#!/usr/bin/env python3 """Summarize the fixed-seed same-encoder MSE versus soft-constraint ablation.""" from __future__ import annotations import argparse import csv import json import statistics from pathlib import Path METHODS = { "timae": ("Ti-MAE-style", "MSE"), "timae_softlobloss": ("Ti-MAE-style", "MSE + soft penalty"), "simlob2026": ("SimLOB-style", "MSE"), "simlob2026_softlobloss": ("SimLOB-style", "MSE + soft penalty"), } METRICS = [ "raw_price_mae", "raw_volume_mae", "bid_order_strict_valid_rate", "ask_order_strict_valid_rate", "spread_valid_rate", "price_positive_valid_rate", "volume_nonnegative_valid_rate", "all_lob_constraints_valid_rate", ] def parse_args() -> argparse.Namespace: parser = argparse.ArgumentParser(description=__doc__) parser.add_argument("--results-dir", type=Path, required=True) parser.add_argument("--out-dir", type=Path, required=True) parser.add_argument("--stocks", nargs="+", required=True) parser.add_argument("--seed", type=int, default=2026) return parser.parse_args() def write_csv(path: Path, rows: list[dict]) -> None: with path.open("w", newline="", encoding="utf-8") as handle: writer = csv.DictWriter(handle, fieldnames=list(rows[0])) writer.writeheader() writer.writerows(rows) def main() -> None: args = parse_args() case_rows = [] for method, (encoder, loss) in METHODS.items(): for stock in args.stocks: path = ( args.results_dir / f"{stock}_{method}_reconstruction_seed{args.seed}.json" ) if not path.exists(): raise FileNotFoundError(path) data = json.loads(path.read_text(encoding="utf-8")) metrics = data["test_lob_metrics"] missing = [metric for metric in METRICS if metric not in metrics] if missing: raise ValueError(f"{path} is missing raw-unit metrics {missing}") case_rows.append( { "encoder": encoder, "loss": loss, "method": method, "stock": stock, "seed": args.seed, "normalized_mse": float(data["test_mse"]), "downstream_macro_f1": float( data["downstream_after_reconstruction"]["test"]["macro_f1"] ), **{metric: float(metrics[metric]) for metric in METRICS}, } ) summary_rows = [] for method, (encoder, loss) in METHODS.items(): rows = [row for row in case_rows if row["method"] == method] summary = { "encoder": encoder, "loss": loss, "method": method, "n_stocks": len(rows), } for metric in ["normalized_mse", "downstream_macro_f1", *METRICS]: values = [row[metric] for row in rows] summary[f"{metric}_mean"] = statistics.fmean(values) summary[f"{metric}_stock_sd"] = ( statistics.stdev(values) if len(values) > 1 else 0.0 ) summary_rows.append(summary) paired_rows = [] for encoder, plain_method, soft_method in ( ("Ti-MAE-style", "timae", "timae_softlobloss"), ("SimLOB-style", "simlob2026", "simlob2026_softlobloss"), ): for stock in args.stocks: plain = next( row for row in case_rows if row["method"] == plain_method and row["stock"] == stock ) soft = next( row for row in case_rows if row["method"] == soft_method and row["stock"] == stock ) paired_rows.append( { "encoder": encoder, "stock": stock, **{ f"soft_minus_mse_{metric}": soft[metric] - plain[metric] for metric in [ "normalized_mse", "downstream_macro_f1", *METRICS, ] }, } ) args.out_dir.mkdir(parents=True, exist_ok=True) write_csv(args.out_dir / "structural_case_results.csv", case_rows) write_csv(args.out_dir / "structural_method_summary.csv", summary_rows) write_csv(args.out_dir / "structural_paired_deltas.csv", paired_rows) lines = [ "# Same-encoder structural-loss ablation", "", "One fixed seed is used for this controlled diagnostic. Values are mean ± " "sample SD across five prespecified stocks; price and volume errors are " "inverse-transformed raw-unit MAE.", "", "| encoder | loss | price MAE | volume MAE | bid valid | ask valid | spread valid | price valid | volume valid | all valid | downstream F1 |", "|---|---|---:|---:|---:|---:|---:|---:|---:|---:|---:|", ] for row in summary_rows: lines.append( f"| {row['encoder']} | {row['loss']} | " f"{row['raw_price_mae_mean']:.4f} ± {row['raw_price_mae_stock_sd']:.4f} | " f"{row['raw_volume_mae_mean']:.2f} ± {row['raw_volume_mae_stock_sd']:.2f} | " f"{row['bid_order_strict_valid_rate_mean']:.3f} | " f"{row['ask_order_strict_valid_rate_mean']:.3f} | " f"{row['spread_valid_rate_mean']:.3f} | " f"{row['price_positive_valid_rate_mean']:.3f} | " f"{row['volume_nonnegative_valid_rate_mean']:.3f} | " f"{row['all_lob_constraints_valid_rate_mean']:.3f} | " f"{row['downstream_macro_f1_mean']:.3f} |" ) (args.out_dir / "summary.md").write_text("\n".join(lines) + "\n", encoding="utf-8") print(f"wrote structural ablation summary to {args.out_dir}") if __name__ == "__main__": main()