{"metadata":{"kernelspec":{"language":"python","display_name":"Python 3","name":"python3"},"language_info":{"name":"python","version":"3.10.14","mimetype":"text/x-python","codemirror_mode":{"name":"ipython","version":3},"pygments_lexer":"ipython3","nbconvert_exporter":"python","file_extension":".py"},"kaggle":{"accelerator":"none","dataSources":[{"sourceId":84493,"databundleVersionId":9871156,"sourceType":"competition"}],"dockerImageVersionId":30786,"isInternetEnabled":true,"language":"python","sourceType":"notebook","isGpuEnabled":false}},"nbformat_minor":4,"nbformat":4,"cells":[{"cell_type":"markdown","source":"# Libraries","metadata":{}},{"cell_type":"code","source":"import pandas as pd\nimport polars as pl\nimport numpy as np\nimport gc\nfrom matplotlib import pyplot as plt\nimport matplotlib.cm as cm\nfrom sklearn.model_selection import StratifiedGroupKFold","metadata":{"execution":{"iopub.status.busy":"2024-12-06T12:53:52.584129Z","iopub.execute_input":"2024-12-06T12:53:52.584509Z","iopub.status.idle":"2024-12-06T12:53:55.765827Z","shell.execute_reply.started":"2024-12-06T12:53:52.584468Z","shell.execute_reply":"2024-12-06T12:53:55.764659Z"},"trusted":true},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Configurations","metadata":{}},{"cell_type":"code","source":"class CONFIG:\n    target_col = \"responder_6\"\n    lag_cols_original = [\"date_id\", \"symbol_id\"] + [f\"responder_{idx}\" for idx in range(9)]\n    lag_cols_rename = { f\"responder_{idx}\" : f\"responder_{idx}_lag_1\" for idx in range(9)}\n    valid_ratio = 0.05\n    start_dt = 500","metadata":{"execution":{"iopub.status.busy":"2024-12-06T12:54:19.023904Z","iopub.execute_input":"2024-12-06T12:54:19.024330Z","iopub.status.idle":"2024-12-06T12:54:19.031139Z","shell.execute_reply.started":"2024-12-06T12:54:19.024294Z","shell.execute_reply":"2024-12-06T12:54:19.029743Z"},"trusted":true},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Load training data","metadata":{}},{"cell_type":"code","source":"# Use last 2 parquets\ntrain = pl.scan_parquet(\n    f\"/kaggle/input/jane-street-real-time-market-data-forecasting/train.parquet\"\n).select(\n    pl.int_range(pl.len(), dtype=pl.UInt32).alias(\"id\"),\n    pl.all(),\n).with_columns(\n    (pl.col(CONFIG.target_col)*2).cast(pl.Int32).alias(\"label\"),\n).filter(\n    pl.col(\"date_id\").gt(CONFIG.start_dt)\n)","metadata":{"execution":{"iopub.status.busy":"2024-12-06T12:54:24.858596Z","iopub.execute_input":"2024-12-06T12:54:24.858983Z","iopub.status.idle":"2024-12-06T12:54:24.897693Z","shell.execute_reply.started":"2024-12-06T12:54:24.858935Z","shell.execute_reply":"2024-12-06T12:54:24.896486Z"},"trusted":true},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Create Lags data from training data","metadata":{}},{"cell_type":"code","source":"lags = train.select(pl.col(CONFIG.lag_cols_original))\nlags = lags.rename(CONFIG.lag_cols_rename)\nlags = lags.with_columns(\n    date_id = pl.col('date_id') + 1,  # lagged by 1 day\n    )\nlags = lags.group_by([\"date_id\", \"symbol_id\"], maintain_order=True).last()  # pick up last record of previous date\nlags","metadata":{"execution":{"iopub.status.busy":"2024-12-06T12:54:30.050864Z","iopub.execute_input":"2024-12-06T12:54:30.051249Z","iopub.status.idle":"2024-12-06T12:54:30.379911Z","shell.execute_reply.started":"2024-12-06T12:54:30.051217Z","shell.execute_reply":"2024-12-06T12:54:30.378873Z"},"trusted":true},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Merge training data and lags data","metadata":{}},{"cell_type":"code","source":"train = train.join(lags, on=[\"date_id\", \"symbol_id\"],  how=\"left\")\ntrain","metadata":{"execution":{"iopub.status.busy":"2024-12-06T12:54:36.240663Z","iopub.execute_input":"2024-12-06T12:54:36.241782Z","iopub.status.idle":"2024-12-06T12:54:36.274424Z","shell.execute_reply.started":"2024-12-06T12:54:36.241731Z","shell.execute_reply":"2024-12-06T12:54:36.273475Z"},"trusted":true},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Split training data and validation data","metadata":{}},{"cell_type":"code","source":"len_train = train.select(pl.col(\"date_id\")).collect().shape[0]\nvalid_records = int(len_train * CONFIG.valid_ratio)\nlen_ofl_mdl = len_train - valid_records\nlast_tr_dt  = train.select(pl.col(\"date_id\")).collect().row(len_ofl_mdl)[0]\n\nprint(f\"\\n len_train = {len_train}\")\nprint(f\"\\n len_ofl_mdl = {len_ofl_mdl}\")\nprint(f\"\\n---> Last offline train date = {last_tr_dt}\\n\")\n\ntraining_data = train.filter(pl.col(\"date_id\").le(last_tr_dt))\nvalidation_data   = train.filter(pl.col(\"date_id\").gt(last_tr_dt))","metadata":{"execution":{"iopub.status.busy":"2024-12-06T12:54:46.105750Z","iopub.execute_input":"2024-12-06T12:54:46.106124Z","iopub.status.idle":"2024-12-06T12:54:52.825755Z","shell.execute_reply.started":"2024-12-06T12:54:46.106091Z","shell.execute_reply":"2024-12-06T12:54:52.824702Z"},"trusted":true},"outputs":[],"execution_count":null},{"cell_type":"code","source":"validation_data","metadata":{"execution":{"iopub.status.busy":"2024-12-06T12:54:57.630147Z","iopub.execute_input":"2024-12-06T12:54:57.630648Z","iopub.status.idle":"2024-12-06T12:54:57.662574Z","shell.execute_reply.started":"2024-12-06T12:54:57.630601Z","shell.execute_reply":"2024-12-06T12:54:57.661397Z"},"trusted":true},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Save data as parquets","metadata":{}},{"cell_type":"code","source":"training_data.collect().\\\nwrite_parquet(\n    f\"training.parquet\", partition_by = \"date_id\",\n)","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2024-12-06T12:55:01.209009Z","iopub.execute_input":"2024-12-06T12:55:01.209400Z","iopub.status.idle":"2024-12-06T12:56:55.671179Z","shell.execute_reply.started":"2024-12-06T12:55:01.209368Z","shell.execute_reply":"2024-12-06T12:56:55.669795Z"}},"outputs":[],"execution_count":null},{"cell_type":"code","source":"validation_data.collect().\\\nwrite_parquet(\n    \"validation.parquet\", partition_by = \"date_id\",\n)","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2024-12-06T12:58:49.205987Z","iopub.execute_input":"2024-12-06T12:58:49.206387Z","iopub.status.idle":"2024-12-06T12:59:46.092392Z","shell.execute_reply.started":"2024-12-06T12:58:49.206355Z","shell.execute_reply":"2024-12-06T12:59:46.090730Z"}},"outputs":[],"execution_count":null}]}