Kaggle competition: Two Sigma: Using News to Predict Stock Movements
<SOS> metric: custom Kaggle data source: two-sigma-financial-news<load_from_csv>
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import time
from sklearn.metrics import accuracy_score
from kaggle.competitions import twosigmanews
train_features = pd.read_csv('.. /input/lish-moa/train_features.csv')
 train_targets_scored = pd.read_csv('.. /input/lish-moa/train_targets_scored.csv')
 train_targets_nonscored = pd.read_csv('.. /input/lish-moa/train_targets_nonscored.csv')
 test_features = pd.read_csv('.. /input/lish-moa/test_features.csv')
 submission = pd.read_csv('.. /input/lish-moa/sample_submission.csv')
 GENES = [col for col in train_features.columns if col.startswith('g-')]
CELLS = [col for col in train_features.columns if col.startswith('c-')]
for col in(GENES + CELLS):
transformer = QuantileTransformer(n_quantiles=100,random_state=0, output_distribution="normal")
 vec_len = len(train_features[col].values)
 vec_len_test = len(test_features[col].values)
 raw_vec = train_features[col].values.reshape(vec_len, 1)
 transformer.fit(raw_vec)
 train_features[col] = transformer.transform(raw_vec ).reshape(1, vec_len)[0]
test_features[col] = transformer.transform(test_features[col].values.reshape(vec_len_test, 1)).reshape(1, vec_len_test)[0]
def seed_everything(seed=42):
random.seed(seed)
 os.environ['PYTHONHASHSEED'] = str(seed)
 np.random.seed(seed)
 torch.manual_seed(seed)
 torch.cuda.manual_seed(seed)
 torch.backends.cudnn.deterministic = True
seed_everything(seed=42)
 n_comp = 600
data = pd.concat([pd.DataFrame(train_features[GENES]), pd.DataFrame(test_features[GENES])])
 data2 =(PCA(n_components=n_comp, random_state=42 ).fit_transform(data[GENES]))
train2 = data2[:train_features.shape[0]]; test2 = data2[-test_features.shape[0]:]
train2 = pd.DataFrame(train2, columns=[f'pca_G-{i}' for i in range(n_comp)])
 test2 = pd.DataFrame(test2, columns=[f'pca_G-{i}' for i in range(n_comp)])
 train_features = pd.concat(( train_features, train2), axis=1)
 test_features = pd.concat(( test_features, test2), axis=1)
 n_comp = 50
data = pd.concat([pd.DataFrame(train_features[CELLS]), pd.DataFrame(test_features[CELLS])])
 data2 =(PCA(n_components=n_comp, random_state=42 ).fit_transform(data[CELLS]))
train2 = data2[:train_features.shape[0]]; test2 = data2[-test_features.shape[0]:]
train2 = pd.DataFrame(train2, columns=[f'pca_C-{i}' for i in range(n_comp)])
 test2 = pd.DataFrame(test2, columns=[f'pca_C-{i}' for i in range(n_comp)])
 train_features = pd.concat(( train_features, train2), axis=1)
 test_features = pd.concat(( test_features, test2), axis=1)
 var_thresh = VarianceThreshold(0.8)
 data = train_features.append(test_features)
 data_transformed = var_thresh.fit_transform(data.iloc[:, 4:])
 train_features_transformed = data_transformed[ : train_features.shape[0]]
test_features_transformed = data_transformed[-test_features.shape[0] : ]
train_features = pd.DataFrame(train_features[['sig_id','cp_type','cp_time','cp_dose']].values.reshape(-1, 4),\
columns=['sig_id','cp_type','cp_time','cp_dose'])
 train_features = pd.concat([train_features, pd.DataFrame(train_features_transformed)], axis=1)
 test_features = pd.DataFrame(test_features[['sig_id','cp_type','cp_time','cp_dose']].values.reshape(-1, 4),\
columns=['sig_id','cp_type','cp_time','cp_dose'])
 test_features = pd.concat([test_features, pd.DataFrame(test_features_transformed)], axis=1)
 train_features.shape<data_type_conversions>
env = twosigmanews.make_env() 
(market_train, _)= env.get_training_data()
def get_ratio_labels(df):
columns = list(df.columns)
 columns.pop(0)
 ratios = []
toremove = []
for c in columns:
counts = df[c].value_counts()
if len(counts)!= 1:
ratios.append(counts[0]/counts[1])
 else:
toremove.append(c)
 print(f"remove {len(toremove)} columns")
 for t in toremove:
columns.remove(t)
 return columns, np.array(ratios ).astype(np.int32)
 columns, ratios = get_ratio_labels(train_targets_scored)
 columns_nonscored, ratios_nonscored = get_ratio_labels(train_targets_nonscored )<categorify>
cat_cols = ['assetCode']
num_cols = ['volume', 'close', 'open', 'returnsClosePrevRaw1', 'returnsOpenPrevRaw1', 'returnsClosePrevMktres1',
'returnsOpenPrevMktres1', 'returnsClosePrevRaw10', 'returnsOpenPrevRaw10', 'returnsClosePrevMktres10',
'returnsOpenPrevMktres10']
remove_vehicle=True
def transform_data(train, test, col, normalize=True, removed_vehicle=False):

