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Additional\n\n- 2024/12/24 : find weights ensemble and add in predict() preds = (w) * preds_xgb + (w-1) * preds_nn\n- 2024/12/26 : XGB local train modelx5 add. dataset is here\n    - https://www.kaggle.com/code/hideyukizushi/js-nnx5-xgbx6-weighted-blend-lb-0-0077\n- 2025/01/02 : add weights ensemble of public notebook\n    - https://www.kaggle.com/code/yunsuxiaozi/js-ridge-baseline?scriptVersionId=202739388\n    - https://www.kaggle.com/code/hideyukizushi/js-nnx5-xgbx5-weighted-blend-lb-0-0078/notebook?scriptVersionId=215419804\n    - https://www.kaggle.com/code/i2nfinit3y/jane-street-tabm-ft-transformer-inference?scriptVersionId=213715783","metadata":{}},{"cell_type":"code","source":"!pip install rtdl_num_embeddings -q --no-index --find-links=/kaggle/input/jane-street-import/rtdl_num_embeddings","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:32:57.473642Z","iopub.execute_input":"2025-01-06T12:32:57.474316Z","iopub.status.idle":"2025-01-06T12:33:06.470673Z","shell.execute_reply.started":"2025-01-06T12:32:57.474277Z","shell.execute_reply":"2025-01-06T12:33:06.469732Z"}},"outputs":[],"execution_count":null},{"cell_type":"code","source":"import os, sys, gc\nimport pickle\nimport dill\nimport numpy as np\nimport pandas as pd\nimport polars as pl\n\nimport torch\nimport torch.nn as nn\nimport torch.nn.functional as F\nfrom pytorch_lightning import (LightningDataModule, LightningModule, Trainer)\n\nfrom sklearn.metrics import r2_score\n\nimport torch.optim\nfrom torch.utils.data import Dataset, DataLoader, TensorDataset\nfrom sklearn.model_selection import train_test_split\nimport math\nfrom tqdm import tqdm\nfrom collections import OrderedDict\nfrom tabm_reference import Model, make_parameter_groups\n\nimport warnings\nimport joblib\nfrom pytorch_lightning.callbacks import Callback\nimport gc\n\nimport lightgbm as lgb\nfrom lightgbm import LGBMRegressor, Booster\nfrom xgboost import XGBRegressor\nfrom catboost import CatBoostRegressor\n\nimport warnings\nwarnings.filterwarnings('ignore')\npd.options.display.max_columns = None\n\nsys.path.append(\"/kaggle/input/jane-street-real-time-market-data-forecasting\")","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:06.472479Z","iopub.execute_input":"2025-01-06T12:33:06.472806Z","iopub.status.idle":"2025-01-06T12:33:14.306464Z","shell.execute_reply.started":"2025-01-06T12:33:06.472772Z","shell.execute_reply":"2025-01-06T12:33:14.305787Z"}},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Top Public Notebook","metadata":{}},{"cell_type":"markdown","source":"## JS|NNx5+XGBx5(MyTrain+Pub)|WeightBlend|LB.0.0078 (hideyukizushi)\n\n`LB: 0.0078` https://www.kaggle.com/code/yunsuxiaozi/js2024-starter?scriptVersionId=206770572","metadata":{"papermill":{"duration":0.022173,"end_time":"2024-10-26T03:27:39.285949","exception":false,"start_time":"2024-10-26T03:27:39.263776","status":"completed"},"tags":[]}},{"cell_type":"code","source":"class CONFIG:\n    \"\"\"Configuration class for model parameters\"\"\"\n    seed = 42  # Random seed for reproducibility\n    target_col = \"responder_6\"  # Target variable name\n    # Features: 79 base features + 9 lagged features\n    feature_cols = [f\"feature_{idx:02d}\" for idx in range(79)] + [f\"responder_{idx}_lag_1\" for idx in range(9)]\n    # Paths to pre-trained models\n    model_paths = [\n        \"/kaggle/input/js-xs-nn-trained-model\",  # Neural Network models\n        \"/kaggle/input/js-with-lags-trained-xgb/result.pkl\", # XGBoost model\n        \"/kaggle/input/als-e-106-pp0-40-xgb-5fold/result0.pkl\",\n        \"/kaggle/input/als-e-106-pp0-40-xgb-5fold/result1.pkl\",\n        \"/kaggle/input/als-e-106-pp0-40-xgb-5fold/result2.pkl\",\n        \"/kaggle/input/als-e-106-pp0-40-xgb-5fold/result3.pkl\",\n        \"/kaggle/input/als-e-106-pp0-40-xgb-5fold/result4.pkl\"  \n    ]\n\n# Load validation data\nvalid = pl.scan_parquet(f\"/kaggle/input/js24-preprocessing-create-lags/validation.parquet/\").collect().to_pandas()\n\n# Load XGBoost model\nxgb_model = None\nwith open(CONFIG.model_paths[2], \"rb\") as fp:\n    result = pickle.load(fp)\n    xgb_model = result[\"model\"]\nxgb_feature_cols = [\"symbol_id\", \"time_id\"] + CONFIG.feature_cols\n\nxgb_model2 = None\nwith open(CONFIG.model_paths[4], \"rb\") as fp:\n    result = pickle.load(fp)\n    xgb_model2 = result[\"model\"]\n\nxgb_model4 = None\nwith open(CONFIG.model_paths[6], \"rb\") as fp:\n    result = pickle.load(fp)\n    xgb_model4 = result[\"model\"]\n\nxgb_model5 = None\nwith open(CONFIG.model_paths[1], \"rb\") as fp:\n    result = pickle.load(fp)\n    xgb_model5 = result[\"model\"]\n\ndef r2_val(y_true, y_pred, sample_weight):\n    \"\"\"\n    Calculate weighted R² score\n    Args:\n        y_true: True values\n        y_pred: Predicted values\n        sample_weight: Weights for each sample\n    Returns:\n        Weighted R² score\n    \"\"\"\n    r2 = 1 - np.average((y_pred - y_true) ** 2, weights=sample_weight) / (np.average((y_true) ** 2, weights=sample_weight) + 1e-38)\n    return r2\n\nclass NN(LightningModule):\n    \"\"\"Neural Network model using PyTorch Lightning\"\"\"\n    \n    def __init__(self, input_dim, hidden_dims, dropouts, lr, weight_decay):\n        \"\"\"\n        Initialize the neural network\n        Args:\n            input_dim: Input feature dimension\n            hidden_dims: List of hidden layer dimensions\n            dropouts: List of dropout rates\n            lr: Learning rate\n            weight_decay: Weight decay for regularization\n        \"\"\"\n        super().__init__()\n        self.save_hyperparameters()\n        \n        # Build network architecture\n        layers = []\n        in_dim = input_dim\n        for i, hidden_dim in enumerate(hidden_dims):\n            layers.append(nn.BatchNorm1d(in_dim))  # Batch normalization\n            if i > 0:\n                layers.append(nn.SiLU())  # SiLU activation (except first layer)\n            if i < len(dropouts):\n                layers.append(nn.Dropout(dropouts[i]))  # Dropout for regularization\n            layers.append(nn.Linear(in_dim, hidden_dim))  # Linear layer\n            in_dim = hidden_dim\n            \n        # Output layer\n        layers.append(nn.Linear(in_dim, 1))\n        layers.append(nn.Tanh())  # Tanh activation for bounded output\n        \n        self.model = nn.Sequential(*layers)\n        self.lr = lr\n        self.weight_decay = weight_decay\n        self.validation_step_outputs = []\n\n    def forward(self, x):\n        \"\"\"Forward pass with scaling\"\"\"\n        return 5 * self.model(x).squeeze(-1)  # Scale output to [-5, 5] range\n\n    def training_step(self, batch):\n        \"\"\"Single training step\"\"\"\n        x, y, w = batch\n        y_hat = self(x)\n        loss = F.mse_loss(y_hat, y, reduction='none') * w  # Weighted MSE loss\n        loss = loss.mean()\n        self.log('train_loss', loss, on_step=False, on_epoch=True, batch_size=x.size(0))\n        return loss\n\n    def validation_step(self, batch):\n        \"\"\"Single validation step\"\"\"\n        x, y, w = batch\n        y_hat = self(x)\n        loss = F.mse_loss(y_hat, y, reduction='none') * w\n        loss = loss.mean()\n        self.log('val_loss', loss, on_step=False, on_epoch=True, batch_size=x.size(0))\n        self.validation_step_outputs.append((y_hat, y, w))\n        return loss\n\n    def on_validation_epoch_end(self):\n        \"\"\"Compute validation metrics at epoch end\"\"\"\n        if not self.trainer.sanity_checking:\n            y = torch.cat([x[1] for x in self.validation_step_outputs]).cpu().numpy()\n            prob = torch.cat([x[0] for x in self.validation_step_outputs]).cpu().numpy()\n            weights = torch.cat([x[2] for x in self.validation_step_outputs]).cpu().numpy()\n            val_r_square = r2_val(y, prob, weights)\n            self.log(\"val_r_square\", val_r_square, prog_bar=True, on_step=False, on_epoch=True)\n        self.validation_step_outputs.clear()\n\n    def configure_optimizers(self):\n        \"\"\"Configure optimizer and learning rate scheduler\"\"\"\n        optimizer = torch.optim.Adam(self.parameters(), lr=self.lr, weight_decay=self.weight_decay)\n        scheduler = torch.optim.lr_scheduler.ReduceLROnPlateau(\n            optimizer, \n            mode='min', \n            factor=0.5, \n            patience=5, \n            verbose=True\n        )\n        return {\n            'optimizer': optimizer,\n            'lr_scheduler': {\n                'scheduler': scheduler,\n                'monitor': 'val_loss',\n            }\n        }\n\n    def on_train_epoch_end(self):\n        \"\"\"Log metrics at end of training epoch\"\"\"\n        if not self.trainer.sanity_checking:\n            epoch = self.trainer.current_epoch\n            metrics = {k: v.item() if isinstance(v, torch.Tensor) else v \n                      for k, v in self.trainer.logged_metrics.items()}\n            formatted_metrics = {k: f\"{v:.5f}\" for k, v in metrics.items()}\n            print(f\"Epoch {epoch}: {formatted_metrics}\")\n\n# Load ensemble of models (5-fold cross-validation)\nN_folds = 5\nmodels = []\nfor fold in range(N_folds):\n    checkpoint_path = f\"{CONFIG.model_paths[0]}/nn_{fold}.model\"\n    model = NN.load_from_checkpoint(checkpoint_path)\n    