Timeseries split

.github/workflows/test.yml

@@ -23,10 +23,10 @@ jobs:
       run: |
         python -m pip install --upgrade pip
         python -m pip install tox tox-gh-actions
-    - name: Execute tox envs
+    - name: Lint check
       working-directory: ./python
       run: tox -e lint -- --check --diff
-    - name: Execute tox envs
+    - name: Type check
       working-directory: ./python
       run: tox -e type-check
 

examples/TimeSeries Split Cross-Validation.py

@@ -0,0 +1,154 @@
+# Databricks notebook source
+# MAGIC %md
+# MAGIC # Set up dataset
+
+# COMMAND ----------
+
+# MAGIC %sh
+# MAGIC
+# MAGIC wget -P /tmp/finserv/ https://pages.databricks.com/rs/094-YMS-629/images/ASOF_Trades.csv;
+
+# COMMAND ----------
+
+# MAGIC %sh
+# MAGIC
+# MAGIC ls /tmp/finserv/
+
+# COMMAND ----------
+
+# MAGIC %sh head -n 30 /tmp/finserv/ASOF_Trades.csv
+
+# COMMAND ----------
+
+data_dir = "/tmp/finserv"
+trade_schema = """
+  symbol string,
+  event_ts timestamp,
+  mod_dt date,
+  trade_pr double
+"""
+
+trades_df = (spark.read.format("csv")
+             .schema(trade_schema)
+             .option("header", "true")
+             .option("delimiter", ",")
+             .load(f"{data_dir}/ASOF_Trades.csv"))
+
+# COMMAND ----------
+
+# MAGIC %md
+# MAGIC # Prepare Data
+# MAGIC
+# MAGIC Aggregate trades into 15-minute aggregates
+
+# COMMAND ----------
+
+import pyspark.sql.functions as sfn
+
+bars_df = (trades_df
+           .where(sfn.col("symbol").isNotNull())
+           .groupBy(sfn.col("symbol"), 
+                    sfn.window("event_ts", "15 minutes"))
+           .agg(
+             sfn.first_value("trade_pr").alias("open"),
+             sfn.min("trade_pr").alias("low"),
+             sfn.max("trade_pr").alias("high"),
+             sfn.last_value("trade_pr").alias("close"),
+             sfn.count("trade_pr").alias("num_trades"))
+           .select("symbol", 
+                   sfn.col("window.start").alias("event_ts"),
+                   "open", "high", "low", "close", "num_trades")
+           .orderBy("symbol", "event_ts"))
+
+# COMMAND ----------
+
+display(bars_df)
+
+# COMMAND ----------
+
+# MAGIC %md
+# MAGIC ### Rolling 1.5 hour window
+# MAGIC
+# MAGIC Build a feature-vector by rolling the 6 previous rows (1.5 hours) into a feature vector to predict current prices.
+
+# COMMAND ----------
+
+from pyspark.sql import Window
+
+six_step_win = Window.partitionBy("symbol").orderBy("event_ts").rowsBetween(-6, -1)
+
+six_step_rolling = (bars_df
+                    .withColumn("prev_open", sfn.collect_list("open").over(six_step_win))
+                    .withColumn("prev_high", sfn.collect_list("high").over(six_step_win))
+                    .withColumn("prev_low", sfn.collect_list("low").over(six_step_win))
+                    .withColumn("prev_close", sfn.collect_list("close").over(six_step_win))
+                    .withColumn("prev_n", sfn.collect_list("num_trades").over(six_step_win))
+                    .where(sfn.array_size("prev_n") >= sfn.lit(6)))
+
+# COMMAND ----------
+
+display(six_step_rolling)
+
+# COMMAND ----------
+
+import pyspark.ml.functions as mlfn
+
+features_df = (six_step_rolling
+               .withColumn("features", 
+                           mlfn.array_to_vector(sfn.concat("prev_open", "prev_high", 
+                                                           "prev_low", "prev_close", 
+                                                           "prev_n")))
+               .drop("prev_open", "prev_high", "prev_low", "prev_close", "prev_n"))
+
+# COMMAND ----------
+
+display(features_df)
+
+# COMMAND ----------
+
+# MAGIC %md
+# MAGIC ### Cross-validate a model
+# MAGIC But we need to split based on time...
+
+# COMMAND ----------
+
+from pyspark.ml.tuning import ParamGridBuilder
+from pyspark.ml.regression import GBTRegressor
+from pyspark.ml.evaluation import RegressionEvaluator
+
+from tempo.ml import TimeSeriesCrossValidator
+
+# parameters
+params = ParamGridBuilder().build()
+
+# set up model
+target_col = "close"
+gbt = GBTRegressor(labelCol=target_col, featuresCol="features")
+
+# set up evaluator
+eval = RegressionEvaluator(labelCol=target_col, predictionCol="prediction", metricName="rmse")
+
+# set up cross-validator
+param_grid = ParamGridBuilder().build()
+tscv = TimeSeriesCrossValidator(estimator=gbt, 
+                                evaluator=eval,
+                                estimatorParamMaps=param_grid,
+                                collectSubModels=True,
+                                timeSeriesCol="event_ts",
+                                seriesIdCols=["symbol"])
+
+# COMMAND ----------
+
+import mlflow
+import mlflow.spark
+
+mlflow.spark.autolog()
+
+with mlflow.start_run() as run:
+  cvModel = tscv.fit(features_df)
+  best_gbt_mdl = cvModel.bestModel
+  mlflow.spark.log_model(best_gbt_mdl, "cv_model")
+
+# COMMAND ----------
+
+