 mapping = {"cp_type":{"trt_cp": 0, "ctl_vehicle":1},
"cp_time":{48:0, 72:1, 24:2},
"cp_dose":{"D1":0, "D2":1}}
if removed_vehicle:
categories_tr = np.stack([ train[c].apply(lambda x: mapping[c][x] ).values for c in col[1:3]], axis=1)
 categories_test = np.stack([ test[c].apply(lambda x: mapping[c][x] ).values for c in col[1:3]], axis=1)
 else:
categories_tr = np.stack([ train[c].apply(lambda x: mapping[c][x] ).values for c in col[:3]], axis=1)
 categories_test = np.stack([ test[c].apply(lambda x: mapping[c][x] ).values for c in col[:3]], axis=1)
 max_ = 10.
 min_ = -10.
 if removed_vehicle:
numerical_tr = train[col[3:]].values
numerical_test = test[col[3:]].values
else:
numerical_tr = train[col[3:]].values
numerical_test = test[col[3:]].values
if normalize:
numerical_tr =(numerical_tr-min_)/(max_ - min_)
 numerical_test =(numerical_test-min_)/(max_ - min_)
 return categories_tr, categories_test, numerical_tr, numerical_test
col_features = list(train_features.columns)[1:]
cat_tr, cat_test, numerical_tr, numerical_test = transform_data(train_features, test_features, col_features, normalize=False, removed_vehicle=remove_vehicle)
 targets_tr = train_targets_scored[columns].values.astype(np.float32)
 targets2_tr = train_targets_nonscored[columns_nonscored].values.astype(np.float32 )<predict_on_test>
train_indices, val_indices = train_test_split(market_train.index.values,test_size=0.25, random_state=23)
def inference_fn(model, X ,verbose=True):
with torch.no_grad() :
y_preds = model.predict(X)
 y_preds = torch.sigmoid(torch.as_tensor(y_preds)).numpy()
return y_preds<compute_test_metric>
def encode(encoder, x):
len_encoder = len(encoder)
 try:
id = encoder[x]
except KeyError:
id = len_encoder
return id
encoders = [{} for cat in cat_cols]
for i, cat in enumerate(cat_cols):
print('encoding %s...' % cat, end=' ')
 encoders[i] = {l: id for id, l in enumerate(market_train.loc[train_indices, cat].astype(str ).unique())}
market_train[cat] = market_train[cat].astype(str ).apply(lambda x: encode(encoders[i], x))
print('Done')
 embed_sizes = [len(encoder)+ 1 for encoder in encoders]
def log_loss_score(actual, predicted, eps=1e-15):

