| """Runtime: Hybrid DataLoader for the MacroLens benchmark. |
| |
| Provides ``WhatIfTSFDataset`` -- a lightweight, on-the-fly instance |
| generator that reads from pre-built benchmark artifacts |
| (``panel_train.parquet`` / ``panel_test.parquet``, ``scenarios.parquet``, |
| ``filing_corpus.parquet``). |
| |
| One "instance" = a tuple of: |
| (lookback_window, forecast_target, context_dict) |
| |
| where ``context_dict`` holds metadata, filing text, macro, and any scenario |
| information that falls within the instance's time window. |
| |
| Usage example |
| ------------- |
| .. code-block:: python |
| |
| from whatif_bench.benchmark_loader import WhatIfTSFDataset |
| |
| # Defaults to granularity-appropriate lookback/horizon from config |
| ds = WhatIfTSFDataset(split="train") |
| print(len(ds)) # total number of sliding-window instances |
| sample = ds[0] # dict with 'lookback', 'target', 'context' |
| |
| # Each scenario in context["scenarios"] has a "scenario_role" field: |
| # "observed" = already happened (in lookback window) |
| # "hypothetical" = in forecast horizon (the "what-if" condition) |
| """ |
|
|
| from __future__ import annotations |
|
|
| import json |
| import logging |
| from pathlib import Path |
| from typing import Any |
|
|
| import numpy as np |
| import pandas as pd |
|
|
| from . import config |
|
|
| logger = logging.getLogger(__name__) |
|
|
|
|
| class WhatIfTSFDataset: |
| """Sliding-window dataset over the MacroLens benchmark panel. |
| |
| Parameters |
| ---------- |
| split : str |
| ``"train"`` or ``"test"``. |
| lookback : int, optional |
| Number of past time-steps visible to the model (in panel periods). |
| Defaults to the first entry of ``config.LOOKBACK_WINDOWS_BY_GRANULARITY`` |
| for the chosen granularity (63 for daily, 13 for weekly, 3 for monthly). |
| horizon : int, optional |
| Number of future time-steps to predict (in panel periods). |
| Defaults to the first entry of ``config.HORIZONS_BY_GRANULARITY`` |
| for the chosen granularity (5 for daily, 4 for weekly, 1 for monthly). |
| granularity : str, optional |
| Defaults to ``config.GRANULARITY``. |
| target_col : str |
| Column name of the prediction target. Default: ``"close"``. |
| load_text : bool |
| If True, load ``filing_corpus.parquet`` and attach filing text to |
| context. Set to False for fast iteration. |
| """ |
|
|
| def __init__( |
| self, |
| split: str = "train", |
| lookback: int | None = None, |
| horizon: int | None = None, |
| granularity: str | None = None, |
| target_col: str = "close", |
| load_text: bool = True, |
| ) -> None: |
| if granularity is None: |
| granularity = config.GRANULARITY |
| self.granularity = granularity |
| self.split = split |
|
|
| |
| if lookback is None: |
| lookback = config.get_lookback_windows(granularity)[0] |
| if horizon is None: |
| horizon = config.get_horizons(granularity)[0] |
| self.lookback = lookback |
| self.horizon = horizon |
| self.target_col = target_col |
|
|
| bench_dir = config.DATA_DIR / "benchmark" / granularity |
|
|
| |
| panel_path = bench_dir / f"panel_{split}.parquet" |
| if not panel_path.exists(): |
| raise FileNotFoundError(f"Benchmark not assembled: {panel_path}") |
| self._panel = pd.read_parquet(panel_path) |
| self._panel["date"] = pd.to_datetime(self._panel["date"]) |
| self._panel = self._panel.sort_values(["ticker", "date"]).reset_index(drop=True) |
|
|
| |
