| """Phase-4 unified-API experiment orchestrator. |
| |
| Thin runner that ties together: |
| |
| data (``ml.load``) -> method (``ml.methods.<Class>``) |
| -> eval (``ml.score``) |
| -> :class:`macrolens.RunRecord` |
| -> JSON via ``pydantic.TypeAdapter``. |
| |
| Every choice mirrors the unified-API plan §6 (RunRecord), §7 (Determinism |
| flag), and Phase-4 Pipeline B pseudocode. |
| |
| Hard rules: |
| |
| * Zero benchmark-data IO outside ``ml.load`` (this file is a leaf consumer). |
| * Methods/eval are accessed strictly via :mod:`macrolens` (no reaching into |
| private internals). |
| * The runner does NOT override hyperparameters except for two cases: |
| (i) T1 + ``Persistence`` — the runner reads the actual ``close`` index |
| out of ``meta_test.attrs["feature_names"]`` and overrides |
| ``PersistenceConfig.close_feature_idx``; |
| (ii) opt-in ``--config-override`` flag (e.g. ``lightgbm.n_estimators=20``) |
| for fast smoke tests. |
| * LLM/LLM-TS/LLM-FT method families require an externally-managed vLLM |
| HTTP endpoint (one ``vllm serve`` per HF model id). The runner reads the |
| endpoint URL from a per-method environment variable |
| (``MACROLENS_LLM_BASE_URL_<NAME>`` — see :func:`_resolve_llm_engine`), |
| constructs one :class:`methods._openai_engine.OpenAIChatEngine` per |
| ``(method_id, model_id)`` pair, and injects it via the ``engine=`` |
| ctor kwarg. If no endpoint is configured for an LLM-family method, the |
| runner emits ``status="skip"`` with a clear ``error`` message — there |
| is NO silent fallback to a dry-run engine. |
| |
| Usage:: |
| |
| python -m projects.agent_builder.scripts.whatif_bench.experiments \\ |
| --task T1 T2 \\ |
| --method persistence log_size_ols lightgbm \\ |
| --granularity daily --seeds 42 --no-checkpoint |
| """ |
|
|
| from __future__ import annotations |
|
|
| import argparse |
| import datetime as dt |
| import json |
| import logging |
| import os |
| import platform |
| import subprocess |
| import sys |
| import time |
| import traceback |
| import tracemalloc |
| from concurrent.futures import ProcessPoolExecutor, as_completed |
| from pathlib import Path |
| from typing import Any, Iterable |
|
|
| import pydantic |
|
|
| from .. import config |
| from .. import macrolens as ml |
| from ..macrolens import RunRecord |
| from . import panel as panel_module |
|
|
| logger = logging.getLogger(__name__) |
|
|
|
|
| |
|
|
|
|
| |
| |
| |
| _LLM_FAMILIES: frozenset[str] = frozenset({"llm", "llm_ts", "llm_ft"}) |
|
|
| |
| |
| _TRACEBACK_TRUNCATE_BYTES: int = 4 * 1024 |
|
|
|
|
| |
|
|
|
|
| def _llm_endpoint_env_var(method_id: str) -> str: |
| """Canonical env-var name for a given LLM-family method id. |
| |
| Mapping rule: uppercase the method id and prefix with |
| ``MACROLENS_LLM_BASE_URL_``. Examples:: |
| |
| llama_scout -> MACROLENS_LLM_BASE_URL_LLAMA_SCOUT |
| gemma4 -> MACROLENS_LLM_BASE_URL_GEMMA4 |
| chattime -> MACROLENS_LLM_BASE_URL_CHATTIME |
| time_mqa -> MACROLENS_LLM_BASE_URL_TIME_MQA |
| llm_finetuned -> MACROLENS_LLM_BASE_URL_LLM_FINETUNED |
| """ |
| return f"MACROLENS_LLM_BASE_URL_{method_id.upper()}" |
|
|
|
|
| |
| |
| _LLM_ENGINE_CACHE: dict[tuple[str, str], Any] = {} |
|
|
|
|
| def _resolve_llm_engine( |
| method_id: str, cls: type, |
| ) -> tuple[Any | None, str | None]: |
| """Return ``(engine, error)`` for one LLM-family method. |
| |
| Reads the endpoint URL from ``MACROLENS_LLM_BASE_URL_<METHOD_ID>``. |
| If unset, returns ``(None, "<reason>")`` so the runner can emit a |
| ``status="skip"`` record. If set, constructs (or returns the cached) |
| :class:`methods._openai_engine.OpenAIChatEngine` and returns it. |
| |
| Exception: methods whose authors' inference code is fundamentally |
| incompatible with the OpenAI chat API (ChatTime's 10K-bin numeric |
| tokenisation; Time-MQA's LoRA prompt protocol) are loaded in-process |
| from the vendored authors' code via a dedicated engine wrapper. They |
| do not require an env-var endpoint. |
| """ |
| |
| if method_id == "chattime": |
| try: |
| cfg = cls.default_config() |
| model_id = getattr(cfg, "model_id", "") or "ChengsenWang/ChatTime-1-7B-Chat" |
| except Exception: |
| model_id = "ChengsenWang/ChatTime-1-7B-Chat" |
