Kaggle competition: Two Sigma: Using News to Predict Stock Movements
print("Tensorflow version " + tf.__version__)
 AUTO = tf.data.experimental.AUTOTUNE
!pip install -q efficientnet 
<set_options>
import numpy as np
import lightgbm as lgb
import pandas as pd
from kaggle.competitions import twosigmanews
import matplotlib.pyplot as plt
import random
from datetime import datetime, date
from xgboost import XGBClassifier
from sklearn import model_selection
from sklearn.metrics import mean_squared_error
import time
try:
tpu = tf.distribute.cluster_resolver.TPUClusterResolver()
print('Running on TPU ', tpu.master())
 except ValueError:
tpu = None
if tpu:
tf.config.experimental_connect_to_cluster(tpu)
 tf.tpu.experimental.initialize_tpu_system(tpu)
 strategy = tf.distribute.experimental.TPUStrategy(tpu)
 else:
strategy = tf.distribute.get_strategy()
print("REPLICAS: ", strategy.num_replicas_in_sync )<define_variables>
env = twosigmanews.make_env()
print('Done!' )
GCS_DS_PATH = KaggleDatasets().get_gcs_path()
GCS_DS_PATH<define_variables>
( market_train_df, news_train_df)= env.get_training_data()
IMAGE_SIZE = [512, 512]
EPOCHS = 50
BATCH_SIZE = 16 * strategy.num_replicas_in_sync
GCS_PATH_SELECT = {
192: GCS_DS_PATH + '/tfrecords-jpeg-192x192',
224: GCS_DS_PATH + '/tfrecords-jpeg-224x224',
331: GCS_DS_PATH + '/tfrecords-jpeg-331x331',
512: GCS_DS_PATH + '/tfrecords-jpeg-512x512'
}
GCS_PATH = GCS_PATH_SELECT[IMAGE_SIZE[0]]
TRAINING_FILENAMES = tf.io.gfile.glob(GCS_PATH + '/train/*.tfrec')
 VALIDATION_FILENAMES = tf.io.gfile.glob(GCS_PATH + '/val/*.tfrec')
 TEST_FILENAMES = tf.io.gfile.glob(GCS_PATH + '/test/*.tfrec')
 CLASSES = ['pink primrose', 'hard-leaved pocket orchid', 'canterbury bells', 'sweet pea', 'wild geranium', 'tiger lily', 'moon orchid', 'bird of paradise', 'monkshood', 'globe thistle',
'snapdragon', "colt's foot", 'king protea', 'spear thistle', 'yellow iris', 'globe-flower', 'purple coneflower', 'peruvian lily', 'balloon flower', 'giant white arum lily',
'fire lily', 'pincushion flower', 'fritillary', 'red ginger', 'grape hyacinth', 'corn poppy', 'prince of wales feathers', 'stemless gentian', 'artichoke', 'sweet william',
'carnation', 'garden phlox', 'love in the mist', 'cosmos', 'alpine sea holly', 'ruby-lipped cattleya', 'cape flower', 'great masterwort', 'siam tulip', 'lenten rose',
'barberton daisy', 'daffodil', 'sword lily', 'poinsettia', 'bolero deep blue', 'wallflower', 'marigold', 'buttercup', 'daisy', 'common dandelion',
'petunia', 'wild pansy', 'primula', 'sunflower', 'lilac hibiscus', 'bishop of llandaff', 'gaura', 'geranium', 'orange dahlia', 'pink-yellow dahlia',
'cautleya spicata', 'japanese anemone', 'black-eyed susan', 'silverbush', 'californian poppy', 'osteospermum', 'spring crocus', 'iris', 'windflower', 'tree poppy',
'gazania', 'azalea', 'water lily', 'rose', 'thorn apple', 'morning glory', 'passion flower', 'lotus', 'toad lily', 'anthurium',
'frangipani', 'clematis', 'hibiscus', 'columbine', 'desert-rose', 'tree mallow', 'magnolia', 'cyclamen ', 'watercress', 'canna lily',
'hippeastrum ', 'bee balm', 'pink quill', 'foxglove', 'bougainvillea', 'camellia', 'mallow', 'mexican petunia', 'bromelia', 'blanket flower',
'trumpet creeper', 'blackberry lily', 'common tulip', 'wild rose']<categorify>
