models/ohlc_embedder.py

import torch
import torch.nn as nn
import torch.nn.functional as F
from typing import List

# --- Import vocabulary for the test block ---
import models.vocabulary as vocab

class OHLCEmbedder(nn.Module):
    """
    Embeds a sequence of Open and Close prices AND its interval.
    
    FIXED: Now takes interval_ids as input and combines an
    interval embedding with the 1D-CNN chart pattern features.
    """
    def __init__(
        self,
        # --- NEW: Interval vocab size ---
        num_intervals: int, 
        input_channels: int = 2, # Open, Close
        # sequence_length: int = 300, # REMOVED: HARDCODED
        cnn_channels: List[int] = [8, 16, 32],
        kernel_sizes: List[int] = [3, 3, 3], 
        # --- NEW: Interval embedding dim ---
        interval_embed_dim: int = 16,
        output_dim: int = 512, 
        dtype: torch.dtype = torch.float16
    ):
        super().__init__()
        assert len(cnn_channels) == len(kernel_sizes), "cnn_channels and kernel_sizes must have the same length"

        self.dtype = dtype
        self.sequence_length = 300 # HARDCODED
        self.cnn_layers = nn.ModuleList()
        self.output_dim = output_dim
        
        in_channels = input_channels
        current_seq_len = 300
        
        for i, (out_channels, k_size) in enumerate(zip(cnn_channels, kernel_sizes)):
            conv = nn.Conv1d(
                in_channels=in_channels,
                out_channels=out_channels,
                kernel_size=k_size,
                padding='same'
            )
            self.cnn_layers.append(conv)
            pool = nn.MaxPool1d(kernel_size=2, stride=2)
            self.cnn_layers.append(pool)
            current_seq_len = current_seq_len // 2
            self.cnn_layers.append(nn.ReLU())
            in_channels = out_channels

        self.global_pool = nn.AdaptiveAvgPool1d(1)
        
        final_cnn_channels = cnn_channels[-1]

        # --- NEW: Interval Embedding Layer ---
        self.interval_embedding = nn.Embedding(num_intervals, interval_embed_dim, padding_idx=0)

        # --- NEW: MLP input dim is (CNN features + Interval features) ---
        mlp_input_dim = final_cnn_channels + interval_embed_dim
        
        self.mlp = nn.Sequential(
            nn.Linear(mlp_input_dim, mlp_input_dim * 2),
            nn.GELU(),
            nn.LayerNorm(mlp_input_dim * 2),
            nn.Linear(mlp_input_dim * 2, output_dim),
            nn.LayerNorm(output_dim)
        )

        self.to(dtype)

        # Log params
        total_params = sum(p.numel() for p in self.parameters())
        trainable_params = sum(p.numel() for p in self.parameters() if p.requires_grad)
        print(f"[OHLCEmbedder] Params: {total_params:,} (Trainable: {trainable_params:,})")

    def forward(self, x: torch.Tensor, interval_ids: torch.Tensor) -> torch.Tensor:
        """
        Args:
            x (torch.Tensor): Batch of normalized OHLC sequences.
                              Shape: [batch_size, 2, sequence_length]
            interval_ids (torch.Tensor): Batch of interval IDs.
                                         Shape: [batch_size]
        Returns:
            torch.Tensor: Batch of OHLC embeddings.
                          Shape: [batch_size, output_dim]
        """
        if x.shape[1] != 2 or x.shape[2] != self.sequence_length:
             raise ValueError(f"Input tensor shape mismatch. Expected [B, 2, {self.sequence_length}], got {x.shape}")
        
        x = x.to(self.dtype)

        # 1. Pass through CNN layers
        for layer in self.cnn_layers:
            x = layer(x)
        
        # 2. Apply global average pooling
        x = self.global_pool(x)
        
        # 3. Flatten for MLP
        x = x.squeeze(-1)
        # Shape: [batch_size, final_cnn_channels]
        
        # 4. --- NEW: Get interval embedding ---
        interval_embed = self.interval_embedding(interval_ids)
        # Shape: [batch_size, interval_embed_dim]

        # 5. --- NEW: Combine features ---
        combined = torch.cat([x, interval_embed], dim=1)
        # Shape: [batch_size, final_cnn_channels + interval_embed_dim]

        # 6. Pass through final MLP
        x = self.mlp(combined)
        # Shape: [batch_size, output_dim]

        return x