├── .dockerignore ├── .gitignore ├── Procfile ├── init.R ├── DESCRIPTION ├── CHANGELOG.md ├── .Rprofile ├── Dockerfile ├── server.R ├── NOTICE.txt ├── helpers.R ├── app.R ├── README.md ├── packrat.lock └── LICENSE.txt /.dockerignore: -------------------------------------------------------------------------------- 1 | .git/ 2 | -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- 1 | *.un~ 2 | -------------------------------------------------------------------------------- /Procfile: -------------------------------------------------------------------------------- 1 | web: Rscript server.R 2 | -------------------------------------------------------------------------------- /init.R: -------------------------------------------------------------------------------- 1 | install.packages("jetpack") 2 | jetpack::install(deployment=TRUE) 3 | -------------------------------------------------------------------------------- /DESCRIPTION: -------------------------------------------------------------------------------- 1 | Package: app 2 | Imports: 3 | stringi, 4 | anytime, 5 | padr, 6 | plumber, 7 | forecast 8 | -------------------------------------------------------------------------------- /CHANGELOG.md: -------------------------------------------------------------------------------- 1 | ## 0.1.1 (unreleased) 2 | 3 | - Updated packages and R version 4 | 5 | ## 0.1.0 (2020-01-31) 6 | 7 | - First release 8 | -------------------------------------------------------------------------------- /.Rprofile: -------------------------------------------------------------------------------- 1 | if (requireNamespace("jetpack", quietly=TRUE)) { 2 | jetpack::load() 3 | } else { 4 | message("Install Jetpack to use a virtual environment for this project") 5 | } 6 | -------------------------------------------------------------------------------- /Dockerfile: -------------------------------------------------------------------------------- 1 | FROM r-base:4.0.0 2 | 3 | MAINTAINER Andrew Kane 4 | 5 | RUN apt-get update && apt-get install -qq -y --no-install-recommends \ 6 | libxml2-dev libssl-dev libcurl4-openssl-dev libssh2-1-dev 7 | 8 | RUN mkdir -p /app 9 | WORKDIR /app 10 | 11 | COPY init.R DESCRIPTION packrat.lock ./ 12 | RUN Rscript init.R 13 | 14 | COPY . . 15 | 16 | CMD Rscript server.R 17 | -------------------------------------------------------------------------------- /server.R: -------------------------------------------------------------------------------- 1 | library(plumber) 2 | 3 | port <- Sys.getenv("PORT", unset="8000") 4 | r <- plumb("app.R") 5 | r$setErrorHandler(function(req, res, err){ 6 | msg <- conditionMessage(err) 7 | if (startsWith(msg, "[400] ")) { 8 | msg <- substring(msg, 7) 9 | res$status <- 400 10 | } else { 11 | res$status <- 500 12 | } 13 | cat("ERROR:", msg, "\n") 14 | list(error=msg) 15 | }) 16 | r$set404Handler(function(req, res){ 17 | res$status <- 404 18 | list(error="Not found") 19 | }) 20 | r$run(host="0.0.0.0", port=strtoi(port)) 21 | -------------------------------------------------------------------------------- /NOTICE.txt: -------------------------------------------------------------------------------- 1 | Copyright (C) 2020 Andrew Kane 2 | 3 | This program is free software: you can redistribute it and/or modify 4 | it under the terms of the GNU General Public License as published by 5 | the Free Software Foundation, either version 3 of the License, or 6 | (at your option) any later version. 7 | 8 | This program is distributed in the hope that it will be useful, 9 | but WITHOUT ANY WARRANTY; without even the implied warranty of 10 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 11 | GNU General Public License for more details. 12 | 13 | You should have received a copy of the GNU General Public License 14 | along with this program. If not, see . 