from __future__ import annotations import json import multiprocessing as mp import re from pathlib import Path from typing import Mapping import numpy as np import pandas as pd from jinja2 import Environment, StrictUndefined from sklearn.cluster import KMeans from sklearn.metrics.pairwise import cosine_similarity from sklearn.preprocessing import normalize from tqdm.auto import tqdm from rdagent.components.document_reader.document_reader import ( load_and_process_pdfs_by_langchain, ) from rdagent.components.loader.experiment_loader import FactorExperimentLoader from rdagent.core.conf import RD_AGENT_SETTINGS from rdagent.core.prompts import Prompts from rdagent.core.utils import multiprocessing_wrapper from rdagent.log import rdagent_logger as logger from rdagent.oai.llm_utils import APIBackend, create_embedding_with_multiprocessing from rdagent.scenarios.qlib.factor_experiment_loader.json_loader import ( FactorExperimentLoaderFromDict, ) document_process_prompts = Prompts(file_path=Path(__file__).parent / "prompts.yaml") def classify_report_from_dict( report_dict: Mapping[str, str], vote_time: int = 1, substrings: tuple[str] = (), ) -> dict[str, dict[str, str]]: """ Parameters: - report_dict (Dict[str, str]): A dictionary where the key is the path of the report (ending with .pdf), and the value is either the report content as a string. - input_max_token (int): Specifying the maximum number of input tokens. - vote_time (int): An integer specifying how many times to vote. - substrings (list(str)): List of hardcode substrings. Returns: - Dict[str, Dict[str, str]]: A dictionary where each key is the path of the report, with a single key 'class' and its value being the classification result (0 or 1). """ # if len(substrings) == 0: # substrings = ( # "金融工程", # "金工", # "回测", # "因子", # "机器学习", # "深度学习", # "量化", # ) res_dict = {} classify_prompt = document_process_prompts["classify_system"] for key, value in tqdm(report_dict.items()): if not key.endswith(".pdf"): continue file_name = key if isinstance(value, str): content = value else: logger.warning(f"Input format does not meet the requirements: {file_name}") res_dict[file_name] = {"class": 0} continue # pre-filter document with key words is not necessary, skip this check for now # if ( # not any(substring in content for substring in substrings) and False # ): # res_dict[file_name] = {"class": 0} # else: while ( APIBackend().build_messages_and_calculate_token( user_prompt=content, system_prompt=classify_prompt, ) > RD_AGENT_SETTINGS.chat_token_limit ): content = content[: -(RD_AGENT_SETTINGS.chat_token_limit // 100)] vote_list = [] for _ in range(vote_time): user_prompt = content system_prompt = classify_prompt res = APIBackend().build_messages_and_create_chat_completion( user_prompt=user_prompt, system_prompt=system_prompt, json_mode=True, ) try: res = json.loads(res) vote_list.append(int(res["class"])) except json.JSONDecodeError: logger.warning(f"Return value could not be parsed: {file_name}") res_dict[file_name] = {"class": 0} count_0 = vote_list.count(0) count_1 = vote_list.count(1) if max(count_0, count_1) > int(vote_time / 2): break result = 1 if count_1 > count_0 else 0 res_dict[file_name] = {"class": result} return res_dict def __extract_factors_name_and_desc_from_content( content: str, ) -> dict[str, dict[str, str]]: session = APIBackend().build_chat_session( session_system_prompt=document_process_prompts["extract_factors_system"], ) extracted_factor_dict = {} current_user_prompt = content for _ in range(10): extract_result_resp = session.build_chat_completion( user_prompt=current_user_prompt, json_mode=True, ) ret_dict = json.loads(extract_result_resp) factors = ret_dict["factors"] if len(factors) == 0: break for factor_name, factor_description in factors.items(): extracted_factor_dict[factor_name] = factor_description current_user_prompt = document_process_prompts["extract_factors_follow_user"] return extracted_factor_dict def __extract_factors_formulation_from_content( content: str, factor_dict: dict[str, str], ) -> dict[str, dict[str, str]]: factor_dict_df = pd.DataFrame( factor_dict.items(), columns=["factor_name", "factor_description"], ) system_prompt = document_process_prompts["extract_factor_formulation_system"] current_user_prompt = ( Environment(undefined=StrictUndefined) .from_string( document_process_prompts["extract_factor_formulation_user"], ) .render(report_content=content, factor_dict=factor_dict_df.to_string()) ) session = APIBackend().build_chat_session(session_system_prompt=system_prompt) factor_to_formulation = {} for _ in range(10): extract_result_resp = session.build_chat_completion( user_prompt=current_user_prompt, json_mode=True, ) ret_dict = json.loads(extract_result_resp) for name, formulation_and_description in ret_dict.items(): if name in factor_dict: factor_to_formulation[name] = formulation_and_description if len(factor_to_formulation) != len(factor_dict): remain_df = factor_dict_df[~factor_dict_df["factor_name"].isin(factor_to_formulation)] current_user_prompt = ( "Some factors are missing. Please check the following" " factors and their descriptions and continue extraction.