 p1 = actual * np.log(predicted+eps)
 p0 =(1-actual)* np.log(1-predicted+eps)
 loss = p0 + p1
return -loss.mean() 
<compute_test_metric>
market_train[num_cols] = market_train[num_cols].fillna(0)
 print('scaling numerical columns')
 scaler = StandardScaler()
scaler = StandardScaler()
market_train[num_cols] = scaler.fit_transform(market_train[num_cols])
def log_loss_multi(y_true, y_pred):
M = y_true.shape[1]
results = np.zeros(M)
 for i in range(M):
results[i] = log_loss_score(y_true[:,i], y_pred[:,i])
 return results.mean() 
<compute_test_metric>
categorical_inputs = []
for cat in cat_cols:
categorical_inputs.append(Input(shape=[1], name=cat))
categorical_embeddings = []
for i, cat in enumerate(cat_cols):
categorical_embeddings.append(Embedding(embed_sizes[i], 10 )(categorical_inputs[i]))
categorical_logits = Flatten()(categorical_embeddings[0])
 categorical_logits = Dense(32,activation='relu' )(categorical_logits)
 numerical_inputs = Input(shape=(11,), name='num')
 numerical_logits = numerical_inputs
numerical_logits = BatchNormalization()(numerical_logits)
 numerical_logits = Dense(128,activation='relu' )(numerical_logits)
 numerical_logits = Dense(64,activation='relu' )(numerical_logits)
 logits = Concatenate()([numerical_logits,categorical_logits])
 logits = Dense(64,activation='relu' )(logits)
 out = Dense(1, activation='sigmoid' )(logits)
 model = Model(inputs = categorical_inputs + [numerical_inputs], outputs=out)
 model.compile(optimizer='adam',loss=binary_crossentropy )
def auc_multi(y_true, y_pred):
M = y_true.shape[1]
results = np.zeros(M)
 for i in range(M):
try:
results[i] = roc_auc_score(y_true[:,i], y_pred[:,i])
 except:
pass
return results.mean()<import_modules>
def get_input(market_train, indices):
X_num = market_train.loc[indices, num_cols].values
X = {'num':X_num}
for cat in cat_cols:
X[cat] = market_train.loc[indices, cat_cols].values
y =(market_train.loc[indices,'returnsOpenNextMktres10'] >= 0 ).values
r = market_train.loc[indices,'returnsOpenNextMktres10'].values
u = market_train.loc[indices, 'universe']
d = market_train.loc[indices, 'time'].dt.date
return X,y,r,u,d
X_train,y_train,r_train,u_train,d_train = get_input(market_train, train_indices)
 X_valid,y_valid,r_valid,u_valid,d_valid = get_input(market_train, val_indices )
create_dataloaders,
create_explain_matrix)
 class TabModel(BaseEstimator):
def __init__(self, n_d=8, n_a=8, n_steps=3, gamma=1.3, cat_idxs=[], cat_dims=[], cat_emb_dim=1,
n_independent=2, n_shared=2, epsilon=1e-15, momentum=0.02,
lambda_sparse=1e-3, seed=0,
clip_value=1, verbose=1,
optimizer_fn=torch.optim.Adam,
optimizer_params=dict(lr=2e-2),
scheduler_params=None, scheduler_fn=None,
mask_type="sparsemax",
input_dim=None, output_dim=None,
device_name='auto'):

 self.n_d = n_d
self.n_a = n_a
self.n_steps = n_steps
self.gamma = gamma
self.cat_idxs = cat_idxs
self.cat_dims = cat_dims
self.cat_emb_dim = cat_emb_dim
self.n_independent = n_independent
self.n_shared = n_shared
self.epsilon = epsilon
self.momentum = momentum
self.lambda_sparse = lambda_sparse
self.clip_value = clip_value
self.verbose = verbose
self.optimizer_fn = optimizer_fn
self.optimizer_params = optimizer_params
self.device_name = device_name
self.scheduler_params = scheduler_params
self.scheduler_fn = scheduler_fn
self.mask_type = mask_type
self.input_dim = input_dim
self.output_dim = output_dim
self.batch_size = 1024
self.seed = seed
torch.manual_seed(self.seed)
 if device_name == 'auto':
if torch.cuda.is_available() :
device_name = 'cuda'
else:
device_name = 'cpu'
self.device = torch.device(device_name)
 print(f"Device used : {self.device}")
 @abstractmethod
def construct_loaders(self, X_train, y_train, X_valid, y_valid,
weights, batch_size, num_workers, drop_last):

