import logging from typing import Any, Dict from xgboost import XGBRegressor from freqtrade.freqai.base_models.BaseRegressionModel import BaseRegressionModel from freqtrade.freqai.base_models.FreqaiMultiOutputRegressor import FreqaiMultiOutputRegressor from freqtrade.freqai.data_kitchen import FreqaiDataKitchen logger = logging.getLogger(__name__) class XGBoostRegressorMultiTarget(BaseRegressionModel): """ User created prediction model. The class inherits IFreqaiModel, which means it has full access to all Frequency AI functionality. Typically, users would use this to override the common `fit()`, `train()`, or `predict()` methods to add their custom data handling tools or change various aspects of the training that cannot be configured via the top level config.json file. """ def fit(self, data_dictionary: Dict, dk: FreqaiDataKitchen, **kwargs) -> Any: """ User sets up the training and test data to fit their desired model here :param data_dictionary: the dictionary holding all data for train, test, labels, weights :param dk: The datakitchen object for the current coin/model """ xgb = XGBRegressor(**self.model_training_parameters) X = data_dictionary["train_features"] y = data_dictionary["train_labels"] sample_weight = data_dictionary["train_weights"] eval_weights = None eval_sets = [None] * y.shape[1] if self.freqai_info.get("data_split_parameters", {}).get("test_size", 0.1) != 0: eval_weights = [data_dictionary["test_weights"]] for i in range(data_dictionary["test_labels"].shape[1]): eval_sets[i] = [ ( # type: ignore data_dictionary["test_features"], data_dictionary["test_labels"].iloc[:, i], ) ] init_model = self.get_init_model(dk.pair) if init_model: init_models = init_model.estimators_ else: init_models = [None] * y.shape[1] fit_params = [] for i in range(len(eval_sets)): fit_params.append( { "eval_set": eval_sets[i], "sample_weight_eval_set": eval_weights, "xgb_model": init_models[i], } ) model = FreqaiMultiOutputRegressor(estimator=xgb) thread_training = self.freqai_info.get("multitarget_parallel_training", False) if thread_training: model.n_jobs = y.shape[1] model.fit(X=X, y=y, sample_weight=sample_weight, fit_params=fit_params) return model