Datasets:

mythezone
/

LOBench-A-share-processed

#!/usr/bin/env python3
"""Summarize source-separated FI-2010 and LOBSTER prediction evidence."""

from __future__ import annotations

import argparse
import csv
import json
from pathlib import Path

import numpy as np


METHODS = ("timae", "lobgrid_timae", "simlob2026")
METHOD_LABELS = {
    "timae": "Ti-MAE-style",
    "lobgrid_timae": "LOBGrid--Ti-MAE-style",
    "simlob2026": "SimLOB-style",
}
SEEDS = (2026, 2027, 2028)
SETTINGS = ("from_scratch", "fine_tune")
CLASS_FIELDS = tuple(
    f"{metric}_{name}"
    for metric in ("precision", "recall", "f1")
    for name in ("down", "stationary", "up")
)


def load_results(directory: Path) -> list[dict]:
    rows = []
    for path in sorted(directory.glob("*.json")):
        if path.name.endswith(".pretrain.json"):
            continue
        payload = json.loads(path.read_text(encoding="utf-8"))
        if payload.get("setting") in SETTINGS and "test" in payload:
            payload["_path"] = str(path)
            rows.append(payload)
    return rows


def validate(rows: list[dict], assets: int, source: str) -> None:
    expected = assets * len(METHODS) * len(SEEDS) * len(SETTINGS)
    keys = [(r["stock"], r["method"], r["seed"], r["setting"]) for r in rows]
    if len(keys) != expected or len(set(keys)) != expected:
        raise ValueError(f"{source}: found {len(keys)} unique cases; expected {expected}")
    if {r["method"] for r in rows} != set(METHODS):
        raise ValueError(f"{source}: method set is incomplete")
    if {int(r["seed"]) for r in rows} != set(SEEDS):
        raise ValueError(f"{source}: seed set is incomplete")


def bootstrap(values: list[float], seed: int = 20260801) -> list[float]:
    array = np.asarray(values, dtype=np.float64)
    rng = np.random.default_rng(seed)
    draws = rng.choice(array, size=(10000, len(array)), replace=True).mean(axis=1)
    return [float(x) for x in np.quantile(draws, [0.025, 0.975])]


def condition_metrics(rows: list[dict]) -> dict:
    result = {
        "macro_f1_mean": float(np.mean([r["test"]["macro_f1"] for r in rows])),
        "macro_f1_sd": float(np.std([r["test"]["macro_f1"] for r in rows], ddof=1)),
        "balanced_accuracy_mean": float(
            np.mean([r["test"]["balanced_accuracy"] for r in rows])
        ),
        "stopped_epoch_mean": float(np.mean([r.get("stopped_epoch", 0) for r in rows])),
        "optimizer_steps_mean": float(np.mean([r.get("optimizer_steps", 0) for r in rows])),
    }
    for field in CLASS_FIELDS:
        result[field] = (
            float(np.mean([r["test"][field] for r in rows]))
            if all(field in r["test"] for r in rows)
            else None
        )
    result["pooled_confusion_rows_true_cols_pred"] = (
        np.asarray(
            [r["test_confusion"]["matrix_rows_true_cols_pred"] for r in rows],
            dtype=np.int64,
        ).sum(axis=0).tolist()
        if all("test_confusion" in r for r in rows)
        else None
    )
    return result


def paired_source_summary(rows: list[dict], source: str) -> dict:
    index = {
        (r["stock"], r["method"], int(r["seed"]), r["setting"]): r
        for r in rows
    }
    assets = sorted({r["stock"] for r in rows})
    output = {}
    for method in METHODS:
        asset_seed = {}
        for asset in assets:
            for seed in SEEDS:
                scratch = index[(asset, method, seed, "from_scratch")]
                tuned = index[(asset, method, seed, "fine_tune")]
                asset_seed[(asset, seed)] = float(
                    tuned["test"]["macro_f1"] - scratch["test"]["macro_f1"]
                )
        asset_means = {
            asset: float(np.mean([asset_seed[(asset, seed)] for seed in SEEDS]))
            for asset in assets
        }
        unit_values = list(asset_means.values()) if len(assets) > 1 else list(asset_seed.values())
        day_effects = {}
        sample = next(
            (r for r in rows if r["method"] == method and r.get("test_by_group")),
            None,
        )
        for day in sorted(sample["test_by_group"] if sample else {}):
            values = []
            for asset in assets:
                for seed in SEEDS:
                    scratch = index[(asset, method, seed, "from_scratch")]
                    tuned = index[(asset, method, seed, "fine_tune")]
                    values.append(
                        float(
                            tuned["test_by_group"][day]["metrics"]["macro_f1"]
                            - scratch["test_by_group"][day]["metrics"]["macro_f1"]
                        )
                    )
            day_effects[day] = {
                "mean": float(np.mean(values)),
                "sd": float(np.std(values, ddof=1)),
            }
        method_rows = [r for r in rows if r["method"] == method]
        output[method] = {
            "model": METHOD_LABELS[method],
            "source": source,
            "reporting_unit": "initialization seed" if len(assets) == 1 else "asset after seed averaging",
            "mean_delta": float(np.mean(unit_values)),
            "sd_delta": float(np.std(unit_values, ddof=1)),
            "unit_resampling_interval_95": bootstrap(unit_values),
            "wins": int(sum(x > 0 for x in unit_values)),
            "units": len(unit_values),
            "asset_mean_deltas": asset_means,
            "asset_seed_deltas": {f"{a}|{s}": v for (a, s), v in asset_seed.items()},
            "test_day_effects": day_effects,
            "conditions": {
                setting: condition_metrics([r for r in method_rows if r["setting"] == setting])
                for setting in SETTINGS
            },
        }
    return output


