src/irregular.py

import requests
import pandas as pd
import mplfinance as mpf
import matplotlib.pyplot as plt
from datetime import datetime, timedelta
import os
import numpy as np
from PIL import Image
import tensorflow as tf
from tensorflow.keras import layers, models
from sklearn.metrics import accuracy_score, f1_score, recall_score, roc_auc_score, precision_recall_curve, auc
from sklearn.utils.class_weight import compute_class_weight
import argparse
import gc
import time

# Use non-interactive backend for matplotlib
plt.switch_backend('Agg')

# Coin configurations
COINS = {
    "BTCUSDT": {"train_month": (2024, 6), "test_months": [(2024, 12), (2024, 3), (2024, 8), (2024, 4), (2024, 1)]},
    "ETHUSDT": {"train_month": (2024, 6), "test_months": [(2024, 8), (2024, 4), (2024, 5), (2024, 3), (2024, 2)]},
    "BNBUSDT": {"train_month": (2024, 10), "test_months": [(2024, 3), (2024, 12), (2024, 8), (2024, 1), (2024, 4)]},
    "XRPUSDT": {"train_month": (2024, 9), "test_months": [(2024, 11), (2024, 12), (2024, 4), (2024, 8), (2024, 1)]},
    "ADAUSDT": {"train_month": (2024, 9), "test_months": [(2024, 4), (2024, 12), (2024, 1), (2024, 3), (2024, 11)]},
    "DOGEUSDT": {"train_month": (2024, 9), "test_months": [(2024, 3), (2024, 4), (2024, 11), (2024, 8), (2024, 12)]}
}

TIME_LENGTHS = [7, 14, 21, 28]  # 1, 2, 3, 4 weeks in days
WINDOW_SIZES = [5, 15, 30]  # Candles per image
MISSING_RATIOS = [0.6, 0.8, 0.95]  # 60%, 80%, 95% missing data

# Set BASE_DIR to new folder for irregular data
BASE_DIR = os.path.join(os.path.dirname(os.path.abspath(__file__)), "crypto_research_minute_irregular")

# Binance API data fetcher with irregular data omission
def fetch_coin_data(symbol, start_time, end_time, missing_ratio):
    url = "https://api.binance.com/api/v3/klines"
    all_data = []
    current_start = int(start_time.timestamp() * 1000)
    end_ms = int(end_time.timestamp() * 1000)
    
    while current_start < end_ms:
        params = {"symbol": symbol, "interval": "1m", "startTime": current_start, "endTime": end_ms, "limit": 1000}
        response = requests.get(url, params=params)
        data = response.json()
        if not data:
            break
        all_data.extend(data)
        current_start = int(data[-1][0]) + 60000  # 1 minute in milliseconds
    
    df = pd.DataFrame(all_data, columns=["timestamp", "open", "high", "low", "close", "volume", "close_time", "quote_asset_volume", "trades", "taker_buy_base", "taker_buy_quote", "ignore"])
    df["timestamp"] = pd.to_datetime(df["timestamp"], unit="ms")
    df[["open", "high", "low", "close"]] = df[["open", "high", "low", "close"]].astype(float)
    
    # Apply irregular data omission
    if missing_ratio > 0:
        n_rows = len(df)
        n_keep = int(n_rows * (1 - missing_ratio))
        if n_keep < 1:  # Allow at least 1 row
            print(f"Warning: Not enough data after {missing_ratio*100}% omission for {symbol}, keeping all data")
            return df[["timestamp", "open", "high", "low", "close"]]
        keep_indices = np.random.choice(n_rows, size=n_keep, replace=False)
        df = df.iloc[keep_indices].sort_values("timestamp").reset_index(drop=True)
    
    return df[["timestamp", "open", "high", "low", "close"]]

# Generate candlestick images and labels with sparse windows
def generate_images(df, window_size, output_dir, period_name, month_str, missing_ratio):
    os.makedirs(output_dir, exist_ok=True)
    labels_file = os.path.join(output_dir, f"labels_{month_str}_1m_{period_name}_w{window_size}_{int(missing_ratio*100)}pct.csv")
    if os.path.exists(labels_file):
        print(f"Labels already exist at {labels_file}, skipping image generation")
        return labels_file
    
    if len(df) < 1:
        print(f"Warning: DataFrame too small ({len(df)} rows) for any window, skipping image generation")
        return None
    
    labels = []
    start_time = time.time()
    # Use index as timestamps since it's set as index
    original_timestamps = pd.date_range(start=df.index[0], end=df.index[-1], freq="1min")
    