| if target_col not in self._panel.columns: |
| available = [c for c in self._panel.columns if self._panel[c].dtype.kind in "fiub"] |
| raise ValueError( |
| f"target_col={target_col!r} not in panel columns. " |
| f"Available numeric columns: {available}" |
| ) |
|
|
| |
| self._instances: list[tuple[str, int, int]] = [] |
| required_len = lookback + horizon |
| for ticker, grp in self._panel.groupby("ticker"): |
| n = len(grp) |
| if n < required_len: |
| continue |
| start_positions = range(n - required_len + 1) |
| grp_idx = grp.index.tolist() |
| for s in start_positions: |
| self._instances.append((ticker, grp_idx[s], grp_idx[s + required_len - 1])) |
|
|
| |
| scenarios_path = bench_dir / "scenarios.parquet" |
| if scenarios_path.exists(): |
| self._scenarios = pd.read_parquet(scenarios_path) |
| self._scenarios["event_date"] = pd.to_datetime(self._scenarios["event_date"]) |
| else: |
| self._scenarios = pd.DataFrame() |
|
|
| |
| self._corpus: pd.DataFrame | None = None |
| self._corpus_by_ticker: dict[str, pd.DataFrame] = {} |
| if load_text: |
| corpus_path = bench_dir / "filing_corpus.parquet" |
| if corpus_path.exists(): |
| self._corpus = pd.read_parquet(corpus_path) |
| self._corpus["filing_date"] = pd.to_datetime( |
| self._corpus["filing_date"], errors="coerce", |
| ) |
| self._corpus = self._corpus.sort_values("filing_date") |
| |
| for ticker, grp in self._corpus.groupby("ticker"): |
| self._corpus_by_ticker[str(ticker)] = grp |
|
|
| |
| task_path = bench_dir / "task_definition.json" |
| self.task_definition: dict = {} |
| if task_path.exists(): |
| self.task_definition = json.loads(task_path.read_text()) |
|
|
| n_tickers = self._panel["ticker"].nunique() |
| logger.info( |
| "WhatIfTSFDataset(%s/%s, lookback=%d, horizon=%d): %d instances from %d tickers.", |
| split, granularity, lookback, horizon, len(self._instances), n_tickers, |
| ) |
| if len(self._instances) == 0 and n_tickers > 0: |
| max_len = self._panel.groupby("ticker").size().max() |
| logger.warning( |
| "ZERO instances generated! lookback(%d) + horizon(%d) = %d periods required, " |
| "but longest ticker has only %d periods. " |
| "Consider using smaller lookback/horizon values for %s granularity. " |
| "Suggested defaults: lookback=%d, horizon=%d.", |
| lookback, horizon, lookback + horizon, max_len, granularity, |
| config.get_lookback_windows(granularity)[0], |
| config.get_horizons(granularity)[0], |
| ) |
|
|
| |
| |
| |
|
|
| def __len__(self) -> int: |
| return len(self._instances) |
|
|
| def canonical_indices(self, task: str = "T1") -> list[int]: |
| """Return the dataset-instance indices matching the canonical |
| ``(ticker, anchor_date)`` pairs from |
| ``dataloader.canonical_indices.get_canonical_indices(task)``. |
| |
| For T1, ``anchor_date`` is the lookback-end date (i.e. the latest |
| date in the window). Every T1 baseline must iterate exactly these |
| indices so cross-method comparison is on identical instances. |
| """ |
| from .dataloader.canonical_indices import get_canonical_indices |
|
|
| canonical = get_canonical_indices( |
| task, "eval", granularity=self.granularity, |
| ) |
| canonical_set = { |
| (str(t), pd.Timestamp(a)) |
| for t, a in zip( |
| canonical["ticker"].astype(str), |
| pd.to_datetime(canonical["anchor_date"]), |
| ) |
| } |
| out: list[int] = [] |
| for i, (ticker, row_start, _row_end) in enumerate(self._instances): |
| lookback_end_date = pd.Timestamp( |