def write_csv(path: Path, rows: list[dict]) -> None:
    fields = []
    for row in rows:
        for field in row:
            if field not in fields:
                fields.append(field)
    with path.open("w", newline="", encoding="utf-8") as handle:
        writer = csv.DictWriter(handle, fieldnames=fields)
        writer.writeheader()
        writer.writerows(rows)


def main() -> None:
    parser = argparse.ArgumentParser(description=__doc__)
    parser.add_argument("--fi-dir", required=True)
    parser.add_argument("--lobster-dir", required=True)
    parser.add_argument("--fi-zscore-dir")
    parser.add_argument("--output-dir", required=True)
    args = parser.parse_args()

    fi_rows = load_results(Path(args.fi_dir))
    lobster_rows = load_results(Path(args.lobster_dir))
    validate(fi_rows, assets=1, source="FI-2010 DecPre train-only")
    validate(lobster_rows, assets=4, source="LOBSTER")
    payload = {
        "FI-2010 DecPre train-only": paired_source_summary(
            fi_rows, "FI-2010 DecPre train-only"
        ),
        "LOBSTER": paired_source_summary(lobster_rows, "LOBSTER"),
    }
    if args.fi_zscore_dir:
        zscore_rows = load_results(Path(args.fi_zscore_dir))
        validate(zscore_rows, assets=1, source="FI-2010 official Zscore sensitivity")
        payload["FI-2010 official Zscore sensitivity"] = paired_source_summary(
            zscore_rows, "FI-2010 official Zscore sensitivity"
        )