models.append(model.to(\"cuda:0\"))","metadata":{"trusted":true,"_kg_hide-input":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:14.307818Z","iopub.execute_input":"2025-01-06T12:33:14.308727Z","iopub.status.idle":"2025-01-06T12:33:17.480453Z","shell.execute_reply.started":"2025-01-06T12:33:14.308684Z","shell.execute_reply":"2025-01-06T12:33:17.479763Z"}},"outputs":[],"execution_count":null},{"cell_type":"code","source":"# Clear validation data from memory to free up space\ndel valid\ngc.collect()\n\n# Global variable to store lagged features\nlags_: pl.DataFrame | None = None\n\ndef skip_nn_xgb(test: pl.DataFrame, lags: pl.DataFrame | None) -> None:\n    global lags_\n    \n    # Store lags in global variable if provided\n    if lags is not None:\n        lags_ = lags\n\n\ndef predict_nn_xgb(test: pl.DataFrame, lags: pl.DataFrame | None) -> pl.DataFrame | pd.DataFrame:\n    \"\"\"\n    Make predictions using ensemble of XGBoost and Neural Network models\n    \n    Args:\n        test: DataFrame containing test data\n        lags: DataFrame containing lagged features (optional)\n        \n    Returns:\n        DataFrame with predictions\n    \"\"\"\n    global lags_\n    \n    # Store lags in global variable if provided\n    if lags is not None:\n        lags_ = lags\n\n    # Initialize predictions DataFrame with row_id and placeholder predictions\n    predictions_nn = test.select('row_id', pl.lit(0.0).alias('responder_6',))\n\n    # Process lagged features\n    # Get last record for each date_id and symbol_id combination\n    lags = lags_.clone().group_by([\"date_id\", \"symbol_id\"], maintain_order=True).last()\n    \n    # Join test data with lagged features\n    test = test.join(lags, on=[\"date_id\", \"symbol_id\"], how=\"left\")\n\n    # Initialize arrays for model predictions\n    preds_xgb = np.zeros((test.shape[0],))  # XGBoost predictions\n    preds_nn = np.zeros((test.shape[0],))   # Neural Network predictions\n\n    # Generate XGBoost predictions\n    preds_xgb += xgb_model.predict(test[xgb_feature_cols].to_pandas()) * 0.25\n    preds_xgb += xgb_model2.predict(test[xgb_feature_cols].to_pandas()) * 0.25\n    preds_xgb += xgb_model4.predict(test[xgb_feature_cols].to_pandas()) * 0.25\n    preds_xgb += xgb_model5.predict(test[xgb_feature_cols].to_pandas()) * 0.25\n\n    # Generate Neural Network predictions\n    # Prepare input data\n    test_input = test[CONFIG.feature_cols].to_pandas()\n    # Handle missing values: forward fill then fill remaining with zeros\n    test_input = test_input.fillna(method='ffill').fillna(0)\n    # Convert to PyTorch tensor and move to GPU\n    test_input = torch.FloatTensor(test_input.values).to(\"cuda:0\")\n\n    # Generate predictions from Neural Network ensemble\n    with torch.no_grad():  # Disable gradient calculation for inference\n        for i, nn_model in enumerate(models):\n            nn_model.eval()  # Set model to evaluation mode\n            # Average predictions from all models\n            preds_nn += nn_model(test_input).cpu().numpy() / len(models)\n\n    # Combine predictions with equal weights (50% XGBoost, 50% Neural Network)\n    preds = 0.55 * preds_xgb + 0.45 * preds_nn\n\n    # Create final predictions DataFrame\n    predictions_nn = test.select('row_id').\\\n        with_columns(\n            pl.Series(\n                name='responder_6',\n                values=np.clip(preds, a_min=-5, a_max=5),  # Clip predictions to [-5, 5] range\n                dtype=pl.Float64,\n            )\n        )\n\n    return predictions_nn","metadata":{"_kg_hide-input":false,"papermill":{"duration":0.031534,"end_time":"2024-10-26T03:27:39.453592","exception":false,"start_time":"2024-10-26T03:27:39.422058","status":"completed"},"tags":[],"_kg_hide-output":false,"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:17.482958Z","iopub.execute_input":"2025-01-06T12:33:17.483314Z","iopub.status.idle":"2025-01-06T12:33:17.704600Z","shell.execute_reply.started":"2025-01-06T12:33:17.483276Z","shell.execute_reply":"2025-01-06T12:33:17.703673Z"}},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Jane Street | TabM/FT-Transformer inference (i2nfinit3y)\n`LB: 0.0074` https://www.kaggle.com/code/i2nfinit3y/jane-street-tabm-ft-transformer-inference?scriptVersionId=213715783","metadata":{}},{"cell_type":"code","source":"feature_list = [f\"feature_{idx:02d}\" for idx in range(79) if idx != 61]\n\ntarget_col = \"responder_6\" \n\nfeature_test = feature_list \\\n                + [f\"responder_{idx}_lag_1\" for idx in range(9)] \n\nfeature_cat = [\"feature_09\", \"feature_10\", \"feature_11\"]\nfeature_cont = [item for item in feature_test if item not in feature_cat]\n\nbatch_size = 8192\n\nstd_feature = [i for i in feature_list if i not