    for i in range(len(original_timestamps) - window_size + 1):
        window_start = original_timestamps[i]
        window_end = original_timestamps[i + window_size - 1]
        window_indices = df.index[(df.index >= window_start) & (df.index <= window_end)]
        window_df = df.loc[window_indices]
        
        if len(window_df) > 0:
            first_candle = window_df.iloc[0]
            last_candle = window_df.iloc[-1]
            label = "UP" if last_candle["close"] > first_candle["open"] else "DOWN"
            labels.append(label)
            
            plt.figure(figsize=(2, 2))
            mpf.plot(window_df, type="candle", style="binance", axisoff=True, title="", ylabel="", xlabel="", volume=False, tight_layout=True)
            image_path = os.path.join(output_dir, f"candle_{i}_{int(missing_ratio*100)}pct.png")
            plt.savefig(image_path, bbox_inches="tight", pad_inches=0, dpi=32)
            plt.close('all')
            
            if i % 1000 == 0:
                elapsed = time.time() - start_time
                images_generated = i + 1
                speed = images_generated / elapsed if elapsed > 0 else 0
                print(f"Generated image {i}/{len(original_timestamps) - window_size + 1} for {month_str} 1m {period_name} w{window_size} {missing_ratio*100}% ({speed:.2f} images/sec)")
        else:
            continue
    
    labels_df = pd.DataFrame({"image_path": [f"candle_{i}_{int(missing_ratio*100)}pct.png" for i in range(len(original_timestamps) - window_size + 1) if os.path.exists(os.path.join(output_dir, f"candle_{i}_{int(missing_ratio*100)}pct.png"))], "label": labels})
    labels_df.to_csv(labels_file, index=False)
    print(f"Saved {len(labels_df)} labels to {labels_file}")
    return labels_file

# Load and preprocess images
def load_images(labels_file, images_dir):
    if not os.path.exists(labels_file):
        return None, None
    labels_df = pd.read_csv(labels_file)
    X = np.array([np.array(Image.open(os.path.join(images_dir, row["image_path"])).convert("RGB").resize((64, 64))) / 255.0 for _, row in labels_df.iterrows()])
    y = np.array([1 if label == "UP" else 0 for label in labels_df["label"]])
    return X, y

# Train CNN model
def train_model(X, y, period_name, month_str, window_size, coin_dir, missing_ratio):
    model_path = os.path.join(coin_dir, "models", f"model_{month_str}_1m_{period_name}_w{window_size}_{int(missing_ratio*100)}pct.h5")
    if os.path.exists(model_path):
        print(f"Model already exists at {model_path}, loading instead of training")
        return tf.keras.models.load_model(model_path), None
    
    model = models.Sequential([
        layers.Conv2D(32, (3, 3), activation="relu", input_shape=(64, 64, 3)),
        layers.MaxPooling2D((2, 2)),
        layers.Dropout(0.25),
        layers.Conv2D(64, (3, 3), activation="relu"),
        layers.MaxPooling2D((2, 2)),
        layers.Dropout(0.25),
        layers.Conv2D(128, (3, 3), activation="relu"),
        layers.Flatten(),
        layers.Dense(128, activation="relu"),
        layers.Dropout(0.5),
        layers.Dense(1, activation="sigmoid")
    ])
    
    model.compile(optimizer="adam", loss="binary_crossentropy", metrics=["accuracy"])
    class_weights = compute_class_weight('balanced', classes=np.unique(y), y=y)
    history = model.fit(X, y, epochs=10, batch_size=32, class_weight=dict(enumerate(class_weights)))
    
    model.save(model_path)
    print(f"Model saved to {model_path}")
    return model, history

# Evaluate and save results
def evaluate_and_save(model, X, y, period_name, month_str, window_size, coin_dir, dataset_type="train", exp_suffix="", missing_ratio=0):
    results_file = os.path.join(coin_dir, "results", f"results_{dataset_type}_{month_str}_1m_{period_name}_w{window_size}_{int(missing_ratio*100)}pct{exp_suffix}.txt")
    if os.path.exists(results_file) and exp_suffix != "_exp2":
        print(f"Results already exist at {results_file}, skipping evaluation")
        return None
    
    y_pred_prob = model.predict(X, verbose=0)
    y_pred = (y_pred_prob > 0.5).astype(int).flatten()
    
    metrics = {
        "accuracy": accuracy_score(y, y_pred),
        "f1": f1_score(y, y_pred),
        "recall": recall_score(y, y_pred),
        "auroc": roc_auc_score(y, y_pred_prob),
        "auprc": auc(*precision_recall_curve(y, y_pred_prob)[1::-1])
    }
    
    with open(results_file, "w") as f:
        f.write(f"{dataset_type.capitalize()} Metrics for {month_str} 1m {period_name} w{window_size} {missing_ratio*100}% {exp_suffix}:\n")
        for k, v in metrics.items():
            f.write(f"{k.capitalize()}: {v:.4f}\n")
    print(f"Results saved to {results_file}")
    return metrics

