predictor.py

from pandas_datareader import data
import matplotlib.pyplot as plt
import pandas as pd
import datetime as dt
import urllib.request, json
import os
import numpy as np
import tensorflow.compat.v1 as tf
import config 
from sklearn.preprocessing import MinMaxScaler
from data_generator import DataGeneratorSeq

tf.disable_v2_behavior()
# FOM1F72FDEKX3OCR
data_source = 'kaggle' # alphavantage or kaggle

if data_source == 'alphavantage':
    # ====================== Loading Data from Alpha Vantage ==================================

    API_KEY = config.api_key

    # American Airlines stock market prices
    ticker = "AAL"

    # JSON file with all the stock market data for AAL from the last 20 years
    url_string = "https://www.alphavantage.co/query?function=TIME_SERIES_DAILY&symbol=%s&outputsize=full&apikey=%s"%(ticker,API_KEY)

    # Save data to this file
    file_to_save = 'stock_market_data-%s.csv'%ticker

    # If already saved data,
    # grab the data from the url
    # And store date, low, high, volume, close, open values to a Pandas DataFrame
    if not os.path.exists(file_to_save):
        with urllib.request.urlopen(url_string) as url:
            data = json.loads(url.read().decode())
            # extract stock market data
            data = data['Time Series (Daily)']
            df = pd.DataFrame(columns=['Date','Low','High','Close','Open'])
            for k,v in data.items():
                date = dt.datetime.strptime(k, '%Y-%m-%d')
                data_row = [date.date(),float(v['3. low']),float(v['2. high']),
                            float(v['4. close']),float(v['1. open'])]
                df.loc[-1,:] = data_row
                df.index = df.index + 1
        print('Data saved to : %s'%file_to_save)        
        df.to_csv(file_to_save)

    # If the data is already there, just load it from the CSV
    else:
        print('File already exists. Loading data from CSV')
        df = pd.read_csv(file_to_save)

else:

    df = pd.read_csv(os.path.join('Stocks','hpq.us.txt'),delimiter=',',usecols=['Date','Open','High','Low','Close'])
    print('Loaded data from the Kaggle repository')

df = df.sort_values('Date')
print(df.count())

# Data Vizualization
# plt.figure(figsize = (18,9))
# plt.plot(range(df.shape[0]),(df['Low']+df['High'])/2.0)
# plt.xticks(range(0,df.shape[0],500),df['Date'].loc[::500],rotation=45)
# plt.xlabel('Date',fontsize=18)
# plt.ylabel('Mid Price',fontsize=18)
# plt.show()

# Split into train / test

high_prices = df.loc[:,'High'].to_numpy()
low_prices = df.loc[:,'Low'].to_numpy()
mid_prices = (high_prices+low_prices)/2.0

rows = df.shape[0]
print(rows)
train_data = mid_prices[:11000]
test_data = mid_prices[11000:]


# Scale the data to be between 0 and 1

scaler = MinMaxScaler()
train_data = train_data.reshape(-1,1)
test_data = test_data.reshape(-1,1)

# Train the Scaler with training data and smooth data
smoothing_window_size = 2500
for di in range(0,10000,smoothing_window_size):
    scaler.fit(train_data[di:di+smoothing_window_size,:])
    train_data[di:di+smoothing_window_size,:] = scaler.transform(train_data[di:di+smoothing_window_size,:])

# You normalize the last bit of remaining data
scaler.fit(train_data[di+smoothing_window_size:,:])
train_data[di+smoothing_window_size:,:] = scaler.transform(train_data[di+smoothing_window_size:,:])
#print(train_data.shape)

# Reshape both train and test data
train_data = train_data.reshape(-1)
print(train_data.shape)
# Normalize test data
test_data = scaler.transform(test_data).reshape(-1)

# Now perform exponential moving average smoothing
# So the data will have a smoother curve than the original ragged data
EMA = 0.0
gamma = 0.1
for ti in range(train_data.shape[0]):
  EMA = gamma*train_data[ti] + (1-gamma)*EMA
  train_data[ti] = EMA

# Used for visualization and test purposes
all_mid_data = np.concatenate([train_data,test_data],axis=0)

window_size = 100
N = train_data.size
std_avg_predictions = []
std_avg_x = []
mse_errors = []

for pred_idx in range(window_size,N):

    if pred_idx >= N:
        date = dt.datetime.strptime(k, '%Y-%m-%d').date() + dt.timedelta(days=1)
    else:
        date = df.loc[pred_idx,'Date']

    std_avg_predictions.append(np.mean(train_data[pred_idx-window_size:pred_idx]))
    mse_errors.append((std_avg_predictions[-1]-train_data[pred_idx])**2)
    std_avg_x.append(date)

print('MSE error for standard averaging: %.5f'%(0.5*np.mean(mse_errors)))