| cache_key = ("inprocess:chattime", model_id) |
| cached = _LLM_ENGINE_CACHE.get(cache_key) |
| if cached is not None: |
| return cached, None |
| try: |
| from ..methods._chattime_engine import ChatTimeEngine |
| engine = ChatTimeEngine(model_path=model_id) |
| except Exception as exc: |
| return None, f"ChatTimeEngine construction failed: {exc!r}" |
| _LLM_ENGINE_CACHE[cache_key] = engine |
| return engine, None |
|
|
| env_var = _llm_endpoint_env_var(method_id) |
| base_url = os.environ.get(env_var, "").strip() |
| if not base_url: |
| return ( |
| None, |
| f"No endpoint configured for {method_id}; " |
| f"set {env_var}=http://<host>:<port>/v1", |
| ) |
|
|
| |
| |
| try: |
| cfg = cls.default_config() |
| model_id = getattr(cfg, "model_id", "") or method_id |
| except Exception: |
| model_id = method_id |
|
|
| cache_key = (base_url, model_id) |
| cached = _LLM_ENGINE_CACHE.get(cache_key) |
| if cached is not None: |
| return cached, None |
|
|
| try: |
| from ..methods._openai_engine import OpenAIChatEngine |
| except ImportError as exc: |
| return None, f"OpenAI client import failed: {exc!r}" |
|
|
| api_key = os.environ.get("MACROLENS_LLM_API_KEY", "EMPTY") or "EMPTY" |
| n_workers = int(os.environ.get("MACROLENS_LLM_N_WORKERS", "8")) |
| timeout = float(os.environ.get("MACROLENS_LLM_TIMEOUT_SEC", "300")) |
| try: |
| engine = OpenAIChatEngine( |
| base_url=base_url, api_key=api_key, model_id=model_id, |
| n_workers=n_workers, request_timeout_sec=timeout, |
| ) |
| except Exception as exc: |
| return None, f"OpenAIChatEngine construction failed: {exc!r}" |
|
|
| _LLM_ENGINE_CACHE[cache_key] = engine |
| return engine, None |
|
|
|
|
| |
|
|
|
|
| def _git_sha() -> str: |
| """Return the current git SHA, or ``"unknown"`` if outside a git tree.""" |
| try: |
| out = subprocess.check_output( |
| ["git", "rev-parse", "HEAD"], stderr=subprocess.DEVNULL, |
| ) |
| return out.decode().strip() |
| except Exception: |
| return "unknown" |
|
|
|
|
| def _detect_hardware() -> dict[str, str]: |
| """Best-effort hardware fingerprint (CPU + GPU + CUDA).""" |
| hw: dict[str, str] = { |
| "cpu": platform.processor() or platform.machine(), |
| "platform": platform.platform(), |
| "python_version": platform.python_version(), |
| } |
| try: |
| import torch |
|
|
| hw["torch_version"] = torch.__version__ |
| if torch.cuda.is_available(): |
| hw["gpu"] = torch.cuda.get_device_name(0) |
| hw["n_gpus"] = str(torch.cuda.device_count()) |
| hw["cuda_version"] = str(torch.version.cuda) |
| else: |
| hw["gpu"] = "none" |
| hw["n_gpus"] = "0" |
| hw["cuda_version"] = "n/a" |
| except Exception: |
| hw["gpu"] = "unknown" |
| hw["n_gpus"] = "0" |
| hw["cuda_version"] = "n/a" |
| return hw |
|
|
|
|
| def _truncate_traceback(exc: BaseException) -> str: |
| tb = "".join(traceback.format_exception(type(exc), exc, exc.__traceback__)) |
| if len(tb) > _TRACEBACK_TRUNCATE_BYTES: |
| tb = tb[: _TRACEBACK_TRUNCATE_BYTES - 16] + "\n... [truncated]" |
| return tb |
|
|
|
|
| def _checkpoint_path( |
| method_id: str, task: str, granularity: str, seed: int, |
| horizon: int | None = None, |
| ) -> Path: |
| """Canonical per-run checkpoint directory. |
| |
| For T1, ``horizon`` is included in the path so multiple horizons |
| on the same (method, task, granularity, seed) tuple each get their |
| own fresh fit/save state and never collide. |
| """ |
| base = ( |
| Path(__file__).resolve().parent |
| / "checkpoints" |
| / method_id |
| / task |
| / granularity |
| / f"seed={seed}" |
| ) |
| if task == "T1" and horizon is not None: |
| base = base / f"h={horizon}" |
| return base |
|
|
|
|
| def _apply_overrides(config_overrides: dict[str, dict[str, Any]], method_id: str) -> dict[str, Any]: |
| """Return the kwarg dict for one method (post-override).""" |
| return dict(config_overrides.get(method_id, {})) |
|
|
|
|
| def _now_iso() -> str: |
| return dt.datetime.now(dt.timezone.utc).isoformat() |
|
|
|
|
| |
|
|
|
|
| def _make_failed_record( |
| *, |
| method_id: str, |
| method_family: str, |
| task: str, |
| granularity: str, |
| seed: int, |
| status: str, |
| error: str, |
| n_train: int | None, |
| n_test: int | None, |
| hyperparams: dict[str, Any], |
| artifact_sha256: dict[str, str], |