# Check if all experiments for a window size and missing ratio are complete
def is_window_size_complete(symbol, train_month, test_months, window_size, missing_ratio):
    coin_dir = os.path.join(BASE_DIR, symbol)
    train_year, train_month_num = train_month
    train_month_str = f"{train_year}-{train_month_num:02d}"
    ratio_str = f"_{int(missing_ratio*100)}pct"
    
    # Check Experiment I
    for days in TIME_LENGTHS:
        period_name = f"{days}days"
        train_result = os.path.join(coin_dir, "results", f"results_train_{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}.txt")
        if not os.path.exists(train_result):
            return False
        for test_year, test_month_num in test_months:
            test_month_str = f"{test_year}-{test_month_num:02d}"
            test_result = os.path.join(coin_dir, "results", f"results_test_{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}.txt")
            if not os.path.exists(test_result):
                return False
    
    # Check Experiment II
    period_name = "1week"
    train_result = os.path.join(coin_dir, "results", f"results_train_{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}_exp2.txt")
    if not os.path.exists(train_result):
        return False
    for test_year, test_month_num in test_months:
        test_month_str = f"{test_year}-{test_month_num:02d}"
        for days in [14, 21, 28]:
            period_name = f"{days}days"
            test_result = os.path.join(coin_dir, "results", f"results_test_{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}_exp2.txt")
            if not os.path.exists(test_result):
                return False
    
    return True

# Main experiment runner for a single coin, window size, and missing ratio
def run_experiments_for_coin(symbol, train_month, test_months, window_size, missing_ratio):
    if is_window_size_complete(symbol, train_month, test_months, window_size, missing_ratio):
        print(f"All experiments for {symbol} with window size {window_size} and {missing_ratio*100}% missing complete, skipping")
        return
    
    coin_dir = os.path.join(BASE_DIR, symbol)
    RAW_DATA_DIR = os.path.join(coin_dir, "raw_data")
    IMAGES_DIR = os.path.join(coin_dir, "images")
    MODELS_DIR = os.path.join(coin_dir, "models")
    RESULTS_DIR = os.path.join(coin_dir, "results")
    
    os.makedirs(RAW_DATA_DIR, exist_ok=True)
    os.makedirs(IMAGES_DIR, exist_ok=True)
    os.makedirs(MODELS_DIR, exist_ok=True)
    os.makedirs(RESULTS_DIR, exist_ok=True)
    
    train_year, train_month_num = train_month
    ratio_str = f"_{int(missing_ratio*100)}pct"
    
    # Experiment I: Train and test on matching timelengths
    for days in TIME_LENGTHS:
        period_name = f"{days}days"
        train_start = datetime(train_year, train_month_num, 1)
        train_end = train_start + timedelta(days=days - 1, hours=23, minutes=59)
        train_month_str = f"{train_year}-{train_month_num:02d}"
        
        raw_file = os.path.join(RAW_DATA_DIR, f"raw_{train_month_str}_1m_{period_name}{ratio_str}.csv")
        if not os.path.exists(raw_file):
            df = fetch_coin_data(symbol, train_start, train_end, missing_ratio)
            df.set_index("timestamp", inplace=True)
            df.to_csv(raw_file)
            print(f"Raw data saved to {raw_file}")
        else:
            print(f"Raw data already exists at {raw_file}, skipping fetch")
            df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"])
            df.index = pd.to_datetime(df.index)
        
        images_subdir = os.path.join(IMAGES_DIR, f"{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}")
        labels_file = generate_images(df, window_size, images_subdir, period_name, train_month_str, missing_ratio)
        if labels_file:
            X, y = load_images(labels_file, images_subdir)
            if X is not None:
                model, history = train_model(X, y, period_name, train_month_str, window_size, coin_dir, missing_ratio)
                evaluate_and_save(model, X, y, period_name, train_month_str, window_size, coin_dir, "train", missing_ratio=missing_ratio)
        
        tf.keras.backend.clear_session()
        gc.collect()
        
        for test_year, test_month_num in test_months:
            test_start = datetime(test_year, test_month_num, 1)
            test_end = test_start + timedelta(days=days - 1, hours=23, minutes=59)
            test_month_str = f"{test_year}-{test_month_num:02d}"
            