in feature_cat] + [f\"responder_{idx}_lag_1\" for idx in range(9)]\n\ndata_stats = joblib.load(\"/kaggle/input/my-own-js/data_stats.pkl\")\nmeans = data_stats['mean']\nstds = data_stats['std']\n\ndef standardize(df, feature_cols, means, stds):\n    return df.with_columns([\n        ((pl.col(col) - means[col]) / stds[col]).alias(col) for col in feature_cols\n    ])\n\ncategory_mappings = {'feature_09': {2: 0, 4: 1, 9: 2, 11: 3, 12: 4, 14: 5, 15: 6, 25: 7, 26: 8, 30: 9, 34: 10, 42: 11, 44: 12, 46: 13, 49: 14, 50: 15, 57: 16, 64: 17, 68: 18, 70: 19, 81: 20, 82: 21},\n 'feature_10': {1: 0, 2: 1, 3: 2, 4: 3, 5: 4, 6: 5, 7: 6, 10: 7, 12: 8},\n 'feature_11': {9: 0, 11: 1, 13: 2, 16: 3, 24: 4, 25: 5, 34: 6, 40: 7, 48: 8, 50: 9, 59: 10, 62: 11, 63: 12, 66: 13,\n  76: 14, 150: 15, 158: 16, 159: 17, 171: 18, 195: 19, 214: 20, 230: 21, 261: 22, 297: 23, 336: 24, 376: 25, 388: 26, 410: 27, 522: 28, 534: 29, 539: 30},\n 'symbol_id': {0: 0, 1: 1, 2: 2, 3: 3, 4: 4, 5: 5, 6: 6, 7: 7, 8: 8, 9: 9, 10: 10, 11: 11, 12: 12, 13: 13, 14: 14, 15: 15, 16: 16, 17: 17, 18: 18, 19: 19,\n  20: 20, 21: 21, 22: 22, 23: 23, 24: 24, 25: 25, 26: 26, 27: 27, 28: 28, 29: 29, 30: 30, 31: 31, 32: 32, 33: 33, 34: 34, 35: 35, 36: 36, 37: 37, 38: 38},\n 'time_id' : {i : i for i in range(968)}}\n\ndef encode_column(df, column, mapping):\n    max_value = max(mapping.values())  \n\n    def encode_category(category):\n        return mapping.get(category, max_value + 1)  \n    \n    return df.with_columns(\n        pl.col(column).map_elements(encode_category).alias(column)\n    )\n\nclass R2Loss(nn.Module):\n    def __init__(self):\n        super(R2Loss, self).__init__()\n\n    def forward(self, y_pred, y_true):\n        mse_loss = torch.sum((y_pred - y_true) ** 2)\n        var_y = torch.sum(y_true ** 2)\n        loss = mse_loss / (var_y + 1e-38)\n        return loss\n\nclass NN(LightningModule):\n    def __init__(self, n_cont_features, cat_cardinalities, n_classes, lr, weight_decay):\n        super().__init__()\n        self.save_hyperparameters()\n        self.k = 16\n        self.model = Model(\n                n_num_features=n_cont_features,\n                cat_cardinalities=cat_cardinalities,\n                n_classes=n_classes,\n                backbone={\n                    'type': 'MLP',\n                    'n_blocks': 3 ,\n                    'd_block': 512,\n                    'dropout': 0.25,\n                },\n                bins=None,\n                num_embeddings= None,\n                arch_type='tabm',\n                k=self.k,\n            )\n        self.lr = lr\n        self.weight_decay = weight_decay\n        self.training_step_outputs = []\n        self.validation_step_outputs = []\n        self.loss_fn = R2Loss()\n        # self.loss_fn = weighted_mse_loss\n\n    def forward(self, x_cont, x_cat):\n        return self.model(x_cont, x_cat).squeeze(-1)\n\n    def training_step(self, batch):\n        x_cont,x_cat, y, w , w_y= batch\n        x_cont = x_cont + torch.randn_like(x_cont) * 0.02\n        y_hat = self(x_cont, x_cat)\n        # loss = self.loss_fn(y_hat.flatten(0, 1), y.repeat_interleave(self.k), w_y.repeat_interleave(self.k))\n        loss = self.loss_fn(y_hat.flatten(0, 1), y.repeat_interleave(self.k))\n        self.log('train_loss', loss, on_step=True, on_epoch=True, prog_bar=True, logger=True, batch_size=x_cont.size(0))\n        self.training_step_outputs.append((y_hat.mean(1), y, w))\n        return loss\n\n    def validation_step(self, batch):\n        x_cont,x_cat, y, w, w_y = batch\n        x_cont = x_cont + torch.randn_like(x_cont) * 0.02\n        y_hat = self(x_cont, x_cat)\n        # loss = self.loss_fn(y_hat.flatten(0, 1), y.repeat_interleave(self.k), w_y.repeat_interleave(self.k))\n        loss = self.loss_fn(y_hat.flatten(0, 1), y.repeat_interleave(self.k))\n        self.log('val_loss', loss, on_step=False, on_epoch=True, prog_bar=True, logger=True, batch_size=x_cont.size(0))\n        self.validation_step_outputs.append((y_hat.mean(1), y, w))\n        return loss\n\n    def on_validation_epoch_end(self):\n        \"\"\"Calculate validation WRMSE at the end of the epoch.