| deterministic_mode: bool, |
| fit_time_sec: float | None = None, |
| predict_time_sec: float | None = None, |
| peak_mem_mb: float | None = None, |
| ablation_setting: str | None = None, |
| ) -> RunRecord: |
| return RunRecord( |
| method_id=method_id, method_family=method_family, |
| task=task, granularity=granularity, seed=seed, |
| status=status, error=error, |
| n_train=n_train, n_test=n_test, |
| hyperparams=hyperparams, |
| lib_versions={}, hardware=_detect_hardware(), |
| fit_time_sec=fit_time_sec, predict_time_sec=predict_time_sec, |
| peak_mem_mb=peak_mem_mb, metrics=None, |
| artifact_sha256=artifact_sha256, |
| timestamp=_now_iso(), git_sha=_git_sha(), |
| deterministic_mode=deterministic_mode, |
| ablation_setting=ablation_setting, |
| ) |
|
|
|
|
| def _sanity_gate( |
| task: str, |
| X_test: Any, |
| y_test: Any, |
| y_pred: Any, |
| y_train: Any, |
| meta_test: Any, |
| ) -> str | None: |
| """Persistence-/constant-floor sanity gate for regression tasks. |
| |
| Compares the model's primary metric on the eval set against a trivial |
| reference floor (persistence for T1, train-median/-mean constant for |
| T2/T4/T5/T7). If model_metric > 10× baseline_metric (100× for T1's |
| persistence floor — kept tight because persistence is itself non-trivial) |
| the cell is flagged "suspect" via a returned reason string. T3 and T6 |
| are long-form per-field tasks; their per-field MAPE floor is implicitly |
| the SectorMedian baseline already in the panel, so they are skipped here. |
| |
| The gate is best-effort: any internal exception or shape mismatch |
| yields ``None`` so the runner never crashes on a sanity probe. |
| """ |
| try: |
| import numpy as _np |
| except Exception: |
| return None |
|
|
| try: |
| |
| if task == "T1": |
| y_t = _np.asarray(y_test, dtype=_np.float64) |
| y_p = _np.asarray(y_pred, dtype=_np.float64) |
| close_last = None |
| if hasattr(meta_test, "columns") and "close_last" in meta_test.columns: |
| close_last = _np.asarray( |
| meta_test["close_last"].values, dtype=_np.float64, |
| ) |
| elif hasattr(X_test, "shape") and getattr(X_test, "ndim", 0) == 3: |
| close_last = _np.asarray(X_test[:, -1, -1], dtype=_np.float64) |
| if (close_last is None |
| or y_t.ndim != 2 or y_p.ndim != 2 |
| or y_t.shape != y_p.shape): |
| return None |
| tile = _np.broadcast_to(close_last[:, None], y_t.shape) |
| pers_mse = float(_np.nanmean((tile - y_t) ** 2)) |
| model_mse = float(_np.nanmean((y_p - y_t) ** 2)) |
| if not (_np.isfinite(pers_mse) and _np.isfinite(model_mse) |
| and pers_mse > 0): |
| return None |
| if model_mse > 100.0 * pers_mse: |
| return ( |
| f"T1 SUSPECT: model_MSE={model_mse:.4g} > 100x " |
| f"persistence_MSE={pers_mse:.4g} on the same eval set; " |
| "model likely emitting un-normalised raw close instead " |
| "of per-window log-returns." |
| ) |
| return None |
|
|
| |
| if task in ("T2", "T5"): |
| y_tr = _np.asarray(y_train, dtype=_np.float64).ravel() |
| y_t = _np.asarray(y_test, dtype=_np.float64).ravel() |
| y_p = _np.asarray(y_pred, dtype=_np.float64).ravel() |
| if y_t.size == 0 or y_t.shape != y_p.shape: |
| return None |
| const = float(_np.nanmedian(y_tr)) |
| if not _np.isfinite(const): |
| return None |
| denom = _np.abs(y_t) |
| mask = _np.isfinite(y_t) & _np.isfinite(y_p) & (denom > 0) |
| if not mask.any(): |
| return None |
| const_mape = 100.0 * float(_np.nanmean( |
| _np.abs(const - y_t[mask]) / denom[mask] |
| )) |
| model_mape = 100.0 * float(_np.nanmean( |
| _np.abs(y_p[mask] - y_t[mask]) / denom[mask] |
| )) |
| if not (_np.isfinite(const_mape) and _np.isfinite(model_mape) |
| and const_mape > 0): |
| return None |
| if model_mape > 10.0 * const_mape: |
| return ( |
| f"{task} SUSPECT: model_MAPE={model_mape:.4g} > 10x " |
| f"baseline_MAPE={const_mape:.4g} on the same eval set; " |
| "check method implementation" |
| ) |
| return None |
|
|
| |
| if task == "T4": |
| y_tr = _np.asarray(y_train, dtype=_np.float64).ravel() |
| y_t = _np.asarray(y_test, dtype=_np.float64).ravel() |
| y_p = _np.asarray(y_pred, dtype=_np.float64).ravel() |
| if y_t.size == 0 or y_t.shape != y_p.shape: |
| return None |
| const = float(_np.nanmean(y_tr)) |
| if not _np.isfinite(const): |
| return None |