15 | -------------------------------------------------------------------------------- /helpers.R: -------------------------------------------------------------------------------- 1 | prepareSeries <- function(series, frequency, name="series"){ 2 | if (is.null(series)) { 3 | stop(paste("[400] Missing parameter:", name)) 4 | } 5 | 6 | # remove null values 7 | series[sapply(series, is.null)] <- NULL 8 | 9 | if (length(series) < 10) { 10 | stop(paste("[400] Invalid parameter:", name, "must have at least 10 data points")) 11 | } 12 | 13 | tryCatch({ 14 | ds <- names(series) 15 | y <- as.numeric(series) 16 | 17 | if (any(nchar(ds) > 10)) { 18 | ds <- anytime(ds) 19 | } else { 20 | ds <- anydate(ds) 21 | } 22 | }, error=function(err) { 23 | stop(paste("[400] Missing parameter:", name)) 24 | }) 25 | 26 | if(any(duplicated(ds)) || any(sapply(ds, is.na))) { 27 | stop(paste("[400] Missing parameter:", name)) 28 | } 29 | 30 | data <- data.frame(ds=ds, y=y) 31 | data <- data[order(data$ds),] 32 | 33 | interval <- get_interval(data$ds) 34 | 35 | if (is.null(frequency)) { 36 | if (interval == "day") { 37 | frequency <- 7 38 | } else if (interval == "month") { 39 | frequency <- 12 40 | } else { 41 | frequency <- detectFrequency(data$y) 42 | } 43 | } 44 | 45 | data <- data %>% pad(interval=interval) 46 | 47 | if (nrow(data) > 1000) { 48 | stop(paste("[400] Invalid parameter: computed", name, "can have a max of 1000 data points")) 49 | } 50 | 51 | missing_p <- sum(is.na(data$y)) / nrow(data) 52 | if (missing_p > 0.2) { 53 | stop(paste("[400] Invalid parameter:", name, "missing too much data")) 54 | } 55 | 56 | ts <- ts(data$y, frequency=frequency) 57 | 58 | bad <- FALSE 59 | tryCatch({ 60 | ts <- na.interp(ts) 61 | }, warning=function(w) { 62 | bad <<- TRUE 63 | }) 64 | 65 | list(ts=ts, ds=data$ds, bad=bad, interval=interval, frequency=frequency) 66 | } 67 | 68 | detectFrequency <- function(y) { 69 | if (is.constant(y)) { 70 | 1 71 | } else { 72 | findfrequency(y) 73 | } 74 | } 75 | 76 | formatTime <- function(ds) { 77 | r <- rfc3339(ds) 78 | stri_sub(r[nchar(r) == 24], -2, -3) <- ":" 79 | r 80 | } 81 | -------------------------------------------------------------------------------- /app.R: -------------------------------------------------------------------------------- 1 | library(forecast) 2 | library(padr) 3 | library(anytime) 4 | library(stringi) 5 | 6 | source("helpers.R") 7 | 8 | #* Log some information about the incoming request 9 | #* @filter logger 10 | function(req){ 11 | cat(req$REQUEST_METHOD, req$PATH_INFO, "\n") 12 | plumber::forward() 13 | } 14 | 15 | #* Anomaly detection 16 | #* @serializer unboxedJSON 17 | #* @post /anomalies 18 | function(res, series=NULL, frequency=NULL){ 19 | r <- prepareSeries(series, frequency) 20 | anomalies <- list() 21 | if (!r$bad) { 22 | ts <- r$ts 23 | outliers <- tsoutliers(ts) 24 | 25 | # get largest differences in replacement, and only use those 26 | max_anoms <- floor(0.1 * length(ts)) 27 | diff <- abs(ts[outliers$index] - outliers$replacement) 28 | df <- data.frame(ds=r$ds[outliers$index], diff=diff) 29 | df <- df[diff > 0,] 30 | df <- head(df[order(-df$diff),], max_anoms) 31 | 32 | anomalies <- formatTime(df$ds) 33 | } 34 | list(anomalies=I(anomalies)) 35 | } 36 | 37 | #* Forecast 38 | #* @serializer unboxedJSON 39 | #* @post /forecast 40 | function(res, series=NULL, frequency=NULL, count=10){ 41 | r <- prepareSeries(series, frequency) 42 | ts <- r$ts 43 | 44 | preds <- NULL 45 | if (r$bad) { 46 | # use mean 47 | preds <- rep(mean(ts, na.rm=TRUE), count) 48 | } else { 49 | res <- tsclean(ts) 50 | res <- res %>% tbats(use.box.cox=TRUE, use.trend=TRUE, use.damped.trend=FALSE) 51 | res <- res %>% forecast(h=count) 52 | preds <- res$mean 53 | 54 | if (!any(series < 0)) { 55 | preds <- pmax(preds, 0) 56 | } 57 | } 58 | 59 | dates <- tail(seq(tail(r$ds, 1), by=r$interval, length.out=count + 1), count) 60 | forecast <- split(round(preds, 10), formatTime(dates)) 61 | 62 | list(forecast=forecast) 63 | } 64 | 65 | #* Correlation 66 | #* @serializer unboxedJSON 67 | #* @post /correlation 68 | function(res, series=NULL, series2=NULL, frequency=NULL){ 69 | r <- prepareSeries(series, frequency) 70 | r2 <- prepareSeries(series2, r$frequency, name="series2") 71 | 72 | if (r$interval != r2$interval) { 73 | stop("[400] Invalid parameters: series and series2 have different intervals") 74 | } 75 | 76 | if (!identical(r$ds, r2$ds)) { 77 | stop("[400] Invalid parameters: series and series2 must have identical keys") 78 | } 79 | 80 | corr <- ccf(r$ts, r2$ts, lag.max=0, pl=FALSE) 81 | 82 | list(correlation=corr$acf[1]) 83 | } 84 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # Trend 2 | 3 | An anomaly detection and forecasting API. Get started quickly with state-of-the-art algorithms. 4 | 5 | ## Installation 6 | 7 | ### Docker 8 | 9 | An image is available on [Docker Hub](https://hub.docker.com/r/ankane/trend/). Run: 10 | 11 | ```sh 12 | docker run -ti -p=8000:8000 ankane/trend 13 | ``` 14 | 15 | ### Non-Docker 16 | 17 | Download the latest code 18 | 19 | ```sh 20 | git clone https://github.com/ankane/trend-api.git 21 | cd trend-api 22 | ``` 23 | 24 | Install [Jetpack](https://github.com/ankane/jetpack) and run: 25 | 26 | ```sh 27 | Rscript -e 'jetpack::install()' 28 | ``` 29 | 30 | And start the server 31 | 32 | ```sh 33 | Rscript server.R 34 | ``` 35 | 36 | ## Anomaly Detection 37 | 38 | Detect anomalies in a time series. 39 | 40 | - Works with dates and times 41 | - Accounts for seasonality and trend 42 | - Robust to missing values 43 | 44 | The current version uses STL with [multiple seasonal components](https://otexts.org/fpp2/complexseasonality.html#stl-with-multiple-seasonal-periods) for decomposition. 45 | 46 | ```http 47 | POST /anomalies HTTP/1.1 48 | Host: trendapi.org 49 | Content-Type: application/json 50 | 51 | { 52 | "series": { 53 | "2018-01-01": 150, 54 | "2018-01-02": 125, 55 | "2018-01-03": 133 56 | } 57 | } 58 | ``` 59 | 60 | Returns JSON structured like this: 61 | 62 | ```json 63 | { 64 | "anomalies": [ 65 | "2018-01-10", 66 | "2018-01-13" 67 | ] 68 | } 69 | ``` 70 | 71 | ## Forecasting 72 | 73 | Get future predictions for a time series. 74 | 75 | - Works with dates and times 76 | - Accounts for seasonality and trend 77 | - Robust to missing values 78 | - No need to remove outliers beforehand 79 | 80 | The current version uses [TBATS](https://robjhyndman.com/papers/ComplexSeasonality.pdf) for predictions. 81 | 82 | ```http 83 | POST /forecast HTTP/1.1 84 | Host: trendapi.org 85 | Content-Type: application/json 86 | 87 | { 88 | "series": { 89 | "2018-01-01": 150, 90 | "2018-01-02": 125, 91 | "2018-01-03": 133 92 | }, 93 | "count": 3 94 | } 95 | ``` 96 | 97 | Returns JSON structured like this: 98 | 99 | ```json 100 | { 101 | "forecast": { 102 | "2018-03-01": 137.5, 103 | "2018-03-02": 122.9, 104 | "2018-03-03": 144.1 105 | } 106 | } 107 | ``` 108 | 109 | If you get a [flat or linear forecast](https://robjhyndman.com/hyndsight/flat-forecasts/), this is expected. It means no seasonality is detected in the series. 110 | 111 | ## Correlation (Experimental) 112 | 113 | Get the correlation between two time series. 114 | 115 | The current version uses [normalized cross correlation](https://en.wikipedia.org/wiki/Cross-correlation#Time_series_analysis). 116 | 117 | ```http 118 | POST /correlation HTTP/1.1 119 | Host: trendapi.org 120 | Content-Type: application/json 121 | 122 | { 123 | "series": { 124 | "2018-01-01": 150, 125 | "2018-01-02": 125, 126 | "2018-01-03": 133 127 | }, 128 | "series2": { 129 | "2018-01-01": 150, 130 | "2018-01-02": 176, 131 | "2018-01-03": 145 132 | } 133 | } 134 | ``` 135 | 136 | Returns JSON structured like this: 137 | 138 | ```json 139 | { 140 | "correlation": 0.95 141 | } 142 | ``` 143 | 144 | ## Errors 145 | 146 | The API uses HTTP status codes to indicate errors. 