coinsignal 1.3.4__cp312-cp312-win_amd64.whl → 1.4.10__cp312-cp312-win_amd64.whl

coinsignal/__init__.py

@@ -7,6 +7,6 @@ from . import parallel
 from . import sampler
 from . import tools
 
-__version__ = '1.3.4'
+__version__ = '1.4.10'
 
 __all__ = ['data', 'feature', 'label', 'model', 'parallel', 'sampler', 'tools']

coinsignal/data.py

@@ -24,7 +24,9 @@ DEFAULT_DATA_PARAMS_DICT = {
 
 
 def read_data_to_features_map(data_dir, date, look_back_days, look_ahead_days, data_params_dict):
-    return _data.read_data_to_features_map(data_dir, date, look_back_days, look_ahead_days, data_params_dict)
+    features_map, read_data_errors = _data.read_data_to_features_map(data_dir, date, look_back_days, look_ahead_days, data_params_dict)
+    return features_map, read_data_errors
 
 def transform_features_map_to_full_features_df(features_map):
-    return _data.transform_features_map_to_full_features_df(features_map)
+    full_features_df = _data.transform_features_map_to_full_features_df(features_map)
+    return full_features_df

coinsignal/feature.py

@@ -12,23 +12,28 @@ import _ext.feature as _feature
 
 
 DEFAULT_FEATURE_PARAMS_DICT = {
-    'time': [],
-    'macd': [],
-    'rsi': [],
-    'price_move_range': [],
-    'price_trend': [],
-    'price_volume_corr': [],
-    'ohlcv': [],
-    'volatility': [],
-    'high_low_time': [],
-    'volume': [],
-    'basis': [],
-    'fixedstart': [],
-    'funding_rate': [],
-    'funding_time': [],
-    'index': [],
+    'features':
+    {
+        'time': [],
+        'macd': [],
+        'rsi': [],
+        'price_move_range': [],
+        'price_trend': [],
+        'price_volume_corr': [],
+        'ohlcv': [],
+        'volatility': [],
+        'high_low_time': [],
+        'volume': [],
+        'basis': [],
+        'fixedstart': [],
+        'funding_rate': [],
+        'funding_time': [],
+        'index': []
+    },
+    'is_validating': False
 }
 
 
 def add_features(features_map, feature_params_dict):
-    return _feature.add_features(features_map, feature_params_dict)
+    features_map = _feature.add_features(features_map, feature_params_dict)
+    return features_map

coinsignal/label.py

@@ -14,22 +14,25 @@ import _ext.label as _label
 
 
 DEFAULT_RETURN_PARAMS_DICT = {
-    'horizons': [600],
+    'pred_horizons': [600],
     'decay_multipliers': [0.5, 0.8, 1, 1.5, 2, 3, 5, 10],
     'return_type': 'time',
+    'range_direction': 'forward',
+    'range_horizon_limits': [0, 1000],
     'range_merge_step': 1,
-    'horizon_limit': 1,
     'n_multi': 1,
     'multi_limits': [1, 1],
     'half_life': 0,
     'duration_vlimits': None,
     'duration_qlimits': [0, 1],
-    'duration_handling': '',
-    'is_funding_adjusted': False,
+    'duration_handling': False,
+    'is_funding_adjusting': False,
+    'is_horizon_adjusting': False,
     'is_discrete': False,
     'y_multiplier': 10000
 }
 
 
 def calculate_return(features_map, return_params_dict):
-    return _label.calculate_return(features_map, return_params_dict)
+    features_map = _label.calculate_return(features_map, return_params_dict)
+    return features_map

coinsignal/model.py

@@ -18,6 +18,8 @@ DEFAULT_MODEL_PARAMS_DICT = {
     'valid_sub_ratio': 0.25,
     'test_isolate_time': 0,
     'is_random_start': False,
+    'weight_limit': 1,
+    'is_sign_balanced': False,
     'is_cv': True,
     'cv_split_count': 4,
     'cv_eval_train_metric': True,
@@ -44,7 +46,7 @@ DEFAULT_MODEL_PARAMS_DICT = {
         'model_dir': '',
         'vlimits': None,
         'qlimits': [0, 1],
-        'is_in_training': False
+        'sampling_modes': ['train', 'evaluate']
     },
     'loss_sub_params': {
         'name': '',
@@ -70,4 +72,5 @@ DEFAULT_MODEL_PARAMS_DICT = {
 
 
 def run_model(full_features_df, model_params_dict):
-    return _model.run_model(full_features_df, model_params_dict)
+    model_evaluations = _model.run_model(full_features_df, model_params_dict)
+    return model_evaluations