market_train_df['time'] = market_train_df['time'].dt.date
market_train_df = market_train_df.loc[market_train_df['time']>=date(2010, 1, 1)]
np.set_printoptions(threshold=15, linewidth=80)
 def batch_to_numpy_images_and_labels(data):
images, labels = data
numpy_images = images.numpy()
numpy_labels = labels.numpy()
if numpy_labels.dtype == object:
numpy_labels = [None for _ in enumerate(numpy_images)]
return numpy_images, numpy_labels
def title_from_label_and_target(label, correct_label):
if correct_label is None:
return CLASSES[label], True
correct =(label == correct_label)
 return "{} [{}{}{}]".format(CLASSES[label], 'OK' if correct else 'NO', u"\u2192" if not correct else '',
CLASSES[correct_label] if not correct else ''), correct
def display_one_flower(image, title, subplot, red=False, titlesize=16):
plt.subplot(*subplot)
 plt.axis('off')
 plt.imshow(image)
 if len(title)> 0:
plt.title(title, fontsize=int(titlesize)if not red else int(titlesize/1.2), color='red' if red else 'black', fontdict={'verticalalignment':'center'}, pad=int(titlesize/1.5))
return(subplot[0], subplot[1], subplot[2]+1)
 def display_batch_of_images(databatch, predictions=None):

 images, labels = batch_to_numpy_images_and_labels(databatch)
 if labels is None:
labels = [None for _ in enumerate(images)]
rows = int(math.sqrt(len(images)))
 cols = len(images)//rows
FIGSIZE = 13.0
SPACING = 0.1
subplot=(rows,cols,1)
 if rows < cols:
plt.figure(figsize=(FIGSIZE,FIGSIZE/cols*rows))
else:
plt.figure(figsize=(FIGSIZE/rows*cols,FIGSIZE))
for i,(image, label)in enumerate(zip(images[:rows*cols], labels[:rows*cols])) :
title = '' if label is None else CLASSES[label]
correct = True
if predictions is not None:
title, correct = title_from_label_and_target(predictions[i], label)
 dynamic_titlesize = FIGSIZE*SPACING/max(rows,cols)*40+3
subplot = display_one_flower(image, title, subplot, not correct, titlesize=dynamic_titlesize)
 plt.tight_layout()
if label is None and predictions is None:
plt.subplots_adjust(wspace=0, hspace=0)
 else:
plt.subplots_adjust(wspace=SPACING, hspace=SPACING)
 plt.show()
def display_confusion_matrix(cmat, score, precision, recall):
plt.figure(figsize=(15,15))
ax = plt.gca()
ax.matshow(cmat, cmap='Reds')
 ax.set_xticks(range(len(CLASSES)))
 ax.set_xticklabels(CLASSES, fontdict={'fontsize': 7})
 plt.setp(ax.get_xticklabels() , rotation=45, ha="left", rotation_mode="anchor")
 ax.set_yticks(range(len(CLASSES)))
 ax.set_yticklabels(CLASSES, fontdict={'fontsize': 7})
 plt.setp(ax.get_yticklabels() , rotation=45, ha="right", rotation_mode="anchor")
 titlestring = ""
if score is not None:
titlestring += 'f1 = {:.3f} '.format(score)
 if precision is not None:
titlestring += '
precision = {:.3f} '.format(precision)
 if recall is not None:
titlestring += '
recall = {:.3f} '.format(recall)
 if len(titlestring)> 0:
ax.text(101, 1, titlestring, fontdict={'fontsize': 18, 'horizontalalignment':'right', 'verticalalignment':'top', 'color':'
plt.show()
def display_training_curves(training, validation, title, subplot):
if subplot%10==1:
plt.subplots(figsize=(10,10), facecolor='
plt.tight_layout()
ax = plt.subplot(subplot)
 ax.set_facecolor('
ax.plot(training)
 ax.plot(validation)
 ax.set_title('model '+ title)