    output_dir = Path(args.output_dir)
    output_dir.mkdir(parents=True, exist_ok=True)
    (output_dir / "external_source_evidence.json").write_text(
        json.dumps(payload, indent=2), encoding="utf-8"
    )
    flat_rows = []
    for source, methods in payload.items():
        for method, summary in methods.items():
            scratch = summary["conditions"]["from_scratch"]
            tuned = summary["conditions"]["fine_tune"]
            flat_rows.append(
                {
                    "source": source,
                    "method": method,
                    "model": summary["model"],
                    "scratch_macro_f1": scratch["macro_f1_mean"],
                    "target_local_macro_f1": tuned["macro_f1_mean"],
                    "paired_delta": summary["mean_delta"],
                    "paired_delta_sd": summary["sd_delta"],
                    "ci_low": summary["unit_resampling_interval_95"][0],
                    "ci_high": summary["unit_resampling_interval_95"][1],
                    "wins": summary["wins"],
                    "units": summary["units"],
                }
            )
    write_csv(output_dir / "external_source_evidence.csv", flat_rows)
    paired_case_rows = []
    for source, rows in (
        ("FI-2010 DecPre train-only", fi_rows),
        ("LOBSTER", lobster_rows),
    ):
        index = {
            (row["stock"], row["method"], int(row["seed"]), row["setting"]): row
            for row in rows
        }
        for stock in sorted({row["stock"] for row in rows}):
            for method in METHODS:
                for seed in SEEDS:
                    scratch = index[(stock, method, seed, "from_scratch")]
                    tuned = index[(stock, method, seed, "fine_tune")]
                    paired_case_rows.append(
                        {
                            "source": source,
                            "unit": stock,
                            "method": method,
                            "seed": seed,
                            "scratch_macro_f1": scratch["test"]["macro_f1"],
                            "target_local_macro_f1": tuned["test"]["macro_f1"],
                            "paired_delta": (
                                tuned["test"]["macro_f1"]
                                - scratch["test"]["macro_f1"]
                            ),
                            "scratch_stopped_epoch": scratch.get("stopped_epoch"),
                            "scratch_optimizer_steps": scratch.get("optimizer_steps"),
                            "target_local_stopped_epoch": tuned.get("stopped_epoch"),
                            "target_local_optimizer_steps": tuned.get("optimizer_steps"),
                        }
                    )
    write_csv(output_dir / "external_paired_seed_cases.csv", paired_case_rows)
    class_rows = []
    day_rows = []
    for source in ("FI-2010 DecPre train-only", "LOBSTER"):
        for method, summary in payload[source].items():
            for setting, condition in summary["conditions"].items():
                class_rows.append(
                    {
                        "source": source,
                        "method": method,
                        "setting": setting,
                        **{field: condition[field] for field in CLASS_FIELDS},
                        "confusion_rows_true_cols_pred": json.dumps(
                            condition["pooled_confusion_rows_true_cols_pred"]
                        ),
                        "mean_stopped_epoch": condition["stopped_epoch_mean"],
                        "mean_optimizer_steps": condition["optimizer_steps_mean"],
                    }
                )
            for day, day_summary in summary["test_day_effects"].items():
                day_rows.append(
                    {
                        "source": source,
                        "method": method,
                        "test_day": day,
                        "mean_delta": day_summary["mean"],
                        "sd_delta": day_summary["sd"],
                    }
                )
    write_csv(output_dir / "external_class_and_stopping_metrics.csv", class_rows)
    write_csv(output_dir / "external_test_day_effects.csv", day_rows)
    lines = [
        "# Source-separated external evidence",
        "",
        "| source | model | scratch F1 | local F1 | paired delta ± SD | wins |",
        "|---|---|---:|---:|---:|---:|",
    ]
    for row in flat_rows:
        lines.append(
            f"| {row['source']} | {row['model']} | {row['scratch_macro_f1']:.4f} "
            f"| {row['target_local_macro_f1']:.4f} | {row['paired_delta']:+.4f}"
            f"±{row['paired_delta_sd']:.4f} | {row['wins']}/{row['units']} |"
        )
    (output_dir / "external_source_evidence.md").write_text(
        "\n".join(lines) + "\n", encoding="utf-8"
    )


if __name__ == "__main__":
    main()

	#!/usr/bin/env python3
	"""Summarize source-separated FI-2010 and LOBSTER prediction evidence."""

	from __future__ import annotations

	import argparse
	import csv
	import json
	from pathlib import Path

	import numpy as np


	METHODS = ("timae", "lobgrid_timae", "simlob2026")
	METHOD_LABELS = {
	"timae": "Ti-MAE-style",
	"lobgrid_timae": "LOBGrid--Ti-MAE-style",
	"simlob2026": "SimLOB-style",
	}
	SEEDS = (2026, 2027, 2028)
	SETTINGS = ("from_scratch", "fine_tune")
	CLASS_FIELDS = tuple(
	f"{metric}_{name}"
	for metric in ("precision", "recall", "f1")
	for name in ("down", "stationary", "up")
	)


	def load_results(directory: Path) -> list[dict]:
	rows = []
	for path in sorted(directory.glob("*.json")):
	if path.name.endswith(".pretrain.json"):
	continue
	payload = json.loads(path.read_text(encoding="utf-8"))
	if payload.get("setting") in SETTINGS and "test" in payload:
	payload["_path"] = str(path)
	rows.append(payload)
	return rows


	def validate(rows: list[dict], assets: int, source: str) -> None:
	expected = assets * len(METHODS) * len(SEEDS) * len(SETTINGS)
	keys = [(r["stock"], r["method"], r["seed"], r["setting"]) for r in rows]
	if len(keys) != expected or len(set(keys)) != expected:
	raise ValueError(f"{source}: found {len(keys)} unique cases; expected {expected}")
	if {r["method"] for r in rows} != set(METHODS):
	raise ValueError(f"{source}: method set is incomplete")
	if {int(r["seed"]) for r in rows} != set(SEEDS):
	raise ValueError(f"{source}: seed set is incomplete")


	def bootstrap(values: list[float], seed: int = 20260801) -> list[float]:
	array = np.asarray(values, dtype=np.float64)
	rng = np.random.default_rng(seed)
	draws = rng.choice(array, size=(10000, len(array)), replace=True).mean(axis=1)
	return [float(x) for x in np.quantile(draws, [0.025, 0.975])]


