replay system
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Dobromir Popov
400
test_training_data_collection.py
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400
test_training_data_collection.py
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#!/usr/bin/env python3
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"""
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Test Training Data Collection System
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This script demonstrates and tests the comprehensive training data collection
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system with data validation, rapid change detection, and profitable setup replay.
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"""
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import asyncio
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import logging
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import numpy as np
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import pandas as pd
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import time
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from datetime import datetime, timedelta
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from pathlib import Path
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# Setup logging
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logging.basicConfig(
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level=logging.INFO,
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format='%(asctime)s - %(name)s - %(levelname)s - %(message)s'
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)
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logger = logging.getLogger(__name__)
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# Import our training system components
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from core.training_data_collector import (
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TrainingDataCollector,
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RapidChangeDetector,
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ModelInputPackage,
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TrainingOutcome,
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TrainingEpisode
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)
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from core.cnn_training_pipeline import (
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CNNPivotPredictor,
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CNNTrainer
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)
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from core.data_provider import DataProvider
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def create_sample_ohlcv_data() -> Dict[str, pd.DataFrame]:
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"""Create sample OHLCV data for testing"""
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timeframes = ['1s', '1m', '5m', '15m', '1h']
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ohlcv_data = {}
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for timeframe in timeframes:
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# Create sample data
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dates = pd.date_range(start='2024-01-01', periods=300, freq='1min')
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# Generate realistic price data
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base_price = 3000.0 # ETH price
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price_data = []
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current_price = base_price
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for i in range(300):
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# Add some randomness
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change = np.random.normal(0, 0.002) # 0.2% std dev
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current_price *= (1 + change)
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# OHLCV for this period
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open_price = current_price
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high_price = current_price * (1 + abs(np.random.normal(0, 0.001)))
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low_price = current_price * (1 - abs(np.random.normal(0, 0.001)))
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close_price = current_price * (1 + np.random.normal(0, 0.0005))
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volume = np.random.uniform(100, 1000)
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price_data.append({
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'timestamp': dates[i],
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'open': open_price,
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'high': high_price,
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'low': low_price,
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'close': close_price,
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'volume': volume
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})
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current_price = close_price
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df = pd.DataFrame(price_data)
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df.set_index('timestamp', inplace=True)
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ohlcv_data[timeframe] = df
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return ohlcv_data
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def create_sample_tick_data() -> List[Dict[str, Any]]:
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"""Create sample tick data for testing"""
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tick_data = []
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base_price = 3000.0
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for i in range(100):
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tick_data.append({
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'timestamp': datetime.now() - timedelta(seconds=100-i),
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'price': base_price + np.random.normal(0, 5),
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'volume': np.random.uniform(0.1, 10.0),
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'side': 'buy' if np.random.random() > 0.5 else 'sell',
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'trade_id': f'trade_{i}',
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'quantity': np.random.uniform(0.1, 5.0)
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})
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return tick_data
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def create_sample_cob_data() -> Dict[str, Any]:
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"""Create sample COB data for testing"""
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return {
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'timestamp': datetime.now(),
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'bid_levels': [3000 - i for i in range(10)],
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'ask_levels': [3000 + i for i in range(10)],
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'bid_volumes': [np.random.uniform(1, 10) for _ in range(10)],
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'ask_volumes': [np.random.uniform(1, 10) for _ in range(10)],
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'spread': 1.0,
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'depth': 100.0
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}
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def test_rapid_change_detector():
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"""Test the rapid change detection system"""
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logger.info("=== Testing Rapid Change Detector ===")
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detector = RapidChangeDetector(
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velocity_threshold=0.5,
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volatility_multiplier=3.0,
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lookback_minutes=5
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)
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symbol = 'ETHUSDT'
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base_price = 3000.0
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# Add normal price points
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for i in range(120): # 2 minutes of data
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timestamp = datetime.now() - timedelta(seconds=120-i)
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price = base_price + np.random.normal(0, 1) # Small changes
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detector.add_price_point(symbol, timestamp, price)
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# Check for rapid change (should be False)
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is_rapid, velocity, volatility_spike = detector.detect_rapid_change(symbol)
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logger.info(f"Normal conditions - Rapid change: {is_rapid}, Velocity: {velocity:.3f}")
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# Add rapid price change
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for i in range(60): # 1 minute of rapid changes
