feat(multipair): G10 multi-pair pipeline + USE_MULTIPAIR knob (Option C)

- prepare_hourly.py: parameterize PAIR env var; OUT_DEFAULT per-pair; load_m1_from_zips(pair=)
- prepare_multipair.py: inner-join 5-pair hourly parquets on datetime → wide parquet
  cols: datetime, {pair}_ret, {pair}_rv × n_pairs; eurusd_rv = target
- fetch_multipair.py: download GBPUSD/USDJPY/USDCHF/AUDUSD M1 2008-2023 from histdata
- train.py: USE_MULTIPAIR knob (JEPA_USE_MULTIPAIR=1); build() reads multipair parquet
  with n_channels = n_pairs × 2; target = eurusd_rv
- Taskfile: data:fetch:multipair, data:prepare:pair, data:prepare:multipair, data:test updated
- 7 new tests in test_multipair.py; 34/35 pass (1 SKIP until multipair parquet built)

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
2026-06-26 14:00:57 +02:00
co-authored by Claude Sonnet 4.6
parent b2bc01ba9e
commit bd8962f997
6 changed files with 281 additions and 11 deletions
+12 -1
View File
@@ -34,9 +34,20 @@ tasks:
data:prepare:all:
desc: "Build both daily and hourly parquets"
deps: [data:prepare:daily, data:prepare:hourly]
data:fetch:multipair:
desc: "Download G10 M1 data (GBPUSD/USDJPY/USDCHF/AUDUSD) 2008-2023 from histdata"
cmds: [.venv/bin/python scripts/fetch_multipair.py]
data:prepare:pair:
desc: "Build {PAIR}_hourly.parquet from data/raw/{PAIR}/ (e.g. PAIR=gbpusd)"
cmds: [PAIR={{.PAIR}} .venv/bin/python scripts/prepare_hourly.py {{.EXTRA_ARGS}}]
vars:
PAIR: '{{default "eurusd" .PAIR}}'
data:prepare:multipair:
desc: "Merge 5-pair hourly parquets into eurusd_multipair.parquet"
cmds: [.venv/bin/python scripts/prepare_multipair.py]
data:test:
desc: "Run Python data pipeline tests"
cmds: [.venv/bin/python -m pytest tests/test_prepare_hourly.py tests/test_hepa.py -v]
cmds: [.venv/bin/python -m pytest tests/test_prepare_hourly.py tests/test_hepa.py tests/test_multipair.py -v]
eval:probe:
desc: "Run linear-probe (val_vol_r2) on embeddings from metrics.json"