# plt.figure(figsize = (18,9))
# plt.plot(range(df.shape[0]),all_mid_data,color='b',label='True')
# plt.plot(range(window_size,N),std_avg_predictions,color='orange',label='Prediction')
# #plt.xticks(range(0,df.shape[0],50),df['Date'].loc[::50],rotation=45)
# plt.xlabel('Date')
# plt.ylabel('Mid Price')
# plt.legend(fontsize=18)
# plt.show()

window_size = 100
N = train_data.size

run_avg_predictions = []
run_avg_x = []

mse_errors = []

running_mean = 0.0
run_avg_predictions.append(running_mean)

decay = 0.5

for pred_idx in range(1,N):

    running_mean = running_mean*decay + (1.0-decay)*train_data[pred_idx-1]
    run_avg_predictions.append(running_mean)
    mse_errors.append((run_avg_predictions[-1]-train_data[pred_idx])**2)
    run_avg_x.append(date)

print('MSE error for EMA averaging: %.5f'%(0.5*np.mean(mse_errors)))

# plt.figure(figsize = (18,9))
# plt.plot(range(df.shape[0]),all_mid_data,color='b',label='True')
# plt.plot(range(0,N),run_avg_predictions,color='orange', label='Prediction')
# #plt.xticks(range(0,df.shape[0],50),df['Date'].loc[::50],rotation=45)
# plt.xlabel('Date')
# plt.ylabel('Mid Price')
# plt.legend(fontsize=18)
# plt.show()

dg = DataGeneratorSeq(train_data,5,5)
u_data, u_labels = dg.unroll_batches()

for ui,(dat,lbl) in enumerate(zip(u_data,u_labels)):   
    print('\n\nUnrolled index %d'%ui)
    dat_ind = dat
    lbl_ind = lbl
    print('\tInputs: ',dat )
    print('\n\tOutput:',lbl)

# Define Hyperparameters
D = 1 # Dimensionality of the data. Since your data is 1-D this would be 1
num_unrollings = 50 # Number of time steps you look into the future.
batch_size = 500 # Number of samples in a batch
num_nodes = [200,200,150] # Number of hidden nodes in each layer of the deep LSTM stack we're using
n_layers = len(num_nodes) # number of layers
dropout = 0.2 # dropout amount

# tf.reset_default_graph() # This is important in case you run this multiple times

# Input data.
train_inputs, train_outputs = [],[]

# You unroll the input over time defining placeholders for each time step
for ui in range(num_unrollings):
    train_inputs.append(tf.placeholder(tf.float32, shape=[batch_size,D],name='train_inputs_%d'%ui))
    train_outputs.append(tf.placeholder(tf.float32, shape=[batch_size,1], name = 'train_outputs_%d'%ui))


# print(train_inputs, train_outputs)
# Set parameters of LSTM and Regression Layer
lstm_cells = [
    tf.rnn.LSTMCell(num_units=num_nodes[li],
                            state_is_tuple=True,
                            initializer= tf.layers.xavier_initializer()
                           )
 for li in range(n_layers)]

drop_lstm_cells = [tf.rnn.DropoutWrapper(
    lstm, input_keep_prob=1.0,output_keep_prob=1.0-dropout, state_keep_prob=1.0-dropout
) for lstm in lstm_cells]
drop_multi_cell = tf.rnn.MultiRNNCell(drop_lstm_cells)
multi_cell = tf.rnn.MultiRNNCell(lstm_cells)

w = tf.get_variable('w',shape=[num_nodes[-1], 1], initializer=tf.layers.xavier_initializer())
b = tf.get_variable('b',initializer=tf.random_uniform([1],-0.1,0.1))

# Create cell state and hidden state variables to maintain the state of the LSTM
c, h = [],[]
initial_state = []
for li in range(n_layers):
  c.append(tf.Variable(tf.zeros([batch_size, num_nodes[li]]), trainable=False))
  h.append(tf.Variable(tf.zeros([batch_size, num_nodes[li]]), trainable=False))
  initial_state.append(tf.rnn.LSTMStateTuple(c[li], h[li]))

# Do several tensor transofmations, because the function dynamic_rnn requires the output to be of
# a specific format. Read more at: https://www.tensorflow.org/api_docs/python/tf/nn/dynamic_rnn
all_inputs = tf.concat([tf.expand_dims(t,0) for t in train_inputs],axis=0)

