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-rwxr-xr-xtfann.py127
1 files changed, 75 insertions, 52 deletions
diff --git a/tfann.py b/tfann.py
index c6f3d08..65cf6be 100755
--- a/tfann.py
+++ b/tfann.py
@@ -2,7 +2,7 @@
# _*_ coding=utf-8 _*_
# original source-https://nicholastsmith.wordpress.com/2017/11/13/cryptocurrency-price-prediction-using-deep-learning-in-tensorflow/
-#@#!pip install TFANN
+# @#!pip install TFANN
import code
import readline
import signal
@@ -14,120 +14,143 @@ import pandas as pd
import urllib.request
import matplotlib.pyplot as mpl
-def GetAPIUrl(cur, sts = 1420070400):
- return 'https://poloniex.com/public?command=returnChartData&currencyPair=USDT_{:s}&start={:d}&end=9999999999&period=7200'.format(cur, sts)
+
+def GetAPIUrl(cur, sts=1420070400):
+ return "https://poloniex.com/public?command=returnChartData&currencyPair=USDT_{:s}&start={:d}&end=9999999999&period=7200".format(
+ cur, sts
+ )
+
def GetCurDF(cur, fp):
openUrl = urllib.request.urlopen(GetAPIUrl(cur))
r = openUrl.read()
openUrl.close()
df = pd.read_json(r.decode())
- df['date'] = df['date'].astype(np.int64) // 1000000000
+ df["date"] = df["date"].astype(np.int64) // 1000000000
print(df.head())
return df
+
class PastSampler:
def __init__(self, N, K):
self.K = K
self.N = N
- def transform(self, A, Y = None):
- M = self.N + self.K #Number of samples per row (sample + target)
- #Matrix of sample indices like: {{1, 2..., M}, {2, 3, ..., M + 1}}
+ def transform(self, A, Y=None):
+ M = self.N + self.K # Number of samples per row (sample + target)
+ # Matrix of sample indices like: {{1, 2..., M}, {2, 3, ..., M + 1}}
I = np.arange(M) + np.arange(A.shape[0] - M + 1).reshape(-1, 1)
B = A[I].reshape(-1, M * A.shape[1], *A.shape[2:])
- ci = self.N * A.shape[1] #Number of features per sample
- return B[:, :ci], B[:, ci:] #Sample matrix, Target matrix
+ ci = self.N * A.shape[1] # Number of features per sample
+ return B[:, :ci], B[:, ci:] # Sample matrix, Target matrix
+
def tfann_type_1():
#%%Path to store cached currency data
- datPath = 'CurDat/'
+ datPath = "CurDat/"
if not os.path.exists(datPath):
os.mkdir(datPath)
- #Different cryptocurrency types
- cl = ['BTC', 'LTC', 'ETH', 'XMR']
- #Columns of price data to use
- CN = ['close', 'high', 'low', 'open', 'volume']
- #Store data frames for each of above types
+ # Different cryptocurrency types
+ cl = ["BTC", "LTC", "ETH", "XMR"]
+ # Columns of price data to use
+ CN = ["close", "high", "low", "open", "volume"]
+ # Store data frames for each of above types
D = []
for ci in cl:
- dfp = os.path.join(datPath, ci + '.csv')
+ dfp = os.path.join(datPath, ci + ".csv")
try:
- df = pd.read_csv(dfp, sep = ',')
+ df = pd.read_csv(dfp, sep=",")
except FileNotFoundError:
df = GetCurDF(ci, dfp)
D.append(df)
#%%Only keep range of data that is common to all currency types
cr = min(Di.shape[0] for Di in D)
for i in range(len(cl)):
- D[i] = D[i][(D[i].shape[0] - cr):]
+ D[i] = D[i][(D[i].shape[0] - cr) :]
#%%Features are channels
C = np.hstack((Di[CN] for Di in D))[:, None, :]
- HP = 16 #Holdout period
+ HP = 16 # Holdout period
A = C[0:-HP]
- SV = A.mean(axis = 0) #Scale vector
- C /= SV #Basic scaling of data
+ SV = A.mean(axis=0) # Scale vector
+ C /= SV # Basic scaling of data
#%%Make samples of temporal sequences of pricing data (channel)
- NPS, NFS = 256, 16 #Number of past and future samples
+ NPS, NFS = 256, 16 # Number of past and future samples
ps = PastSampler(NPS, NFS)