 raise NotImplementedError('users must define construct_loaders to use this base class')
 def init_network(
 self,
input_dim,
output_dim,
n_d,
n_a,
n_steps,
gamma,
cat_idxs,
cat_dims,
cat_emb_dim,
n_independent,
n_shared,
epsilon,
virtual_batch_size,
momentum,
device_name,
mask_type, 
):
self.network = tab_network.TabNet(
 input_dim,
output_dim,
n_d=n_d,
n_a=n_a,
n_steps=n_steps,
gamma=gamma,
cat_idxs=cat_idxs,
cat_dims=cat_dims,
cat_emb_dim=cat_emb_dim,
n_independent=n_independent,
n_shared=n_shared,
epsilon=epsilon,
virtual_batch_size=virtual_batch_size,
momentum=momentum,
device_name=device_name,
mask_type=mask_type ).to(self.device)
 self.reducing_matrix = create_explain_matrix(
 self.network.input_dim,
self.network.cat_emb_dim,
self.network.cat_idxs,
self.network.post_embed_dim)
 def fit(self, X_train, y_train, X_valid=None, y_valid=None, loss_fn=None,
weights=0, max_epochs=100, patience=10, batch_size=1024,
virtual_batch_size=128, num_workers=0, drop_last=False):

 self.update_fit_params(X_train, y_train, X_valid, y_valid, loss_fn,
weights, max_epochs, patience, batch_size,
virtual_batch_size, num_workers, drop_last)
 train_dataloader, valid_dataloader = self.construct_loaders(X_train,
y_train,
X_valid,
y_valid,
self.updated_weights,
self.batch_size,
self.num_workers,
self.drop_last)
 self.init_network(
 input_dim=self.input_dim,
output_dim=self.output_dim,
n_d=self.n_d,
n_a=self.n_a,
n_steps=self.n_steps,
gamma=self.gamma,
cat_idxs=self.cat_idxs,
cat_dims=self.cat_dims,
cat_emb_dim=self.cat_emb_dim,
n_independent=self.n_independent,
n_shared=self.n_shared,
epsilon=self.epsilon,
virtual_batch_size=self.virtual_batch_size,
momentum=self.momentum,
device_name=self.device_name,
mask_type=self.mask_type 
)
 self.optimizer = self.optimizer_fn(self.network.parameters() ,
**self.optimizer_params)
 if self.scheduler_fn:
self.scheduler = self.scheduler_fn(self.optimizer, **self.scheduler_params)
 else:
self.scheduler = None
self.losses_train = []
self.losses_valid = []
self.learning_rates = []
self.metrics_train = []
self.metrics_valid = []
if self.verbose > 0:
print("Will train until validation stopping metric",
f"hasn't improved in {self.patience} rounds.")
 msg_epoch = f'| EPOCH | train | valid | total time(s)'
print('---------------------------------------')
 print(msg_epoch)
 total_time = 0
while(self.epoch < self.max_epochs and
self.patience_counter < self.patience):
starting_time = time.time()
self.learning_rates.append(self.optimizer.param_groups[-1]["lr"])
 fit_metrics = self.fit_epoch(train_dataloader, valid_dataloader)
 self.losses_train.append(fit_metrics['train']['loss_avg'])
 self.losses_valid.append(fit_metrics['valid']['total_loss'])
 self.metrics_train.append(fit_metrics['train']['stopping_loss'])
 self.metrics_valid.append(fit_metrics['valid']['stopping_loss'])
 stopping_loss = fit_metrics['valid']['stopping_loss']
if stopping_loss < self.best_cost:
self.best_cost = stopping_loss
self.patience_counter = 0
self.best_network = deepcopy(self.network)
 has_improved = True
else:
self.patience_counter += 1
has_improved=False
self.epoch += 1
total_time += time.time() - starting_time
if self.verbose > 0:
if self.epoch % self.verbose == 0:
separator = "|"
msg_epoch = f"| {self.epoch:<5} | "
msg_epoch += f" {fit_metrics['train']['stopping_loss']:.5f}"
msg_epoch += f' {separator:<2} '
msg_epoch += f" {fit_metrics['valid']['stopping_loss']:.5f}"
msg_epoch += f' {separator:<2} '
msg_epoch += f" {np.round(total_time, 1):<10}"
msg_epoch += f" {has_improved}"
print(msg_epoch)
 if self.verbose > 0:
if self.patience_counter == self.patience:
print(f"Early stopping occured at epoch {self.epoch}")
 print(f"Training done in {total_time:.3f} seconds.")
 print('---------------------------------------')
 self.history = {"train": {"loss": self.losses_train,
"metric": self.metrics_train,
"lr": self.learning_rates},
"valid": {"loss": self.losses_valid,
"metric": self.metrics_valid}}
self.load_best_model()
self._compute_feature_importances(train_dataloader)
 def save_model(self, path):