	def condition_metrics(rows: list[dict]) -> dict:
	result = {
	"macro_f1_mean": float(np.mean([r["test"]["macro_f1"] for r in rows])),
	"macro_f1_sd": float(np.std([r["test"]["macro_f1"] for r in rows], ddof=1)),
	"balanced_accuracy_mean": float(
	np.mean([r["test"]["balanced_accuracy"] for r in rows])
	),
	"stopped_epoch_mean": float(np.mean([r.get("stopped_epoch", 0) for r in rows])),
	"optimizer_steps_mean": float(np.mean([r.get("optimizer_steps", 0) for r in rows])),
	}
	for field in CLASS_FIELDS:
	result[field] = (
	float(np.mean([r["test"][field] for r in rows]))
	if all(field in r["test"] for r in rows)
	else None
	)
	result["pooled_confusion_rows_true_cols_pred"] = (
	np.asarray(
	[r["test_confusion"]["matrix_rows_true_cols_pred"] for r in rows],
	dtype=np.int64,
	).sum(axis=0).tolist()
	if all("test_confusion" in r for r in rows)
	else None
	)
	return result


	def paired_source_summary(rows: list[dict], source: str) -> dict:
	index = {
	(r["stock"], r["method"], int(r["seed"]), r["setting"]): r
	for r in rows
	}
	assets = sorted({r["stock"] for r in rows})
	output = {}
	for method in METHODS:
	asset_seed = {}
	for asset in assets:
	for seed in SEEDS:
	scratch = index[(asset, method, seed, "from_scratch")]
	tuned = index[(asset, method, seed, "fine_tune")]
	asset_seed[(asset, seed)] = float(
	tuned["test"]["macro_f1"] - scratch["test"]["macro_f1"]
	)
	asset_means = {
	asset: float(np.mean([asset_seed[(asset, seed)] for seed in SEEDS]))
	for asset in assets
	}
	unit_values = list(asset_means.values()) if len(assets) > 1 else list(asset_seed.values())
	day_effects = {}
	sample = next(
	(r for r in rows if r["method"] == method and r.get("test_by_group")),
	None,
	)
	for day in sorted(sample["test_by_group"] if sample else {}):
	values = []
	for asset in assets:
	for seed in SEEDS:
	scratch = index[(asset, method, seed, "from_scratch")]
	tuned = index[(asset, method, seed, "fine_tune")]
	values.append(
	float(
	tuned["test_by_group"][day]["metrics"]["macro_f1"]
	- scratch["test_by_group"][day]["metrics"]["macro_f1"]
	)
	)
	day_effects[day] = {
	"mean": float(np.mean(values)),
	"sd": float(np.std(values, ddof=1)),
	}
	method_rows = [r for r in rows if r["method"] == method]
	output[method] = {
	"model": METHOD_LABELS[method],
	"source": source,
	"reporting_unit": "initialization seed" if len(assets) == 1 else "asset after seed averaging",
	"mean_delta": float(np.mean(unit_values)),
	"sd_delta": float(np.std(unit_values, ddof=1)),
	"unit_resampling_interval_95": bootstrap(unit_values),
	"wins": int(sum(x > 0 for x in unit_values)),
	"units": len(unit_values),
	"asset_mean_deltas": asset_means,
	"asset_seed_deltas": {f"{a}\|{s}": v for (a, s), v in asset_seed.items()},
	"test_day_effects": day_effects,
	"conditions": {
	setting: condition_metrics([r for r in method_rows if r["setting"] == setting])
	for setting in SETTINGS
	},
	}
	return output


	def write_csv(path: Path, rows: list[dict]) -> None:
	fields = []
	for row in rows:
	for field in row:
	if field not in fields:
	fields.append(field)
	with path.open("w", newline="", encoding="utf-8") as handle:
	writer = csv.DictWriter(handle, fieldnames=fields)
	writer.writeheader()
	writer.writerows(rows)


	def main() -> None:
	parser = argparse.ArgumentParser(description=__doc__)
	parser.add_argument("--fi-dir", required=True)
	parser.add_argument("--lobster-dir", required=True)
	parser.add_argument("--fi-zscore-dir")
	parser.add_argument("--output-dir", required=True)
	args = parser.parse_args()

	fi_rows = load_results(Path(args.fi_dir))
	lobster_rows = load_results(Path(args.lobster_dir))
	validate(fi_rows, assets=1, source="FI-2010 DecPre train-only")
	validate(lobster_rows, assets=4, source="LOBSTER")
	payload = {
	"FI-2010 DecPre train-only": paired_source_summary(
	fi_rows, "FI-2010 DecPre train-only"
	),
	"LOBSTER": paired_source_summary(lobster_rows, "LOBSTER"),
	}
	if args.fi_zscore_dir:
	zscore_rows = load_results(Path(args.fi_zscore_dir))
	validate(zscore_rows, assets=1, source="FI-2010 official Zscore sensitivity")
	payload["FI-2010 official Zscore sensitivity"] = paired_source_summary(
	zscore_rows, "FI-2010 official Zscore sensitivity"
	)