B, Y = ps.transform(A)
#%%Architecture of the neural network
NC = B.shape[2]
- #2 1-D conv layers with relu followed by 1-d conv output layer
- ns = [('C1d', [8, NC, NC * 2], 4), ('AF', 'relu'),
- ('C1d', [8, NC * 2, NC * 2], 2), ('AF', 'relu'),
- ('C1d', [8, NC * 2, NC], 2)]
- #Create the neural network in TensorFlow
- cnnr = ANNR(B[0].shape, ns, batchSize = 32, learnRate = 2e-5,
- maxIter = 64, reg = 1e-5, tol = 1e-2, verbose = True)
+ # 2 1-D conv layers with relu followed by 1-d conv output layer
+ ns = [
+ ("C1d", [8, NC, NC * 2], 4),
+ ("AF", "relu"),
+ ("C1d", [8, NC * 2, NC * 2], 2),
+ ("AF", "relu"),
+ ("C1d", [8, NC * 2, NC], 2),
+ ]
+ # Create the neural network in TensorFlow
+ cnnr = ANNR(
+ B[0].shape,
+ ns,
+ batchSize=32,
+ learnRate=2e-5,
+ maxIter=64,
+ reg=1e-5,
+ tol=1e-2,
+ verbose=True,
+ )
cnnr.fit(B, Y)
- PTS = [] #Predicted time sequences
- P, YH = B[[-1]], Y[[-1]] #Most recent time sequence
- for i in range(HP // NFS): #Repeat prediction
- P = np.concatenate([P[:, NFS:], YH], axis = 1)
+ PTS = [] # Predicted time sequences
+ P, YH = B[[-1]], Y[[-1]] # Most recent time sequence
+ for i in range(HP // NFS): # Repeat prediction
+ P = np.concatenate([P[:, NFS:], YH], axis=1)
YH = cnnr.predict(P)
PTS.append(YH)
PTS = np.hstack(PTS).transpose((1, 0, 2))
- A = np.vstack([A, PTS]) #Combine predictions with original data
- A = np.squeeze(A) * SV #Remove unittime dimension and rescale
+ A = np.vstack([A, PTS]) # Combine predictions with original data
+ A = np.squeeze(A) * SV # Remove unittime dimension and rescale
C = np.squeeze(C) * SV
nt = 4
PF = cnnr.PredictFull(B[:nt])
for i in range(nt):
- fig, ax = mpl.subplots(1, 4, figsize = (16 / 1.24, 10 / 1.25))
+ fig, ax = mpl.subplots(1, 4, figsize=(16 / 1.24, 10 / 1.25))
ax[0].plot(PF[0][i])
- ax[0].set_title('Input')
+ ax[0].set_title("Input")
ax[1].plot(PF[2][i])
- ax[1].set_title('Layer 1')
+ ax[1].set_title("Layer 1")
ax[2].plot(PF[4][i])
- ax[2].set_title('Layer 2')
+ ax[2].set_title("Layer 2")
ax[3].plot(PF[5][i])
- ax[3].set_title('Output')
- fig.text(0.5, 0.06, 'Time', ha='center')
- fig.text(0.06, 0.5, 'Activation', va='center', rotation='vertical')
+ ax[3].set_title("Output")
+ fig.text(0.5, 0.06, "Time", ha="center")
+ fig.text(0.06, 0.5, "Activation", va="center", rotation="vertical")
mpl.show()
CI = list(range(C.shape[0]))
AI = list(range(C.shape[0] + PTS.shape[0] - HP))
- NDP = PTS.shape[0] #Number of days predicted
+ NDP = PTS.shape[0] # Number of days predicted
for i, cli in enumerate(cl):
- fig, ax = mpl.subplots(figsize = (16 / 1.5, 10 / 1.5))
- hind = i * len(CN) + CN.index('high')
- ax.plot(CI[-4 * HP:], C[-4 * HP:, hind], label = 'Actual')
- ax.plot(AI[-(NDP + 1):], A[-(NDP + 1):, hind], '--', label = 'Prediction')
- ax.legend(loc = 'upper left')
- ax.set_title(cli + ' (High)')
- ax.set_ylabel('USD')
- ax.set_xlabel('Time')
+ fig, ax = mpl.subplots(figsize=(16 / 1.5, 10 / 1.5))
+ hind = i * len(CN) + CN.index("high")
+ ax.plot(CI[-4 * HP :], C[-4 * HP :, hind], label="Actual")
+ ax.plot(
+ AI[-(NDP + 1) :], A[-(NDP + 1) :, hind], "--", label="Prediction"
+ )
+ ax.legend(loc="upper left")
+ ax.set_title(cli + " (High)")
+ ax.set_ylabel("USD")
+ ax.set_xlabel("Time")
ax.axes.xaxis.set_ticklabels([])
mpl.show()
+
# write code here
def premain():
- #here
+ # here
tfann_type_1()
+
def main():
premain()
+
if __name__ == "__main__":
main()
generated by cgit v1.2.3 (git 2.25.1) at 2024-11-10 19:19:10 +0000