| mask = _np.isfinite(y_t) & _np.isfinite(y_p) |
| if not mask.any(): |
| return None |
| const_mae = float(_np.nanmean(_np.abs(const - y_t[mask]))) |
| model_mae = float(_np.nanmean(_np.abs(y_p[mask] - y_t[mask]))) |
| if not (_np.isfinite(const_mae) and _np.isfinite(model_mae) |
| and const_mae > 0): |
| return None |
| if model_mae > 10.0 * const_mae: |
| return ( |
| f"T4 SUSPECT: model_MAE={model_mae:.4g} > 10x " |
| f"baseline_MAE={const_mae:.4g} on the same eval set; " |
| "check method implementation" |
| ) |
| return None |
|
|
| |
| if task == "T7": |
| try: |
| import pandas as _pd |
| except Exception: |
| return None |
| if not (isinstance(y_train, _pd.DataFrame) |
| and isinstance(y_test, _pd.DataFrame) |
| and isinstance(y_pred, _pd.DataFrame)): |
| return None |
| if "address" not in y_test.columns or "address" not in y_pred.columns: |
| return None |
| merged = y_test.merge( |
| y_pred, on="address", how="inner", |
| suffixes=("_actual", "_pred"), |
| ) |
| if merged.empty: |
| return None |
| for target, pred_col in (("rent", "pred_rent"), |
| ("price", "pred_price")): |
| actual_col = target if target in merged.columns else f"{target}_actual" |
| if pred_col not in merged.columns or actual_col not in merged.columns: |
| continue |
| if target not in y_train.columns: |
| continue |
| y_tr = _pd.to_numeric(y_train[target], errors="coerce").to_numpy() |
| const = float(_np.nanmedian(y_tr)) |
| if not _np.isfinite(const): |
| continue |
| actual = _pd.to_numeric(merged[actual_col], errors="coerce").to_numpy() |
| pred = _pd.to_numeric(merged[pred_col], errors="coerce").to_numpy() |
| denom = _np.abs(actual) |
| mask = _np.isfinite(actual) & _np.isfinite(pred) & (denom > 0) |
| if not mask.any(): |
| continue |
| const_mape = 100.0 * float(_np.nanmean( |
| _np.abs(const - actual[mask]) / denom[mask] |
| )) |
| model_mape = 100.0 * float(_np.nanmean( |
| _np.abs(pred[mask] - actual[mask]) / denom[mask] |
| )) |
| if not (_np.isfinite(const_mape) and _np.isfinite(model_mape) |
| and const_mape > 0): |
| continue |
| if model_mape > 10.0 * const_mape: |
| return ( |
| f"T7 SUSPECT: model_{target}_MAPE={model_mape:.4g} " |
| f"> 10x baseline_{target}_MAPE={const_mape:.4g} on " |
| "the same eval set; check method implementation" |
| ) |
| return None |
|
|
| |
| return None |
| except Exception: |
| return None |
|
|
|
|
| def _run_one( |
| *, |
| method_id: str, |
| cls: type, |
| task: str, |
| granularity: str, |
| seed: int, |
| X_train: Any, y_train: Any, meta_train: Any, |
| X_test: Any, y_test: Any, meta_test: Any, |
| no_checkpoint: bool, |
| deterministic: bool, |
| extra_kwargs: dict[str, Any], |
| ) -> RunRecord: |
| """Run a single (method, seed) cell on already-loaded data.""" |
| method_family = getattr(cls, "family", "unknown") |
| artifact_sha256: dict[str, str] = { |
| **(meta_train.attrs.get("data_sha256") or {}), |
| **(meta_test.attrs.get("data_sha256") or {}), |
| } |
| n_train, n_test = len(X_train), len(X_test) |
| ablation_setting = ( |
| meta_test.attrs.get("ablation_setting") |
| if meta_test is not None else None |
| ) |
|
|
| |
| ctor_kwargs: dict[str, Any] = dict(extra_kwargs) |
| if task == "T1" and method_id == "persistence": |
| feat_names = meta_test.attrs.get("feature_names") or [] |
| if "close" in feat_names: |
| ctor_kwargs["close_feature_idx"] = int(feat_names.index("close")) |
|
|
| |
| try: |
| model = cls(task=task, **ctor_kwargs) |
| except Exception as exc: |
| return _make_failed_record( |
| method_id=method_id, method_family=method_family, |
| task=task, granularity=granularity, seed=seed, |
| status="fit_failed", |
| error=f"ctor: {_truncate_traceback(exc)}", |
| n_train=n_train, n_test=n_test, |
| hyperparams=ctor_kwargs, artifact_sha256=artifact_sha256, |
| deterministic_mode=deterministic, |
| ablation_setting=ablation_setting, |
| ) |
|
|
| |
| |
| |
| |
| |
| t1_horizon = None |
| if task == "T1": |
| try: |
| import numpy as _np |
| y_ref = y_test if hasattr(y_test, "shape") else y_train |
| if hasattr(y_ref, "shape") and len(y_ref.shape) == 2: |
| t1_horizon = int(y_ref.shape[1]) |
| except Exception: |
| t1_horizon = None |
| ckpt = _checkpoint_path(method_id, task, granularity, seed, horizon=t1_horizon) |