 saved_params = {}
for key, val in self.get_params().items() :
if isinstance(val, type):
continue
else:
saved_params[key] = val
Path(path ).mkdir(parents=True, exist_ok=True)
 with open(Path(path ).joinpath("model_params.json"), "w", encoding="utf8")as f:
json.dump(saved_params, f)
 torch.save(self.network.state_dict() , Path(path ).joinpath("network.pt"))
shutil.make_archive(path, 'zip', path)
 shutil.rmtree(path)
 print(f"Successfully saved model at {path}.zip")
 return f"{path}.zip"
def load_model(self, filepath):
try:
try:
with zipfile.ZipFile(filepath)as z:
with z.open("model_params.json")as f:
loaded_params = json.load(f)
 with z.open("network.pt")as f:
try:
saved_state_dict = torch.load(f)
 except io.UnsupportedOperation:
saved_state_dict = torch.load(io.BytesIO(f.read()))
except:
with open(os.path.join(filepath, "model_params.json")) as f:
loaded_params = json.load(f)
 saved_state_dict = torch.load(os.path.join(filepath, "network.pt"), map_location="cpu")
 except KeyError:
raise KeyError("Your zip file is missing at least one component")
 if torch.cuda.is_available() :
device_name = 'cuda'
else:
device_name = 'cpu'
loaded_params["device_name"] = device_name
self.__init__(**loaded_params)
 self.init_network(
 input_dim=self.input_dim,
output_dim=self.output_dim,
n_d=self.n_d,
n_a=self.n_a,
n_steps=self.n_steps,
gamma=self.gamma,
cat_idxs=self.cat_idxs,
cat_dims=self.cat_dims,
cat_emb_dim=self.cat_emb_dim,
n_independent=self.n_independent,
n_shared=self.n_shared,
epsilon=self.epsilon,
virtual_batch_size=1024,
momentum=self.momentum,
device_name=self.device_name,
mask_type=self.mask_type 
)
 self.network.load_state_dict(saved_state_dict)
 self.network.eval()
return
def fit_epoch(self, train_dataloader, valid_dataloader):

 train_metrics = self.train_epoch(train_dataloader)
 valid_metrics = self.predict_epoch(valid_dataloader)
 fit_metrics = {'train': train_metrics,
'valid': valid_metrics}
return fit_metrics
@abstractmethod
def train_epoch(self, train_loader):

 raise NotImplementedError('users must define train_epoch to use this base class')
 @abstractmethod
def train_batch(self, data, targets):

 raise NotImplementedError('users must define train_batch to use this base class')
 @abstractmethod
def predict_epoch(self, loader):

 raise NotImplementedError('users must define predict_epoch to use this base class')
 @abstractmethod
def predict_batch(self, data, targets):

 raise NotImplementedError('users must define predict_batch to use this base class')
 def load_best_model(self):
if self.best_network is not None:
self.network = self.best_network
@abstractmethod
def predict(self, X):

 raise NotImplementedError('users must define predict to use this base class')
 def explain(self, X):

 self.network.eval()
dataloader = DataLoader(PredictDataset(X),
batch_size=self.batch_size, shuffle=False)
 for batch_nb, data in enumerate(dataloader):
data = data.to(self.device ).float()
M_explain, masks = self.network.forward_masks(data)
 for key, value in masks.items() :
masks[key] = csc_matrix.dot(value.cpu().detach().numpy() ,
self.reducing_matrix)
 if batch_nb == 0:
res_explain = csc_matrix.dot(M_explain.cpu().detach().numpy() ,
self.reducing_matrix)
 res_masks = masks
else:
res_explain = np.vstack([res_explain,
csc_matrix.dot(M_explain.cpu().detach().numpy() ,
self.reducing_matrix)])
 for key, value in masks.items() :
res_masks[key] = np.vstack([res_masks[key], value])
 return res_explain, res_masks
def _compute_feature_importances(self, loader):
self.network.eval()
feature_importances_ = np.zeros(( self.network.post_embed_dim))
for data, targets in loader:
data = data.to(self.device ).float()
M_explain, masks = self.network.forward_masks(data)
 feature_importances_ += M_explain.sum(dim=0 ).cpu().detach().numpy()
feature_importances_ = csc_matrix.dot(feature_importances_,
self.reducing_matrix)
 self.feature_importances_ = feature_importances_ / np.sum(feature_importances_)
 class TabNetRegressor(TabModel):
def construct_loaders(self, X_train, y_train, X_valid, y_valid, weights,
batch_size, num_workers, drop_last):

