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
+5 -3
View File
@@ -18,8 +18,9 @@ import zipfile
import numpy as np
import pandas as pd
PAIR = os.environ.get("PAIR", "EURUSD").upper()
RAW_DEFAULT = "data/raw"
OUT_DEFAULT = "data/processed/eurusd_hourly.parquet"
OUT_DEFAULT = f"data/processed/{PAIR.lower()}_hourly.parquet"
MIN_BARS = 30 # drop hours thinner than this (holidays, DST boundary artefacts)
@@ -70,9 +71,10 @@ def resample_to_hourly(m1: pd.DataFrame) -> pd.DataFrame:
return agg[cols]
def load_m1_from_zips(raw_dir: str) -> pd.DataFrame:
def load_m1_from_zips(raw_dir: str, pair: str = None) -> pd.DataFrame:
"""Load and concatenate all M1 zips from raw_dir (histdata format)."""
pattern = os.path.join(raw_dir, "DAT_ASCII_EURUSD_M1_*.zip")
p = (pair or PAIR).upper()
pattern = os.path.join(raw_dir, f"DAT_ASCII_{p}_M1_*.zip")
zips = sorted(glob.glob(pattern))
if not zips:
raise FileNotFoundError(f"No M1 zips found at {pattern}")