 ax.set_ylabel(title)
 ax.set_xlabel('epoch')
 ax.legend(['train', 'valid.'] )<categorify>
return_features = ['returnsClosePrevMktres10','returnsClosePrevRaw10','open','close']
n_lag = [3,7,14]
new_df = generate_lag_features(market_train_df,n_lag=n_lag)
 market_train_df = pd.merge(market_train_df,new_df,how='left',on=['time','assetCode'] )
def decode_image(image_data):
image = tf.image.decode_jpeg(image_data, channels=3)
 image = tf.cast(image, tf.float32)/ 255.0
image = tf.reshape(image, [*IMAGE_SIZE, 3])
 return image
def read_labeled_tfrecord(example):
LABELED_TFREC_FORMAT = {
"image": tf.io.FixedLenFeature([], tf.string),
"class": tf.io.FixedLenFeature([], tf.int64),
}
example = tf.io.parse_single_example(example, LABELED_TFREC_FORMAT)
 image = decode_image(example['image'])
 label = tf.cast(example['class'], tf.int32)
 return image, label
def read_unlabeled_tfrecord(example):
UNLABELED_TFREC_FORMAT = {
"image": tf.io.FixedLenFeature([], tf.string),
"id": tf.io.FixedLenFeature([], tf.string),
}
example = tf.io.parse_single_example(example, UNLABELED_TFREC_FORMAT)
 image = decode_image(example['image'])
 idnum = example['id']
return image, idnum
def load_dataset(filenames, labeled=True, ordered=False):
ignore_order = tf.data.Options()
if not ordered:
ignore_order.experimental_deterministic = False
dataset = tf.data.TFRecordDataset(filenames, num_parallel_reads=AUTO)
 dataset = dataset.with_options(ignore_order)
 dataset = dataset.map(read_labeled_tfrecord if labeled else read_unlabeled_tfrecord, num_parallel_calls=AUTO)
 return dataset
def data_augment(image, label):
image = tf.image.random_flip_left_right(image)
 image = tf.image.random_saturation(image, 0, 2)
 image = tf.image.random_brightness(image, 0.1)
 return image, label
def get_training_dataset() :
dataset = load_dataset(TRAINING_FILENAMES, labeled=True)
 dataset = dataset.map(data_augment, num_parallel_calls=AUTO)
 dataset = dataset.repeat()
dataset = dataset.shuffle(2048)
 dataset = dataset.batch(BATCH_SIZE)
 dataset = dataset.prefetch(AUTO)
 return dataset
def get_validation_dataset(ordered=False):
dataset = load_dataset(VALIDATION_FILENAMES, labeled=True, ordered=ordered)
 dataset = dataset.batch(BATCH_SIZE)
 dataset = dataset.cache()
dataset = dataset.prefetch(AUTO)
 return dataset
def get_train_valid_datasets() :
dataset = load_dataset(TRAINING_FILENAMES + VALIDATION_FILENAMES, labeled=True)
 dataset = dataset.map(data_augment, num_parallel_calls=AUTO)
 dataset = dataset.repeat()
dataset = dataset.shuffle(2048)
 dataset = dataset.batch(BATCH_SIZE)
 dataset = dataset.prefetch(AUTO)
 return dataset
def get_test_dataset(ordered=False):
dataset = load_dataset(TEST_FILENAMES, labeled=False, ordered=ordered)
 dataset = dataset.batch(BATCH_SIZE)
 dataset = dataset.prefetch(AUTO)
 return dataset
def count_data_items(filenames):
n = [int(re.compile(r"-([0-9]*)\." ).search(filename ).group(1)) for filename in filenames]
return np.sum(n)
 NUM_TRAINING_IMAGES = count_data_items(TRAINING_FILENAMES)
 NUM_VALIDATION_IMAGES = count_data_items(VALIDATION_FILENAMES)
 NUM_TEST_IMAGES = count_data_items(TEST_FILENAMES)
 STEPS_PER_EPOCH = NUM_TRAINING_IMAGES // BATCH_SIZE
