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mathias 50635cd80e docs: rewrite PROJECT.md with actual jepa-fx-risk project context
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2026-05-28 05:42:30 +00:00
mathias a0d180e37d docs: add DECISIONS.md with architecture and data decisions 2026-05-28 05:41:59 +00:00
5 changed files with 0 additions and 123 deletions
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@@ -28,9 +28,3 @@ go.work.sum
# Project-specific
bin/
*.templ.go
# python venv (autoresearch loop)
.venv/
# downloaded + processed market data (track via DVC/MinIO, #10 — not git)
data/
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# Python deps for the autoresearch loop (train.py + scripts). Install torch from
# the cu130 index FIRST (koala Blackwell sm_120, torch 2.12.1+cu130 verified):
# pip install torch --index-url https://download.pytorch.org/whl/cu130
# pip install -r requirements.txt
numpy>=2.0
pandas>=2.2
pyarrow>=16
histdata>=1.3 # histdata.com downloader (handles the tk token politely)
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"""Phase-0 compute gate (brain wiki/jepa-fx/facts/autoresearch-integration-phase1):
PyTorch cu130 must see the koala Blackwell GPU and compute before any experiment.
python scripts/check_gpu.py # exits 0 if the GPU is usable, 1 otherwise
Note: koala shares this 12GB card with the llama-swap LLM stack. The autoresearch
agent should run on iguana/berget models so koala's GPU stays free for train.py.
"""
import sys
import torch
print("torch", torch.__version__)
if not torch.cuda.is_available():
print("CUDA NOT AVAILABLE — gate BLOCKED")
sys.exit(1)
print("device:", torch.cuda.get_device_name(0))
print("capability: sm_%d%d" % torch.cuda.get_device_capability(0))
x = torch.randn(2000, 2000, device="cuda")
(x @ x).sum().item()
torch.cuda.synchronize()
print("GPU matmul OK — Phase-0 compute gate GREEN")
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"""Fetch EUR/USD M1 bars from histdata.com (free, research use).
Polite: one request per year, spaced; past years query month=None. Uses the
maintained `histdata` package which handles histdata's anti-hotlink tk token.
Output: data/raw/DAT_ASCII_EURUSD_M1_<year>.zip
YEARS=2019,2020,2021 python scripts/fetch_data.py
"""
import os
import time
from histdata import download_hist_data
from histdata.api import Platform as P, TimeFrame as T
YEARS = [y.strip() for y in os.environ.get("YEARS", "2019,2020,2021").split(",")]
def main():
os.makedirs("data/raw", exist_ok=True)
for yr in YEARS:
f = download_hist_data(
year=yr, month=None, pair="eurusd",
platform=P.GENERIC_ASCII, time_frame=T.ONE_MINUTE,
output_directory="data/raw",
)
print("fetched", yr, "->", f)
time.sleep(2) # be a good citizen
if __name__ == "__main__":
main()
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"""LOCKED data pipeline (toy) — agent must NOT edit (brain Phase-1 contract).
Parses histdata EUR/USD M1 zips → daily series with realized volatility (the
val_vol_r2 target = 1-day realized vol from intraday squared returns).
Output: data/processed/eurusd_daily.parquet [date, close, ret, realized_vol].
"""
import glob
import os
import zipfile
import numpy as np
import pandas as pd
RAW = "data/raw"
OUT = "data/processed/eurusd_daily.parquet"
def load_m1() -> pd.DataFrame:
frames = []
for zp in sorted(glob.glob(os.path.join(RAW, "DAT_ASCII_EURUSD_M1_*.zip"))):
with zipfile.ZipFile(zp) as z:
csv = [n for n in z.namelist() if n.endswith(".csv")][0]
with z.open(csv) as f:
df = pd.read_csv(
f, sep=";", header=None,
names=["dt", "open", "high", "low", "close", "vol"],
)
df["ts"] = pd.to_datetime(df["dt"], format="%Y%m%d %H%M%S")
frames.append(df[["ts", "close"]])
out = pd.concat(frames).sort_values("ts").reset_index(drop=True)
return out
def main():
m1 = load_m1()
m1["r"] = np.log(m1["close"]).diff()
m1["day"] = m1["ts"].dt.normalize()
daily = m1.groupby("day").agg(
close=("close", "last"),
realized_vol=("r", lambda x: np.sqrt(np.nansum(x.values ** 2))),
n_min=("r", "count"),
).reset_index()
daily = daily[daily["n_min"] > 60] # drop thin days (holidays)
daily["ret"] = np.log(daily["close"]).diff()
daily = daily.dropna().reset_index(drop=True)
os.makedirs(os.path.dirname(OUT), exist_ok=True)
daily[["day", "close", "ret", "realized_vol"]].rename(columns={"day": "date"}).to_parquet(OUT)
print("rows:", len(daily), "| dates:", daily["day"].min().date(), "", daily["day"].max().date())
# sanity: the COVID crash (March 2020) must show a realized-vol spike
rv = daily.set_index("day")["realized_vol"]
mar20 = rv["2020-03-01":"2020-03-31"].max()
typ = rv["2019-01-01":"2019-12-31"].median()
print("median 2019 RV: %.5f | max Mar-2020 RV: %.5f | spike x%.1f" % (typ, mar20, mar20 / typ))
if __name__ == "__main__":
main()