feat: New competition - Optiver (#356)

* Adding the competition: Optiver Volatility Prediction * Fixing for CI * Updating a new competition @ Optiver * re-writing the optiver competition * Revise for better commit * Further fixes * Further fixes * Fixes
2026-07-29 00:17:44 +00:00 · 2024-09-26 22:06:42 +08:00
parent e046ce9e0e
commit 19ec34e613
5 changed files with 321 additions and 0 deletions
@@ -0,0 +1,90 @@
+import os
+
+import numpy as np
+import pandas as pd
+from sklearn.compose import ColumnTransformer
+from sklearn.impute import SimpleImputer
+from sklearn.model_selection import train_test_split
+from sklearn.pipeline import Pipeline
+from sklearn.preprocessing import OrdinalEncoder
+
+
+def prepreprocess():
+    # Load the training data
+    train_df = pd.read_csv("/kaggle/input/optiver-realized-volatility-prediction/train.csv")
+
+    # Load book and trade data
+    book_train = pd.read_parquet("/kaggle/input/optiver-realized-volatility-prediction/book_train.parquet")
+    trade_train = pd.read_parquet("/kaggle/input/optiver-realized-volatility-prediction/trade_train.parquet")
+
+    # Merge book and trade data with train_df
+    merged_df = pd.merge(train_df, book_train, on=["stock_id", "time_id"], how="left")
+    merged_df = pd.merge(merged_df, trade_train, on=["stock_id", "time_id"], how="left")
+
+    # Split the data
+    X = merged_df.drop(["target"], axis=1)
+    y = merged_df["target"]
+
+    X_train, X_valid, y_train, y_valid = train_test_split(X, y, test_size=0.2, random_state=42)
+
+    return X_train, X_valid, y_train, y_valid
+
+
+def preprocess_fit(X_train: pd.DataFrame):
+    numerical_cols = [cname for cname in X_train.columns if X_train[cname].dtype in ["int64", "float64"]]
+    categorical_cols = [cname for cname in X_train.columns if X_train[cname].dtype == "object"]
+
+    categorical_transformer = Pipeline(
+        steps=[
+            ("imputer", SimpleImputer(strategy="most_frequent")),
+            ("ordinal", OrdinalEncoder(handle_unknown="use_encoded_value", unknown_value=-1)),
+        ]
+    )
+
+    numerical_transformer = Pipeline(steps=[("imputer", SimpleImputer(strategy="mean"))])
+
+    preprocessor = ColumnTransformer(
+        transformers=[
+            ("num", numerical_transformer, numerical_cols),
+            ("cat", categorical_transformer, categorical_cols),
+        ]
+    )
+
+    preprocessor.fit(X_train)
+
+    return preprocessor, numerical_cols, categorical_cols
+
+
+def preprocess_transform(X: pd.DataFrame, preprocessor, numerical_cols, categorical_cols):
+    X_transformed = preprocessor.transform(X)
+
+    # Convert arrays back to DataFrames
+    X_transformed = pd.DataFrame(X_transformed, columns=numerical_cols + categorical_cols, index=X.index)
+
+    return X_transformed
+
+
+def preprocess_script():
+    if os.path.exists("/kaggle/input/X_train.pkl"):
+        X_train = pd.read_pickle("/kaggle/input/X_train.pkl")
+        X_valid = pd.read_pickle("/kaggle/input/X_valid.pkl")
+        y_train = pd.read_pickle("/kaggle/input/y_train.pkl")
+        y_valid = pd.read_pickle("/kaggle/input/y_valid.pkl")
+        X_test = pd.read_pickle("/kaggle/input/X_test.pkl")
+        others = pd.read_pickle("/kaggle/input/others.pkl")
+
+        return X_train, X_valid, y_train, y_valid, X_test, *others
+
+    X_train, X_valid, y_train, y_valid = prepreprocess()
+
+    preprocessor, numerical_cols, categorical_cols = preprocess_fit(X_train)
+
+    X_train = preprocess_transform(X_train, preprocessor, numerical_cols, categorical_cols)
+    X_valid = preprocess_transform(X_valid, preprocessor, numerical_cols, categorical_cols)
+
+    submission_df = pd.read_csv("/kaggle/input/test.csv")
+    ids = submission_df["id"]
+    submission_df = submission_df.drop(["id"], axis=1)
+    X_test = preprocess_transform(submission_df, preprocessor, numerical_cols, categorical_cols)
+
+    return X_train, X_valid, y_train, y_valid, X_test, ids
@@ -0,0 +1,23 @@
+import pandas as pd
+
+"""
+Here is the feature engineering code for each task, with a class that has a fit and transform method.