| self._panel.loc[row_start + self.lookback - 1, "date"] |
| ) |
| if (str(ticker), lookback_end_date) in canonical_set: |
| out.append(i) |
| return out |
|
|
| def __getitem__(self, idx: int) -> dict[str, Any]: |
| if idx < 0 or idx >= len(self._instances): |
| raise IndexError(f"Index {idx} out of range [0, {len(self._instances)})") |
| ticker, row_start, row_end = self._instances[idx] |
|
|
| window = self._panel.loc[row_start: row_end].copy() |
| lookback_df = window.iloc[: self.lookback] |
| target_df = window.iloc[self.lookback:] |
|
|
| date_start = lookback_df["date"].iloc[0] |
| date_end = target_df["date"].iloc[-1] |
|
|
| |
| exclude = {"ticker", "date", "label", "split", |
| "nearest_filing_type", "nearest_filing_date", "nearest_filing_path"} |
| feat_cols = [c for c in lookback_df.columns if c not in exclude and lookback_df[c].dtype.kind in "fiub"] |
|
|
| |
| context: dict[str, Any] = { |
| "ticker": ticker, |
| "date_start": str(date_start.date()), |
| "date_end": str(date_end.date()), |
| "sector": lookback_df.get("sector", pd.Series()).iloc[0] if "sector" in lookback_df.columns else None, |
| "industry": lookback_df.get("industry", pd.Series()).iloc[0] if "industry" in lookback_df.columns else None, |
| "label": lookback_df["label"].iloc[0] if "label" in lookback_df.columns else None, |
| } |
|
|
| |
| |
| _MACRO_LABELS = { |
| "fred_FEDFUNDS": "Fed Funds Rate", |
| "fred_DGS2": "2Y Treasury", |
| "fred_DGS10": "10Y Treasury", |
| "fred_VIXCLS": "VIX", |
| "fred_SP500": "S&P 500", |
| "fred_NASDAQCOM": "NASDAQ", |
| "fred_DTWEXBGS": "USD Index", |
| "eia_crude_spot": "WTI Crude ($/bbl)", |
| "eia_ng_spot": "Nat Gas ($/MMBtu)", |
| } |
| macro_snapshot: dict[str, float | str] = {} |
| last_row = lookback_df.iloc[-1] |
| for col, label in _MACRO_LABELS.items(): |
| if col in lookback_df.columns: |
| val = last_row[col] |
| if pd.notna(val): |
| macro_snapshot[label] = round(float(val), 2) |
| if macro_snapshot: |
| context["macro_state"] = macro_snapshot |
|
|
| |
| if self._corpus_by_ticker: |
| lookback_end = lookback_df["date"].iloc[-1] |
| ticker_filings = self._corpus_by_ticker.get(ticker) |
| if ticker_filings is not None: |
| valid = ticker_filings[ticker_filings["filing_date"] <= lookback_end] |
| if not valid.empty: |
| |
| annual_q = valid[valid["filing_type"].isin(["10-K", "10-Q"])] |
| if not annual_q.empty: |
| latest = annual_q.iloc[-1] |
| context["filing_type"] = latest.get("filing_type", "") |
| context["filing_date"] = str(latest.get("filing_date", "")) |
| filing_path = latest.get("filing_path", "") |
| if filing_path: |
| full_path = config.DATA_DIR / filing_path |
| try: |
| context["filing_text"] = full_path.read_text( |
| encoding="utf-8", errors="replace" |
| ) |
| except Exception: |
| context["filing_text"] = "" |
| else: |
| context["filing_text"] = "" |
|
|
| |
| lookback_start = lookback_df["date"].iloc[0] |
| eightk = valid[ |
| (valid["filing_type"] == "8-K") |
| & (valid["filing_date"] >= lookback_start) |
| ] |
| if not eightk.empty: |
| eightk_texts = [] |
| for _, row in eightk.iterrows(): |
| fp = row.get("filing_path", "") |
| if fp: |
| full_path = config.DATA_DIR / fp |
| try: |
| eightk_texts.append(full_path.read_text( |
| encoding="utf-8", errors="replace" |
| )) |
| except Exception: |
| pass |
| if eightk_texts: |
| context["filing_8k_texts"] = eightk_texts |
|
|
| |
| news_path = config.NEWS_DIR / "tickers" / f"{ticker}.json" |