print('Dataset: {} training images, {} validation images, {} unlabeled test images'.format(NUM_TRAINING_IMAGES, NUM_VALIDATION_IMAGES, NUM_TEST_IMAGES))<train_model>
def mis_impute(data):
for i in data.columns:
if data[i].dtype == "object":
data[i] = data[i].fillna("other")
 elif(data[i].dtype == "int64" or data[i].dtype == "float64"):
data[i] = data[i].fillna(data[i].mean())
 else:
pass
return data
market_train_df = mis_impute(market_train_df )
print("Training data shapes:")
 for image, label in get_training_dataset().take(3):
print(image.numpy().shape, label.numpy().shape)
 print("Training data label examples:", label.numpy())
 print("Validation data shapes:")
 for image, label in get_validation_dataset().take(3):
print(image.numpy().shape, label.numpy().shape)
 print("Validation data label examples:", label.numpy())
 print("Test data shapes:")
 for image, idnum in get_test_dataset().take(3):
print(image.numpy().shape, idnum.numpy().shape)
 print("Test data IDs:", idnum.numpy().astype('U'))<define_variables>
def data_prep(market_train):
lbl = {k: v for v, k in enumerate(market_train['assetCode'].unique())}
market_train['assetCodeT'] = market_train['assetCode'].map(lbl)
 market_train = market_train.dropna(axis=0)
 return market_train
market_train_df = data_prep(market_train_df)
 print(market_train_df.shape )
training_dataset = get_training_dataset()
training_dataset = training_dataset.unbatch().batch(20)
 train_batch = iter(training_dataset)
 display_batch_of_images(next(train_batch))<define_variables>
up = market_train_df['returnsOpenNextMktres10'] >= 0
universe = market_train_df['universe'].values
d = market_train_df['time']
fcol = [c for c in market_train_df if c not in ['assetCode', 'assetCodes', 'assetCodesLen', 'assetName', 'audiences',
'firstCreated', 'headline', 'headlineTag', 'marketCommentary', 'provider',
'returnsOpenNextMktres10', 'sourceId', 'subjects', 'time', 'time_x', 'universe','sourceTimestamp']]
X = market_train_df[fcol].values
up = up.values
r = market_train_df.returnsOpenNextMktres10.values
mins = np.min(X, axis=0)
 maxs = np.max(X, axis=0)
 rng = maxs - mins
X = 1 -(( maxs - X)/ rng)
 assert X.shape[0] == up.shape[0] == r.shape[0]
te = market_train_df['time']>date(2015, 1, 1)
 tt = 0
for tt,i in enumerate(te.values):
if i:
idx = tt
print(i,tt)
 break
print(idx)
 X_train, X_test = X[:idx],X[idx:]
up_train, up_test = up[:idx],up[idx:]
r_train, r_test = r[:idx],r[idx:]
u_train,u_test = universe[:idx],universe[idx:]
d_train,d_test = d[:idx],d[idx:]
train_data = lgb.Dataset(X_train, label=up_train.astype(int))
test_data = lgb.Dataset(X_test, label=up_test.astype(int))
test_dataset = get_test_dataset()
test_dataset = test_dataset.unbatch().batch(20)
 test_batch = iter(test_dataset)
 display_batch_of_images(next(test_batch))<randomize_order>
confidence_test =(gbm_1.predict(X_test)+ gbm_2.predict(X_test)) /2
confidence_test =(confidence_test-confidence_test.min())/(confidence_test.max() -confidence_test.min())
 confidence_test = confidence_test*2-1
print(max(confidence_test),min(confidence_test))
r_test = r_test.clip(-1,1)
 x_t_i = confidence_test * r_test * u_test
data = {'day' : d_test, '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_test = mean / std
print(score_test)
<train_model><EOS> 
del X_train,X_test
gc.collect()