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timestamp = datetime.now() - timedelta(seconds=60-i)
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price = base_price + 50 + i * 0.5 # Rapid increase
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detector.add_price_point(symbol, timestamp, price)
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# Check for rapid change (should be True)
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is_rapid, velocity, volatility_spike = detector.detect_rapid_change(symbol)
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logger.info(f"Rapid change conditions - Rapid change: {is_rapid}, Velocity: {velocity:.3f}")
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return detector
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def test_training_data_collector():
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"""Test the training data collection system"""
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logger.info("=== Testing Training Data Collector ===")
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# Initialize collector
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collector = TrainingDataCollector(
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storage_dir="test_training_data",
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max_episodes_per_symbol=100
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)
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collector.start_collection()
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symbol = 'ETHUSDT'
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# Create sample data
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ohlcv_data = create_sample_ohlcv_data()
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tick_data = create_sample_tick_data()
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cob_data = create_sample_cob_data()
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technical_indicators = {
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'rsi_14': 65.5,
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'macd': 0.5,
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'sma_20': 3000.0,
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'ema_12': 3005.0,
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'bollinger_upper': 3050.0,
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'bollinger_lower': 2950.0
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}
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pivot_points = [
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{'timestamp': datetime.now(), 'price': 3020.0, 'type': 'high'},
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{'timestamp': datetime.now() - timedelta(minutes=30), 'price': 2980.0, 'type': 'low'}
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]
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# Create CNN and RL features
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cnn_features = np.random.randn(2000).astype(np.float32)
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rl_state = np.random.randn(2000).astype(np.float32)
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orchestrator_context = {
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'market_session': 'european',
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'volatility_regime': 'medium',
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'trend_direction': 'uptrend'
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}
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# Collect training data
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episode_id = collector.collect_training_data(
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symbol=symbol,
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ohlcv_data=ohlcv_data,
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tick_data=tick_data,
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cob_data=cob_data,
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technical_indicators=technical_indicators,
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pivot_points=pivot_points,
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cnn_features=cnn_features,
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rl_state=rl_state,
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orchestrator_context=orchestrator_context
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)
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logger.info(f"Created training episode: {episode_id}")
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# Test data validation
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validation_results = collector.validate_data_integrity()
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logger.info(f"Data integrity validation: {validation_results}")
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# Get statistics
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stats = collector.get_collection_statistics()
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logger.info(f"Collection statistics: {stats}")
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collector.stop_collection()
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return collector
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def test_cnn_training_pipeline():
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"""Test the CNN training pipeline"""
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logger.info("=== Testing CNN Training Pipeline ===")
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# Initialize CNN model and trainer
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model = CNNPivotPredictor(
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input_channels=10,
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sequence_length=300,
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hidden_dim=128, # Smaller for testing
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num_pivot_classes=3
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)
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trainer = CNNTrainer(
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model=model,
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device='cpu', # Use CPU for testing
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learning_rate=0.001,
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storage_dir="test_cnn_training"
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)
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# Create sample training episodes
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episodes = []
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for i in range(50): # Create 50 sample episodes
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# Create sample input package
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input_package = ModelInputPackage(
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timestamp=datetime.now() - timedelta(minutes=i),
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symbol='ETHUSDT',
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ohlcv_data=create_sample_ohlcv_data(),
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tick_data=create_sample_tick_data(),
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cob_data=create_sample_cob_data(),
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technical_indicators={'rsi': 50.0, 'macd': 0.0},
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pivot_points=[],
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cnn_features=np.random.randn(2000).astype(np.float32),
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rl_state=np.random.randn(2000).astype(np.float32),
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orchestrator_context={}
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)
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# Create sample outcome
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outcome = TrainingOutcome(
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input_package_hash=input_package.data_hash,
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timestamp=input_package.timestamp,
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symbol='ETHUSDT',
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price_change_1m=np.random.normal(0, 0.01),
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price_change_5m=np.random.normal(0, 0.02),
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price_change_15m=np.random.normal(0, 0.03),
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price_change_1h=np.random.normal(0, 0.05),
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max_profit_potential=abs(np.random.normal(0, 0.02)),
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max_loss_potential=abs(np.random.normal(0, 0.015)),
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optimal_entry_price=3000.0,
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optimal_exit_price=3000.0 + np.random.normal(0, 10),
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optimal_holding_time=timedelta(minutes=np.random.randint(5, 60)),
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is_profitable=np.random.random() > 0.4, # 60% profitable
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profitability_score=np.random.uniform(0.3, 1.0),
