freqtrade_origin/freqtrade/freqai/prediction_models/CatboostClassifier.py

60 lines
2.0 KiB
Python

import logging
import sys
from pathlib import Path
from typing import Any, Dict
from catboost import CatBoostClassifier, Pool
from freqtrade.freqai.base_models.BaseClassifierModel import BaseClassifierModel
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
logger = logging.getLogger(__name__)
class CatboostClassifier(BaseClassifierModel):
"""
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
"""
train_data = Pool(
data=data_dictionary["train_features"],
label=data_dictionary["train_labels"],
weight=data_dictionary["train_weights"],
)
if self.freqai_info.get("data_split_parameters", {}).get("test_size", 0.1) == 0:
test_data = None
else:
test_data = Pool(
data=data_dictionary["test_features"],
label=data_dictionary["test_labels"],
weight=data_dictionary["test_weights"],
)
cbr = CatBoostClassifier(
allow_writing_files=True,
loss_function='MultiClass',
train_dir=Path(dk.data_path),
**self.model_training_parameters,
)
init_model = self.get_init_model(dk.pair)
cbr.fit(X=train_data, eval_set=test_data, init_model=init_model,
log_cout=sys.stdout, log_cerr=sys.stderr)
return cbr