147 | 148 | Code | Description 149 | --- | --- 150 | 400 | There’s an issue with the request parameters 151 | 500 | There’s an issue with the server 152 | 153 | 154 | The body will contain details about the specific error. 155 | 156 | ```json 157 | { 158 | "error": "Missing parameter: series" 159 | } 160 | ``` 161 | 162 | ## Clients 163 | 164 | A client library is available for [Ruby](https://github.com/ankane/trend). 165 | 166 | Here’s an example with jQuery: 167 | 168 | ```js 169 | var series = {}, i, date, data; 170 | for (i = 1; i < 30; i++) { 171 | date = new Date(2018, 3, i); 172 | series[date.toISOString()] = date.getDay(); 173 | } 174 | data = {series: series}; 175 | 176 | $.post("https://trendapi.org/forecast", data, function(resp) { 177 | console.log(resp); 178 | }, "json"); 179 | ``` 180 | 181 | ## Credits 182 | 183 | A special thanks to [Rob J Hyndman](https://robjhyndman.com) for his incredible work on forecasting. Learn more about the topic from his [free online book](https://otexts.org/fpp2/). 184 | 185 | ## History 186 | 187 | View the [changelog](https://github.com/ankane/trend-api/blob/master/CHANGELOG.md) 188 | 189 | ## Contributing 190 | 191 | Everyone is encouraged to help improve this project. Here are a few ways you can help: 192 | 193 | - [Report bugs](https://github.com/ankane/trend-api/issues) 194 | - Fix bugs and [submit pull requests](https://github.com/ankane/trend-api/pulls) 195 | - Write, clarify, or fix documentation 196 | - Suggest or add new features 197 | -------------------------------------------------------------------------------- /packrat.lock: -------------------------------------------------------------------------------- 1 | PackratFormat: 1.4 2 | PackratVersion: 0.5.0 3 | RVersion: 4.0.0 4 | Repos: CRAN=https://cloud.r-project.org/ 5 | 6 | Package: BH 7 | Source: CRAN 8 | Version: 1.72.0-3 9 | Hash: fc53be86f0b712d3de03fef95893d710 10 | 11 | Package: MASS 12 | Source: CRAN 13 | Version: 7.3-51.6 14 | Hash: 47458df73ed4da338cb6389dd0e95bc1 15 | 16 | Package: R6 17 | Source: CRAN 18 | Version: 2.4.1 19 | Hash: b488861d8c3dfac497e041ec911df9fb 20 | 21 | Package: RColorBrewer 22 | Source: CRAN 23 | Version: 1.1-2 24 | Hash: c0d56cd15034f395874c870141870c25 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| 350 | Package: tibble 351 | Source: CRAN 352 | Version: 3.0.1 353 | Hash: 00d3817b8530e9ce9b465aeef293a011 354 | Requires: cli, crayon, ellipsis, fansi, lifecycle, magrittr, pillar, 355 | pkgconfig, rlang, vctrs 356 | 357 | Package: tidyselect 358 | Source: CRAN 359 | Version: 1.1.0 360 | Hash: 1c7cea9ea925b701a93f378ec7233ee1 361 | Requires: ellipsis, glue, purrr, rlang, vctrs 362 | 363 | Package: timeDate 364 | Source: CRAN 365 | Version: 3043.102 366 | Hash: bf9c128558c5730c3fbaf9ea5196e4bc 367 | 368 | Package: tseries 369 | Source: CRAN 370 | Version: 0.10-47 371 | Hash: 4b30f1ac427abb834b7377dba481e7a6 372 | Requires: quadprog, quantmod, zoo 373 | 374 | Package: urca 375 | Source: CRAN 376 | Version: 1.3-0 377 | Hash: b25c95802d289d1659942d2b5c75afa1 378 | Requires: nlme 379 | 380 | Package: utf8 381 | Source: CRAN 382 | Version: 1.1.4 383 | Hash: f3f97ce59092abc8ed3fd098a59e236c 384 | 385 | Package: vctrs 386 | Source: CRAN 387 | Version: 0.3.0 388 | Hash: bd31aa68718ec5d68c187cc9aed0703b 389 | Requires: digest, ellipsis, glue, rlang 390 | 391 | Package: viridisLite 392 | Source: CRAN 393 | Version: 0.3.0 394 | Hash: 78bb072c4f9e729a283d4c40ec93f9c6 395 | 396 | Package: withr 397 | Source: CRAN 398 | Version: 2.2.0 399 | Hash: 709a3da4deef928ab299f4ff52caf66b 400 | 401 | Package: xts 402 | Source: CRAN 403 | Version: 0.12-0 404 | Hash: 76d62c446276519363516ece8961a791 405 | Requires: zoo 406 | 407 | Package: zoo 408 | Source: CRAN 409 | Version: 1.8-8 410 | Hash: cc9534113f4513acb2f838ef8e2cd467 411 | -------------------------------------------------------------------------------- /LICENSE.txt: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 3, 29 June 2007 3 | 4 | Copyright (C) 2007 Free Software Foundation, Inc. 5 | Everyone is permitted to copy and distribute verbatim copies 6 | of this license document, but changing it is not allowed. 