dl_models.py

import numpy as np
import pandas as pd
import math
import logging

try:
    import torch
    import torch.nn as nn
    from torch.utils.data import Dataset, DataLoader
    from sklearn.preprocessing import StandardScaler
    HAS_TORCH = True
except ImportError:
    HAS_TORCH = False

logger = logging.getLogger("portfolio_engine")

class PositionalEncoding(nn.Module):
    def __init__(self, d_model: int, max_len: int = 5000):
        super().__init__()
        position = torch.arange(max_len).unsqueeze(1)
        div_term = torch.exp(torch.arange(0, d_model, 2) * (-math.log(10000.0) / d_model))
        pe = torch.zeros(max_len, 1, d_model)
        pe[:, 0, 0::2] = torch.sin(position * div_term)
        pe[:, 0, 1::2] = torch.cos(position * div_term)
        self.register_buffer('pe', pe)

    def forward(self, x: torch.Tensor) -> torch.Tensor:
        """
        Args:
            x: Tensor, shape [seq_len, batch_size, embedding_dim]
        """
        x = x + self.pe[:x.size(0)]
        return x

class NoiseFilteredTransformer(nn.Module):
    def __init__(self, num_features, d_model=64, nhead=4, num_layers=2, dropout=0.1):
        super().__init__()
        self.d_model = d_model
        
        # 1. Noise Filter (1D Convolution)
        # Input shape expected: (batch, seq_len, num_features)
        # Conv1d expects: (batch, channels, length), so we will transpose
        self.noise_filter = nn.Conv1d(
            in_channels=num_features, 
            out_channels=d_model, 
            kernel_size=3, 
            padding=1
        )
        self.filter_activation = nn.GELU()
        
        # 2. Positional Encoding
        self.pos_encoder = PositionalEncoding(d_model)
        
        # 3. Transformer Encoder
        encoder_layers = nn.TransformerEncoderLayer(
            d_model=d_model, 
            nhead=nhead, 
            dim_feedforward=d_model*4, 
            dropout=dropout,
            batch_first=True
        )
        self.transformer_encoder = nn.TransformerEncoder(encoder_layers, num_layers)
        
        # 4. Output Head
        self.fc_out = nn.Sequential(
            nn.Linear(d_model, d_model // 2),
            nn.GELU(),
            nn.Dropout(dropout),
            nn.Linear(d_model // 2, 1)
        )

    def forward(self, src):
        # src: (batch, seq_len, num_features)
        
        # Apply Conv1D Noise Filter
        # Transpose to (batch, features, seq_len)
        x = src.transpose(1, 2)
        x = self.noise_filter(x)
        x = self.filter_activation(x)
        
        # Transpose back to (batch, seq_len, d_model)
        x = x.transpose(1, 2)
        
        # Transformer expects (batch, seq_len, d_model) if batch_first=True
        # But our PositionalEncoding expects (seq_len, batch, d_model)
        x = x.transpose(0, 1)
        x = self.pos_encoder(x)
        x = x.transpose(0, 1)
        
        # Pass through Transformer
        x = self.transformer_encoder(x)
        
        # Global Average Pooling over the sequence
        x = x.mean(dim=1)
        
        # Output prediction
        out = self.fc_out(x)
        return out.squeeze(-1)

class CrossAssetSequenceDataset(Dataset):
    def __init__(self, features_dict, seq_len=60, scaler=None, is_train=True):
        self.seq_len = seq_len
        self.samples = []
        self.targets = []
        
        all_features = []
        
        # First pass: collect all data to fit scaler if needed
        for t, df in features_dict.items():
            if df.empty or len(df) <= seq_len:
                continue
            feats = df.drop(columns=['target', 'ret'], errors='ignore').values
            all_features.append(feats)
            
        if not all_features:
            self.scaler = None
            return
            
        if scaler is None and is_train:
            self.scaler = StandardScaler()
            stacked_feats = np.vstack(all_features)
            self.scaler.fit(stacked_feats)
        else:
            self.scaler = scaler

        # Second pass: construct sliding windows
        for t, df in features_dict.items():
            if df.empty or len(df) <= seq_len:
                continue
            
            feats = df.drop(columns=['target', 'ret'], errors='ignore').values
            if self.scaler is not None:
                feats = self.scaler.transform(feats)
                
            targets = df['target'].values if 'target' in df.columns else np.zeros(len(df))
            
            # Create overlapping sequences
            for i in range(len(df) - seq_len):
                seq = feats[i : i + seq_len]
                target = targets[i + seq_len] # predicting the target at the end of the window
                