+Remember
+"""
+
+
+class IdentityFeature:
+    def fit(self, train_df: pd.DataFrame):
+        """
+        Fit the feature engineering model to the training data.
+        """
+        pass
+
+    def transform(self, X: pd.DataFrame):
+        """
+        Transform the input data.
+        """
+        return X
+
+
+feature_engineering_cls = IdentityFeature
@@ -0,0 +1,48 @@
+import numpy as np
+import pandas as pd
+from sklearn.ensemble import RandomForestRegressor
+from sklearn.metrics import mean_squared_error
+
+
+def select(X: pd.DataFrame) -> pd.DataFrame:
+    """
+    Select relevant features. To be used in fit & predict function.
+    """
+    # For now, we assume all features are relevant. This can be expanded to feature selection logic.
+    return X
+
+
+def fit(X_train: pd.DataFrame, y_train: pd.Series, X_valid: pd.DataFrame, y_valid: pd.Series):
+    """
+    Define and train the Random Forest model. Merge feature selection into the pipeline.
+    """
+    # Initialize the Random Forest model
+    model = RandomForestRegressor(n_estimators=100, random_state=32, n_jobs=-1)
+
+    # Select features (if any feature selection is needed)
+    X_train_selected = select(X_train)
+    X_valid_selected = select(X_valid)
+
+    # Fit the model
+    model.fit(X_train_selected, y_train)
+
+    # Validate the model
+    y_valid_pred = model.predict(X_valid_selected)
+    mse = mean_squared_error(y_valid, y_valid_pred)
+    rmse = np.sqrt(mse)
+    print(f"Validation RMSE: {rmse:.4f}")
+
+    return model
+
+
+def predict(model, X):
+    """
+    Keep feature selection's consistency and make predictions.
+    """
+    # Select features (if any feature selection is needed)
+    X_selected = select(X)
+
+    # Predict using the trained model
+    y_pred = model.predict(X_selected)
+
+    return y_pred.reshape(-1, 1)
@@ -0,0 +1,37 @@
+import pandas as pd
+import xgboost as xgb
+
+
+def select(X: pd.DataFrame) -> pd.DataFrame:
+    # Ignore feature selection logic
+    return X
+
+
+def fit(X_train: pd.DataFrame, y_train: pd.DataFrame, X_valid: pd.DataFrame, y_valid: pd.DataFrame):
+    """Define and train the model. Merge feature_select"""
+    X_train = select(X_train)
+    X_valid = select(X_valid)
+    dtrain = xgb.DMatrix(X_train, label=y_train)
+    dvalid = xgb.DMatrix(X_valid, label=y_valid)
+
+    # Parameters for regression
+    params = {
+        "objective": "reg:squarederror",  # Use squared error for regression
+        "nthread": -1,
+    }
+    num_round = 200
+
+    evallist = [(dtrain, "train"), (dvalid, "eval")]
+    bst = xgb.train(params, dtrain, num_round, evallist)
+
+    return bst
+
+
+def predict(model, X):
+    """
+    Keep feature select's consistency.
+    """
+    X = select(X)
+    dtest = xgb.DMatrix(X)
+    y_pred = model.predict(dtest)
+    return y_pred.reshape(-1, 1)
@@ -0,0 +1,123 @@
+import importlib.util
+import random
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+from fea_share_preprocess import preprocess_script
+from sklearn.metrics import mean_squared_error
+from sklearn.model_selection import TimeSeriesSplit
+from sklearn.preprocessing import LabelEncoder
+
+# Set random seed for reproducibility
+SEED = 42
+random.seed(SEED)
+np.random.seed(SEED)
+DIRNAME = Path(__file__).absolute().resolve().parent
+
+
+def compute_rmse(y_true, y_pred):
+    """Compute RMSE for regression."""