| manifest_path = ckpt / "manifest.json" |
|
|
| fit_time_sec: float | None = None |
| predict_time_sec: float | None = None |
| peak_mem_mb: float | None = None |
|
|
| |
| try: |
| if manifest_path.exists() and not no_checkpoint: |
| model = cls.load(ckpt) |
| fit_time_sec = 0.0 |
| |
| |
| |
| |
| |
| for k, v in ctor_kwargs.items(): |
| if k in ("task",): |
| continue |
| setattr(model, k, v) |
| |
| if method_family in _LLM_FAMILIES: |
| if hasattr(model, "_X_train"): |
| model._X_train = X_train |
| if hasattr(model, "_y_train"): |
| model._y_train = y_train |
| else: |
| tracemalloc.start() |
| t0 = time.perf_counter() |
| model.fit(X_train, y_train, seed=seed) |
| fit_time_sec = time.perf_counter() - t0 |
| _, peak = tracemalloc.get_traced_memory() |
| tracemalloc.stop() |
| peak_mem_mb = peak / (1024.0 * 1024.0) |
| |
| |
| |
| if not no_checkpoint: |
| try: |
| ckpt.mkdir(parents=True, exist_ok=True) |
| model.save(ckpt) |
| except Exception: |
| logger.warning("checkpoint save failed for %s/%s/%s", method_id, task, seed) |
| except Exception as exc: |
| return _make_failed_record( |
| method_id=method_id, method_family=method_family, |
| task=task, granularity=granularity, seed=seed, |
| status="fit_failed", |
| error=_truncate_traceback(exc), |
| n_train=n_train, n_test=n_test, |
| hyperparams=model.hyperparams() if hasattr(model, "hyperparams") else ctor_kwargs, |
| artifact_sha256=artifact_sha256, |
| deterministic_mode=deterministic, |
| fit_time_sec=fit_time_sec, peak_mem_mb=peak_mem_mb, |
| ablation_setting=ablation_setting, |
| ) |
|
|
| |
| try: |
| t1 = time.perf_counter() |
| y_pred = model.predict(X_test) |
| predict_time_sec = time.perf_counter() - t1 |
| |
| |
| |
| try: |
| import pickle |
| |
| |
| pred_dir = Path(__file__).parent / "predictions" |
| pred_dir.mkdir(parents=True, exist_ok=True) |
| tag = f"{method_id}_{task}_{granularity}_seed{seed}" |
| if task == "T1" and t1_horizon is not None: |
| tag += f"_h{t1_horizon}" |
| if ablation_setting: |
| tag += f"_set{ablation_setting}" |
| pred_path = pred_dir / f"{tag}.pkl" |
| tmp = pred_path.with_suffix(".pkl.tmp") |
| with open(tmp, "wb") as f: |
| pickle.dump({ |
| "method_id": method_id, "task": task, "seed": seed, |
| "granularity": granularity, |
| "ablation_setting": ablation_setting, |
| "y_pred": y_pred, |
| "y_test": y_test, |
| "meta_test": meta_test, |
| "timestamp": _now_iso(), |
| }, f) |
| tmp.replace(pred_path) |
| except Exception: |
| logger.warning("save predictions failed for %s/%s", method_id, task) |
| except Exception as exc: |
| return _make_failed_record( |
| method_id=method_id, method_family=method_family, |
| task=task, granularity=granularity, seed=seed, |
| status="predict_failed", |
| error=_truncate_traceback(exc), |
| n_train=n_train, n_test=n_test, |
| hyperparams=model.hyperparams(), artifact_sha256=artifact_sha256, |
| deterministic_mode=deterministic, |
| fit_time_sec=fit_time_sec, peak_mem_mb=peak_mem_mb, |
| ablation_setting=ablation_setting, |
| ) |
|
|
| |
| try: |
| |
| |
| if task == "T4": |
| cluster_keys = ( |
| meta_test["scenario_id"].values |
| if "scenario_id" in meta_test.columns |
| else None |
| ) |
| elif task == "T7": |
| cluster_keys = ( |
| meta_test["address"].values |
| if "address" in meta_test.columns |
| else None |
| ) |
| elif "ticker" in meta_test.columns: |
| cluster_keys = meta_test["ticker"].values |
| else: |
| cluster_keys = None |
|
|
| score_kwargs: dict[str, Any] = {"cluster_keys": cluster_keys} |
| if task == "T1" and "close_last" in meta_test.columns: |
| score_kwargs["close_last"] = meta_test["close_last"].values |
|
|
| metrics = ml.score(task, y_test, y_pred, **score_kwargs) |
| except Exception as exc: |
| return _make_failed_record( |
| method_id=method_id, method_family=method_family, |
| task=task, granularity=granularity, seed=seed, |
| status="score_failed", |
| error=_truncate_traceback(exc), |
| n_train=n_train, n_test=n_test, |
| hyperparams=model.hyperparams(), artifact_sha256=artifact_sha256, |
| deterministic_mode=deterministic, |
| fit_time_sec=fit_time_sec, predict_time_sec=predict_time_sec, |
| peak_mem_mb=peak_mem_mb, |
| ablation_setting=ablation_setting, |
| ) |