\n" "==========================Remaining factors" "==========================\n" + remain_df.to_string() ) else: break return factor_to_formulation def __extract_factor_and_formulation_from_one_report( content: str, ) -> dict[str, dict[str, str]]: final_factor_dict_to_one_report = {} factor_dict = __extract_factors_name_and_desc_from_content(content) if len(factor_dict) != 0: factor_to_formulation = __extract_factors_formulation_from_content( content, factor_dict, ) for factor_name in factor_dict: if ( factor_name not in factor_to_formulation or "formulation" not in factor_to_formulation[factor_name] or "variables" not in factor_to_formulation[factor_name] ): continue final_factor_dict_to_one_report.setdefault(factor_name, {}) final_factor_dict_to_one_report[factor_name]["description"] = factor_dict[factor_name] # use code to correct _ in formulation formulation = factor_to_formulation[factor_name]["formulation"] if factor_name in formulation: target_factor_name = factor_name.replace("_", r"\_") formulation = formulation.replace(factor_name, target_factor_name) for variable in factor_to_formulation[factor_name]["variables"]: if variable in formulation: target_variable = variable.replace("_", r"\_") formulation = formulation.replace(variable, target_variable) final_factor_dict_to_one_report[factor_name]["formulation"] = formulation final_factor_dict_to_one_report[factor_name]["variables"] = factor_to_formulation[factor_name]["variables"] return final_factor_dict_to_one_report def extract_factors_from_report_dict( report_dict: dict[str, str], useful_no_dict: dict[str, dict[str, str]], n_proc: int = 11, ) -> dict[str, dict[str, dict[str, str]]]: useful_report_dict = {} for key, value in useful_no_dict.items(): if isinstance(value, dict): if int(value.get("class")) == 1: useful_report_dict[key] = report_dict[key] else: logger.warning(f"Invalid input format: {key}") file_name_list = list(useful_report_dict.keys()) final_report_factor_dict = {} factor_dict_list = multiprocessing_wrapper( [ (__extract_factor_and_formulation_from_one_report, (useful_report_dict[file_name],)) for file_name in file_name_list ], n=RD_AGENT_SETTINGS.multi_proc_n, ) for index, file_name in enumerate(file_name_list): final_report_factor_dict[file_name] = factor_dict_list[index] logger.info(f"Factor extraction completed for {len(final_report_factor_dict)} reports") return final_report_factor_dict def merge_file_to_factor_dict_to_factor_dict( file_to_factor_dict: dict[str, dict], ) -> dict: factor_dict = {} for file_name in file_to_factor_dict: for factor_name in file_to_factor_dict[file_name]: factor_dict.setdefault(factor_name, []) factor_dict[factor_name].append(file_to_factor_dict[file_name][factor_name]) factor_dict_simple_deduplication = {} for factor_name in factor_dict: if len(factor_dict[factor_name]) > 1: factor_dict_simple_deduplication[factor_name] = max( factor_dict[factor_name], key=lambda x: len(x["formulation"]), ) else: factor_dict_simple_deduplication[factor_name] = factor_dict[factor_name][0] return factor_dict_simple_deduplication def __check_factor_dict_relevance( factor_df_string: str, ) -> dict[str, dict[str, str]]: extract_result_resp = APIBackend().build_messages_and_create_chat_completion( system_prompt=document_process_prompts["factor_relevance_system"], user_prompt=factor_df_string, json_mode=True, ) return json.loads(extract_result_resp) def check_factor_relevance( factor_dict: dict[str, dict[str, str]], ) -> tuple[dict[str, dict[str, str]], dict[str, dict[str, str]]]: factor_relevance_dict = {} factor_df = pd.DataFrame(factor_dict).T factor_df.index.names = ["factor_name"] while factor_df.shape[0] > 0: result_list = multiprocessing_wrapper( [ (__check_factor_dict_relevance, (factor_df.iloc[i : i + 50, :].to_string(),)) for i in range(0, factor_df.shape[0], 50) ], n=RD_AGENT_SETTINGS.multi_proc_n, ) for result in result_list: for factor_name, relevance in result.items(): factor_relevance_dict[factor_name] = relevance factor_df = factor_df[~factor_df.index.isin(factor_relevance_dict)] filtered_factor_dict = { factor_name: factor_dict[factor_name] for factor_name in factor_dict if factor_relevance_dict[factor_name]["relevance"] } return factor_relevance_dict, filtered_factor_dict def __check_factor_dict_viability_simulate_json_mode( factor_df_string: str, ) -> dict[str, dict[str, str]]: extract_result_resp = APIBackend().build_messages_and_create_chat_completion( system_prompt=document_process_prompts["factor_viability_system"], user_prompt=factor_df_string, json_mode=True, ) return json.loads(extract_result_resp) def check_factor_viability( factor_dict: dict[str, dict[str, str]], ) -> tuple[dict[str, dict[str, str]], dict[str, dict[str, str]]]: factor_viability_dict = {} factor_df = pd.DataFrame(factor_dict).T factor_df.index.names = ["factor_name"] while factor_df.shape[0] > 0: result_list = multiprocessing_wrapper( [ (__check_factor_dict_viability_simulate_json_mode, (factor_df.iloc[i : i + 50, :].to_string(),)) for i in range(0, factor_df.shape[0], 50) ], n=RD_AGENT_SETTINGS.multi_proc_n, ) for result in result_list: for factor_name, viability in result.items(): factor_viability_dict[factor_name] = viability factor_df = factor_df[~factor_df.index.isin(factor_viability_dict)] filtered_factor_dict = { factor_name: factor_dict[factor_name] for factor_name in factor_dict if factor_viability_dict[factor_name]["viability"] } return factor_viability_dict, filtered_factor_dict def __check_factor_duplication_simulate_json_mode( factor_df: pd.DataFrame, ) -> list[list[str]]: current_user_prompt = factor_df.to_string() working_list = [factor_df] final_list = [] while len(working_list) > 0: current_df = working_list.pop(0) if ( APIBackend().build_messages_and_calculate_token( user_prompt=current_df.to_string(), system_prompt=document_process_prompts["factor_duplicate_system"] ) > RD_AGENT_SETTINGS.chat_token_limit ): working_list.append(current_df.iloc[: current_df.shape[0] // 2, :]) working_list.append(current_df.iloc[current_df.shape[0] // 2 :, :]) else: final_list.append(current_df) generated_duplicated_groups = [] for current_df in final_list: current_factor_to_string = current_df.to_string() session = APIBackend().build_chat_session( session_system_prompt=document_process_prompts["factor_duplicate_system"], ) for _ in range(10): extract_result_resp = session.build_chat_completion( user_prompt=current_factor_to_string, json_mode=True, ) ret_dict = json.loads(extract_result_resp) if len(ret_dict) == 0: return generated_duplicated_groups else: generated_duplicated_groups.extend(ret_dict) current_factor_to_string = """Continue to extract duplicated groups. If no more duplicated group found please respond empty dict.""" return generated_duplicated_groups def __kmeans_embeddings(embeddings: np.ndarray, k: int = 20) -> list[list[str]]: x_normalized = normalize(embeddings) np.random.seed(42) kmeans = KMeans( n_clusters=k, init="random", max_iter=100, n_init=10, random_state=42, ) # KMeans algorithm uses Euclidean distance, and we need to customize a function to find the most similar cluster center def find_closest_cluster_cosine_similarity( data: np.ndarray, centroids: np.ndarray, ) -> np.ndarray: similarity = cosine_similarity(data, centroids) return np.argmax(similarity, axis=1) # Initializes the cluster center rng = np.random.default_rng(seed=42) centroids = rng.choice(x_normalized, size=k, replace=False) # Iterate until convergence or the maximum number of iterations is reached for _ in range(kmeans.max_iter): # Assign the sample to the nearest cluster center closest_clusters = find_closest_cluster_cosine_similarity( x_normalized, centroids, ) # update the cluster center new_centroids = np.array( [x_normalized[closest_clusters == i].mean(axis=0) for i in range(k)], ) new_centroids = normalize(new_centroids) # 归一化新的簇中心 # Check whether the cluster center has changed if np.allclose(centroids, new_centroids): break centroids = new_centroids clusters = find_closest_cluster_cosine_similarity(x_normalized, centroids) cluster_to_index = {} for index, cluster in enumerate(clusters): cluster_to_index.setdefault(cluster, []).append(index) return sorted( cluster_to_index.values(), key=lambda x: len(x), reverse=True, ) def __deduplicate_factor_dict(factor_dict: dict[str, dict[str, str]]) -> list[list[str]]: if len(factor_dict) == 0: return [] factor_df = pd.DataFrame(factor_dict).T factor_df.index.names = ["factor_name"] factor_names = sorted(factor_dict) factor_name_to_full_str = {} for factor_name in factor_dict: description = factor_dict[factor_name]["description"] formulation = factor_dict[factor_name]["formulation"] variables = factor_dict[factor_name]["variables"] factor_name_to_full_str[ factor_name ] = f"""Factor name: {factor_name} Factor description: {description} Factor formulation: {formulation} Factor variables: {variables} """ full_str_list = [factor_name_to_full_str[factor_name] for factor_name in factor_names] embeddings = create_embedding_with_multiprocessing(full_str_list) target_k = None if len(full_str_list) < RD_AGENT_SETTINGS.max_input_duplicate_factor_group: kmeans_index_group = [list(range(len(full_str_list)))] target_k = 1 else: for k in range( len(full_str_list) // RD_AGENT_SETTINGS.max_input_duplicate_factor_group, RD_AGENT_SETTINGS.max_kmeans_group_number, ): kmeans_index_group = __kmeans_embeddings(embeddings=embeddings, k=k) if len(kmeans_index_group[0]) < RD_AGENT_SETTINGS.max_input_duplicate_factor_group: target_k = k logger.info(f"K-means group number: {k}") break factor_name_groups = [[factor_names[index] for index in index_group] for index_group in kmeans_index_group] duplication_names_list = [] result_list = multiprocessing_wrapper( [ (__check_factor_duplication_simulate_json_mode, (factor_df.loc[factor_name_group, :],)) for factor_name_group in factor_name_groups ], n=RD_AGENT_SETTINGS.multi_proc_n, ) duplication_names_list = [] for deduplication_factor_names_list in result_list: filter_factor_names = [ factor_name for factor_name in set(deduplication_factor_names_list) if factor_name in factor_dict ] if len(filter_factor_names) > 1: duplication_names_list.append(filter_factor_names) return duplication_names_list def deduplicate_factors_by_llm( # noqa: C901, PLR0912 factor_dict: dict[str, dict[str, str]], factor_viability_dict: dict[str, dict[str, str]] | None = None, ) -> list[list[str]]: final_duplication_names_list = [] current_round_factor_dict = factor_dict # handle multi-round deduplication for _ in range(10): duplication_names_list = __deduplicate_factor_dict(current_round_factor_dict) new_round_names = [] for duplication_names in duplication_names_list: if len(duplication_names) < RD_AGENT_SETTINGS.max_output_duplicate_factor_group: final_duplication_names_list.append(duplication_names) else: new_round_names.extend(duplication_names) if len(new_round_names) != 0: current_round_factor_dict = {factor_name: factor_dict[factor_name] for factor_name in new_round_names} else: break # sort the final list of duplicates by their length, largest first final_duplication_names_list = sorted(final_duplication_names_list, key=lambda x: len(x), reverse=True) to_replace_dict = {} # to map duplicates to the target factor names for duplication_names in duplication_names_list: if factor_viability_dict is not None: # check viability of each factor in the duplicates group viability_list = [factor_viability_dict[name]["viability"] for name in duplication_names] if True not in viability_list: continue target_factor_name = duplication_names[viability_list.index(True)] else: target_factor_name = duplication_names[0] for duplication_factor_name in duplication_names: if duplication_factor_name == target_factor_name: continue to_replace_dict[duplication_factor_name] = target_factor_name llm_deduplicated_factor_dict = {} added_lower_name_set = set() for factor_name in factor_dict: # only add factors that haven't been replaced and are not duplicates if factor_name not in to_replace_dict and factor_name.lower() not in added_lower_name_set: if factor_viability_dict is not None and not factor_viability_dict[factor_name]["viability"]: continue added_lower_name_set.add(factor_name.lower()) llm_deduplicated_factor_dict[factor_name] = factor_dict[factor_name] return llm_deduplicated_factor_dict, final_duplication_names_list class FactorExperimentLoaderFromPDFfiles(FactorExperimentLoader): def load(self, file_or_folder_path: str) -> dict: with logger.tag("docs"): docs_dict = load_and_process_pdfs_by_langchain(file_or_folder_path) logger.log_object(docs_dict) selected_report_dict = classify_report_from_dict(report_dict=docs_dict, vote_time=1) with logger.tag("file_to_factor_result"): file_to_factor_result = extract_factors_from_report_dict(docs_dict, selected_report_dict) logger.log_object(file_to_factor_result) with logger.tag("factor_dict"): factor_dict = merge_file_to_factor_dict_to_factor_dict(file_to_factor_result) logger.log_object(factor_dict) with logger.tag("filtered_factor_dict"): factor_viability, filtered_factor_dict = check_factor_viability(factor_dict) logger.log_object(filtered_factor_dict) # factor_dict, duplication_names_list = deduplicate_factors_by_llm(factor_dict, factor_viability) return FactorExperimentLoaderFromDict().load(filtered_factor_dict)