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foxhunt/scripts/run_liquid_nn_tuning.sh
jgrusewski 8d89fe80ff chore: Second cleanup wave - organize root directory
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#!/bin/bash
# Liquid Neural Network Hyperparameter Tuning - 30 Trials
# Mission: Optimize Liquid NN for ODE integration, sparsity, and inference speed
# Expected Duration: 4-6 hours
# Combined Objective: sharpe_ratio - 0.1 * log(inference_ms)
set -euo pipefail
# Colors for output
RED='\033[0;31m'
GREEN='\033[0;32m'
YELLOW='\033[1;33m'
BLUE='\033[0;34m'
NC='\033[0m' # No Color
# Configuration
SCRIPT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")" && pwd)"
PROJECT_ROOT="${SCRIPT_DIR}"
TUNING_CONFIG="${PROJECT_ROOT}/services/ml_training_service/tuning_config.yaml"
OUTPUT_DIR="${PROJECT_ROOT}/ml/trained_models/tuning/liquid_nn"
LOG_FILE="${OUTPUT_DIR}/tuning_execution.log"
# Tuning parameters
MODEL_TYPE="LIQUID"
NUM_TRIALS=30
MAX_EPOCHS_PER_TRIAL=100
# Validation symbols (high-frequency trading suitable assets)
SYMBOLS=("6E.FUT" "ZN.FUT" "ES.FUT" "NQ.FUT")
# Hardware configuration
USE_GPU=true
GPU_DEVICE=0
echo -e "${BLUE}╔════════════════════════════════════════════════════════════╗${NC}"
echo -e "${BLUE}║ Liquid Neural Network Hyperparameter Tuning ║${NC}"
echo -e "${BLUE}║ 30 Trials - ODE Integration & Inference Speed Optimized ║${NC}"
echo -e "${BLUE}╚════════════════════════════════════════════════════════════╝${NC}"
echo ""
# Function to print section headers
print_section() {
echo -e "\n${GREEN}═══ $1 ═══${NC}\n"
}
# Function to check prerequisites
check_prerequisites() {
print_section "Checking Prerequisites"
# Check if tuning config exists
if [ ! -f "${TUNING_CONFIG}" ]; then
echo -e "${RED}✗ Tuning config not found: ${TUNING_CONFIG}${NC}"
exit 1
fi
echo -e "${GREEN}✓ Tuning configuration loaded${NC}"
# Verify LIQUID configuration exists in tuning_config.yaml
if ! grep -q "LIQUID:" "${TUNING_CONFIG}"; then
echo -e "${RED}✗ LIQUID model not configured in ${TUNING_CONFIG}${NC}"
exit 1
fi
echo -e "${GREEN}✓ LIQUID model configuration verified${NC}"
# Check GPU availability
if command -v nvidia-smi &> /dev/null; then
echo -e "${GREEN}✓ GPU detected:${NC}"
nvidia-smi --query-gpu=name,memory.total,driver_version --format=csv,noheader
# Check CUDA availability for RTX 3050 Ti
local gpu_name
gpu_name=$(nvidia-smi --query-gpu=name --format=csv,noheader)
if [[ "${gpu_name}" == *"3050"* ]]; then
echo -e "${GREEN}✓ RTX 3050 Ti detected - CUDA acceleration enabled${NC}"
fi
else
echo -e "${YELLOW}⚠ GPU not detected, will use CPU (slower)${NC}"
USE_GPU=false
fi
# Check if services are running
if ! pgrep -f "ml_training_service" > /dev/null; then
echo -e "${YELLOW}⚠ ML Training Service not running, attempting to start...${NC}"
cargo run -p ml_training_service --release &
sleep 5
fi
echo -e "${GREEN}✓ ML Training Service is running${NC}"
# Check data files
local missing_data=false
for symbol in "${SYMBOLS[@]}"; do
local data_file="${PROJECT_ROOT}/test_data/${symbol}_2024-01-02.dbn.zst"
if [ ! -f "${data_file}" ]; then
echo -e "${YELLOW}⚠ Missing data file: ${symbol} (will use available data)${NC}"
else
echo -e "${GREEN}✓ Data file found: ${symbol}${NC}"
fi
done
}
# Function to create output directory
prepare_output_directory() {
print_section "Preparing Output Directory"
mkdir -p "${OUTPUT_DIR}"
mkdir -p "${OUTPUT_DIR}/logs"
mkdir -p "${OUTPUT_DIR}/checkpoints"
mkdir -p "${OUTPUT_DIR}/plots"
mkdir -p "${OUTPUT_DIR}/analysis"
echo -e "${GREEN}✓ Output directory prepared: ${OUTPUT_DIR}${NC}"
# Initialize log file
cat > "${LOG_FILE}" <<EOF
Liquid Neural Network Hyperparameter Tuning Log