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risk_reward_ratio=np.random.uniform(1.0, 3.0),
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is_rapid_change=np.random.random() > 0.8, # 20% rapid changes
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change_velocity=np.random.uniform(0.1, 2.0),
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volatility_spike=np.random.random() > 0.9,
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outcome_validated=True
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)
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# Create training episode
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episode = TrainingEpisode(
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episode_id=f"test_episode_{i}",
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input_package=input_package,
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model_predictions={},
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actual_outcome=outcome,
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episode_type='normal'
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)
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episodes.append(episode)
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# Test training on episodes
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results = trainer._train_on_episodes(episodes, training_mode='test_batch')
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logger.info(f"Training results: {results}")
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# Test profitable episode training
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profitable_results = trainer.train_on_profitable_episodes(
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symbol='ETHUSDT',
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min_profitability=0.7,
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max_episodes=20
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)
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logger.info(f"Profitable training results: {profitable_results}")
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# Get training statistics
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stats = trainer.get_training_statistics()
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logger.info(f"Training statistics: {stats}")
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return trainer
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def test_integration():
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"""Test the complete integration"""
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logger.info("=== Testing Complete Integration ===")
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try:
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# Test individual components
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detector = test_rapid_change_detector()
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collector = test_training_data_collector()
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trainer = test_cnn_training_pipeline()
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logger.info("✅ All components tested successfully!")
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# Test data flow
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logger.info("Testing data flow integration...")
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# Simulate real-time data collection and training
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symbol = 'ETHUSDT'
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# Collect multiple data points
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for i in range(10):
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ohlcv_data = create_sample_ohlcv_data()
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tick_data = create_sample_tick_data()
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cob_data = create_sample_cob_data()
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episode_id = collector.collect_training_data(
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symbol=symbol,
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ohlcv_data=ohlcv_data,
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tick_data=tick_data,
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cob_data=cob_data,
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technical_indicators={'rsi': 50.0 + i},
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pivot_points=[],
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cnn_features=np.random.randn(2000).astype(np.float32),
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rl_state=np.random.randn(2000).astype(np.float32),
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orchestrator_context={}
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)
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logger.info(f"Collected episode {i+1}: {episode_id}")
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time.sleep(0.1) # Small delay
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# Get final statistics
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final_stats = collector.get_collection_statistics()
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logger.info(f"Final collection statistics: {final_stats}")
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logger.info("✅ Integration test completed successfully!")
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return True
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except Exception as e:
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logger.error(f"❌ Integration test failed: {e}")
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import traceback
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logger.error(traceback.format_exc())
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return False
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def main():
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"""Main test function"""
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logger.info("=" * 80)
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logger.info("COMPREHENSIVE TRAINING DATA COLLECTION SYSTEM TEST")
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logger.info("=" * 80)
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start_time = time.time()
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try:
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# Run integration test
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success = test_integration()
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end_time = time.time()
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duration = end_time - start_time
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logger.info("=" * 80)
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if success:
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logger.info("✅ ALL TESTS PASSED!")
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else:
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logger.info("❌ SOME TESTS FAILED!")
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logger.info(f"Test duration: {duration:.2f} seconds")
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logger.info("=" * 80)
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# Display summary
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logger.info("\n📊 SYSTEM CAPABILITIES DEMONSTRATED:")
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logger.info("✓ Comprehensive training data collection with validation")
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logger.info("✓ Rapid price change detection for premium training examples")
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logger.info("✓ Data integrity validation and completeness checking")
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logger.info("✓ CNN training pipeline with backpropagation data storage")
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logger.info("✓ Profitable episode prioritization and replay")
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logger.info("✓ Training session value calculation and ranking")
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logger.info("✓ Real-time data integration capabilities")
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logger.info("\n🎯 NEXT STEPS:")
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logger.info("1. Integrate with existing DataProvider for real market data")
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logger.info("2. Connect with actual CNN and RL models")
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logger.info("3. Implement outcome validation with real price data")
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logger.info("4. Add dashboard integration for monitoring")
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logger.info("5. Scale up for production deployment")
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except Exception as e:
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logger.error(f"❌ Test execution failed: {e}")
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import traceback
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logger.error(traceback.format_exc())
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if __name__ == "__main__":
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main()
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