# all_outputs is [seq_length, batch_size, num_nodes]
all_lstm_outputs, state = tf.nn.dynamic_rnn(
    drop_multi_cell, all_inputs, initial_state=tuple(initial_state),
    time_major = True, dtype=tf.float32)

all_lstm_outputs = tf.reshape(all_lstm_outputs, [batch_size*num_unrollings,num_nodes[-1]])

all_outputs = tf.nn.xw_plus_b(all_lstm_outputs,w,b)

split_outputs = tf.split(all_outputs,num_unrollings,axis=0)


# When calculating the loss you need to be careful about the exact form, because you calculate
# loss of all the unrolled steps at the same time
# Therefore, take the mean error or each batch and get the sum of that over all the unrolled steps

print('Defining training Loss')
loss = 0.0
with tf.control_dependencies([tf.assign(c[li], state[li][0]) for li in range(n_layers)]+
                             [tf.assign(h[li], state[li][1]) for li in range(n_layers)]):
  for ui in range(num_unrollings):
    loss += tf.reduce_mean(0.5*(split_outputs[ui]-train_outputs[ui])**2)

print('Learning rate decay operations')
global_step = tf.Variable(0, trainable=False)
inc_gstep = tf.assign(global_step,global_step + 1)
tf_learning_rate = tf.placeholder(shape=None,dtype=tf.float32)
tf_min_learning_rate = tf.placeholder(shape=None,dtype=tf.float32)

learning_rate = tf.maximum(
    tf.train.exponential_decay(tf_learning_rate, global_step, decay_steps=1, decay_rate=0.5, staircase=True),
    tf_min_learning_rate)

# Optimizer.
print('TF Optimization operations')
optimizer = tf.train.AdamOptimizer(learning_rate)
gradients, v = zip(*optimizer.compute_gradients(loss))
gradients, _ = tf.clip_by_global_norm(gradients, 5.0)
optimizer = optimizer.apply_gradients(
    zip(gradients, v))

print('\tAll done')

# When calculating the loss you need to be careful about the exact form, because you calculate
# loss of all the unrolled steps at the same time
# Therefore, take the mean error or each batch and get the sum of that over all the unrolled steps

print('Defining training Loss')
loss = 0.0
with tf.control_dependencies([tf.assign(c[li], state[li][0]) for li in range(n_layers)]+
                             [tf.assign(h[li], state[li][1]) for li in range(n_layers)]):
  for ui in range(num_unrollings):
    loss += tf.reduce_mean(0.5*(split_outputs[ui]-train_outputs[ui])**2)

print('Learning rate decay operations')
global_step = tf.Variable(0, trainable=False)
inc_gstep = tf.assign(global_step,global_step + 1)
tf_learning_rate = tf.placeholder(shape=None,dtype=tf.float32)
tf_min_learning_rate = tf.placeholder(shape=None,dtype=tf.float32)

learning_rate = tf.maximum(
    tf.train.exponential_decay(tf_learning_rate, global_step, decay_steps=1, decay_rate=0.5, staircase=True),
    tf_min_learning_rate)

# Optimizer.
print('TF Optimization operations')
optimizer = tf.train.AdamOptimizer(learning_rate)
gradients, v = zip(*optimizer.compute_gradients(loss))
gradients, _ = tf.clip_by_global_norm(gradients, 5.0)
optimizer = optimizer.apply_gradients(
    zip(gradients, v))

print('\tAll done')

#run the lstm
epochs = 30
valid_summary = 1 # Interval you make test predictions

n_predict_once = 50 # Number of steps you continously predict for

train_seq_length = train_data.size # Full length of the training data

train_mse_ot = [] # Accumulate Train losses
test_mse_ot = [] # Accumulate Test loss
predictions_over_time = [] # Accumulate predictions

session = tf.InteractiveSession()

tf.global_variables_initializer().run()

# Used for decaying learning rate
loss_nondecrease_count = 0
loss_nondecrease_threshold = 2 # If the test error hasn't increased in this many steps, decrease learning rate

print('Initialized')
average_loss = 0

# Define data generator
data_gen = DataGeneratorSeq(train_data,batch_size,num_unrollings)

x_axis_seq = []

# Points you start your test predictions from
test_points_seq = np.arange(11000,12000,50).tolist()

for ep in range(epochs):       

