import pandas as pd import numpy as np import yfinance as yf import os import finnhub from twelvedata import TDClient try: import talib as ta except ImportError: ta = None from datetime import datetime, timedelta from newsapi import NewsApiClient from vaderSentiment.vaderSentiment import SentimentIntensityAnalyzer from sklearn.preprocessing import MinMaxScaler from alpha_vantage.timeseries import TimeSeries import time import logging import requests # Configure logging logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s') def print_log(message, level='INFO'): if level == 'INFO': logging.info(message) elif level == 'WARNING': logging.warning(message) elif level == 'ERROR': logging.error(message) else: logging.debug(message) analyzer = SentimentIntensityAnalyzer() def load_data_finnhub(ticker, start, end, interval, api_key): print_log(f"Fetching data for {ticker} from Finnhub") try: if not api_key: raise ValueError("Finnhub API key is required.") finnhub_client = finnhub.Client(api_key=api_key) start_ts = int(time.mktime(pd.to_datetime(start).timetuple())) end_ts = int(time.mktime(pd.to_datetime(end).timetuple())) # Finnhub interval mapping finnhub_interval_map = { "1m": "1", "5m": "5", "15m": "15", "30m": "30", "60m": "60", "1h": "60", "1d": "D", "1wk": "W", "1mo": "M" } fh_interval = finnhub_interval_map.get(interval, "D") res = finnhub_client.stock_candles(ticker, fh_interval, start_ts, end_ts) if res['s'] == 'no_data': raise ValueError(f"No data for {ticker} from Finnhub") df = pd.DataFrame(res) df['Date'] = pd.to_datetime(df['t'], unit='s') df = df.rename(columns={'o': 'Open', 'h': 'High', 'l': 'Low', 'c': 'value', 'v': 'Volume'}) df = df.set_index('Date') df = df[['Open', 'High', 'Low', 'value', 'Volume']] return df except Exception as e: print_log(f"Error in load_data_finnhub for {ticker}: {str(e)}", 'ERROR') raise ValueError(f"Failed to load data for {ticker} from Finnhub: {str(e)}") def load_data_twelvedata(ticker, start, end, interval, api_key): print_log(f"Fetching data for {ticker} from Twelve Data") try: if not api_key: raise ValueError("Twelve Data API key is required.") td = TDClient(apikey=api_key) # Twelve Data interval mapping twelvedata_interval_map = { "1m": "1min", "5m": "5min", "15m": "15min", "30m": "30min", "60m": "1h", "1h": "1h", "1d": "1day", "1wk": "1week", "1mo": "1month" } td_interval = twelvedata_interval_map.get(interval, "1day") ts = td.time_series(symbol=ticker, interval=td_interval, start_date=start, end_date=end, outputsize=5000) df = ts.as_pandas() if df is None or df.empty: raise ValueError(f"No data for {ticker} from Twelve Data") df = df.rename(columns={'close': 'value', 'open': 'Open', 'high': 'High', 'low': 'Low', 'volume': 'Volume'}) df.index.name = 'Date' return df except Exception as e: print_log(f"Error in load_data_twelvedata for {ticker}: {str(e)}", 'ERROR') raise ValueError(f"Failed to load data for {ticker} from Twelve Data: {str(e)}") def load_data(data_src='yahoo', ticker='AAPL', start='2020-01-01', end='2023-01-01', interval='1d', file_upload=None, alpha_api_key=None, finnhub_api_key=None, twelvedata_api_key=None): print_log(f"Loading data: source={data_src}, ticker={ticker}, start={start}, end={end}, interval={interval}, file_upload={'set' if file_upload else 'unset'}, alpha_api_key={'set' if alpha_api_key else 'unset'}, finnhub_api_key={'set' if finnhub_api_key else 'unset'}, twelvedata_api_key={'set' if twelvedata_api_key else 'unset'}") start_date = pd.to_datetime(start) end_date = pd.to_datetime(end) if start_date >= end_date: raise ValueError(f"Start date {start} must be before end date {end}") if end_date > datetime.now(): print_log(f"End date {end} is in the future. Using current date as end