from __future__ import annotations import hashlib import json import math import re from dataclasses import dataclass, field from datetime import datetime, timezone from pathlib import Path from typing import Any, Callable, Iterable import numpy as np import pandas as pd from gluonts.dataset.common import ListDataset from tsfm_bench.data.ts_bench import TsBenchDataSource from tsfm_bench.eval.canonical_metrics import ( CANONICAL_METRIC_VERSION, CANONICAL_QUANTILES, canonical_metrics, ) def _utc_now() -> str: return datetime.now(timezone.utc).isoformat() def _slug(value: str) -> str: return re.sub(r"[^a-z0-9]+", "_", value.lower()).strip("_") def _atomic_json(path: Path, payload: dict[str, Any]) -> None: path.parent.mkdir(parents=True, exist_ok=True) temporary = path.with_suffix(path.suffix + ".tmp") temporary.write_text( json.dumps(_json_safe(payload), indent=2, allow_nan=False) + "\n", encoding="utf-8", ) temporary.replace(path) def _json_safe(value: Any) -> Any: if isinstance(value, dict): return {str(key): _json_safe(item) for key, item in value.items()} if isinstance(value, (list, tuple)): return [_json_safe(item) for item in value] if isinstance(value, (float, np.floating)): return float(value) if math.isfinite(float(value)) else None if isinstance(value, np.integer): return int(value) if isinstance(value, np.bool_): return bool(value) return value def _parse_time(value: object) -> datetime: parsed = pd.Timestamp(str(value)) if parsed.tzinfo is None: parsed = parsed.tz_localize("UTC") else: parsed = parsed.tz_convert("UTC") return parsed.to_pydatetime() def forecast_deadline(task: dict[str, Any]) -> datetime: """A forecast must be persisted before its first target period starts.""" first_target = pd.Period(task["context_end"], freq=task["frequency"]) + 1 return first_target.start_time.tz_localize("UTC").to_pydatetime() def model_is_admitted(model_spec: dict[str, Any], issued_at: str) -> bool: admitted_at = model_spec.get("admitted_at") if not admitted_at: return False return _parse_time(admitted_at) <= _parse_time(issued_at) def stable_dataset_name(source: Any, ds_name: str) -> str: if isinstance(source, TsBenchDataSource): return source.leaderboard_dataset_name(ds_name) meta = source.get_metadata(ds_name) return f"{ds_name.split('/')[0].lower()}/{meta.frequency}/short" def _context_length(source: Any, ds_name: str, target_size: int, prediction_length: int) -> int: if isinstance(source, TsBenchDataSource): configured = source._tasks[ds_name].context_length if configured is not None: return max(1, min(int(configured), target_size)) return max(1, target_size - prediction_length) def observed_window(source: Any, ds_name: str) -> dict[str, Any]: """Return only observations already available at task issue time.""" meta = source.get_metadata(ds_name) record = next(iter(source.stream(ds_name))) target = np.asarray(record.target, dtype=np.float64) if target.ndim != 1: raise ValueError( f"Prequential protocol currently requires univariate input; got {target.shape}" ) finite = np.isfinite(target) target = target[finite] if target.size < 2: raise ValueError(f"Insufficient observed context for {ds_name}") prediction_length = ( source.get_prediction_length(ds_name) if isinstance(source, TsBenchDataSource) else int(getattr(getattr(source, "_settings", None), "prediction_length", 24)) ) periods = pd.period_range(record.start, periods=len(finite), freq=record.freq) periods = periods[finite] issue_cutoff = pd.Timestamp.now(tz="UTC") not_future = np.asarray( [period.start_time.tz_localize("UTC") <= issue_cutoff for period in periods], dtype=bool, ) target = target[not_future] periods = periods[not_future] if target.size < 2: raise ValueError(f"No causal observed context is available for {ds_name}") length = _context_length(source, ds_name, target.size, prediction_length) context = target[-length:] context_periods = periods[-length:] dataset = stable_dataset_name(source, ds_name) fetched_at = str(getattr(source, "fetched_at", lambda: _utc_now())()) return { "source_task_name": ds_name, "dataset": dataset, "domain": meta.domain, "frequency": meta.frequency, "prediction_length": int(prediction_length), "context": context.tolist(), "context_timestamps": [period.start_time.isoformat() for period in context_periods], "context_start": str(context_periods[0]), "context_end": str(context_periods[-1]), "data_fetched_at": fetched_at, } def forecast_context(predictor: Any, task: dict[str, Any]) -> dict[str, Any]: context = np.asarray(task["context"], dtype=np.float32) entry = { "item_id": task["dataset"].split("/")[0], "start": pd.Period(task["context_start"], freq=task["frequency"]), "target": context, } dataset = ListDataset([entry], freq=task["frequency"]) forecasts = list(predictor.predict(dataset)) if len(forecasts) != 1: raise ValueError(f"Expected one forecast, received {len(forecasts)}") forecast = forecasts[0] horizon = int(task["prediction_length"]) mean = np.asarray(forecast.mean, dtype=np.float64).reshape(-1) if mean.size < horizon: raise ValueError(f"Mean forecast length {mean.size} < {horizon}") mean = mean[:horizon] quantiles: dict[str, list[float]] = {} for level in CANONICAL_QUANTILES: values = np.asarray(forecast.quantile(level), dtype=np.float64).reshape(-1) if values.size < horizon: raise ValueError(f"Quantile {level:g} length {values.size} < {horizon}") quantiles[f"{level:g}"] = values[:horizon].tolist() if not np.all(np.isfinite(mean)) or any( not np.all(np.isfinite(values)) for values in quantiles.values() ): raise ValueError("Forecast contains non-finite values") return {"mean": mean.tolist(), "quantiles": quantiles} @dataclass class PrequentialCycle: resolved_rows: dict[str, list[list[Any]]] = field(default_factory=dict) resolved_meta: dict[str, list[dict[str, Any]]] = field(default_factory=dict) issued_tasks: int = 0 issued_forecasts: int = 0 pending_tasks: int = 0 failed_forecasts: list[dict[str, str]] = field(default_factory=list) class PrequentialStore: """Persistent issue-now/score-later state for the live evaluator.""" def __init__(self, output_root: Path): self.output_root = Path(output_root) self.root = self.output_root / "prequential" self.tasks_dir = self.root / "tasks" self.forecasts_dir = self.root / "forecasts" self.tasks_dir.mkdir(parents=True, exist_ok=True) self.forecasts_dir.mkdir(parents=True, exist_ok=True) def _task_path(self, task_id: str) -> Path: return self.tasks_dir / f"{task_id}.json" def _forecast_path(self, task_id: str, model_slug: str) -> Path: return self.forecasts_dir / task_id / f"{model_slug}.json" def forecast_exists(self, task_id: str, model_slug: str) -> bool: return self._forecast_path(task_id, model_slug).exists() def tasks(self, *, status: str | None = None) -> list[dict[str, Any]]: tasks: list[dict[str, Any]] = [] for path in sorted(self.tasks_dir.glob("*.json")): try: task = json.loads(path.read_text(encoding="utf-8")) except (OSError, json.JSONDecodeError): continue if status is None or task.get("status") == status: tasks.append(task) return tasks def open_task(self, dataset: str) -> dict[str, Any] | None: for task in self.tasks(status="open"): if task.get("dataset") == dataset: return task return None def ensure_task(self, window: dict[str, Any]) -> tuple[dict[str, Any], bool]: existing = self.open_task(window["dataset"]) if existing is not None: return existing, False identity = ( f"{window['dataset']}|{window['context_end']}|" f"h:{window['prediction_length']}" ) digest = hashlib.sha256(identity.encode("utf-8")).hexdigest()[:20] task_id = f"future-{digest}" if self._task_path(task_id).exists(): # Never overwrite a resolved/expired release when the source is stale. return json.loads(self._task_path(task_id).read_text()), False task = { **window, "task_id": task_id, "issued_at": _utc_now(), "status": "open", "scored_models": [], "metric_version": CANONICAL_METRIC_VERSION, } _atomic_json(self._task_path(task_id), task) return task, True def issue_forecast( self, task: dict[str, Any], model_spec: dict[str, Any], *, model_name: str, model_slug: str, predictor: Any, ) -> bool: path = self._forecast_path(task["task_id"], model_slug) if path.exists(): return False if not model_is_admitted(model_spec, task["issued_at"]): return False if task["status"] != "open" or _parse_time(_utc_now()) >= forecast_deadline(task): return False predictions = forecast_context(predictor, task) completed_at = _utc_now() if _parse_time(completed_at) >= forecast_deadline(task): return False payload = { "task_id": task["task_id"], "dataset": task["dataset"], "model": model_name, "model_id": model_spec["model_id"], "admitted_at": model_spec.get("admitted_at"), "issued_at": task["issued_at"], "forecast_created_at": completed_at, "protocol": "prequential-v1", "metric_version": CANONICAL_METRIC_VERSION, **predictions, } _atomic_json(path, payload) return True def _current_windows(self, source: Any, dataset_names: Iterable[str]) -> dict[str, dict[str, Any]]: windows: dict[str, dict[str, Any]] = {} for ds_name in dataset_names: try: window = observed_window(source, ds_name) except Exception: continue windows[window["dataset"]] = window return windows def resolve_ready( self, source: Any, dataset_names: Iterable[str], ) -> PrequentialCycle: cycle = PrequentialCycle() current = self._current_windows(source, dataset_names) for task in self.tasks(status="open"): forecast_paths = sorted((self.forecasts_dir / task["task_id"]).glob("*.json")) if not forecast_paths and _parse_time(_utc_now()) >= forecast_deadline(task): task.update(status="expired", expired_at=_utc_now(), expiration_reason="No frozen forecasts before target start") _atomic_json(self._task_path(task["task_id"]), task) continue window = current.get(task["dataset"]) if window is None: continue current_periods = [ pd.Period(timestamp, freq=task["frequency"]) for timestamp in window["context_timestamps"] ] cutoff = pd.Period(task["context_end"], freq=task["frequency"]) horizon = int(task["prediction_length"]) expected = [cutoff + step for step in range(1, horizon + 1)] # A provider can return the currently forming candle/aggregate. # Score only after the whole target window has closed. if expected[-1].end_time.tz_localize("UTC") >= pd.Timestamp(_utc_now()): continue observations = dict(zip(current_periods, window["context"])) if current_periods and min(current_periods) > expected[0]: task.update(status="expired", expired_at=_utc_now(), expiration_reason="Exact target window no longer available") _atomic_json(self._task_path(task["task_id"]), task) continue if not all(period in observations for period in expected): continue actual_periods = expected actual = [float(observations[period]) for period in expected] scored = set(task.get("scored_models", [])) for forecast_path in forecast_paths: try: forecast = json.loads(forecast_path.read_text(encoding="utf-8")) except (OSError, json.JSONDecodeError): continue model_name = str(forecast.get("model", "")).strip() if not model_name or model_name in scored: continue created_at = forecast.get("forecast_created_at", forecast.get("issued_at")) if _parse_time(created_at) >= forecast_deadline(task): continue metrics = canonical_metrics( context=task["context"], actual=actual, mean=forecast["mean"], quantiles=forecast["quantiles"], ) evaluated_at = _utc_now() release_time = actual_periods[-1].start_time.tz_localize("UTC").isoformat() self._append_release(task, forecast, metrics, release_time, evaluated_at) self._save_snapshot(task, forecast, metrics, actual, actual_periods, evaluated_at) cycle.resolved_rows.setdefault(model_name, []).append( self._compatibility_row(task, forecast, metrics) ) cycle.resolved_meta.setdefault(model_name, []).append( { "dataset": task["dataset"], "task_id": task["task_id"], "issued_at": task["issued_at"], "resolved_at": evaluated_at, "target_end": release_time, "prediction_length": horizon, "metric_version": CANONICAL_METRIC_VERSION, } ) scored.add(model_name) task["scored_models"] = sorted(scored) if forecast_paths and len(scored) >= len(forecast_paths): task["status"] = "resolved" task["resolved_at"] = _utc_now() task["target_start"] = actual_periods[0].start_time.isoformat() task["target_end"] = actual_periods[-1].start_time.isoformat() _atomic_json(self._task_path(task["task_id"]), task) cycle.pending_tasks = len(self.tasks(status="open")) return cycle def _append_release( self, task: dict[str, Any], forecast: dict[str, Any], metrics: dict[str, Any], release_time: str, evaluated_at: str, ) -> None: payload = { "release_id": task["task_id"], "release_time": release_time, "evaluated_at": evaluated_at, "issued_at": task["issued_at"], "protocol": "prequential-v1", "dataset": task["dataset"], "domain": task["domain"], "frequency": task["frequency"], "prediction_length": task["prediction_length"], "model": forecast["model"], "model_id": forecast["model_id"], "metric_version": metrics["metric_version"], "MSE": metrics["MSE"], "RMSE": metrics["RMSE"], "MAPE": metrics["MAPE"] if math.isfinite(float(metrics["MAPE"])) else None, "CRPS": metrics["CRPS"] if math.isfinite(float(metrics["CRPS"])) else None, "MAPE_eligible": metrics["MAPE_eligible"], } # Keep canonical rows separate from the historical mixed-scale cache. # This makes it impossible for a new live cycle to silently combine old # raw-scale scores with context-normalised scores. log_path = self.output_root / "evaluation_metrics_canonical.jsonl" log_path.parent.mkdir(parents=True, exist_ok=True) with log_path.open("a", encoding="utf-8") as handle: handle.write(json.dumps(payload, allow_nan=False) + "\n") def refresh_public_snapshots(self, source: Any, dataset_names: Iterable[str]) -> int: """Expose frozen predictions and closed targets without publishing task caches. Keep one snapshot per model/dataset. Once a complete evaluation exists it remains visible until the next complete evaluation replaces it. Before that, the first live window is shown with missing targets explicitly null. This operation never issues forecasts or writes leaderboard scores. """ current = self._current_windows(source, dataset_names) written = 0 now = pd.Timestamp(_utc_now()) for task in sorted(self.tasks(), key=lambda t: t["issued_at"]): if task.get("status") not in {"open", "expired"}: continue window = current.get(task["dataset"]) if window is None: continue freq = task["frequency"] cutoff = pd.Period(task["context_end"], freq=freq) expected = [cutoff + step for step in range(1, int(task["prediction_length"]) + 1)] observations = dict(zip( [pd.Period(t, freq=freq) for t in window["context_timestamps"]], window["context"], )) actuals = [observations.get(p) if p.end_time.tz_localize("UTC") < now else None for p in expected] for path in sorted((self.forecasts_dir / task["task_id"]).glob("*.json")): try: forecast = json.loads(path.read_text()) created_at = forecast["forecast_created_at"] if (forecast["task_id"] != task["task_id"] or _parse_time(created_at) >= forecast_deadline(task)): continue predictions = {"mean": forecast["mean"], "p10": forecast["quantiles"]["0.1"], "p50": forecast["quantiles"]["0.5"], "p90": forecast["quantiles"]["0.9"]} if any(len(v) != len(expected) or not np.all(np.isfinite(v)) for v in predictions.values()): continue destination = self._public_snapshot_path(task, forecast) previous = json.loads(destination.read_text()) if destination.exists() else {} if previous.get("status") == "resolved": continue values = list(actuals) if previous.get("task_id") == task["task_id"]: # A partial collection must not erase previously closed targets. old_values = previous.get("actuals", []) if len(old_values) == len(values): values = [v if v is not None else old for v, old in zip(values, old_values)] snapshot = { "schema_version": 1, "status": "expired" if task["status"] == "expired" else "pending", "protocol": "prequential-v1", "dataset": task["dataset"], "domain": task["domain"], "model": forecast["model"], "model_id": forecast["model_id"], "task_id": task["task_id"], "issued_at": task["issued_at"], "forecast_created_at": created_at, "updated_at": _utc_now(), "freq": freq, "prediction_length": len(expected), "context": task["context"], "actuals": values, **predictions, "timestamps": [*task["context_timestamps"], *(p.start_time.isoformat() for