|
|
| |
| |
| |
| |
| |
| _PRIMARY_METRIC = { |
| "T1": "mse", "T2": "median_ape", "T3": "overall_mape", |
| "T4": "return_mae_pct", "T5": "median_ape", "T6": "overall_mape", |
| "T7": "rent_MAPE", |
| } |
| primary_key = _PRIMARY_METRIC.get(task) |
| primary_mv = (metrics or {}).get(primary_key) if primary_key else None |
| primary_value = ( |
| primary_mv.value if primary_mv is not None |
| and hasattr(primary_mv, "value") else None |
| ) |
| if primary_value is None: |
| return _make_failed_record( |
| method_id=method_id, method_family=method_family, |
| task=task, granularity=granularity, seed=seed, |
| status="score_failed", |
| error=( |
| f"primary metric '{primary_key}' is None on {task}; " |
| "predictions did not produce any valid (canonical) " |
| "match against y_true (e.g. all preds NaN, or non-canonical " |
| "field names). Refusing to record status=ok." |
| ), |
| n_train=n_train, n_test=n_test, |
| hyperparams=model.hyperparams(), artifact_sha256=artifact_sha256, |
| deterministic_mode=deterministic, |
| fit_time_sec=fit_time_sec, predict_time_sec=predict_time_sec, |
| peak_mem_mb=peak_mem_mb, |
| ablation_setting=ablation_setting, |
| ) |
|
|
| |
| |
| |
| |
| |
| |
| |
| |
| suspect_reason: str | None = _sanity_gate( |
| task, X_test, y_test, y_pred, y_train, meta_test, |
| ) |
| if suspect_reason is not None: |
| logger.warning(suspect_reason) |
|
|
| return RunRecord( |
| method_id=method_id, method_family=method_family, |
| task=task, granularity=granularity, seed=seed, |
| status="ok", error=suspect_reason, |
| n_train=n_train, n_test=n_test, |
| hyperparams=model.hyperparams(), |
| lib_versions=model.lib_versions(), |
| hardware=_detect_hardware(), |
| fit_time_sec=fit_time_sec, predict_time_sec=predict_time_sec, |
| peak_mem_mb=peak_mem_mb, metrics=metrics, |
| artifact_sha256=artifact_sha256, |
| timestamp=_now_iso(), git_sha=_git_sha(), |
| deterministic_mode=deterministic, |
| ablation_setting=meta_test.attrs.get("ablation_setting") if meta_test is not None else None, |
| ) |
|
|
|
|
| def _seed_dispatch(args_tuple: tuple) -> RunRecord: |
| """Process-pool entry point — unpack args and call :func:`_run_one`.""" |
| return _run_one(**args_tuple) |
|
|
|
|
| |
|
|
|
|
| def run_all( |
| tasks: list[str], |
| methods_list: list[str], |
| granularity: str = "daily", |
| *, |
| seeds: Iterable[int] = (42,), |
| deterministic: bool = False, |
| no_checkpoint: bool = False, |
| multi_seed_parallel: bool = False, |
| config_overrides: dict[str, dict[str, Any]] | None = None, |
| output_path: Path | None = None, |
| setting: str | None = None, |
| horizon: int | None = None, |
| lookback: int | None = None, |
| ) -> list[RunRecord]: |
| """Run every (task, method, seed) cell and persist :class:`RunRecord` JSON. |
| |
| Parameters |
| ---------- |
| tasks |
| Task ids in ``{"T1","T2","T3","T4","T5","T6","T7"}``. |
| methods_list |
| Registry ids (matching ``ml.methods.ALL_METHODS`` keys). |
| granularity |
| ``"daily"`` (default) | ``"weekly"`` | ``"monthly"``. |
| seeds |
| Iterable of integer seeds. Default ``(42,)``. |
| deterministic |
| When True, set ``MACROLENS_DETERMINISTIC=1`` and call |
| ``torch.use_deterministic_algorithms(True)`` once before any |
| method runs. |
| no_checkpoint |
| When True, ignore any existing checkpoint and re-train; new |
| checkpoints are still written. |
| multi_seed_parallel |
| When True, dispatch one process per seed via |
| :class:`concurrent.futures.ProcessPoolExecutor`. |
| config_overrides |
| Mapping ``{method_id: {kwarg: value, ...}}`` forwarded to the |
| method ctor (single-step override path used by the runner-side |
| ``--config-override`` flag). |
| output_path |
| When supplied, write the JSON list to this exact path; otherwise |
| write to ``<data_root>/results/<git_sha>_<utc_timestamp>.json``. |
| |
| Returns |
| ------- |
| list[RunRecord] |
| Every emitted record (including ``status != "ok"`` failures and |
| deferred-LLM ``status == "skip"`` placeholders). |
| """ |
| if deterministic: |
| os.environ["MACROLENS_DETERMINISTIC"] = "1" |
| try: |
| import torch |
| torch.use_deterministic_algorithms(True) |
| if hasattr(torch.backends, "cudnn"): |
| torch.backends.cudnn.deterministic = True |