date.", 'WARNING') end_date = datetime.now() df = pd.DataFrame() if data_src == 'csv' and file_upload: try: file_path = getattr(file_upload, 'name', file_upload) print_log(f"Loading CSV from {file_path}") df = pd.read_csv(file_path) if 'Date' not in df.columns: raise ValueError("CSV must contain a 'Date' column") df['Date'] = pd.to_datetime(df['Date']).dt.tz_localize(None) df = df.set_index('Date') if 'Close' not in df.columns and 'value' not in df.columns: raise ValueError("CSV must contain 'Close' or 'value' column") if 'Close' in df.columns: df = df.rename(columns={'Close': 'value'}) if df.empty: raise ValueError(f"CSV data is empty for {ticker}") if df['value'].isna().all(): raise ValueError(f"CSV 'value' column contains only NaNs for {ticker}") except Exception as e: print_log(f"Failed to load CSV {file_path}: {str(e)}", 'ERROR') raise ValueError(f"Failed to load CSV: {str(e)}") elif data_src == 'yahoo': print_log(f"Fetching data for {ticker} from Yahoo Finance") try: # Adjust start_date for yfinance intraday limitations if interval in ["1m"]: max_days = 7 elif interval in ["2m", "5m", "15m", "30m", "60m", "90m", "1h"]: max_days = 60 else: max_days = None if max_days: adjusted_end_date = end_date + timedelta(days=1) # yfinance end date is exclusive adjusted_start_date = adjusted_end_date - timedelta(days=max_days) if start_date < adjusted_start_date: print_log(f"Adjusting start date for {interval} interval from {start_date.strftime('%Y-%m-%d')} to {adjusted_start_date.strftime('%Y-%m-%d')} due to yfinance limitations.", 'WARNING') start_date = adjusted_start_date df = yf.download(ticker, start=start_date, end=end_date, interval=interval, progress=False, auto_adjust=False) if isinstance(df.columns, pd.MultiIndex): df.columns = df.columns.droplevel(1) if df.empty: raise ValueError(f"No data returned from Yahoo Finance for {ticker}") if 'Close' not in df.columns: raise ValueError(f"Yahoo Finance data missing 'Close' column for {ticker}") df = df.rename(columns={'Close': 'value'}) # The index is already datetime, no need to create a 'Date' column and then reset if df['value'].isna().all(): raise ValueError(f"Yahoo Finance 'value' column contains only NaNs for {ticker}") if df['value'].empty: raise ValueError(f"Yahoo Finance 'value' column is empty for {ticker}") except Exception as e: print_log(f"Yahoo Finance failed for {ticker}: {str(e)}", 'ERROR') raise ValueError(f"Yahoo Finance failed for {ticker}: {str(e)}") elif data_src == 'alpha_vantage' and alpha_api_key: print_log(f"Attempting Alpha Vantage for {ticker}, interval {interval}") try: ts = TimeSeries(key=alpha_api_key, output_format='pandas') # Alpha Vantage interval mapping av_interval_map = { "1m": "1min", "5m": "5min", "15m": "15min", "30m": "30min", "60m": "60min", "1h": "60min" } av_interval = av_interval_map.get(interval) if av_interval: df_av, _ = ts.get_intraday(symbol=ticker, interval=av_interval, outputsize='full') elif interval == "1d": df_av, _ = ts.get_daily(symbol=ticker, outputsize='full') elif interval == "1wk": df_av, _ = ts.get_weekly(symbol=ticker) elif interval == "1mo": df_av, _ = ts.get_monthly(symbol=ticker) else: raise ValueError(f"Unsupported interval for Alpha Vantage: {interval}") if df_av.empty: raise ValueError(f"No data returned from Alpha Vantage for {ticker}") # Standardize column names df_av = df_av.rename(columns={ '4. close': 'value', '1. open': 'Open', '2. high': 'High', '3. low': 'Low', '5. volume': 'Volume' }) # For daily/weekly/monthly, index is already datetime. For intraday, it's also datetime. # Ensure consistent column order and index type df = df_av[['Open', 'High', 'Low', 'value', 'Volume']] df.index = pd.to_datetime(df.index) df = df.sort_index() if