7 | 8 | Preamble 9 | 10 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Interpretation of Sections 15 and 16. 613 | 614 | If the disclaimer of warranty and limitation of liability provided 615 | above cannot be given local legal effect according to their terms, 616 | reviewing courts shall apply local law that most closely approximates 617 | an absolute waiver of all civil liability in connection with the 618 | Program, unless a warranty or assumption of liability accompanies a 619 | copy of the Program in return for a fee. 620 | 621 | END OF TERMS AND CONDITIONS 622 | 623 | How to Apply These Terms to Your New Programs 624 | 625 | If you develop a new program, and you want it to be of the greatest 626 | possible use to the public, the best way to achieve this is to make it 627 | free software which everyone can redistribute and change under these terms. 628 | 629 | To do so, attach the following notices to the program. It is safest 630 | to attach them to the start of each source file to most effectively 631 | state the exclusion of warranty; and each file should have at least 632 | the "copyright" line and a pointer to where the full notice is found. 633 | 634 | 635 | Copyright (C) 636 | 637 | This program is free software: you can redistribute it and/or modify 638 | it under the terms of the GNU General Public License as published by 639 | the Free Software Foundation, either version 3 of the License, or 640 | (at your option) any later version. 641 | 642 | This program is distributed in the hope that it will be useful, 643 | but WITHOUT ANY WARRANTY; without even the implied warranty of 644 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 645 | GNU General Public License for more details. 646 | 647 | You should have received a copy of the GNU General Public License 648 | along with this program. If not, see . 649 | 650 | Also add information on how to contact you by electronic and paper mail. 651 | 652 | If the program does terminal interaction, make it output a short 653 | notice like this when it starts in an interactive mode: 654 | 655 | Copyright (C) 656 | This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. 657 | This is free software, and you are welcome to redistribute it 658 | under certain conditions; type `show c' for details. 659 | 660 | The hypothetical commands `show w' and `show c' should show the appropriate 661 | parts of the General Public License. Of course, your program's commands 662 | might be different; for a GUI interface, you would use an "about box". 663 | 664 | You should also get your employer (if you work as a programmer) or school, 665 | if any, to sign a "copyright disclaimer" for the program, if necessary. 666 | For more information on this, and how to apply and follow the GNU GPL, see 667 | . 668 | 669 | The GNU General Public License does not permit incorporating your program 670 | into proprietary programs. If your program is a subroutine library, you 671 | may consider it more useful to permit linking proprietary applications with 672 | the library. If this is what you want to do, use the GNU Lesser General 673 | Public License instead of this License. But first, please read 674 | . 675 | --------------------------------------------------------------------------------