| except Exception: |
| pass |
|
|
| overrides = config_overrides or {} |
| seed_list = list(seeds) |
| records: list[RunRecord] = [] |
| adapter = pydantic.TypeAdapter(list[RunRecord]) |
|
|
| |
| if output_path is None: |
| ts = dt.datetime.now(dt.timezone.utc).strftime("%Y%m%dT%H%M%SZ") |
| sha_short = _git_sha()[:8] if _git_sha() != "unknown" else "nogit" |
| |
| |
| results_dir = Path(__file__).resolve().parent / "results" |
| results_dir.mkdir(parents=True, exist_ok=True) |
| output_path = results_dir / f"{sha_short}_{ts}.json" |
| else: |
| output_path = Path(output_path) |
| output_path.parent.mkdir(parents=True, exist_ok=True) |
|
|
| def _flush() -> None: |
| """Atomic-rename incremental write so a SIGTERM mid-run loses ~0 records.""" |
| tmp = output_path.with_suffix(".json.tmp") |
| tmp.write_bytes(adapter.dump_json(records, indent=2)) |
| tmp.replace(output_path) |
|
|
| def _log_cell(method_id: str, task_id: str, family: str, status: str, |
| fit_s: float | None, pred_s: float | None, |
| metrics: dict | None) -> None: |
| m_str = "" |
| if metrics: |
| primary_keys = ("mse", "mape", "median_ape", "return_mae_pct", |
| "rent_MAPE", "overall_mape", "n_predictions") |
| for k in primary_keys: |
| if k in metrics and hasattr(metrics[k], "value"): |
| v = metrics[k].value |
| m_str = f" {k}={'None' if v is None else f'{v:.4g}'}" |
| break |
| ft = f"{fit_s:.1f}s" if fit_s is not None else "-" |
| pt = f"{pred_s:.1f}s" if pred_s is not None else "-" |
| print(f" [{len(records):>3d}] {family:10s} {method_id:18s} {task_id} " |
| f"status={status:14s} fit={ft:>6s} predict={pt:>6s}{m_str}", |
| flush=True) |
|
|
| print(f"output_path={output_path}", flush=True) |
|
|
| if setting is not None: |
| valid = {"A", "B", "C", "D", "E"} |
| if setting not in valid: |
| raise ValueError(f"setting must be in {valid} or None, got {setting!r}") |
| print(f"ablation setting={setting}", flush=True) |
|
|
| for task in tasks: |
| print(f"\n=== task={task} === loading data...", flush=True) |
| t0 = time.perf_counter() |
| load_kwargs: dict[str, Any] = {"granularity": granularity} |
| if horizon is not None and task == "T1": |
| load_kwargs["horizon"] = horizon |
| if lookback is not None and task in ("T1", "T4"): |
| load_kwargs["lookback"] = lookback |
| if setting is not None: |
| if task in ("T3", "T6", "T7"): |
| print(f" skipping task={task} for ablation (not in ABLATION_TASKS)", |
| flush=True) |
| continue |
| load_kwargs["setting"] = setting |
| X_train, y_train, meta_train = ml.load(task, "train", **load_kwargs) |
| X_test, y_test, meta_test = ml.load(task, "test", **load_kwargs) |
| print(f" loaded in {time.perf_counter()-t0:.1f}s " |
| f"(n_train={len(X_train)}, n_test={len(X_test)})", flush=True) |
|
|
| for method_name in methods_list: |
| cls = ml.methods.ALL_METHODS.get(method_name) |
| if cls is None: |
| logger.warning("method '%s' not registered; skipping", method_name) |
| continue |
| if task not in cls.tasks: |
| continue |
|
|
| method_family = getattr(cls, "family", "unknown") |
| extra_kwargs = _apply_overrides(overrides, method_name) |
|
|
| |
| |
| |
| if method_family in _LLM_FAMILIES: |
| engine, err = _resolve_llm_engine(method_name, cls) |
| if engine is None: |
| raise RuntimeError( |
| f"{method_name} requires an LLM endpoint but " |
| f"{_llm_endpoint_env_var(method_name)} is unset. " |
| f"Reason: {err}. Either serve the endpoint and set " |
| f"the env var, or omit this method from --method." |
| ) |
| |
| extra_kwargs = {**extra_kwargs, "engine": engine} |
|
|
| if multi_seed_parallel and len(seed_list) > 1: |
| payloads = [ |
| { |
| "method_id": method_name, "cls": cls, |
| "task": task, "granularity": granularity, "seed": seed, |
| "X_train": X_train, "y_train": y_train, "meta_train": meta_train, |
| "X_test": X_test, "y_test": y_test, "meta_test": meta_test, |
| "no_checkpoint": no_checkpoint, |
| "deterministic": deterministic, |
| "extra_kwargs": extra_kwargs, |
| } |
| for seed in seed_list |
| ] |
| with ProcessPoolExecutor(max_workers=len(seed_list)) as ex: |
| futs = [ex.submit(_seed_dispatch, p) for p in payloads] |
| for fut in as_completed(futs): |
| rec = fut.result() |
| records.append(rec) |