| if news_path.exists(): |
| try: |
| all_news = json.loads(news_path.read_text(encoding="utf-8")) |
| lookback_end_dt = lookback_df["date"].iloc[-1] |
| lookback_start_dt = lookback_df["date"].iloc[0] |
| recent = [] |
| for art in all_news: |
| pub = art.get("pubDate") or art.get("pub_date") or art.get("providerPublishTime") |
| if pub is None: |
| continue |
| try: |
| ts = pd.Timestamp(pub) |
| except Exception: |
| continue |
| if lookback_start_dt <= ts <= lookback_end_dt: |
| recent.append(art) |
| if recent: |
| context["recent_news"] = recent |
| except Exception: |
| pass |
|
|
| |
| |
| |
| if not self._scenarios.empty: |
| lookback_end = lookback_df["date"].iloc[-1] |
| overlapping = self._scenarios[ |
| (self._scenarios["event_date"] >= date_start) |
| & (self._scenarios["event_date"] <= date_end) |
| ].copy() |
| if not overlapping.empty: |
| overlapping["scenario_role"] = np.where( |
| overlapping["event_date"] <= lookback_end, |
| "observed", |
| "hypothetical", |
| ) |
| sc_cols = [ |
| "scenario_id", "event_type", "event_date", |
| "event_description", "scenario_role", |
| ] |
| |
| if "news_context" in self._scenarios.columns: |
| sc_cols.append("news_context") |
| context["scenarios"] = overlapping[ |
| [c for c in sc_cols if c in overlapping.columns] |
| ].to_dict("records") |
|
|
| return { |
| "lookback": lookback_df[feat_cols].values.astype(np.float32), |
| "lookback_dates": lookback_df["date"].dt.strftime("%Y-%m-%d").tolist(), |
| "target": target_df[self.target_col].values.astype(np.float32), |
| "target_dates": target_df["date"].dt.strftime("%Y-%m-%d").tolist(), |
| "context": context, |
| "feature_names": feat_cols, |
| } |
|
|
| |
| |
| |
|
|
| def summary(self) -> dict[str, Any]: |
| """Quick dataset summary statistics.""" |
| return { |
| "split": self.split, |
| "granularity": self.granularity, |
| "lookback": self.lookback, |
| "horizon": self.horizon, |
| "num_instances": len(self._instances), |
| "num_tickers": self._panel["ticker"].nunique(), |
| "date_range": [ |
| str(self._panel["date"].min().date()), |
| str(self._panel["date"].max().date()), |
| ], |
| "num_scenarios": len(self._scenarios), |
| "corpus_loaded": self._corpus is not None and not self._corpus.empty, |
| } |
|
|
|
|
| |
| |
| |
|
|
| class ValuationDataset: |
| """Dataset for valuation benchmark tasks (A–F). |
| |
| Each instance is a point-in-time snapshot suitable for: |
| Task A: estimate equity value given observable financials (public company) |
| Task B: generate financial statements given company profile |
| Task C: forecast scenario impact given pre-event data |
| Task D: estimate equity value given only financials + sector (PE simulation) |
| Task E: generate financial statements for unseen companies (Generator eval) |
| Task F: estimate rent/price for properties (RE valuation) |
| |
| Parameters |
| ---------- |
| task : str |
| ``"A"``–``"F"`` (or full name like ``"valuation_accuracy"``). |
| granularity : str |
| Defaults to ``config.GRANULARITY``. |
| """ |
|
|
| _TASK_MAP = { |
| "A": "A_valuation_accuracy", |
| "B": "B_statement_generation", |
| "C": "C_scenario_forecast", |
| "D": "D_private_valuation", |
| "E": "E_generator_evaluation", |
| "F": "F_real_estate_valuation", |
| "valuation_accuracy": "A_valuation_accuracy", |
| "statement_generation": "B_statement_generation", |
| "scenario_forecast": "C_scenario_forecast", |
