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>
2026-06-26 14:00:57 +02:00
parent b2bc01ba9e
commit bd8962f997
6 changed files with 281 additions and 11 deletions
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+"""Tests for multi-pair G10 pipeline (Option C).
+
+Tests the prepare_multipair.py merge logic and train.py multipair build().
+Run: cd ~/dev/AI/jepa-fx-risk && .venv/bin/python -m pytest tests/test_multipair.py -v
+"""
+import importlib.util
+import numpy as np
+import pandas as pd
+import pytest
+import os
+
+
+def _import_mp():
+    spec = importlib.util.spec_from_file_location("prepare_multipair", "scripts/prepare_multipair.py")
+    mod = importlib.util.module_from_spec(spec)
+    spec.loader.exec_module(mod)
+    return mod
+
+
+@pytest.fixture(scope="module")
+def mp():
+    return _import_mp()
+
+
+def _pair_df(start: str, n_hours: int, seed: int) -> pd.DataFrame:
+    """Synthetic single-pair hourly parquet (same schema as prepare_hourly output)."""
+    rng = np.random.default_rng(seed)
+    dts = pd.date_range(start, periods=n_hours, freq="h")
+    closes = 1.1 + np.cumsum(rng.normal(0, 0.001, n_hours))
+    return pd.DataFrame({
+        "datetime":     dts,
+        "close":        closes,
+        "ret":          rng.normal(0, 0.001, n_hours),
+        "realized_vol": np.abs(rng.normal(0.0005, 0.0001, n_hours)),
+    })
+
+
+# 1. merge_pair_parquets returns inner join on datetime
+def test_merge_inner_join(mp):
+    eur = _pair_df("2020-01-01 00:00", 100, seed=1)  # t0 to t0+99h
+    gbp = _pair_df("2020-01-01 20:00", 60, seed=2)   # t0+20 to t0+79h → 60 common
+    result = mp.merge_pair_parquets({"eurusd": eur, "gbpusd": gbp})
+    assert len(result) == 60, f"expected 60 (inner join), got {len(result)}"
+
+
+# 2. merge_pair_parquets prefixes columns with pair name
+def test_merge_column_prefixes(mp):
+    eur = _pair_df("2020-01-01 00:00", 50, seed=1)
+    gbp = _pair_df("2020-01-01 00:00", 50, seed=2)
+    result = mp.merge_pair_parquets({"eurusd": eur, "gbpusd": gbp})
+    assert "datetime" in result.columns, "datetime column missing"
+    assert "eurusd_ret" in result.columns
+    assert "eurusd_rv" in result.columns
+    assert "gbpusd_ret" in result.columns
+    assert "gbpusd_rv" in result.columns
+    # raw pair columns should not leak through unprefixed
+    assert "ret" not in result.columns
+    assert "realized_vol" not in result.columns
+
+
+# 3. No NaN in merged output
+def test_merge_no_nan(mp):
+    eur = _pair_df("2020-01-01 00:00", 50, seed=1)
+    gbp = _pair_df("2020-01-01 00:00", 50, seed=2)
+    result = mp.merge_pair_parquets({"eurusd": eur, "gbpusd": gbp})
+    nan_count = result.isnull().sum().sum()
+    assert nan_count == 0, f"{nan_count} NaN values in merged output"
+
+
+# 4. PAIRS constant is a non-empty list starting with eurusd
+def test_pairs_constant(mp):
+    assert hasattr(mp, "PAIRS"), "PAIRS constant missing from prepare_multipair.py"
+    assert len(mp.PAIRS) >= 2, "PAIRS must have at least 2 pairs"
+    assert mp.PAIRS[0] == "eurusd", "first pair must be eurusd (target pair)"
+
+
+# 5. merge target column is eurusd_rv (for build() target selection)
+def test_merge_has_eurusd_rv_as_target(mp):
+    eur = _pair_df("2020-01-01 00:00", 50, seed=1)
+    gbp = _pair_df("2020-01-01 00:00", 50, seed=2)
+    result = mp.merge_pair_parquets({"eurusd": eur, "gbpusd": gbp})
+    assert "eurusd_rv" in result.columns, "eurusd_rv (target) missing from merged output"
+    assert (result["eurusd_rv"] > 0).all(), "eurusd_rv should be positive"
+
+
+# 6. train.py recognises JEPA_USE_MULTIPAIR env var
+def test_use_multipair_knob():
+    import importlib.util as ilu
+    spec = ilu.spec_from_file_location(f"train_mp_{id(None)}", "train.py")
+    mod = ilu.module_from_spec(spec)
+    saved = os.environ.get("JEPA_USE_MULTIPAIR")
+    os.environ["JEPA_USE_MULTIPAIR"] = "1"
+    try:
+        spec.loader.exec_module(mod)
+    finally:
+        if saved is None:
+            os.environ.pop("JEPA_USE_MULTIPAIR", None)
+        else:
+            os.environ["JEPA_USE_MULTIPAIR"] = saved
+    assert hasattr(mod, "USE_MULTIPAIR"), "USE_MULTIPAIR knob missing from train.py"
+    assert mod.USE_MULTIPAIR is True
+
+
+# 7. build() uses n_pairs*2 channels when multipair parquet present
+def test_build_uses_multipair_channels():
+    import importlib.util as ilu
+    multipair_path = "data/processed/eurusd_multipair.parquet"
+    if not os.path.exists(multipair_path):
+        pytest.skip("eurusd_multipair.parquet not present — run data:prepare:multipair first")
+    saved = os.environ.get("JEPA_USE_MULTIPAIR")
+    os.environ["JEPA_USE_MULTIPAIR"] = "1"
+    try:
+        spec = ilu.spec_from_file_location(f"train_mp2_{id(None)}", "train.py")
+        mod = ilu.module_from_spec(spec)
+        spec.loader.exec_module(mod)
+        (Xtr, _), _ = mod.build()
+    finally:
+        if saved is None:
+            os.environ.pop("JEPA_USE_MULTIPAIR", None)
+        else:
+            os.environ["JEPA_USE_MULTIPAIR"] = saved
+    mp = _import_mp()
+    expected_ch = len(mp.PAIRS) * 2
+    assert Xtr.shape[2] == expected_ch, (
+        f"expected {expected_ch} channels (n_pairs={len(mp.PAIRS)}×2), got {Xtr.shape[2]}"
+    )