p in expected)], } _atomic_json(destination, snapshot) written += 1 except (OSError, ValueError, KeyError, TypeError): continue return written def _public_snapshot_path(self, task: dict, forecast: dict) -> Path: dataset_key = task["dataset"].replace("/", "__").replace(" ", "_") return self.output_root / "public_snapshots" / _slug(forecast["model"]) / f"{dataset_key}.json" def _save_snapshot( self, task: dict[str, Any], forecast: dict[str, Any], metrics: dict[str, Any], actual: list[float], actual_periods: list[pd.Period], evaluated_at: str, ) -> None: quantiles = forecast["quantiles"] snapshot = { "schema_version": 1, "status": "resolved", "dataset": task["dataset"], "domain": task["domain"], "model": forecast["model"], "model_id": forecast["model_id"], "task_id": task["task_id"], "issued_at": task["issued_at"], "forecast_created_at": forecast["forecast_created_at"], "protocol": "prequential-v1", "evaluated_at": evaluated_at, "freq": task["frequency"], "context_length": len(task["context"]), "prediction_length": task["prediction_length"], "context": task["context"], "actuals": actual, "actual": actual, "mean": forecast["mean"], "p10": quantiles.get("0.1", []), "p50": quantiles.get("0.5", forecast["mean"]), "p90": quantiles.get("0.9", []), "quantiles": quantiles, "predictions": { "mean": forecast["mean"], "p10": quantiles.get("0.1", []), "p50": quantiles.get("0.5", forecast["mean"]), "p90": quantiles.get("0.9", []), "quantiles": quantiles, }, "metrics": metrics, "timestamps": [ *task["context_timestamps"], *(period.start_time.isoformat() for period in actual_periods), ], } model_slug = _slug(forecast["model"]) _atomic_json(self._public_snapshot_path(task, forecast), snapshot) dataset_key = task["dataset"].replace("/", "__").replace(" ", "_") _atomic_json( self.output_root / model_slug / "forecasts" / f"{dataset_key}.json", snapshot, ) domain_slug = _slug(task["domain"]) dataset_slug = _slug(task["dataset"]) stamp = pd.Timestamp(evaluated_at).strftime("%Y%m%d_%H%M%S") _atomic_json( self.output_root / "saved_evals" / domain_slug / dataset_slug / model_slug / f"{stamp}.json", snapshot, ) @staticmethod def _compatibility_row( task: dict[str, Any], forecast: dict[str, Any], metrics: dict[str, Any], ) -> list[Any]: return [ task["dataset"], forecast["model"], metrics["MSE"], metrics["MSE[0.5]"], float("nan"), float("nan"), metrics["MAPE"], float("nan"), float("nan"), metrics["RMSE"], float("nan"), float("nan"), metrics["CRPS"], task["domain"], 1, task["prediction_length"], ] def run_prequential_cycle( *, source: Any, dataset_names: list[str], model_specs: list[dict[str, Any]], output_root: Path, predictor_factory: Callable[[dict[str, Any], int], Any], model_name: Callable[[dict[str, Any]], str], model_slug: Callable[[dict[str, Any]], str], ) -> PrequentialCycle: store = PrequentialStore(output_root) cycle = store.resolve_ready(source, dataset_names) for ds_name in dataset_names: window = observed_window(source, ds_name) if store.open_task(window["dataset"]) is None and _parse_time(_utc_now()) >= forecast_deadline(window): cycle.failed_forecasts.append({"model": "*", "dataset": window["dataset"], "error": "Source is stale: first target period already started"}) continue task, created = store.ensure_task(window) if task["status"] != "open" or _parse_time(_utc_now()) >= forecast_deadline(task): continue if created: cycle.issued_tasks += 1 for spec in model_specs: name = model_name(spec) slug = model_slug(spec) if not model_is_admitted(spec, task["issued_at"]): continue if store.forecast_exists(task["task_id"], slug): continue try: predictor = predictor_factory(spec, int(task["prediction_length"])) if store.issue_forecast( task, spec, model_name=name, model_slug=slug, predictor=predictor, ): cycle.issued_forecasts += 1 except Exception as exc: cycle.failed_forecasts.append( {"model": name, "dataset": task["dataset"], "error": str(exc)} ) cycle.pending_tasks = len(store.tasks(status="open")) store.refresh_public_snapshots(source, dataset_names) return cycle