| "private_valuation": "D_private_valuation", |
| "generator_evaluation": "E_generator_evaluation", |
| "real_estate_valuation": "F_real_estate_valuation", |
| } |
|
|
| def __init__( |
| self, |
| task: str = "A", |
| granularity: str | None = None, |
| ) -> None: |
| if granularity is None: |
| granularity = config.GRANULARITY |
| self.granularity = granularity |
| self.task = self._TASK_MAP.get(task, task) |
|
|
| bench_dir = config.DATA_DIR / "benchmark" / granularity |
|
|
| |
| task_path = bench_dir / "valuation_tasks.json" |
| if task_path.exists(): |
| self.task_definitions = json.loads(task_path.read_text()) |
| else: |
| self.task_definitions = {} |
|
|
| task_def = self.task_definitions.get("tasks", {}).get(self.task, {}) |
| input_file = task_def.get("input") |
| gt_file = task_def.get("ground_truth") |
|
|
| |
| self._inputs = pd.DataFrame() |
| if input_file: |
| p = bench_dir / input_file |
| if p.exists(): |
| self._inputs = pd.read_parquet(p) if p.suffix == ".parquet" else pd.read_csv(p) |
|
|
| |
| self._ground_truth = pd.DataFrame() |
| if gt_file: |
| p = bench_dir / gt_file |
| if p.exists(): |
| self._ground_truth = pd.read_parquet(p) if p.suffix == ".parquet" else pd.read_csv(p) |
|
|
| |
| self.holdout_tickers = self.task_definitions.get("holdout_tickers", []) |
|
|
| logger.info( |
| "ValuationDataset(task=%s, gran=%s): %d inputs, %d ground_truth rows", |
| self.task, granularity, len(self._inputs), len(self._ground_truth), |
| ) |
|
|
| @property |
| def inputs(self) -> pd.DataFrame: |
| return self._inputs |
|
|
| @property |
| def ground_truth(self) -> pd.DataFrame: |
| return self._ground_truth |
|
|
| def __len__(self) -> int: |
| return len(self._inputs) |
|
|
| def __getitem__(self, idx: int) -> dict[str, Any]: |
| if idx < 0 or idx >= len(self._inputs): |
| raise IndexError(f"Index {idx} out of range [0, {len(self._inputs)})") |
|
|
| row = self._inputs.iloc[idx] |
| item: dict[str, Any] = {"input": row.to_dict()} |
|
|
| |
| if not self._ground_truth.empty: |
| if self.task in ("A_valuation_accuracy", "D_private_valuation"): |
| tk = row.get("ticker") |
| dt = row.get("date") |
| match = self._ground_truth[ |
| (self._ground_truth["ticker"] == tk) |
| & (self._ground_truth["date"] == dt) |
| ] |
| if not match.empty: |
| item["ground_truth"] = match.iloc[0].to_dict() |
| elif self.task in ("B_statement_generation", "E_generator_evaluation"): |
| tk = row.get("ticker") |
| match = self._ground_truth[self._ground_truth["ticker"] == tk] |
| if not match.empty: |
| item["ground_truth"] = match.to_dict("records") |
| elif self.task == "C_scenario_forecast": |
| sid = row.get("scenario_id") |
| if sid: |
| match = self._ground_truth[self._ground_truth["scenario_id"] == sid] |
| if not match.empty: |
| item["ground_truth"] = match.to_dict("records") |
| elif self.task == "F_real_estate_valuation": |
| |
| if idx < len(self._ground_truth): |
| item["ground_truth"] = self._ground_truth.iloc[idx].to_dict() |
|
|
| return item |
|
|
| def summary(self) -> dict[str, Any]: |
| """Quick dataset summary.""" |
| s: dict[str, Any] = { |
| "task": self.task, |
| "granularity": self.granularity, |
| "n_inputs": len(self._inputs), |
| "n_ground_truth": len(self._ground_truth), |
| "n_holdout_tickers": len(self.holdout_tickers), |
| } |
| if not self._inputs.empty and "ticker" in self._inputs.columns: |
| s["n_tickers"] = self._inputs["ticker"].nunique() |
| return s |
|
|