                # Only keep non-NaN targets for training
                if is_train and np.isnan(target):
                    continue
                    
                self.samples.append(seq)
                self.targets.append(target)
                
    def __len__(self):
        return len(self.samples)

    def __getitem__(self, idx):
        x = torch.tensor(self.samples[idx], dtype=torch.float32)
        y = torch.tensor(self.targets[idx], dtype=torch.float32)
        return x, y

def train_cross_asset_transformer(features_dict, seq_len=60, epochs=10, batch_size=256, device=None, silent=False):
    """
    Trains a global Cross-Asset Transformer sequence model.
    """
    if not HAS_TORCH:
        if not silent: logger.warning("PyTorch not installed. Cannot train Transformer.")
        return None, None

    if device is None:
        device = torch.device('cuda' if torch.cuda.is_available() else 'cpu')

    # Split into train/val conceptually (80/20 by time for each asset)
    train_dict = {}
    val_dict = {}
    for t, df in features_dict.items():
        if len(df) > seq_len + 21:
            split_idx = int(len(df) * 0.8)
            train_dict[t] = df.iloc[:split_idx]
            val_dict[t] = df.iloc[split_idx:]

    train_dataset = CrossAssetSequenceDataset(train_dict, seq_len=seq_len, is_train=True)
    if len(train_dataset) == 0:
        return None, None
        
    val_dataset = CrossAssetSequenceDataset(val_dict, seq_len=seq_len, scaler=train_dataset.scaler, is_train=False)

    train_loader = DataLoader(train_dataset, batch_size=batch_size, shuffle=True, drop_last=False)
    val_loader = DataLoader(val_dataset, batch_size=batch_size, shuffle=False)

    num_features = train_dataset.samples[0].shape[1]
    
    model = NoiseFilteredTransformer(
        num_features=num_features,
        d_model=64,
        nhead=4,
        num_layers=2,
        dropout=0.1
    ).to(device)

    criterion = nn.MSELoss()
    # Using AdamW with weight decay for better regularization
    optimizer = torch.optim.AdamW(model.parameters(), lr=1e-3, weight_decay=1e-4)
    scheduler = torch.optim.lr_scheduler.ReduceLROnPlateau(optimizer, mode='min', factor=0.5, patience=2)

    best_val_loss = float('inf')
    best_state = None

    for epoch in range(epochs):
        model.train()
        train_loss = 0.0
        for X_batch, y_batch in train_loader:
            X_batch, y_batch = X_batch.to(device), y_batch.to(device)
            optimizer.zero_grad()
            preds = model(X_batch)
            loss = criterion(preds, y_batch)
            loss.backward()
            torch.nn.utils.clip_grad_norm_(model.parameters(), 1.0)
            optimizer.step()
            train_loss += loss.item() * len(X_batch)
            
        train_loss /= len(train_loader.dataset)

        model.eval()
        val_loss = 0.0
        with torch.no_grad():
            for X_batch, y_batch in val_loader:
                X_batch, y_batch = X_batch.to(device), y_batch.to(device)
                preds = model(X_batch)
                loss = criterion(preds, y_batch)
                val_loss += loss.item() * len(X_batch)
                
        if len(val_loader.dataset) > 0:
            val_loss /= len(val_loader.dataset)
        else:
            val_loss = train_loss

        scheduler.step(val_loss)

        if val_loss < best_val_loss:
            best_val_loss = val_loss
            best_state = {k: v.cpu() for k, v in model.state_dict().items()}

    if best_state is not None:
        model.load_state_dict(best_state)
        
    return model, train_dataset.scaler

def predict_transformer(model, scaler, features_dict, seq_len=60, device=None):
    """
    Infers the latest prediction for each asset using the trained Transformer.
    """
    if not HAS_TORCH or model is None:
        return {}

    if device is None:
        device = torch.device('cuda' if torch.cuda.is_available() else 'cpu')
        
    model.to(device)
    model.eval()
    
    predictions = {}
    
    with torch.no_grad():
        for t, df in features_dict.items():
            if len(df) < seq_len:
                continue
                
            # Get the latest `seq_len` window
            recent_feats = df.drop(columns=['target', 'ret'], errors='ignore').values[-seq_len:]
            if scaler is not None:
                recent_feats = scaler.transform(recent_feats)
                
            X_tensor = torch.tensor(recent_feats, dtype=torch.float32).unsqueeze(0).to(device) # (1, seq_len, features)
            pred = model(X_tensor).item()
            predictions[t] = pred
            
    return predictions