\"\"\"\n        y = torch.cat([x[1] for x in self.validation_step_outputs]).cpu().numpy()\n        if self.trainer.sanity_checking:\n            prob = torch.cat([x[0] for x in self.validation_step_outputs]).cpu().numpy()\n        else:\n            prob = torch.cat([x[0] for x in self.validation_step_outputs]).cpu().numpy()\n            weights = torch.cat([x[2] for x in self.validation_step_outputs]).cpu().numpy()\n            # r2_val\n            val_r_square = r2_val(y, prob, weights)\n            self.log(\"val_r_square\", val_r_square, prog_bar=True, on_step=False, on_epoch=True)\n        self.validation_step_outputs.clear()\n\n    def configure_optimizers(self):\n        optimizer = torch.optim.AdamW(make_parameter_groups(self.model), lr=self.lr, weight_decay=self.weight_decay)\n        # scheduler = torch.optim.lr_scheduler.ReduceLROnPlateau(optimizer, mode='max', factor=0.5, patience=5,\n        #                                                        verbose=True)\n        return {\n            'optimizer': optimizer,\n            # 'lr_scheduler': {\n            #     'scheduler': scheduler,\n            #     'monitor': 'val_r_square',\n            # }\n        }\n\n    def on_train_epoch_end(self):\n        if self.trainer.sanity_checking:\n            return\n\n        y = torch.cat([x[1] for x in self.training_step_outputs]).cpu().numpy()\n        prob = torch.cat([x[0] for x in self.training_step_outputs]).detach().cpu().numpy()\n        weights = torch.cat([x[2] for x in self.training_step_outputs]).cpu().numpy()\n        # r2_training\n        train_r_square = r2_val(y, prob, weights)\n        self.log(\"train_r_square\", train_r_square, prog_bar=True, on_step=False, on_epoch=True)\n        self.training_step_outputs.clear()\n\n        epoch = self.trainer.current_epoch\n        metrics = {k: v.item() if isinstance(v, torch.Tensor) else v for k, v in self.trainer.logged_metrics.items()}\n        formatted_metrics = {k: f\"{v:.5f}\" for k, v in metrics.items()}\n        print(f\"Epoch {epoch}: {formatted_metrics}\")\n        \nclass custom_args():\n    def __init__(self):\n        self.usegpu = True\n        self.gpuid = 0\n        self.seed = 42\n        self.model = 'nn'\n        self.use_wandb = False\n        self.project = 'js-tabm-with-lags'\n        self.dname = \"./input_df/\"\n        self.loader_workers = 10   \n        self.bs = 8192\n        self.lr = 1e-3\n        self.weight_decay = 8e-4\n        self.n_cont_features = 84\n        self.n_cat_features = 5\n        self.n_classes = None\n        self.cat_cardinalities = [23, 10, 32, 40, 969]\n        self.patience = 7\n        self.max_epochs = 10\n        self.N_fold = 5\n\n\nmy_args = custom_args()\n\ndevice = torch.device('cuda:0' if torch.cuda.is_available() else 'cpu')\n\nmodel = NN.load_from_checkpoint('/kaggle/input/my-own-js/tabm_epochepoch03.ckpt').to(device)","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:17.706329Z","iopub.execute_input":"2025-01-06T12:33:17.706839Z","iopub.status.idle":"2025-01-06T12:33:17.973561Z","shell.execute_reply.started":"2025-01-06T12:33:17.706799Z","shell.execute_reply":"2025-01-06T12:33:17.972564Z"},"_kg_hide-input":true},"outputs":[],"execution_count":null},{"cell_type":"code","source":"lags_ : pl.DataFrame | None = None\n\nlags_history = None\n\ndef skip_tabm(test: pl.DataFrame, lags: pl.DataFrame | None) -> None:\n    global lags_, lags_history\n    if lags is not None:\n        lags_ = lags\n\n    time_id = test.select(\"time_id\").to_numpy()[0]\n    if time_id == 0:\n        lags = lags.with_columns(pl.col('time_id').cast(pl.Int64))\n        lags = lags.with_columns(pl.col('symbol_id').cast(pl.Int64))\n        lags_history = lags\n\n\ndef predict_tabm(test: pl.DataFrame, lags: pl.DataFrame | None) -> pl.DataFrame | pd.DataFrame:\n    global lags_, lags_history\n    if lags is not None:\n        lags_ = lags\n    \n    for col in feature_cat + ['symbol_id', 'time_id']:\n        test = encode_column(test, col, category_mappings[col])\n\n    predictions = test.select(\n        'row_id',\n        pl.lit(0.0).alias('responder_6'),\n    )\n    \n    symbol_ids = test.select('symbol_id').to_numpy()[:, 0]\n\n    time_id = test.select(\"time_id\").to_numpy()[0]\n    timie_id_array = test.select(\"time_id\").to_numpy()[:, 0]\n    \n    \n    if time_id == 0:\n        lags = lags.with_columns(pl.col('time_id').cast(pl.Int64))\n        lags = lags.with_columns(pl.col('symbol_id').cast(pl.Int64))\n    \n        lags_history = lags\n        lags = lags.filter(pl.col(\"time_id\") == 0)\n        \n        \n        test = test.join(lags, on=[\"time_id\", \"symbol_id\"],  how=\"left\")\n    else:\n        lags = lags_history.filter(pl.col(\"time_id\") == time_id)\n        test = test.join(lags, on=[\"time_id\", \"symbol_id\"],  how=\"left\")\n\n    \n    test = test.with_columns([\n        pl.col(col).fill_null(0) for col in feature_list + [f\"responder_{idx}_lag_1\" for idx in range(9)] \n    ])\n\n    test = standardize(test, std_feature, means, stds)\n\n\n    X_test = test[feature_test].to_numpy()\n    X_test_tensor = torch.tensor(X_test, dtype=torch.float32).to(device)\n\n    symbol_tensor = torch.tensor(symbol_ids, dtype=torch.float32).to(device)\n    