 if isinstance(weights, int):
if weights == 1:
raise ValueError("Please provide a list of weights for regression.")
 if isinstance(weights, dict):
raise ValueError("Please provide a list of weights for regression.")
 train_dataloader, valid_dataloader = create_dataloaders(X_train,
y_train,
X_valid,
y_valid,
weights,
batch_size,
num_workers,
drop_last)
 return train_dataloader, valid_dataloader
def update_fit_params(self, X_train, y_train, X_valid, y_valid, loss_fn,
weights, max_epochs, patience,
batch_size, virtual_batch_size, num_workers, drop_last):
if loss_fn is None:
self.loss_fn = torch.nn.functional.mse_loss
else:
self.loss_fn = loss_fn
assert X_train.shape[1] == X_valid.shape[1], "Dimension mismatch X_train X_valid"
self.input_dim = X_train.shape[1]
if len(y_train.shape)== 1:
raise ValueError()
assert y_train.shape[1] == y_valid.shape[1], "Dimension mismatch y_train y_valid"
self.output_dim = y_train.shape[1]
self.updated_weights = weights
self.max_epochs = max_epochs
self.patience = patience
self.batch_size = batch_size
self.virtual_batch_size = virtual_batch_size
self.patience_counter = 0
self.epoch = 0
self.best_cost = np.inf
self.num_workers = num_workers
self.drop_last = drop_last
def train_epoch(self, train_loader):

 self.network.train()
y_preds = []
ys = []
total_loss = 0
for data, targets in train_loader:
batch_outs = self.train_batch(data, targets)
 y_preds.append(batch_outs["y_preds"].cpu().detach().numpy())
 ys.append(batch_outs["y"].cpu().detach().numpy())
 total_loss += batch_outs["loss"]
y_preds = np.vstack(y_preds)
 ys = np.vstack(ys)
 stopping_loss =log_loss_multi(ys, torch.sigmoid(torch.as_tensor(y_preds)).numpy())
 total_loss = total_loss / len(train_loader)
 epoch_metrics = {'loss_avg': total_loss,
'stopping_loss': total_loss,
}
if self.scheduler is not None:
self.scheduler.step()
return epoch_metrics
def train_batch(self, data, targets):

 self.network.train()
data = data.to(self.device ).float()
targets = targets.to(self.device ).float()
self.optimizer.zero_grad()
output, M_loss = self.network(data)
 loss = self.loss_fn(output, targets)
 loss -= self.lambda_sparse*M_loss
loss.backward()
if self.clip_value:
clip_grad_norm_(self.network.parameters() , self.clip_value)
 self.optimizer.step()
loss_value = loss.item()
batch_outs = {'loss': loss_value,
'y_preds': output,
'y': targets}
return batch_outs
def predict_epoch(self, loader):

 y_preds = []
ys = []
self.network.eval()
total_loss = 0
for data, targets in loader:
batch_outs = self.predict_batch(data, targets)
 total_loss += batch_outs["loss"]
y_preds.append(batch_outs["y_preds"].cpu().detach().numpy())
 ys.append(batch_outs["y"].cpu().detach().numpy())
 y_preds = np.vstack(y_preds)
 ys = np.vstack(ys)
 stopping_loss =log_loss_multi(ys, torch.sigmoid(torch.as_tensor(y_preds)).numpy())
 total_loss = total_loss / len(loader)
 epoch_metrics = {'total_loss': total_loss,
'stopping_loss': stopping_loss}
return epoch_metrics
def predict_batch(self, data, targets):