| _log_cell(method_name, task, method_family, rec.status, |
| rec.fit_time_sec, rec.predict_time_sec, |
| rec.metrics) |
| _flush() |
| else: |
| for seed in seed_list: |
| rec = _run_one( |
| method_id=method_name, cls=cls, |
| task=task, granularity=granularity, seed=seed, |
| X_train=X_train, y_train=y_train, meta_train=meta_train, |
| X_test=X_test, y_test=y_test, meta_test=meta_test, |
| no_checkpoint=no_checkpoint, |
| deterministic=deterministic, |
| extra_kwargs=extra_kwargs, |
| ) |
| records.append(rec) |
| _log_cell(method_name, task, method_family, rec.status, |
| rec.fit_time_sec, rec.predict_time_sec, rec.metrics) |
| _flush() |
|
|
| _flush() |
| logger.info("Wrote %d records to %s", len(records), output_path) |
| print(f"\n=== {len(records)} records written to {output_path} ===", flush=True) |
| return records |
|
|
|
|
| |
|
|
|
|
| def _parse_overrides(raw: list[str]) -> dict[str, dict[str, Any]]: |
| """Parse ``--config-override 'method.key=value'`` flags into a dict.""" |
| overrides: dict[str, dict[str, Any]] = {} |
| for spec in raw: |
| if "=" not in spec or "." not in spec.split("=", 1)[0]: |
| raise ValueError( |
| f"--config-override expects 'method.key=value', got {spec!r}" |
| ) |
| lhs, value = spec.split("=", 1) |
| method_id, key = lhs.split(".", 1) |
| |
| casted: Any = value |
| for caster in (int, float): |
| try: |
| casted = caster(value) |
| break |
| except ValueError: |
| continue |
| if isinstance(casted, str) and casted.lower() in ("true", "false"): |
| casted = casted.lower() == "true" |
| overrides.setdefault(method_id, {})[key] = casted |
| return overrides |
|
|
|
|
| def main(argv: list[str] | None = None) -> int: |
| parser = argparse.ArgumentParser(description=__doc__) |
| parser.add_argument("--task", nargs="+", required=True, |
| choices=["T1", "T2", "T3", "T4", "T5", "T6", "T7"]) |
| parser.add_argument("--method", nargs="+", required=True, |
| help="Registry method ids (e.g. persistence lightgbm)") |
| parser.add_argument("--granularity", default="daily", |
| choices=["daily", "weekly", "monthly"]) |
| parser.add_argument("--seeds", type=int, nargs="+", default=[42]) |
| parser.add_argument("--deterministic", action="store_true") |
| parser.add_argument("--no-checkpoint", action="store_true") |
| parser.add_argument("--multi-seed-parallel", action="store_true") |
| parser.add_argument( |
| "--config-override", action="append", default=[], |
| help=("Override a single method ctor kwarg, e.g. " |
| "'lightgbm.n_estimators=20'. Repeatable."), |
| ) |
| parser.add_argument("--output", type=Path, default=None, |
| help="Optional explicit output path.") |
| parser.add_argument( |
| "--setting", choices=["A", "B", "C", "D", "E"], default=None, |
| help=("Ablation feature-tier (A: OHLCV; B: +Fundamentals; " |
| "C: +Macro; D: +Scenario flags; E: D + filing text in prompt). " |
| "Applies to T1, T2, T4, T5 only; T3/T6/T7 silently skipped."), |
| ) |
| parser.add_argument( |
| "--horizon", type=int, default=None, |
| help=("Forecast horizon for T1; ignored for T2-T7. Default: longest " |
| "canonical horizon for the granularity " |
| "(daily=252, weekly=52, monthly=12)."), |
| ) |
| parser.add_argument( |
| "--lookback", type=int, default=None, |
| help=("Lookback window length for T1/T4; ignored for non-sequence " |
| "tasks. Default: shortest canonical lookback for the granularity " |
| "(daily=63, weekly=13, monthly=3). Use a longer value (e.g. " |
| "monthly=12) for architectures whose downsample stack needs " |
| "more timesteps."), |
| ) |
| args = parser.parse_args(argv) |
|
|
| logging.basicConfig( |
| level=logging.INFO, |
| format="%(asctime)s %(levelname)s %(message)s", |
| datefmt="%H:%M:%S", |
| ) |
| overrides = _parse_overrides(args.config_override) |
| run_all( |
| tasks=args.task, methods_list=args.method, |
| granularity=args.granularity, seeds=args.seeds, |
| deterministic=args.deterministic, |
| no_checkpoint=args.no_checkpoint, |
| multi_seed_parallel=args.multi_seed_parallel, |
| config_overrides=overrides, |
| output_path=args.output, |
| setting=args.setting, |
| horizon=args.horizon, |
| lookback=args.lookback, |
| ) |
| return 0 |
|
|
|
|
| if __name__ == "__main__": |
| sys.exit(main()) |
|
|