time_tensor = torch.tensor(timie_id_array, dtype=torch.float32).to(device)\n    X_cat = X_test_tensor[:, [9, 10, 11]]\n    X_cont = X_test_tensor[:, [i for i in range(X_test_tensor.shape[1]) if i not in [9, 10, 11]]]\n    # X_cont = X_cont + torch.randn_like(X_cont) * 0.02\n\n    X_cat = (torch.concat([X_cat, symbol_tensor.unsqueeze(-1), time_tensor.unsqueeze(-1)], axis=1)).to(torch.int64)\n    \n    model.eval()\n    with torch.no_grad():\n        \n        outputs = model(X_cont, X_cat)\n        # Assuming the model outputs a tensor of shape (batch_size, 1)\n        preds = outputs.squeeze(-1).cpu().numpy()\n        preds = preds.mean(1)\n    \n    predictions = \\\n    test.select('row_id').\\\n    with_columns(\n        pl.Series(\n            name   = 'responder_6', \n            values = np.clip(preds, a_min = -5, a_max = 5),\n            dtype  = pl.Float64,\n        )\n    )\n\n    return predictions","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:17.974660Z","iopub.execute_input":"2025-01-06T12:33:17.974962Z","iopub.status.idle":"2025-01-06T12:33:17.988335Z","shell.execute_reply.started":"2025-01-06T12:33:17.974936Z","shell.execute_reply":"2025-01-06T12:33:17.987419Z"}},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"## JS single model baseline N lags[Chinese ver.]\n\n`LB: 0.0073` https://www.kaggle.com/code/takanashihumbert/js-single-model-baseline-n-lags-chinese-ver","metadata":{}},{"cell_type":"code","source":"class NLAG_CONFIG:\n    debug = False\n    seed = 42\n    target_col = \"responder_6\"\n    lag_cols_rename = { f\"responder_{idx}_lag_1\" : f\"responder_{idx}\" for idx in range(9)}\n    lag_target_cols_name = [f\"responder_{idx}\" for idx in range(9)]\n    lag_cols_original = [\"date_id\", \"time_id\", \"symbol_id\"] + [f\"responder_{idx}\" for idx in range(9)]\n    model_path = \"/kaggle/input/janestreet-public-model/xgb_001.pkl\"\n    lag_ndays = 4\n\n\ndef create_agg_list(day, columns):\n    agg_mean_list = [pl.col(c).mean().name.suffix(f\"_mean_{day}d\") for c in columns]\n    agg_std_list = [pl.col(c).std().name.suffix(f\"_std_{day}d\") for c in columns]\n    agg_max_list = [pl.col(c).max().name.suffix(f\"_max_{day}d\") for c in columns]\n    agg_last_list = [pl.col(c).last().name.suffix(f\"_last_{day}d\") for c in columns]\n    agg_list = agg_mean_list + agg_std_list + agg_max_list + agg_last_list\n    return agg_list\n\n\nwith open( NLAG_CONFIG.model_path, \"rb\") as fp:\n    result = pickle.load(fp)\n    \nnlag_model = result[\"model\"]\nnlag_features = result[\"features\"]\nprint(len(nlag_features))\n\nnlag_history = pl.scan_parquet(\n    \"/kaggle/input/jane-street-real-time-market-data-forecasting/train.parquet\"\n).select(['date_id','time_id','symbol_id'] + [f\"responder_{idx}\" for idx in range(9)]).filter(\n    (pl.col(\"date_id\")>=(1698 - NLAG_CONFIG.lag_ndays))&(pl.col(\"date_id\")<1698)\n)\n# 这里将历史date_id变为从-N到-1, 假设test的date_id=0紧随train的date_id=1698,\n# 在第一个batch给出的lags应该是date_id=1698的responser(但date_id给的0),\n# 这样history中最后一个date_id=1697变为-1, 正好可以和推理时给的lags衔接上\nnlag_history = nlag_history.with_columns(\n    date_id = (pl.col(\"date_id\") - pl.lit(1698)).cast(pl.Int16)\n)\nnlag_history = nlag_history.collect()\n\n# 这里是为了统一特征的dtypes(polars在concat时如果dtype对不上会报错)\nhistory_column_types = {\n    'date_id': pl.Int16,\n    'time_id': pl.Int16,\n    'symbol_id': pl.Int16\n}\nfeature_column_types = {}\nfor f in [f\"feature_{idx:02d}\" for idx in range(79)]:\n    feature_column_types[f] = pl.Float32\n\nresponder_column_types = {}\nfor f in [f\"responder_{idx}\" for idx in range(9)]:\n    responder_column_types[f] = pl.Float32\n\nnlag_history = nlag_history.cast(history_column_types)\nnlag_history = nlag_history.cast(responder_column_types)\nnlag_history.tail()","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:17.989810Z","iopub.execute_input":"2025-01-06T12:33:17.990151Z","iopub.status.idle":"2025-01-06T12:33:18.297189Z","shell.execute_reply.started":"2025-01-06T12:33:17.990115Z","shell.execute_reply":"2025-01-06T12:33:18.296306Z"}},"outputs":[],"execution_count":null},{"cell_type":"code","source":"def skip_nlag(test: pl.DataFrame, lags: pl.DataFrame | None) -> None:\n    global nlag_history\n    global lags_infer\n    \n    symbol_ids = test.select(\"symbol_id\").to_numpy()[:, 0]\n    current_date = test.select(\"date_id\").to_numpy()[:, 0][0]\n\n    if lags is not None:\n        # 原始lags先存储到history更新历史数据\n        lags = lags.rename(NLAG_CONFIG.lag_cols_rename)\n        lags = lags.cast(history_column_types)\n        lags = lags.cast(responder_column_types)\n\n        nlag_history = pl.concat([nlag_history, lags])\n        \n        # 只储存最近N天的历史数据\n        