 self.network.eval()
data = data.to(self.device ).float()
targets = targets.to(self.device ).float()
output, M_loss = self.network(data)
 loss = self.loss_fn(output, targets)
 loss -= self.lambda_sparse*M_loss
loss_value = loss.item()
batch_outs = {'loss': loss_value,
'y_preds': output,
'y': targets}
return batch_outs
def predict(self, X):

 self.network.eval()
dataloader = DataLoader(PredictDataset(X),
batch_size=self.batch_size, shuffle=False)
 results = []
for batch_nb, data in enumerate(dataloader):
data = data.to(self.device ).float()
output, M_loss = self.network(data)
 predictions = output.cpu().detach().numpy()
results.append(predictions)
 res = np.vstack(results)
 return res<import_modules>
check_point = ModelCheckpoint('model.hdf5',verbose=True, save_best_only=True)
 early_stop = EarlyStopping(patience=5,verbose=True)
 model.fit(X_train,y_train.astype(int),
validation_data=(X_valid,y_valid.astype(int)) ,
epochs=2,
verbose=True,
callbacks=[early_stop,check_point] )
from iterstrat.ml_stratifiers import MultilabelStratifiedKFold, MultilabelStratifiedShuffleSplit
from sklearn.metrics import roc_auc_score<set_options>
r_valid = r_valid.clip(-1,1)
 x_t_i = confidence_valid * r_valid * u_valid
data = {'day' : d_valid, 'x_t_i' : x_t_i}
df = pd.DataFrame(data)
 x_t = df.groupby('day' ).sum().values.flatten()
mean = np.mean(x_t)
 std = np.std(x_t)
 score_valid = mean / std
print(score_valid )
class Config(object):
def __init__(self):
self.num_class = targets_tr.shape[1]
self.verbose=False
self.device = "cuda" if torch.cuda.is_available() else "cpu"
self.SPLITS = 10
self.EPOCHS = 200
self.num_ensembling = 1
self.seed = 0
self.cat_emb_dim=[1] * cat_tr.shape[1]
self.cats_idx = list(range(cat_tr.shape[1]))
self.cat_dims = [len(np.unique(cat_tr[:, i])) for i in range(cat_tr.shape[1])]
self.num_numericals= numerical_tr.shape[1]
self.save_name = ".. /input/tabnet-smoothing/tabnet_raw_step1"
self.strategy = "KFOLD"
cfg = Config()<concatenate>
days = env.get_prediction_days()
<choose_model_class><EOS> 
n_days = 0
prep_time = 0
prediction_time = 0
packaging_time = 0
predicted_confidences = np.array([])
 for(market_obs_df, news_obs_df, predictions_template_df)in days:
n_days +=1
print(n_days,end=' ')
 t = time.time()
market_obs_df['assetCode_encoded'] = market_obs_df[cat].astype(str ).apply(lambda x: encode(encoders[i], x))
market_obs_df[num_cols] = market_obs_df[num_cols].fillna(0)
 market_obs_df[num_cols] = scaler.transform(market_obs_df[num_cols])
 X_num_test = market_obs_df[num_cols].values
X_test = {'num':X_num_test}
X_test['assetCode'] = market_obs_df['assetCode_encoded'].values
prep_time += time.time() - t
t = time.time()
market_prediction = model.predict(X_test)[:,0]*2 -1
predicted_confidences = np.concatenate(( predicted_confidences, market_prediction))
prediction_time += time.time() -t
t = time.time()
preds = pd.DataFrame({'assetCode':market_obs_df['assetCode'],'confidence':market_prediction})
 predictions_template_df = predictions_template_df.merge(preds,how='left' ).drop('confidenceValue',axis=1 ).fillna(0 ).rename(columns={'confidence':'confidenceValue'})
 env.predict(predictions_template_df)
 packaging_time += time.time() - t
env.write_submission_file()
total = prep_time + prediction_time + packaging_time
print(f'Preparing Data: {prep_time:.2f}s')
 print(f'Making Predictions: {prediction_time:.2f}s')
 print(f'Packing: {packaging_time:.2f}s')
 print(f'Total: {total:.2f}s' )