coinsignal/parallel.py

@@ -12,5 +12,10 @@
 import _ext.parallel as _parallel
 
 
+def prepare_sub_full_features_df(data_dir, date, look_back_days, look_ahead_days, constants_dict, data_params_dict, feature_params_dict, return_params_dict, sampler_params_dict, N, n_completed, progress_update_event):
+    df, mft_df, mft_feature_plan, errors = _parallel.prepare_sub_full_features_df(data_dir, date, look_back_days, look_ahead_days, constants_dict, data_params_dict, feature_params_dict, return_params_dict, sampler_params_dict, N, n_completed, progress_update_event)
+    return df, mft_df, mft_feature_plan, errors
+
 def prepare_full_features_df(data_dir, start_date, end_date, look_back_days, look_ahead_days, constants_dict, data_params_dict, feature_params_dict, return_params_dict, sampler_params_dict):
-    return _parallel.prepare_full_features_df(data_dir, start_date, end_date, look_back_days, look_ahead_days, constants_dict, data_params_dict, feature_params_dict, return_params_dict, sampler_params_dict)
+    full_features_df, mft_full_features_df, mft_feature_plan, read_data_errors = _parallel.prepare_full_features_df(prepare_sub_full_features_df, data_dir, start_date, end_date, look_back_days, look_ahead_days, constants_dict, data_params_dict, feature_params_dict, return_params_dict, sampler_params_dict)
+    return full_features_df, mft_full_features_df, mft_feature_plan, read_data_errors

coinsignal/sampler.py

@@ -17,22 +17,10 @@ DEFAULT_SAMPLER_PARAMS_DICT = {
     'sampling_time': 0,
     'is_time_random': False,
     'sampling_bp': 0,
-    'rolling_step': 0,
-    'is_sampling_on_ret': False,
-    'fraction': 1,
-    'weight_limit': 1,
-    'is_sign_balanced': False,
+    'rolling_step': 0
 }
 
 
-def sample_data_on_time(price, sampling_time, is_time_random):
-    return _sampler.sample_data_on_time(price, sampling_time, is_time_random)
-
-def sample_data_on_move(price, sampling_bp, rolling_step):
-    return _sampler.sample_data_on_move(price, sampling_bp, rolling_step)
-
-def sample_data_on_ret(ret, fraction, weight_limit, is_sign_balanced):
-    return _sampler.sample_data_on_ret(ret, fraction, weight_limit, is_sign_balanced)
-
 def sample_data(features_map, sampler_params_dict):
-    return _sampler.sample_data(features_map, sampler_params_dict)
+    features_map = _sampler.sample_data(features_map, sampler_params_dict)
+    return features_map

coinsignal/tools.py

@@ -110,14 +110,9 @@ def copy_scripts(current_dir, output_dir, model_name, random_seed, scripts_folde
         else:
             copy_scripts(f'{current_dir}/{f}', output_dir, model_name, random_seed, f'{scripts_folder}/{f}')
 
-def calculate_rolling_statistics_on_merged_interval(df, merge_step, rolling_step, stat_type, interpolate=False, cdf=None):
-    return _tools.calculate_rolling_statistics_on_merged_interval(df, merge_step, rolling_step, stat_type, interpolate, cdf)
-
-def calculate_rolling_lr_on_merged_interval(df1, df2, merge_step, rolling_step, interpolate=False, cdf1=None, cdf2=None):
-    return _tools.calculate_rolling_lr_on_merged_interval(df1, df2, merge_step, rolling_step, interpolate, cdf1, cdf2)
-
-def calculate_rolling_corr_on_merged_interval(df1, df2, merge_step, rolling_step, interpolate=False, cdf1=None, cdf2=None):
-    return _tools.calculate_rolling_corr_on_merged_interval(df1, df2, merge_step, rolling_step, interpolate, cdf1, cdf2)
+def validate_and_save_features(output_dir, model_name, full_features_df, mft_full_features_df, mft_feature_plan):
+    comparison_df = _tools.validate_and_save_features(output_dir, model_name, full_features_df, mft_full_features_df, mft_feature_plan)
+    return comparison_df
 
 def summarize_and_save_results(output_dir, model_name, model_evaluations):
     _tools.summarize_and_save_results(output_dir, model_name, model_evaluations)