python/tempo/ml.py

@@ -0,0 +1,122 @@
+from typing import Any, List, Tuple
+from functools import reduce
+
+from pyspark.sql import DataFrame
+from pyspark.sql.window import Window, WindowSpec
+from pyspark.sql import functions as sfn
+
+from pyspark.ml.param import Param, Params, TypeConverters
+from pyspark.ml.tuning import CrossValidator
+
+
+TMP_SPLIT_COL = "__tmp_split_col"
+TMP_GAP_COL = "__tmp_gap_row"
+
+
+class TimeSeriesCrossValidator(CrossValidator):
+    # some additional parameters
+    timeSeriesCol: Param[str] = Param(
+        Params._dummy(),
+        "timeSeriesCol",
+        "The name of the time series column",
+        typeConverter=TypeConverters.toString,
+    )
+    seriesIdCols: Param[List[str]] = Param(
+        Params._dummy(),
+        "seriesIdCols",
+        "The name of the series id columns",
+        typeConverter=TypeConverters.toListString,
+    )
+    gap: Param[int] = Param(
+        Params._dummy(),
+        "gap",
+        "The gap between training and test set",
+        typeConverter=TypeConverters.toInt,
+    )
+
+    def __init__(
+        self,
+        timeSeriesCol: str = "event_ts",
+        seriesIdCols: List[str] = [],
+        gap: int = 0,
+        **other_kwargs: Any
+    ) -> None:
+        super(TimeSeriesCrossValidator, self).__init__(**other_kwargs)
+        self._setDefault(timeSeriesCol="event_ts", seriesIdCols=[], gap=0)
+        self._set(timeSeriesCol=timeSeriesCol, seriesIdCols=seriesIdCols, gap=gap)
+
+    def getTimeSeriesCol(self) -> str:
+        return self.getOrDefault(self.timeSeriesCol)
+
+    def getSeriesIdCols(self) -> List[str]:
+        return self.getOrDefault(self.seriesIdCols)
+
+    def getGap(self) -> int:
+        return self.getOrDefault(self.gap)
+
+    def setTimeSeriesCol(self, value: str) -> "TimeSeriesCrossValidator":
+        return self._set(timeSeriesCol=value)
+
+    def setSeriesIdCols(self, value: List[str]) -> "TimeSeriesCrossValidator":
+        return self._set(seriesIdCols=value)
+
+    def setGap(self, value: int) -> "TimeSeriesCrossValidator":
+        return self._set(gap=value)
+
+    def _get_split_win(self, desc: bool = False) -> WindowSpec:
+        ts_col_expr = sfn.col(self.getTimeSeriesCol())
+        if desc:
+            ts_col_expr = ts_col_expr.desc()
+        win = Window.orderBy(ts_col_expr)
+        series_id_cols = self.getSeriesIdCols()
+        if series_id_cols and len(series_id_cols) > 0:
+            win = win.partitionBy(*series_id_cols)
+        return win
+
+    def _kFold(self, dataset: DataFrame) -> List[Tuple[DataFrame, DataFrame]]:
+        nFolds = self.getOrDefault(self.numFolds)
+        nSplits = nFolds + 1
+
+        # split the data into nSplits subsets by timeseries order
+        split_df = dataset.withColumn(
+            TMP_SPLIT_COL, sfn.ntile(nSplits).over(self._get_split_win())
+        )
+        all_splits = [
+            split_df.filter(sfn.col(TMP_SPLIT_COL) == i).drop(TMP_SPLIT_COL)
+            for i in range(1, nSplits + 1)
+        ]
+        assert len(all_splits) == nSplits
+
+        # compose the k folds by including all previous splits in the training set,
+        # and the next split in the test set
+        kFolds = [
+            (reduce(lambda a, b: a.union(b), all_splits[: i + 1]), all_splits[i + 1])
+            for i in range(nFolds)
+        ]
+        assert len(kFolds) == nFolds
+        for tv in kFolds:
+            assert len(tv) == 2
+
+        # trim out a gap from the training datasets, if specified
+        gap = self.getOrDefault(self.gap)
+        if gap > 0:
+            order_cols = self.getSeriesIdCols() + [self.getTimeSeriesCol()]
+            # trim each training dataset by the specified gap
+            kFolds = [
+                (
+                    (
+                        train_df.withColumn(
+                            TMP_GAP_COL,
+                            sfn.row_number().over(self._get_split_win(desc=True)),
+                        )
+                        .where(sfn.col(TMP_GAP_COL) > gap)
+                        .drop(TMP_GAP_COL)
+                        .orderBy(*order_cols)
+                    ),
+                    test_df,
+                )
+                for (train_df, test_df) in kFolds
+            ]
+
+        # return the k folds (training, test) datasets
+        return kFolds

python/tox.ini

@@ -50,7 +50,7 @@ deps =
     numpy
     types-openpyxl
 commands =
-    mypy --install-types {toxinidir}/tempo
+    mypy --install-types --non-interactive {toxinidir}/tempo
 
 [testenv:build-dist]
 description = build distribution