df['value'].isna().all(): raise ValueError(f"Alpha Vantage 'value' column contains only NaNs for {ticker}") if df['value'].empty: raise ValueError(f"Alpha Vantage 'value' column is empty for {ticker}") print_log(f"Data loaded for {ticker} from Alpha Vantage with date range: {df.index.min()} to {df.index.max()}, shape: {df.shape}") except Exception as e: print_log(f"Alpha Vantage failed for {ticker}: {str(e)}", 'ERROR') raise ValueError(f"Alpha Vantage failed for {ticker}: {str(e)}") elif data_src == 'finnhub' and finnhub_api_key: df = load_data_finnhub(ticker, start, end, interval, finnhub_api_key) elif data_src == 'twelvedata' and twelvedata_api_key: df = load_data_twelvedata(ticker, start, end, interval, twelvedata_api_key) if df.empty: raise ValueError(f"No data loaded for {ticker} from {data_src}") # Ensure index is DatetimeIndex and sorted if not isinstance(df.index, pd.DatetimeIndex): df.index = pd.to_datetime(df.index) df = df.sort_index() required_cols = ['Open', 'High', 'Low', 'value', 'Volume'] for col in required_cols: if col not in df.columns: df[col] = np.nan if 'value' not in df.columns: raise ValueError(f"Target column 'value' is missing for {ticker}") if df['value'].isna().all(): raise ValueError(f"Target column 'value' contains only NaNs for {ticker}") if df['value'].empty: raise ValueError(f"Target column 'value' is empty for {ticker}") print_log(f"Data loaded for {ticker} with date range: {df.index.min()} to {df.index.max()}, shape: {df.shape}") return df def add_technical_indicators(df, selected_indicators): try: print_log(f"Starting add_technical_indicators with indicators: {selected_indicators}") if df.empty: print_log("DataFrame is empty, skipping technical indicator calculation.", "WARNING") return df, [] for col in ['Open', 'High', 'Low', 'value', 'Volume']: if col not in df.columns: df[col] = np.nan df[col] = pd.to_numeric(df[col], errors='coerce') df.dropna(subset=['Open', 'High', 'Low', 'value', 'Volume'], inplace=True) if df.empty: print_log("DataFrame is empty after dropping NaNs for technical indicators.", "WARNING") return df, [] if ta is None: print_log("TA-Lib not available. Cannot compute indicators. Falling back to 'value'.", 'ERROR') return df, [] close = df['value'].values high = df['High'].values low = df['Low'].values volume = df['Volume'].values open_ = df['Open'].values indicator_map = { 'rsi': {'func': ta.RSI, 'inputs': ['close'], 'params': {'timeperiod': 14}, 'output': ['rsi_14']}, 'macd': {'func': ta.MACD, 'inputs': ['close'], 'params': {'fastperiod': 12, 'slowperiod': 26, 'signalperiod': 9}, 'output': ['macd_12_26_9', 'macds_12_26_9', 'macdhist_12_26_9']}, 'bbands': {'func': ta.BBANDS, 'inputs': ['close'], 'params': {'timeperiod': 20}, 'output': ['upperband_20', 'middleband_20', 'lowerband_20']}, 'stoch': {'func': ta.STOCH, 'inputs': ['high', 'low', 'close'], 'params': {'fastk_period': 14, 'slowk_period': 3, 'slowd_period': 3}, 'output': ['slowk_14_3_3', 'slowd_14_3_3']}, 'adx': {'func': ta.ADX, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['adx_14']}, 'atr': {'func': ta.ATR, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['atr_14']}, 'cci': {'func': ta.CCI, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['cci_14']}, 'ema': {'func': ta.EMA, 'inputs': ['close'], 'params': {'timeperiod': 14}, 'output': ['ema_14']}, 'sma': {'func': ta.SMA, 'inputs': ['close'], 'params': {'timeperiod': 14}, 'output': ['sma_14']}, 'mom': {'func': ta.MOM, 'inputs': ['close'], 'params': {'timeperiod': 10}, 'output': ['mom_10']}, 'roc': {'func': ta.ROC, 'inputs': ['close'], 'params': {'timeperiod': 10}, 'output': ['roc_10']}, 'willr': {'func': ta.WILLR, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['willr_14']}, 