
||||
if x.shape[0] != x_stamp.shape[0]:
|
||||
raise ValueError(f"Inconsistent lengths at index {i}: x has {x.shape[0]} vs x_stamp has {x_stamp.shape[0]}.")
|
||||
if y_stamp.shape[0] != pred_len:
|
||||
raise ValueError(f"y_timestamp length at index {i} should equal pred_len={pred_len}, got {y_stamp.shape[0]}.")
|
||||
|
||||
x_mean, x_std = np.mean(x, axis=0), np.std(x, axis=0)
|
||||
x_norm = (x - x_mean) / (x_std + 1e-5)
|
||||
x_norm = np.clip(x_norm, -self.clip, self.clip)
|
||||
|
||||
x_list.append(x_norm)
|
||||
x_stamp_list.append(x_stamp)
|
||||
y_stamp_list.append(y_stamp)
|
||||
means.append(x_mean)
|
||||
stds.append(x_std)
|
||||
|
||||
seq_lens.append(x_norm.shape[0])
|
||||
y_lens.append(y_stamp.shape[0])
|
||||
|
||||
# Require all series to have consistent historical and prediction lengths for batch processing
|
||||
if len(set(seq_lens)) != 1:
|
||||
raise ValueError(f"Parallel prediction requires all series to have consistent historical lengths, got: {seq_lens}")
|
||||
if len(set(y_lens)) != 1:
|
||||
raise ValueError(f"Parallel prediction requires all series to have consistent prediction lengths, got: {y_lens}")
|
||||
|
||||
x_batch = np.stack(x_list, axis=0).astype(np.float32) # (B, seq_len, feat)
|
||||
x_stamp_batch = np.stack(x_stamp_list, axis=0).astype(np.float32) # (B, seq_len, time_feat)
|
||||
y_stamp_batch = np.stack(y_stamp_list, axis=0).astype(np.float32) # (B, pred_len, time_feat)
|
||||
|
||||
preds = self.generate(x_batch, x_stamp_batch, y_stamp_batch, pred_len, T, top_k, top_p, sample_count, verbose)
|
||||
# preds: (B, pred_len, feat)
|
||||
|
||||
pred_dfs = []
|
||||
for i in range(num_series):
|
||||
preds_i = preds[i] * (stds[i] + 1e-5) + means[i]
|
||||
pred_df = pd.DataFrame(preds_i, columns=self.price_cols + [self.vol_col, self.amt_vol], index=y_timestamp_list[i])
|
||||
pred_dfs.append(pred_df)
|
||||
|
||||
return pred_dfs
|
||||
Reference in New Issue
Block a user