nlag_history = nlag_history.filter(pl.col(\"date_id\") > (current_date - NLAG_CONFIG.lag_ndays))\n        # 这里构造当前date_id下所有batch用的特征\n        # 如果想用shift N天, 可以在history这样取：\n        # -- shift_n_data = history.filter(pl.col(\"date_id\") == (current_date - N))\n        # 如果想用rolling平均 N天, 可以在history这样取：\n        # -- rolling_n_data = history.filter(pl.col(\"date_id\") >= (current_date - N)).agg(任何统计指标)\n\n        # 这里用的XGB模型只使用了shift 1天的统计值\n        agg_list = create_agg_list(1, NLAG_CONFIG.lag_target_cols_name)\n        shift_n_data = nlag_history.filter(pl.col(\"date_id\") == current_date)\n        lags_infer = shift_n_data.group_by([\"date_id\", \"symbol_id\"], maintain_order=True).agg(agg_list)\n\n\ndef predict_nlag(test: pl.DataFrame, lags: pl.DataFrame | None) -> pl.DataFrame | pd.DataFrame:\n    global nlag_history\n    global lags_infer\n    \n    symbol_ids = test.select(\"symbol_id\").to_numpy()[:, 0]\n    current_date = test.select(\"date_id\").to_numpy()[:, 0][0]\n\n    if lags is not None:\n        # 原始lags先存储到history更新历史数据\n        lags = lags.rename(NLAG_CONFIG.lag_cols_rename)\n        lags = lags.cast(history_column_types)\n        lags = lags.cast(responder_column_types)\n\n        nlag_history = pl.concat([nlag_history, lags])\n        \n        # 只储存最近N天的历史数据\n        nlag_history = nlag_history.filter(pl.col(\"date_id\") > (current_date - NLAG_CONFIG.lag_ndays))\n        # 这里构造当前date_id下所有batch用的特征\n        # 如果想用shift N天, 可以在history这样取：\n        # -- shift_n_data = history.filter(pl.col(\"date_id\") == (current_date - N))\n        # 如果想用rolling平均 N天, 可以在history这样取：\n        # -- rolling_n_data = history.filter(pl.col(\"date_id\") >= (current_date - N)).agg(任何统计指标)\n\n        # 这里用的XGB模型只使用了shift 1天的统计值\n        agg_list = create_agg_list(1, NLAG_CONFIG.lag_target_cols_name)\n        shift_n_data = nlag_history.filter(pl.col(\"date_id\") == current_date)\n        lags_infer = shift_n_data.group_by([\"date_id\", \"symbol_id\"], maintain_order=True).agg(agg_list)\n  \n\n    test = test.cast(history_column_types)\n    test = test.cast(feature_column_types)\n    # 在一个date_id下的所有batch用到的lags_infer是相同的\n    # 像lags_infer这样的统计特征在每个date_id的time_id=0时构造完成\n    X_test = test.join(lags_infer, on=[\"date_id\", \"symbol_id\"], how=\"left\")\n    \n    preds = np.zeros((X_test.shape[0],))\n    preds += nlag_model.predict(X_test[nlag_features].to_pandas().values)\n    preds = np.clip(preds, a_min=-5, a_max=5)\n    \n    predictions = (\n        test.select('row_id').with_columns(\n            pl.Series(name='responder_6', values=preds, dtype=pl.Float64)\n        )\n    )\n\n    assert isinstance(predictions, pl.DataFrame | pd.DataFrame)\n    assert list(predictions.columns) == ['row_id', 'responder_6']\n    assert len(predictions) == len(test)\n\n    return predictions","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:18.298882Z","iopub.execute_input":"2025-01-06T12:33:18.299256Z","iopub.status.idle":"2025-01-06T12:33:18.310314Z","shell.execute_reply.started":"2025-01-06T12:33:18.299211Z","shell.execute_reply":"2025-01-06T12:33:18.309320Z"}},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"## JS Ridge baseline (yunsuxiaozi)\n\n`LB: 0.0042` https://www.kaggle.com/code/yunsuxiaozi/js-ridge-baseline?scriptVersionId=202938352","metadata":{}},{"cell_type":"code","source":"def load_from_dill(model_name, model_path=None, file_ext='.dill'):\n    \"\"\"\n    Load a model from a dill file\n    \n    Args:\n        model_name: Name of the model file (without extension)\n        model_path: Directory path containing the model file\n        file_ext: File extension (default: '.dill')\n        \n    Returns:\n        Loaded model object\n    \"\"\"\n    model_object = None\n    # Open and load the model file using dill\n    with open(f\"{model_path}/{model_name}{file_ext}\", \"rb\") as file_handle:\n        model_object = dill.load(file_handle)\n    return model_object\n\n# Load pre-trained Ridge Regression model\nrdg = load_from_dill(\n    model_name='Ridge', \n    model_path=\"/kaggle/input/jsridgev01011635\"\n)\n\ndef skip_ridge(test: pl.DataFrame, lags: pl.DataFrame | None) -> None:\n    pass\n\ndef predict_ridge(test, lags):\n    \"\"\"\n    Make predictions using Ridge Regression model\n    \n    Args:\n        test: DataFrame containing test data\n        lags: DataFrame containing lagged features (unused in this function)\n\n    Returns:\n        DataFrame with predictions\n    \"\"\"\n    # Select the 79 numerical features\n    cols = [f'feature_{i:02}' for i in range(79)]\n\n    # Initialize predictions DataFrame with row_id and placeholder predictions\n    predictions = test.select(\n        'row_id',\n        