'ultosc': {'func': ta.ULTOSC, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod1': 7, 'timeperiod2': 14, 'timeperiod3': 28}, 'output': ['ultosc_7_14_28']}, 'dx': {'func': ta.DX, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['dx_14']}, 'minus_di': {'func': ta.MINUS_DI, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['minus_di_14']}, 'plus_di': {'func': ta.PLUS_DI, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['plus_di_14']}, 'mfi': {'func': ta.MFI, 'inputs': ['high', 'low', 'close', 'volume'], 'params': {'timeperiod': 14}, 'output': ['mfi_14']}, 'obv': {'func': ta.OBV, 'inputs': ['close', 'volume'], 'params': {}, 'output': ['obv']}, 'ad': {'func': ta.AD, 'inputs': ['high', 'low', 'close', 'volume'], 'params': {}, 'output': ['ad']}, 'adosc': {'func': ta.ADOSC, 'inputs': ['high', 'low', 'close', 'volume'], 'params': {'fastperiod': 3, 'slowperiod': 10}, 'output': ['adosc_3_10']}, 'aroon': {'func': ta.AROON, 'inputs': ['high', 'low'], 'params': {'timeperiod': 14}, 'output': ['aroon_down_14', 'aroon_up_14']}, 'aroonosc': {'func': ta.AROONOSC, 'inputs': ['high', 'low'], 'params': {'timeperiod': 14}, 'output': ['aroonosc_14']}, 'bop': {'func': ta.BOP, 'inputs': ['open_', 'high', 'low', 'close'], 'params': {}, 'output': ['bop']}, 'cmo': {'func': ta.CMO, 'inputs': ['close'], 'params': {'timeperiod': 14}, 'output': ['cmo_14']}, 'dema': {'func': ta.DEMA, 'inputs': ['close'], 'params': {'timeperiod': 30}, 'output': ['dema_30']}, 'kama': {'func': ta.KAMA, 'inputs': ['close'], 'params': {'timeperiod': 30}, 'output': ['kama_30']}, 'ppo': {'func': ta.PPO, 'inputs': ['close'], 'params': {'fastperiod': 12, 'slowperiod': 26, 'matype': 0}, 'output': ['ppo_12_26_0']}, 'rocp': {'func': ta.ROCP, 'inputs': ['close'], 'params': {'timeperiod': 10}, 'output': ['rocp_10']}, 'rocr': {'func': ta.ROCR, 'inputs': ['close'], 'params': {'timeperiod': 10}, 'output': ['rocr_10']}, 'rocr100': {'func': ta.ROCR100, 'inputs': ['close'], 'params': {'timeperiod': 10}, 'output': ['rocr100_10']}, 'trix': {'func': ta.TRIX, 'inputs': ['close'], 'params': {'timeperiod': 14}, 'output': ['trix_14']}, # 'tsi': {'func': ta.TSI, 'inputs': ['close'], 'params': {'fastperiod': 13, 'slowperiod': 25}, 'output': ['tsi_13_25']}, # Removed due to TA-Lib attribute error 'uo': {'func': ta.ULTOSC, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod1': 7, 'timeperiod2': 14, 'timeperiod3': 28}, 'output': ['ultosc_7_14_28']}, 'willr': {'func': ta.WILLR, 'inputs': ['high', 'low', 'close'], 'params': {'timeperiod': 14}, 'output': ['willr_14']}, 'wma': {'func': ta.WMA, 'inputs': ['close'], 'params': {'timeperiod': 30}, 'output': ['wma_30']}, } added_features = [] for indicator_name in selected_indicators: if indicator_name in indicator_map: indicator_info = indicator_map[indicator_name] func = indicator_info['func'] inputs = [] for input_name in indicator_info['inputs']: if input_name == 'close': inputs.append(close) elif input_name == 'high': inputs.append(high) elif input_name == 'low': inputs.append(low) elif input_name == 'volume': inputs.append(volume) elif input_name == 'open_': inputs.append(open_) # Ensure inputs are numpy arrays and not empty if not all(len(arr) > 0 for arr in inputs): print_log(f"Skipping {indicator_name}: insufficient data for inputs.", "WARNING") continue try: output_values = func(*inputs, **indicator_info['params']) if not isinstance(output_values, tuple): output_values = (output_values,) for i, col_name in enumerate(indicator_info['output']): df[col_name] = np.nan # Ensure the output array matches the DataFrame length if len(output_values[i]) == len(df): df[col_name] = output_values[i] else: # Align output to DataFrame by padding with NaNs at the beginning nan_padding = np.full(len(df) - len(output_values[i]), np.nan) df[col_name] = np.concatenate((nan_padding, output_values[i])) added_features.append(col_name) except Exception as e: print_log(f"Error calculating indicator {indicator_name}: {str(e)}", "ERROR") else: print_log(f"Unknown indicator: {indicator_name}", "WARNING") df.dropna(inplace=True) print_log(f"Finished add_technical_indicators. New features added: {added_features}") return df, added_features except Exception as e: print_log(f"Error in add_technical_indicators: {str(e)}", 'ERROR') return df, [] def add_sentiment(df, ticker, news_api_key, start_date, end_date): try: sentiment_text, sentiment_score = sentiment_analysis(ticker, start_date, end_date, news_api_key) df['sentiment'] = sentiment_score if sentiment_score is not None else 0.0 return df, sentiment_text except Exception as e: print_log(f"Error adding sentiment: {str(e)}", 'ERROR') df['sentiment'] = 0.0 # Default to neutral sentiment on error return df, f"Error adding sentiment: {str(e)}" def sentiment_analysis(ticker, start_date, end_date, api_key): try: if not api_key: print_log("News API key not provided for sentiment analysis.", 'WARNING') return "No API key provided", None newsapi = NewsApiClient(api_key=api_key) start = pd.to_datetime(start_date) end = pd.to_datetime(end_date) articles = newsapi.get_everything( q=ticker, from_param=start.strftime("%Y-%m-%d"), to=end.strftime("%Y-%m-%d"), language='en', sort_by='relevancy' ) sentiments = [analyzer.polarity_scores(article["title"])['compound'] for article in articles["articles"] if "title" in article and article["title"] is not None] avg_sentiment = np.mean(sentiments) if sentiments else 0.0 sentiment_text = f"Average sentiment for {ticker}: {avg_sentiment:.2f}" return sentiment_text, avg_sentiment except Exception as e: print_log(f"Sentiment analysis failed: {str(e)}", 'ERROR') return f"Sentiment analysis failed: {str(e)}", None def preprocess_data(df, features, target, window_size, horizon): try: print_log(f"Starting preprocessing: features={features}, target={target}, window={window_size}, horizon={horizon}") if not isinstance(df.index, pd.DatetimeIndex): raise ValueError("DataFrame index must be a DatetimeIndex for preprocessing.") # The target column must be included in the features for scaling all_features = list(set(features + [target])) updated_feature_cols = [f for f in all_features if f in df.columns] if not updated_feature_cols: raise ValueError("None of the selected features are available in the data.") data = df[updated_feature_cols].values # Scale all features feature_scaler = MinMaxScaler(feature_range=(0, 1)) scaled_data = feature_scaler.fit_transform(data) # Scale the target column separately for inverse transform target_scaler = MinMaxScaler(feature_range=(0, 1)) target_scaler.fit(df[[target]].values) # Get the index of the target column in the scaled data target_idx = updated_feature_cols.index(target) X, y = [], [] for i in range(len(scaled_data) - window_size - horizon + 1): X.append(scaled_data[i:(i + window_size), :]) # The target is the 'value' at the end of the window + horizon y.append(scaled_data[i + window_size + horizon - 1, target_idx]) X, y = np.array(X), np.array(y) if X.shape[1] != window_size or X.shape[2] != len(updated_feature_cols): raise ValueError(f"Shape mismatch in X: expected ({len(scaled_data) - window_size - horizon + 1}, {window_size}, {len(updated_feature_cols)}), got {X.shape}") print_log(f"Preprocessing complete. X shape: {X.shape}, y shape: {y.shape}") return X, y, feature_scaler, target_scaler, updated_feature_cols, target_idx except Exception as e: print_log(f"Error in preprocess_data: {str(e)}", 'ERROR') raise ValueError(f"Failed to preprocess data: {str(e)}")