    # ========================= Training =====================================
    for step in range(train_seq_length//batch_size):

        u_data, u_labels = data_gen.unroll_batches()

        feed_dict = {}
        for ui,(dat,lbl) in enumerate(zip(u_data,u_labels)):            
            feed_dict[train_inputs[ui]] = dat.reshape(-1,1)
            feed_dict[train_outputs[ui]] = lbl.reshape(-1,1)

        feed_dict.update({tf_learning_rate: 0.0001, tf_min_learning_rate:0.000001})

        _, l = session.run([optimizer, loss], feed_dict=feed_dict)

        average_loss += l

    # ============================ Validation ==============================
    if (ep+1) % valid_summary == 0:

      average_loss = average_loss/(valid_summary*(train_seq_length//batch_size))

      # The average loss
      if (ep+1)%valid_summary==0:
        print('Average loss at step %d: %f' % (ep+1, average_loss))

      train_mse_ot.append(average_loss)

      average_loss = 0 # reset loss

      predictions_seq = []

      mse_test_loss_seq = []

      # ===================== Updating State and Making Predicitons ========================
      for w_i in test_points_seq:
        mse_test_loss = 0.0
        our_predictions = []

        if (ep+1)-valid_summary==0:
          # Only calculate x_axis values in the first validation epoch
          x_axis=[]

        # Feed in the recent past behavior of stock prices
        # to make predictions from that point onwards
        for tr_i in range(w_i-num_unrollings+1,w_i-1):
          current_price = all_mid_data[tr_i]
          feed_dict[sample_inputs] = np.array(current_price).reshape(1,1)    
          _ = session.run(sample_prediction,feed_dict=feed_dict)

        feed_dict = {}

        current_price = all_mid_data[w_i-1]

        feed_dict[sample_inputs] = np.array(current_price).reshape(1,1)

        # Make predictions for this many steps
        # Each prediction uses previous prediciton as it's current input
        for pred_i in range(n_predict_once):

          pred = session.run(sample_prediction,feed_dict=feed_dict)

          our_predictions.append(np.asscalar(pred))

          feed_dict[sample_inputs] = np.asarray(pred).reshape(-1,1)

          if (ep+1)-valid_summary==0:
            # Only calculate x_axis values in the first validation epoch
            x_axis.append(w_i+pred_i)

          mse_test_loss += 0.5*(pred-all_mid_data[w_i+pred_i])**2

        session.run(reset_sample_states)

        predictions_seq.append(np.array(our_predictions))

        mse_test_loss /= n_predict_once
        mse_test_loss_seq.append(mse_test_loss)

        if (ep+1)-valid_summary==0:
          x_axis_seq.append(x_axis)

      current_test_mse = np.mean(mse_test_loss_seq)

      # Learning rate decay logic
      if len(test_mse_ot)>0 and current_test_mse > min(test_mse_ot):
          loss_nondecrease_count += 1
      else:
          loss_nondecrease_count = 0

      if loss_nondecrease_count > loss_nondecrease_threshold :
            session.run(inc_gstep)
            loss_nondecrease_count = 0
            print('\tDecreasing learning rate by 0.5')

      test_mse_ot.append(current_test_mse)
      print('\tTest MSE: %.5f'%np.mean(mse_test_loss_seq))
      predictions_over_time.append(predictions_seq)
      print('\tFinished Predictions')

best_prediction_epoch = 28 # replace this with the epoch that you got the best results when running the plotting code

plt.figure(figsize = (18,18))
plt.subplot(2,1,1)
plt.plot(range(df.shape[0]),all_mid_data,color='b')

# Plotting how the predictions change over time
# Plot older predictions with low alpha and newer predictions with high alpha
start_alpha = 0.25
alpha  = np.arange(start_alpha,1.1,(1.0-start_alpha)/len(predictions_over_time[::3]))
for p_i,p in enumerate(predictions_over_time[::3]):
    for xval,yval in zip(x_axis_seq,p):
        plt.plot(xval,yval,color='r',alpha=alpha[p_i])

plt.title('Evolution of Test Predictions Over Time',fontsize=18)
plt.xlabel('Date',fontsize=18)
plt.ylabel('Mid Price',fontsize=18)
plt.xlim(11000,12500)

plt.subplot(2,1,2)

# Predicting the best test prediction you got
plt.plot(range(df.shape[0]),all_mid_data,color='b')
for xval,yval in zip(x_axis_seq,predictions_over_time[best_prediction_epoch]):
    plt.plot(xval,yval,color='r')

plt.title('Best Test Predictions Over Time',fontsize=18)
plt.xlabel('Date',fontsize=18)
plt.ylabel('Mid Price',fontsize=18)
plt.xlim(11000,12500)
plt.show()