{coinsignal-1.3.4.dist-info → coinsignal-1.4.10.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: coinsignal
-Version: 1.3.4
+Version: 1.4.10
 Summary: coin data analysis and return predicting framework
 Author: Zehao Yang
 Requires-Python: >=3.8

coinsignal-1.4.10.dist-info/RECORD

@@ -0,0 +1,14 @@
+coinsignal-1.4.10.dist-info/METADATA,sha256=Qw0MQK5XHrKRPixdOg8SgjNRfkrYhzkosUopMl5j5OA,650
+coinsignal-1.4.10.dist-info/RECORD,sha256=Va6vYW4B1vAuv5anLGy2xxMilVnEi1NVY4kJiGHXOG4,1027
+coinsignal-1.4.10.dist-info/WHEEL,sha256=8UP9x9puWI0P1V_d7K2oMTBqfeLNm21CTzZ_Ptr0NXU,101
+coinsignal-1.4.10.dist-info/top_level.txt,sha256=8xBBVxKSVz2DM3nreUe-A7OGl7vCbK-3njdPu-JtUjw,11
+coinsignal/__init__.py,sha256=yHbAPRaZTq92LsXEdNauikle3gMiX8aRZm-r7Z0NR5k,282
+coinsignal/_ext.pyd,sha256=9o-PUlegsQQEpFa9_dEfgTLQsjtBR_k97Fkwls1gSTs,1128448
+coinsignal/data.py,sha256=7KPRna6ELPnKqu5c9ExI67c9iTV-OZ2TGh8CMNxau5c,1108
+coinsignal/feature.py,sha256=GMjjv5STX5liEe-d0XewEvENdy72EC20vP2BlbARoCs,1050
+coinsignal/label.py,sha256=i8Thnww-1-htiKPbJ7mcbFAGf8-AqKh8MQEBlYp9aF0,1244
+coinsignal/model.py,sha256=stSFHLt8EqeK179ZAoGMKXpIU6vvvMftsHdQvS6mVWY,2126
+coinsignal/parallel.py,sha256=2-5s_WAUPfAuH_Ec_hKfXYXMDVzRIPWMC2EjyhrKBU0,1612
+coinsignal/sampler.py,sha256=EJR-cQrhJS0figS_GPKWoEHAjEDg0encbX-dMTr69FM,783
+coinsignal/tools.py,sha256=F5LYojctdJatfMSiJA75hsS9EVreBFkrDw2WvBQDJoQ,4602
+coinsignal-1.4.10.dist-info/RECORD,,

coinsignal-1.3.4.dist-info/RECORD

@@ -1,14 +0,0 @@
-coinsignal-1.3.4.dist-info/METADATA,sha256=yXK3vGF7p1moYL8P8Fl1LflOhfcRSVAD65jGAKTNUzU,649
-coinsignal-1.3.4.dist-info/RECORD,sha256=MK5Fba4miFDWYphZ9e6QFW_Bp20nrybnq_G6kWW99NE,1020
-coinsignal-1.3.4.dist-info/WHEEL,sha256=8UP9x9puWI0P1V_d7K2oMTBqfeLNm21CTzZ_Ptr0NXU,101
-coinsignal-1.3.4.dist-info/top_level.txt,sha256=8xBBVxKSVz2DM3nreUe-A7OGl7vCbK-3njdPu-JtUjw,11
-coinsignal/__init__.py,sha256=M_ZGfNy8qVBnye8UVrzgm2Lacn_IYjMZnB9VeUXlQB0,281
-coinsignal/_ext.pyd,sha256=wNKp7Hab7iS0aaCLQmVz30dOOREuhQaWc8WSCHj7kec,785920
-coinsignal/data.py,sha256=cQUgt83ysHuuQ6ZRQziYUUTI53XxJdJTCX1FD9wG7F0,998
-coinsignal/feature.py,sha256=AX3Yk2nc1hqEcRvoxoQ2K7MhprfAT15aXGJprYrcxf8,898
-coinsignal/label.py,sha256=FMMz8T8CK9REzeJZxmSVhCpeRqVdJC8tH3E8NQ3qLbY,1116
-coinsignal/model.py,sha256=njBvNTNXEhdbxXNC2O0d68fMLdUE2K-OZ2--1l6_4NY,2011
-coinsignal/parallel.py,sha256=qcqKZOAT2TTkDD8sqBag5fOlcKpcZ3jQSDTO5M_oDe8,888
-coinsignal/sampler.py,sha256=oFoR3rf0mh5u678JJpeWOfl072Y1P1mjcLfbTsdcWhU,1304
-coinsignal/tools.py,sha256=jH0iy2RJQEPQSPCSJKxHxn0W-cTi0W7qwjt9sHNZKw0,5068
-coinsignal-1.3.4.dist-info/RECORD,,