pl.lit(0.0).alias('responder_6'),\n    )\n\n    # Generate predictions:\n    # 1. Select required features\n    # 2. Convert to pandas\n    # 3. Fill missing values with 3\n    # 4. Make predictions using Ridge model\n    test_preds = rdg.predict(test[cols].to_pandas().fillna(3).values)\n\n    # Add predictions to result DataFrame\n    predictions = predictions.with_columns(pl.Series('responder_6', test_preds.ravel()))\n\n    return predictions","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:18.311477Z","iopub.execute_input":"2025-01-06T12:33:18.311757Z","iopub.status.idle":"2025-01-06T12:33:18.331239Z","shell.execute_reply.started":"2025-01-06T12:33:18.311701Z","shell.execute_reply":"2025-01-06T12:33:18.330411Z"}},"outputs":[],"execution_count":null},{"cell_type":"markdown","source":"# Ensemble notebook","metadata":{}},{"cell_type":"code","source":"def predict(test: pl.DataFrame, lags: pl.DataFrame | None) -> pl.DataFrame | pd.DataFrame:\n    \"\"\"\n    Make ensemble predictions combining all three models:\n    - Neural Network + XGBoost ensemble\n    - Starter ensemble (LightGBM + CatBoost + XGBoost)\n    - Ridge Regression\n    \n    Args:\n        test: DataFrame containing test data\n        lags: DataFrame containing lagged features\n        \n    Returns:\n        DataFrame with final ensemble predictions\n    \"\"\"\n    # fast path for public set\n    if not test[\"is_scored\"].any():\n        predictions = test.select('row_id', pl.lit(0.0).alias('responder_6'))\n        skip_nn_xgb(test, lags)\n        skip_ridge(test, lags)\n        skip_tabm(test, lags)\n        skip_nlag(test, lags)\n        return predictions\n    \n    # Get predictions from each model/ensemble\n    pd_nn_xgb = predict_nn_xgb(test, lags).to_pandas()     # Neural Network + XGBoost ensemble\n    pd_ridge = predict_ridge(test, lags).to_pandas()        # Ridge Regression\n    pd_tabm = predict_tabm(test, lags).to_pandas()\n    pd_nlag = predict_nlag(test, lags).to_pandas()\n\n    # Rename prediction columns to avoid conflicts\n    pd_nn_xgb = pd_nn_xgb.rename(columns={'responder_6': 'col_nn_xgb'})\n    pd_ridge = pd_ridge.rename(columns={'responder_6': 'col_ridge'})\n    pd_tabm  = pd_tabm.rename(columns={'responder_6': 'col_tabm'})\n    pd_nlag  = pd_nlag.rename(columns={'responder_6': 'col_nlag'})\n\n    # Merge all predictions based on row_id\n    pds = pd.merge(pd_nn_xgb, pd_ridge, on=['row_id'])\n    pds = pd.merge(pds, pd_tabm, on=['row_id'])\n    pds = pd.merge(pds, pd_nlag, on=['row_id'])\n\n    factor = 1.15\n    e_weights = [0.50, 0.10, 0.40, 0.20]\n    e_weights = [factor * e / sum(e_weights) for e in e_weights]\n    # Create final weighted ensemble prediction:\n    pds['responder_6'] = (\n        pds['col_nn_xgb'] * e_weights[0] +\n        pds['col_ridge'] * e_weights[1] +\n        pds['col_tabm'] * e_weights[2] +\n        pds['col_nlag'] * e_weights[3]\n    )\n\n    eps = 2e-10\n    pds['responder_6'] = np.clip(pds['responder_6'].values, -5.0 + eps, 5.0 - eps)\n\n    # Create final predictions DataFrame in required format\n    predictions = test.select('row_id', pl.lit(0.0).alias('responder_6'))\n    pred = pds['responder_6'].to_numpy()\n    predictions = predictions.with_columns(pl.Series('responder_6', pred.ravel()))\n\n    return predictions","metadata":{"_kg_hide-input":false,"_kg_hide-output":false,"papermill":{"duration":0.351292,"end_time":"2024-10-26T03:27:42.101707","exception":false,"start_time":"2024-10-26T03:27:41.750415","status":"completed"},"tags":[],"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:52.914456Z","iopub.execute_input":"2025-01-06T12:33:52.915350Z","iopub.status.idle":"2025-01-06T12:33:52.924191Z","shell.execute_reply.started":"2025-01-06T12:33:52.915312Z","shell.execute_reply":"2025-01-06T12:33:52.923181Z"}},"outputs":[],"execution_count":null},{"cell_type":"code","source":"import kaggle_evaluation.jane_street_inference_server\ninference_server = kaggle_evaluation.jane_street_inference_server.JSInferenceServer(predict)\n\nif os.getenv('KAGGLE_IS_COMPETITION_RERUN'):\n    inference_server.serve()\nelse:\n    inference_server.run_local_gateway(\n        (\n            '/kaggle/input/jane-street-real-time-market-data-forecasting/test.parquet',\n            '/kaggle/input/jane-street-real-time-market-data-forecasting/lags.parquet',\n        )\n    )","metadata":{"trusted":true,"execution":{"iopub.status.busy":"2025-01-06T12:33:54.926402Z","iopub.execute_input":"2025-01-06T12:33:54.927069Z","iopub.status.idle":"2025-01-06T12:33:54.958701Z","shell.execute_reply.started":"2025-01-06T12:33:54.927034Z","shell.execute_reply":"2025-01-06T12:33:54.957901Z"}},"outputs":[],"execution_count":null}]}