+    mse = mean_squared_error(y_true, y_pred)
+    rmse = np.sqrt(mse)
+    return rmse
+
+
+def import_module_from_path(module_name, module_path):
+    spec = importlib.util.spec_from_file_location(module_name, module_path)
+    module = importlib.util.module_from_spec(spec)
+    spec.loader.exec_module(module)
+    return module
+
+
+print("begin preprocess")
+# 1) Preprocess the data
+X_train, X_valid, y_train, y_valid, X_test, ids = preprocess_script()
+print("preprocess done")
+
+# 2) Auto feature engineering
+X_train_l, X_valid_l = [], []
+X_test_l = []
+
+for f in DIRNAME.glob("feature/feat*.py"):
+    cls = import_module_from_path(f.stem, f).feature_engineering_cls()
+    cls.fit(X_train)
+    X_train_f = cls.transform(X_train)
+    X_valid_f = cls.transform(X_valid)
+    X_test_f = cls.transform(X_test)
+
+    X_train_l.append(X_train_f)
+    X_valid_l.append(X_valid_f)
+    X_test_l.append(X_test_f)
+
+X_train = pd.concat(X_train_l, axis=1, keys=[f"feature_{i}" for i in range(len(X_train_l))])
+X_valid = pd.concat(X_valid_l, axis=1, keys=[f"feature_{i}" for i in range(len(X_valid_l))])
+X_test = pd.concat(X_test_l, axis=1, keys=[f"feature_{i}" for i in range(len(X_test_l))])
+
+print(X_train.shape, X_valid.shape, X_test.shape)
+
+# Handle inf and -inf values
+X_train.replace([np.inf, -np.inf], np.nan, inplace=True)
+X_valid.replace([np.inf, -np.inf], np.nan, inplace=True)
+X_test.replace([np.inf, -np.inf], np.nan, inplace=True)
+
+from sklearn.impute import SimpleImputer
+
+imputer = SimpleImputer(strategy="mean")
+
+X_train = pd.DataFrame(imputer.fit_transform(X_train), columns=X_train.columns)
+X_valid = pd.DataFrame(imputer.transform(X_valid), columns=X_valid.columns)
+X_test = pd.DataFrame(imputer.transform(X_test), columns=X_test.columns)
+
+# Remove duplicate columns
+X_train = X_train.loc[:, ~X_train.columns.duplicated()]
+X_valid = X_valid.loc[:, ~X_valid.columns.duplicated()]
+X_test = X_test.loc[:, ~X_test.columns.duplicated()]
+
+
+# 3) Train the model
+def flatten_columns(df: pd.DataFrame) -> pd.DataFrame:
+    """
+    Flatten the columns of a DataFrame with MultiIndex columns,
+    for (feature_0, a), (feature_0, b) -> feature_0_a, feature_0_b
+    """
+    if df.columns.nlevels == 1:
+        return df
+    df.columns = ["_".join(col).strip() for col in df.columns.values]
+    return df
+
+
+X_train = flatten_columns(X_train)
+X_valid = flatten_columns(X_valid)
+X_test = flatten_columns(X_test)
+
+model_l = []  # list[tuple[model, predict_func,]]
+for f in DIRNAME.glob("model/model*.py"):
+    m = import_module_from_path(f.stem, f)
+    model_l.append((m.fit(X_train, y_train, X_valid, y_valid), m.predict))
+
+# 4) Evaluate the model on the validation set
+y_valid_pred_l = []
+for model, predict_func in model_l:
+    y_valid_pred_l.append(predict_func(model, X_valid))
+    print(predict_func(model, X_valid).shape)
+
+# 5) Ensemble
+y_valid_pred = np.mean(y_valid_pred_l, axis=0)
+
+rmse = compute_rmse(y_valid, y_valid_pred)
+print("Final RMSE on validation set: ", rmse)
+
+# 6) Save the validation RMSE
+pd.Series(data=[rmse], index=["RMSE"]).to_csv("submission_score.csv")
+
+# 7) Make predictions on the test set and save them
+y_test_pred_l = []
+for m, m_pred in model_l:
+    y_test_pred_l.append(m_pred(m, X_test))
+
+y_test_pred = np.mean(y_test_pred_l, axis=0).ravel()
+
+# 8) Submit predictions for the test set
+submission_result = pd.DataFrame({"id": ids, "price": y_test_pred})
+submission_result.to_csv("submission.csv", index=False)