code/dataloader/_ablation.py

"""Feature-group filter for the 5-step context ablation (A--E).

The ablation isolates the marginal value of each context source on the
panel-best LLM. Settings nest:

    A: OHLCV only
    B: A + Fundamentals (XBRL stmt_* + derived_* + shares_outstanding + fullTimeEmployees)
    C: B + Macro (fred_* + eia_*)
    D: C + Scenario flags (days_since_filing, filing_8k_count_30d,
                            news_count_7d, has_press_release_7d)
    E: D + Filing text (handled in the LLM prompt; numeric features
                          identical to D)

Only the LLM ablation runs use this filter; classical / sequence / TSFM
methods always see the full feature set in the main panel results.
"""

from __future__ import annotations

import numpy as np
import pandas as pd

ABLATION_SETTINGS: tuple[str, ...] = ("A", "B", "C", "D", "E")

OHLCV: tuple[str, ...] = (
    "open", "high", "low", "close", "volume", "adj_close",
)

# Static fundamentals not following a prefix
_STATIC_FUNDAMENTALS: tuple[str, ...] = (
    "shares_outstanding", "fullTimeEmployees",
)

# Scenario / event flags (proxy for macro-event signal in the panel;
# the broader 1,130-event scenario layer enters via the prompt for T4
# and via news/8K density features here).
SCENARIO_FLAGS: tuple[str, ...] = (
    "days_since_filing",
    "filing_8k_count_30d",
    "news_count_7d",
    "has_press_release_7d",
)


def _is_fundamentals(name: str) -> bool:
    return (
        name.startswith("stmt_")
        or name.startswith("derived_")
        or name in _STATIC_FUNDAMENTALS
    )


def _is_macro(name: str) -> bool:
    return name.startswith("fred_") or name.startswith("eia_")


def _is_scenario(name: str) -> bool:
    return name in SCENARIO_FLAGS


def column_mask(feature_names: list[str], setting: str) -> list[bool]:
    """Return a per-column bool mask for the requested setting.

    The mask is over ``feature_names``; elements set to True are KEPT.
    """
    if setting not in ABLATION_SETTINGS:
        raise ValueError(
            f"setting must be one of {ABLATION_SETTINGS}, got {setting!r}"
        )

    keep: list[bool] = []
    for n in feature_names:
        if n in OHLCV:
            keep.append(True)
            continue
        if setting == "A":
            keep.append(False)
            continue
        if _is_fundamentals(n):
            keep.append(True)
            continue
        if setting == "B":
            keep.append(False)
            continue
        if _is_macro(n):
            keep.append(True)
            continue
        if setting == "C":
            keep.append(False)
            continue
        if _is_scenario(n):
            keep.append(True)
            continue
        # setting D or E: keep nothing else (unknown columns excluded)
        keep.append(False)
    return keep


def filter_columns(
    feature_names: list[str], setting: str,
) -> list[str]:
    """Return the kept feature names for ``setting``."""
    mask = column_mask(feature_names, setting)
    return [n for n, k in zip(feature_names, mask) if k]


def apply_to_t1_array(
    X: np.ndarray, feature_names: list[str], setting: str,
) -> tuple[np.ndarray, list[str]]:
    """Filter T1 ``(N, L, F)`` array to the columns of ``setting``."""
    if X.ndim != 3:
        raise ValueError(f"T1 X must be 3D (N,L,F); got shape={X.shape}")
    if X.shape[2] != len(feature_names):
        raise ValueError(
            f"T1 X feature dim {X.shape[2]} != len(feature_names) "
            f"{len(feature_names)}"
        )
    mask = column_mask(feature_names, setting)
    keep_idx = [i for i, k in enumerate(mask) if k]
    if not keep_idx:
        raise RuntimeError(
            f"setting={setting!r} produced 0 kept columns from "
            f"{len(feature_names)} features"
        )
    new_X = X[:, :, keep_idx].astype(X.dtype, copy=False)
    new_names = [feature_names[i] for i in keep_idx]
    return new_X, new_names


def apply_to_dataframe(
    X: pd.DataFrame, setting: str, *, lookback_cell_col: str | None = None,
) -> pd.DataFrame:
    """Filter a 2D DataFrame to the columns of ``setting``.

