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| """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__) | |
| # ── Constants ───────────────────────────────────────────────────────────── | |
| # Method families that talk to an externally-managed vLLM HTTP endpoint. | |
| # The runner resolves one ``OpenAIChatEngine`` per family member from | |
| # ``MACROLENS_LLM_BASE_URL_<NAME>`` and injects it via ``engine=``. | |
| _LLM_FAMILIES: frozenset[str] = frozenset({"llm", "llm_ts", "llm_ft"}) | |
| # Hard cap on how much traceback text is recorded on a failed RunRecord | |
| # so the result JSON stays bounded even when stack traces are huge. | |
| _TRACEBACK_TRUNCATE_BYTES: int = 4 * 1024 | |
| # ── LLM engine resolution (env-var → OpenAIChatEngine) ──────────────────── | |
| 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()}" | |
| # Process-global cache: one OpenAIChatEngine per (env-var, model_id) pair | |
| # so all (task, seed) cells reuse the same HTTP client. | |
| _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. | |
| """ | |
| # In-process engines for methods that can't be served via vllm-serve. | |
| 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", | |
| ) | |
| # Pull the model_id from the method's default config so the engine | |
| # can target the matching ``model`` field on the vLLM endpoint. | |
| 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: # pragma: no cover -- defensive | |
| 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 | |
| # ── Provenance helpers ──────────────────────────────────────────────────── | |
| 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 # type: ignore | |
| 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() | |
| # ── Inner per-(method, seed) execution ───────────────────────────────────── | |
| 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: # pragma: no cover -- numpy is a hard dep | |
| return None | |
| try: | |
| # ── T1: persistence MSE floor ──────────────────────────────────── | |
| 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 | |
| # ── T2 / T5: constant (train-median) MAPE floor ───────────────── | |
| 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 | |
| # ── T4: constant (train-mean) MAE floor on return % ───────────── | |
| 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 | |
| # ── T7: per-target constant (train-median) MAPE floors ────────── | |
| if task == "T7": | |
| try: | |
| import pandas as _pd | |
| except Exception: # pragma: no cover | |
| 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 | |
| # T3, T6 (long-form per-field tasks): skipped by design. | |
| return None | |
| except Exception: # noqa: BLE001 -- gate is best-effort | |
| 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 | |
| ) | |
| # T1 + Persistence: discover the close-feature index from train meta. | |
| 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")) | |
| # Ctor. | |
| try: | |
| model = cls(task=task, **ctor_kwargs) | |
| except Exception as exc: # pragma: no cover -- defensive | |
| 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, | |
| ) | |
| # For T1, derive horizon from y_test/y_train shape so the checkpoint path | |
| # is horizon-specific. Without this, multiple horizons on the same | |
| # (method, task, granularity, seed) tuple share one checkpoint dir; the | |
| # first horizon's manifest gets loaded by every subsequent horizon and | |
| # the runner silently emits wrong-shape predictions. | |
| t1_horizon = None | |
| if task == "T1": | |
| try: | |
| import numpy as _np # noqa: F401 | |
| 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 | |
| # Fit (or load from checkpoint). | |
| try: | |
| if manifest_path.exists() and not no_checkpoint: | |
| model = cls.load(ckpt) # type: ignore[attr-defined] | |
| fit_time_sec = 0.0 | |
| # cls.load reconstructs state from disk and does NOT preserve | |
| # injected runtime resources (the LLM-family engine, etc.). | |
| # Re-attach any kwargs the runner originally injected so | |
| # ``predict`` does not hit "no engine" failures on a checkpoint | |
| # round-trip. | |
| for k, v in ctor_kwargs.items(): | |
| if k in ("task",): | |
| continue | |
| setattr(model, k, v) | |
| # Also propagate the X_train cache for LLM in-context fitting. | |
| 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) | |
| # Skip writing checkpoint state under ``--no-checkpoint`` — | |
| # those files would never be loaded back (the load branch is | |
| # gated on ``not no_checkpoint``) and just accumulate. | |
| if not no_checkpoint: | |
| try: | |
| ckpt.mkdir(parents=True, exist_ok=True) | |
| model.save(ckpt) | |
| except Exception: # save failure is non-fatal for the run | |
| 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, | |
| ) | |
| # Predict. | |
| try: | |
| t1 = time.perf_counter() | |
| y_pred = model.predict(X_test) | |
| predict_time_sec = time.perf_counter() - t1 | |
| # Save y_pred + y_test + meta to parquet/npz so eval can be RE-RUN | |
| # later without re-doing the expensive predict step. One file per | |
| # (method, task, seed, ablation_setting). Failures are non-fatal. | |
| try: | |
| import pickle | |
| # Predictions are experimental outputs, not dataset content. | |
| # Live alongside experiments/results/, not under data_small_caps/. | |
| 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, | |
| ) | |
| # Score. | |
| try: | |
| # Cluster keys: ticker for T1/T2/T3/T5/T6, scenario_id for T4, | |
| # address for T7. Loader ``meta`` always carries the right column. | |
| 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, | |
| ) | |
| # If eval returned a primary metric of None (NaN-only signal — happens | |
| # when an LLM emits non-canonical field names so the inner-join finds | |
| # 0 valid (ticker, FY, field) tuples), surface the cell as | |
| # ``score_failed`` rather than ``status=ok`` with a None metric. This | |
| # keeps the no-silent-NaN rule honest at the runner level. | |
| _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, | |
| ) | |
| # ── Per-task persistence/constant-floor sanity gate ───────────────── | |
| # Blow-up guard: when a regression model's primary metric is | |
| # >> the trivial-baseline floor on the same eval set it is emitting | |
| # nonsense (e.g. T1 trained on raw close instead of log-returns — | |
| # MSE 1e10-1e16; T2/T5 mis-scaled valuations; T4 wrong sign on | |
| # returns; T7 unit-mixed rent/price). The gate covers T1, T2, T4, | |
| # T5, T7. T3 / T6 are long-form per-field tasks whose floor is | |
| # implicitly the SectorMedian baseline and are skipped here. | |
| 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) | |
| # ── Public API ──────────────────────────────────────────────────────────── | |
| 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 # type: ignore | |
| 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]) | |
| # Resolve the output path eagerly so we can checkpoint after every cell. | |
| 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" | |
| # Experiment outputs live under experiments/, NOT under | |
| # data_small_caps/ (raw + derived benchmark data only). | |
| 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 # silent skip per plan | |
| method_family = getattr(cls, "family", "unknown") | |
| extra_kwargs = _apply_overrides(overrides, method_name) | |
| # LLM/LLM-TS/LLM-FT families require an externally-managed vLLM | |
| # HTTP endpoint. Missing endpoint is a hard error — fail loudly | |
| # rather than emitting a silent placeholder. | |
| 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." | |
| ) | |
| # Engine resolved — inject via the ctor kwarg path. | |
| 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 | |
| # ── CLI plumbing (kept here for `python -m experiments.run_all` callers) ── | |
| 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) | |
| # Coerce value: try int, then float, then bool, else str. | |
| 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__": # pragma: no cover | |
| sys.exit(main()) | |