	output_dir = Path(args.output_dir)
	output_dir.mkdir(parents=True, exist_ok=True)
	(output_dir / "external_source_evidence.json").write_text(
	json.dumps(payload, indent=2), encoding="utf-8"
	)
	flat_rows = []
	for source, methods in payload.items():
	for method, summary in methods.items():
	scratch = summary["conditions"]["from_scratch"]
	tuned = summary["conditions"]["fine_tune"]
	flat_rows.append(
	{
	"source": source,
	"method": method,
	"model": summary["model"],
	"scratch_macro_f1": scratch["macro_f1_mean"],
	"target_local_macro_f1": tuned["macro_f1_mean"],
	"paired_delta": summary["mean_delta"],
	"paired_delta_sd": summary["sd_delta"],
	"ci_low": summary["unit_resampling_interval_95"][0],
	"ci_high": summary["unit_resampling_interval_95"][1],
	"wins": summary["wins"],
	"units": summary["units"],
	}
	)
	write_csv(output_dir / "external_source_evidence.csv", flat_rows)
	paired_case_rows = []
	for source, rows in (
	("FI-2010 DecPre train-only", fi_rows),
	("LOBSTER", lobster_rows),
	):
	index = {
	(row["stock"], row["method"], int(row["seed"]), row["setting"]): row
	for row in rows
	}
	for stock in sorted({row["stock"] for row in rows}):
	for method in METHODS:
	for seed in SEEDS:
	scratch = index[(stock, method, seed, "from_scratch")]
	tuned = index[(stock, method, seed, "fine_tune")]
	paired_case_rows.append(
	{
	"source": source,
	"unit": stock,
	"method": method,
	"seed": seed,
	"scratch_macro_f1": scratch["test"]["macro_f1"],
	"target_local_macro_f1": tuned["test"]["macro_f1"],
	"paired_delta": (
	tuned["test"]["macro_f1"]
	- scratch["test"]["macro_f1"]
	),
	"scratch_stopped_epoch": scratch.get("stopped_epoch"),
	"scratch_optimizer_steps": scratch.get("optimizer_steps"),
	"target_local_stopped_epoch": tuned.get("stopped_epoch"),
	"target_local_optimizer_steps": tuned.get("optimizer_steps"),
	}
	)
	write_csv(output_dir / "external_paired_seed_cases.csv", paired_case_rows)
	class_rows = []
	day_rows = []
	for source in ("FI-2010 DecPre train-only", "LOBSTER"):
	for method, summary in payload[source].items():
	for setting, condition in summary["conditions"].items():
	class_rows.append(
	{
	"source": source,
	"method": method,
	"setting": setting,
	**{field: condition[field] for field in CLASS_FIELDS},
	"confusion_rows_true_cols_pred": json.dumps(
	condition["pooled_confusion_rows_true_cols_pred"]
	),
	"mean_stopped_epoch": condition["stopped_epoch_mean"],
	"mean_optimizer_steps": condition["optimizer_steps_mean"],
	}
	)
	for day, day_summary in summary["test_day_effects"].items():
	day_rows.append(
	{
	"source": source,
	"method": method,
	"test_day": day,
	"mean_delta": day_summary["mean"],
	"sd_delta": day_summary["sd"],
	}
	)
	write_csv(output_dir / "external_class_and_stopping_metrics.csv", class_rows)
	write_csv(output_dir / "external_test_day_effects.csv", day_rows)
	lines = [
	"# Source-separated external evidence",
	"",
	"\| source \| model \| scratch F1 \| local F1 \| paired delta ± SD \| wins \|",
	"\|---\|---\|---:\|---:\|---:\|---:\|",
	]
	for row in flat_rows:
	lines.append(
	f"\| {row['source']} \| {row['model']} \| {row['scratch_macro_f1']:.4f} "
	f"\| {row['target_local_macro_f1']:.4f} \| {row['paired_delta']:+.4f}"
	f"±{row['paired_delta_sd']:.4f} \| {row['wins']}/{row['units']} \|"
	)
	(output_dir / "external_source_evidence.md").write_text(
	"\n".join(lines) + "\n", encoding="utf-8"
	)


	if __name__ == "__main__":
	main()