    For T4 the dataframe carries a ``lookback`` cell column whose values
    are ``(L, F)`` numpy arrays; pass ``lookback_cell_col`` so we can also
    project the cell-arrays to the same column subset. The prefix-based
    test on the dataframe's own columns still runs for any side-by-side
    numeric columns.
    """
    df = X.copy()

    if lookback_cell_col and lookback_cell_col in df.columns:
        # The (L, F) arrays in this column do not carry their feature
        # names with them. Trust meta.attrs["feature_names"]; resolve at
        # the call site that has access to it. This branch is wired
        # through ``apply_to_loaded`` below.
        pass

    # Project numeric columns if any exist
    keep = []
    for c in df.columns:
        if c in OHLCV:
            keep.append(c)
            continue
        if setting == "A":
            continue
        if _is_fundamentals(c):
            keep.append(c)
            continue
        if setting == "B":
            continue
        if _is_macro(c):
            keep.append(c)
            continue
        if setting == "C":
            continue
        if _is_scenario(c):
            keep.append(c)
            continue
    # Always preserve non-feature object cols (sector dummies, text fields
    # that the method may consume) by keeping any column that has no
    # known prefix and is not numeric.
    extra = [c for c in df.columns if c not in keep and df[c].dtype == object]
    return df[keep + extra]


def apply_to_loaded(
    loaded: "Any", setting: str,  # type: ignore[name-defined]
):  # -> LoadedData
    """Filter a ``LoadedData`` tuple in-place semantics; returns a new tuple.

    Handles the four ablation tasks:
        T1: 3D ndarray (N, L, F) -- mask axis 2
        T2 / T5: 2D DataFrame -- drop columns
        T4: DataFrame with `lookback` cell column -- project each cell
    """
    from typing import NamedTuple
    X, y, meta = loaded

    feat_names = list(meta.attrs.get("feature_names") or [])
    task = meta.attrs.get("task")

    if task == "T1":
        new_X, new_names = apply_to_t1_array(X, feat_names, setting)
        new_meta = meta.copy()
        new_meta.attrs.update(meta.attrs)
        new_meta.attrs["feature_names"] = new_names
        new_meta.attrs["ablation_setting"] = setting
        return type(loaded)(new_X, y, new_meta)

    if task in ("T2", "T5"):
        if not isinstance(X, pd.DataFrame):
            raise TypeError(f"T2/T5 X expected DataFrame, got {type(X)}")
        new_X = apply_to_dataframe(X, setting)
        new_meta = meta.copy()
        new_meta.attrs.update(meta.attrs)
        new_meta.attrs["feature_names"] = list(new_X.columns)
        new_meta.attrs["ablation_setting"] = setting
        return type(loaded)(new_X, y, new_meta)

    if task == "T4":
        if not isinstance(X, pd.DataFrame):
            raise TypeError(f"T4 X expected DataFrame, got {type(X)}")
        if not feat_names:
            raise RuntimeError(
                "T4 ablation requires meta.attrs['feature_names'] to be "
                "set by the loader; was None/empty."
            )
        mask = column_mask(feat_names, setting)
        keep_idx = [i for i, k in enumerate(mask) if k]
        new_X = X.copy()
        if "lookback" in new_X.columns:
            def _project(arr):
                if arr is None:
                    return arr
                if hasattr(arr, "shape") and arr.ndim == 2:
                    return arr[:, keep_idx]
                return arr
            new_X["lookback"] = new_X["lookback"].apply(_project)
        new_meta = meta.copy()
        new_meta.attrs.update(meta.attrs)
        new_meta.attrs["feature_names"] = [feat_names[i] for i in keep_idx]
        new_meta.attrs["ablation_setting"] = setting
        return type(loaded)(new_X, y, new_meta)

    raise ValueError(
        f"Ablation not supported for task={task!r}; "
        "ABLATION_TASKS = (T1, T2, T4, T5)"
    )