Kaggle competition: Jane Street Market Prediction
<SOS> metric: JaneStreetPnl Kaggle data source: jane-street-market-prediction<define_variables>
warnings.filterwarnings("ignore")
 %matplotlib inline
tf.random.set_seed(42)
 train = dd.read_csv('/kaggle/input/jane-street-market-prediction/train.csv' ).compute().sort_values('ts_id')
 features = [c for c in train.columns if "feature" in c]
def create_mlp(
 num_columns, num_labels, hidden_units, dropout_rates, label_smoothing, learning_rate 
):
inp = tf.keras.layers.Input(shape=(num_columns,))
x = tf.keras.layers.BatchNormalization()(inp)
 x = tf.keras.layers.Dropout(dropout_rates[0] )(x)
 for i in range(len(hidden_units)) :
x = tf.keras.layers.Dense(hidden_units[i] )(x)
 x = tf.keras.layers.BatchNormalization()(x)
 x = tf.keras.layers.Activation(tf.keras.activations.swish )(x)
 x = tf.keras.layers.Dropout(dropout_rates[i + 1] )(x)
 x = tf.keras.layers.Dense(num_labels )(x)
 out = tf.keras.layers.Activation("sigmoid" )(x)
 model = tf.keras.models.Model(inputs=inp, outputs=out)
 model.compile(
 optimizer=tf.keras.optimizers.Adam(learning_rate=learning_rate),
loss=tf.keras.losses.BinaryCrossentropy(label_smoothing=label_smoothing),
metrics=tf.keras.metrics.AUC(name="AUC"), 
)
 return model
batch_size = 4096
hidden_units = [384, 896, 896, 394]
dropout_rates = [
0.10143786981358652,
0.19720339053599725,
0.2703017847244654,
0.23148340929571917,
0.2357768967777311,
]
label_smoothing = 1e-2
learning_rate = 1e-3
num_models = 2
models = []
for i in range(num_models):
clf = create_mlp(
 len(features), 1, hidden_units, dropout_rates, label_smoothing, learning_rate 
)
 clf.load_weights(f".. /input/js-nn-models/JSModel_{i}.hdf5")
 models.append(clf)
 f_mean = np.load('.. /input/js-nn-models/f_mean.npy')
puncts = [',', '.', '"', ':', ')', '(', '-', '!', '?', '|', ';', "'", '$', '&', '/', '[', ']', '>', '%', '=', '
'·', '_', '{', '}', '©', '^', '®', '`', '<', '→', '°', '€', '™', '›', '♥', '←', '×', '§', '″', '′', 'Â', '█', '½', 'à', '…',
'“', '★', '”', '–', '●', 'â', '►', '−', '¢', '²', '¬', '░', '¶', '↑', '±', '¿', '▾', '═', '¦', '║', '―', '¥', '▓', '—', '‹', '─',
'▒', '：', '¼', '⊕', '▼', '▪', '†', '■', '’', '▀', '¨', '▄', '♫', '☆', 'é', '¯', '♦', '¤', '▲', 'è', '¸', '¾', 'Ã', '⋅', '‘', '∞',
'∙', '）', '↓', '、', '│', '（', '»', '，', '♪', '╩', '╚', '³', '・', '╦', '╣', '╔', '╗', '▬', '❤', 'ï', 'Ø', '¹', '≤', '‡', '√', ]
def clean_text(x):
x = str(x)
 for punct in puncts:
x = x.replace(punct, f' {punct} ')
 return x
def clean_numbers(x):
x = re.sub('[0-9]{5,}', '
x = re.sub('[0-9]{4}', '
x = re.sub('[0-9]{3}', '
x = re.sub('[0-9]{2}', '
return x
mispell_dict = {"aren't" : "are not",
"can't" : "cannot",
"couldn't" : "could not",
"didn't" : "did not",
"doesn't" : "does not",
"don't" : "do not",
"hadn't" : "had not",
"hasn't" : "has not",
"haven't" : "have not",
"he'd" : "he would",
"he'll" : "he will",
"he's" : "he is",
"i'd" : "I would",
"i'd" : "I had",
"i'll" : "I will",
"i'm" : "I am",
"isn't" : "is not",
"it's" : "it is",
"it'll":"it will",
"i've" : "I have",
"let's" : "let us",
"mightn't" : "might not",
"mustn't" : "must not",
"shan't" : "shall not",
"she'd" : "she would",
"she'll" : "she will",
"she's" : "she is",
"shouldn't" : "should not",
"that's" : "that is",
"there's" : "there is",
"they'd" : "they would",
"they'll" : "they will",
"they're" : "they are",
"they've" : "they have",
"we'd" : "we would",
"we're" : "we are",
"weren't" : "were not",
"we've" : "we have",
"what'll" : "what will",
"what're" : "what are",
"what's" : "what is",
"what've" : "what have",
"where's" : "where is",
"who'd" : "who would",
"who'll" : "who will",
"who're" : "who are",
"who's" : "who is",
"who've" : "who have",
"won't" : "will not",
"wouldn't" : "would not",
"you'd" : "you would",
"you'll" : "you will",
"you're" : "you are",
"you've" : "you have",
"'re": " are",
"wasn't": "was not",
"we'll":" will",
"didn't": "did not",
"tryin'":"trying"}
def _get_mispell(mispell_dict):
mispell_re = re.compile('(%s)' % '|'.join(mispell_dict.keys()))
return mispell_dict, mispell_re
mispellings, mispellings_re = _get_mispell(mispell_dict)
 def replace_typical_misspell(text):
def replace(match):
return mispellings[match.group(0)]
return mispellings_re.sub(replace, text )<load_from_csv>
opt_th = 0.503
<split><EOS> 
env = janestreet.make_env()
env_iter = env.iter_test()
for test_df, pred_df in env_iter:
if test_df["weight"].item() > 0:
x_tt = test_df.loc[:, features].values
if np.isnan(x_tt[:, 1:].sum()):
x_tt[:, 1:] = np.nan_to_num(x_tt[:, 1:])+ np.isnan(x_tt[:, 1:])* f_mean
pred = 0.0
for clf in models:
pred += clf(x_tt, training=False ).numpy().item() / num_models
pred_df.action = np.where(pred >= opt_th, 1, 0 ).astype(int)
 else:
pred_df.action = 0
env.predict(pred_df)