            raw_file = os.path.join(RAW_DATA_DIR, f"raw_{test_month_str}_1m_{period_name}{ratio_str}.csv")
            if not os.path.exists(raw_file):
                df = fetch_coin_data(symbol, test_start, test_end, missing_ratio)
                df.set_index("timestamp", inplace=True)
                df.to_csv(raw_file)
                print(f"Raw data saved to {raw_file}")
            else:
                print(f"Raw data already exists at {raw_file}, skipping fetch")
                df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"])
                df.index = pd.to_datetime(df.index)
            
            images_subdir = os.path.join(IMAGES_DIR, f"{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}")
            labels_file = generate_images(df, window_size, images_subdir, period_name, test_month_str, missing_ratio)
            if labels_file:
                X, y = load_images(labels_file, images_subdir)
                if X is not None:
                    evaluate_and_save(model, X, y, period_name, test_month_str, window_size, coin_dir, "test", missing_ratio=missing_ratio)
        
        tf.keras.backend.clear_session()
        gc.collect()
    
    # Experiment II: Train on 1 week, test on 2-3-4 weeks
    exp2_test_lengths = [14, 21, 28]
    train_start = datetime(train_year, train_month_num, 1)
    train_end = train_start + timedelta(days=6, hours=23, minutes=59)
    train_month_str = f"{train_year}-{train_month_num:02d}"
    period_name = "1week"
    
    raw_file = os.path.join(RAW_DATA_DIR, f"raw_{train_month_str}_1m_{period_name}{ratio_str}.csv")
    if not os.path.exists(raw_file):
        df = fetch_coin_data(symbol, train_start, train_end, missing_ratio)
        df.set_index("timestamp", inplace=True)
        df.to_csv(raw_file)
        print(f"Raw data saved to {raw_file}")
    else:
        print(f"Raw data already exists at {raw_file}, skipping fetch")
        df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"])
        df.index = pd.to_datetime(df.index)
    
    images_subdir = os.path.join(IMAGES_DIR, f"{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}")
    labels_file = generate_images(df, window_size, images_subdir, period_name, train_month_str, missing_ratio)
    if labels_file:
        X, y = load_images(labels_file, images_subdir)
        if X is not None:
            model, history = train_model(X, y, period_name, train_month_str, window_size, coin_dir, missing_ratio)
            evaluate_and_save(model, X, y, period_name, train_month_str, window_size, coin_dir, "train", "_exp2", missing_ratio)
    
    tf.keras.backend.clear_session()
    gc.collect()
    
    for test_year, test_month_num in test_months:
        test_month_str = f"{test_year}-{test_month_num:02d}"
        for days in exp2_test_lengths:
            period_name = f"{days}days"
            test_start = datetime(test_year, test_month_num, 1)
            test_end = test_start + timedelta(days=days - 1, hours=23, minutes=59)
            
            raw_file = os.path.join(RAW_DATA_DIR, f"raw_{test_month_str}_1m_{period_name}{ratio_str}.csv")
            if not os.path.exists(raw_file):
                df = fetch_coin_data(symbol, test_start, end_time, missing_ratio)
                df.set_index("timestamp", inplace=True)
                df.to_csv(raw_file)
                print(f"Raw data saved to {raw_file}")
            else:
                print(f"Raw data already exists at {raw_file}, skipping fetch")
                df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"])
                df.index = pd.to_datetime(df.index)
            
            images_subdir = os.path.join(IMAGES_DIR, f"{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}")
            labels_file = generate_images(df, window_size, images_subdir, period_name, test_month_str, missing_ratio)
            if labels_file:
                X, y = load_images(labels_file, images_subdir)
                if X is not None:
                    evaluate_and_save(model, X, y, period_name, test_month_str, window_size, coin_dir, "test", "_exp2", missing_ratio)
        
        tf.keras.backend.clear_session()
        gc.collect()

# Run experiments for all coins, window sizes, and missing ratios
def run_all_experiments():
    os.makedirs(BASE_DIR, exist_ok=True)
    for symbol, config in COINS.items():
        for window_size in WINDOW_SIZES:
            for missing_ratio in MISSING_RATIOS:
                print(f"Running experiments for {symbol} with window size {window_size} and {missing_ratio*100}% missing")
                run_experiments_for_coin(symbol, config["train_month"], config["test_months"], window_size, missing_ratio)
                print(f"Completed experiments for {symbol} with window size {window_size} and {missing_ratio*100}% missing")
                tf.keras.backend.clear_session()
                gc.collect()

if __name__ == "__main__":
    parser = argparse.ArgumentParser(description="Crypto Minute-Based Image Classification with Irregular Missing Data and Sparse Windows")
    args = parser.parse_args()
    run_all_experiments()