"""Data loading functions for MacroLens benchmark.""" from __future__ import annotations from typing import Any import pandas as pd from ._compat import WhatIfTSFDataset, ValuationDataset, config _TASK_ALIASES: dict[str, str] = { # Numeric aliases (Task 1 = TSF, use load_tsf() instead) "2": "A", "3": "B", "4": "C", "5": "D", "6": "E", "7": "F", # Letter aliases (legacy) "a": "A", "b": "B", "c": "C", "d": "D", "e": "E", "f": "F", # Name aliases → Task 2 (Val-PT) "valuation": "A", "val-pt": "A", "val_pt": "A", "valuation_accuracy": "A", # Name aliases → Task 3 (Stmt-Gen) "statement_generation": "B", "stmt-gen": "B", "stmt_gen": "B", # Name aliases → Task 4 (Scen-Ret) "scenario_forecast": "C", "scen-ret": "C", "scen_ret": "C", # Name aliases → Task 5 (Priv-Val) "private_valuation": "D", "priv-val": "D", "priv_val": "D", "pe_valuation": "D", # Name aliases → Task 6 (Gen-Eval) "generator_evaluation": "E", "gen-eval": "E", "gen_eval": "E", # Name aliases → Task 7 (RE-Val) "real_estate_valuation": "F", "re-val": "F", "re_val": "F", } def load_tsf( split: str = "test", horizon: int = 21, lookback: int | None = None, granularity: str = "daily", target_col: str = "close", load_text: bool = False, ) -> WhatIfTSFDataset: """Load the time-series forecasting dataset. Parameters ---------- split : str ``"train"`` or ``"test"`` (default: ``"test"``). horizon : int Forecast horizon in periods. Must be one of the benchmark's defined horizons (daily: 5, 21, 63). Default: 21. lookback : int, optional Lookback window length. Default: first benchmark lookback (63 for daily). granularity : str ``"daily"`` (default), ``"weekly"``, or ``"monthly"``. target_col : str Target column name (default: ``"close"``). load_text : bool Whether to load filing text into context. Default: ``False`` (faster loading; set ``True`` for LLM/RAG experiments). Returns ------- WhatIfTSFDataset Iterable dataset with ``__len__`` and ``__getitem__`` support. Example ------- >>> tsf = macrolens.load_tsf(split="test", horizon=21) >>> len(tsf) 1303243 >>> sample = tsf[0] >>> sample["lookback"].shape (63, 103) >>> sample["target"].shape (21,) """ valid_horizons = config.get_horizons(granularity) if horizon not in valid_horizons: raise ValueError( f"Invalid horizon {horizon} for granularity '{granularity}'. " f"Valid horizons: {valid_horizons}" ) if split not in ("train", "test"): raise ValueError(f"split must be 'train' or 'test', got '{split}'") if lookback is None: lookback = config.get_lookback_windows(granularity)[0] return WhatIfTSFDataset( split=split, lookback=lookback, horizon=horizon, granularity=granularity, target_col=target_col, load_text=load_text, ) def load_task( task: str, granularity: str = "daily", ) -> ValuationDataset: """Load a valuation-task dataset (Task 2, 3, or 4). Parameters ---------- task : str Task identifier. Accepts: ``"2"``, ``"3"``, ``"4"`` (or legacy ``"A"``, ``"B"``, ``"C"``), or full names like ``"valuation"``, ``"statement_generation"``, ``"scenario_forecast"``. granularity : str ``"daily"`` (default), ``"weekly"``, or ``"monthly"``. Returns ------- ValuationDataset Dataset with ``inputs``, ``ground_truth``, and ``holdout_tickers`` attributes. Example ------- >>> task_2 = macrolens.load_task("2") >>> len(task_2) 11839 >>> task_2.inputs.columns.tolist()[:5] ['ticker', 'date', 'sector', 'industry', 'derived_market_cap'] """ canonical = _TASK_ALIASES.get(task.lower(), task.upper()) if canonical not in ("A", "B", "C", "D", "E", "F"): raise ValueError( f"Unknown task '{task}'. Valid: '2' (valuation), " "'3' (statement generation), '4' (scenario forecast), " "'5' (private valuation), '6' (generator eval), '7' (RE valuation)" ) return ValuationDataset(task=canonical, granularity=granularity) def load_scenarios(granularity: str = "daily") -> pd.DataFrame: """Load raw scenario ground-truth data. Returns the full ``scenario_forecast_ground_truth.parquet`` as a DataFrame. Parameters ---------- granularity : str ``"daily"`` (default). Returns ------- pd.DataFrame Columns include ``scenario_id``, ``ticker``, ``event_type``, ``event_date``, ``actual_return_pct``. Example ------- >>> sc = macrolens.load_scenarios() >>> sc.shape (3100000, 7) >>> sc["event_type"].nunique() 50 """ bench_dir = config.get_benchmark_dir(granularity) path = bench_dir / "scenario_forecast_ground_truth.parquet" if not path.exists(): raise FileNotFoundError( f"Scenario ground truth not found at {path}. " "Run benchmark assembly first." ) return pd.read_parquet(path) def load_panel( split: str = "train", granularity: str = "daily", columns: list[str] | None = None, ) -> pd.DataFrame: """Load the raw panel data as a DataFrame. Useful for custom feature engineering or analysis. For standard benchmark evaluation, prefer :func:`load_tsf` or :func:`load_task`. Parameters ---------- split : str ``"train"`` or ``"test"``. granularity : str ``"daily"`` (default). columns : list[str], optional Subset of columns to load (faster for large panels). Returns ------- pd.DataFrame The benchmark panel with all features. Example ------- >>> panel = macrolens.load_panel("train", columns=["ticker", "date", "close"]) >>> panel.shape (2160000, 3) """ if split not in ("train", "test"): raise ValueError(f"split must be 'train' or 'test', got '{split}'") bench_dir = config.get_benchmark_dir(granularity) path = bench_dir / f"panel_{split}.parquet" if not path.exists(): raise FileNotFoundError(f"Panel not found at {path}.") kwargs: dict[str, Any] = {} if columns is not None: kwargs["columns"] = columns return pd.read_parquet(path, **kwargs)