Started: $(date)
Configuration: ${TUNING_CONFIG}
Model Type: ${MODEL_TYPE}
Number of Trials: ${NUM_TRIALS}
Max Epochs per Trial: ${MAX_EPOCHS_PER_TRIAL}
Validation Symbols: ${SYMBOLS[*]}
GPU Enabled: ${USE_GPU}
Combined Objective: sharpe_ratio - 0.1 * log(inference_ms)
Key Focus Areas:
1. ODE Integration Accuracy (Euler vs RK4 vs Adaptive)
2. Sparsity Level Optimization (0.5, 0.7, 0.9)
3. Inference Speed (<100μs target)
4. Continuous-time advantage validation
═══════════════════════════════════════════════════════════
EOF
echo -e "${GREEN}✓ Log file initialized: ${LOG_FILE}${NC}"
}
# Function to display search space summary
display_search_space() {
print_section "Search Space Configuration"
echo "Hyperparameters to optimize:"
echo ""
echo "Core Architecture:"
echo " • Learning Rate: [0.0001, 0.001, 0.01] (3 choices)"
echo " • Batch Size: [32, 64, 128] (3 choices)"
echo " • Hidden Dim: [64, 128, 256] (3 choices)"
echo " • Num Layers: [1, 2, 3] (3 choices)"
echo ""
echo "ODE Integration (Critical for continuous-time dynamics):"
echo " • ODE Steps: [3, 5, 10, 20] (4 choices)"
echo " • Solver Type: [Euler, RK4, Adaptive] (3 choices)"
echo " • Default dt: [0.001 - 0.1] (log scale)"
echo ""
echo "Network Structure:"
echo " • Sparsity Level: [0.5, 0.7, 0.9] (3 choices)"
echo " • Network Type: [LTC, CfC, Mixed] (3 choices)"
echo ""
echo "Time Constant (τ) Parameters:"
echo " • Time Constant τ: [0.01, 0.1, 1.0] (3 choices)"
echo " • τ Min: [0.001 - 0.05] (log scale)"
echo " • τ Max: [0.5 - 5.0] (log scale)"
echo " • Adaptive τ: [true, false] (2 choices)"
echo ""
echo "Activation & Regularization:"
echo " • Cell Activation: [Tanh, Sigmoid, ReLU] (3 choices)"
echo " • Output Activation: [Linear, Tanh, Sigmoid] (3 choices)"
echo " • Dropout Rate: [0.0 - 0.3]"
echo " • L2 Regularization: [0.00001 - 0.001] (log scale)"
echo ""
echo "Adaptive Features:"
echo " • Market Regime Adaptation: [true, false] (2 choices)"
echo " • Early Stopping Patience: [5, 10, 15, 20]"
echo ""
echo "Total search space: ~10^10 combinations"
echo "Sampling strategy: TPE (Tree-structured Parzen Estimator)"
echo "Number of trials: ${NUM_TRIALS} (intelligent sampling)"
echo ""
}
# Function to display objective function
display_objective() {
print_section "Combined Objective Function"
echo "Objective: Maximize (Sharpe Ratio - 0.1 × log(inference_ms))"
echo ""
echo "Rationale:"
echo " • Sharpe Ratio: Primary metric for risk-adjusted returns"
echo " • Inference Time Penalty: Ensures ultra-low latency (<100μs target)"
echo " • Weight 0.1: Balances performance vs speed (logarithmic penalty)"
echo ""
echo "Target Performance:"
echo " • Sharpe Ratio: >1.5 (risk-adjusted returns)"
echo " • Inference Time: <100μs (HFT requirement)"
echo " • Combined Score: >1.4 (sharpe - 0.1*log(0.1ms) ≈ 1.5 - 0.1 = 1.4)"
echo ""
echo "ODE Integration Analysis:"
echo " • Accuracy: Higher ODE steps → better accuracy"
echo " • Speed: Lower ODE steps → faster inference"
echo " • Tradeoff: Find optimal balance for HFT"
echo ""
echo "Sparsity Analysis:"
echo " • 0.5 sparsity: 50% connections pruned"
echo " • 0.7 sparsity: 70% connections pruned"
echo " • 0.9 sparsity: 90% connections pruned (fastest)"
echo " • Target: Maximum sparsity without accuracy loss"
}
# Function to start tuning via TLI
start_tuning_job() {
print_section "Starting Hyperparameter Tuning"
echo "Initiating tuning job via TLI..."
echo "Command: tli tune start --model ${MODEL_TYPE} --trials ${NUM_TRIALS} --config ${TUNING_CONFIG}"
echo ""
# Start tuning job and capture job ID
local job_output
job_output=$(cargo run -p tli --release -- tune start \
--model "${MODEL_TYPE}" \
--trials "${NUM_TRIALS}" \
--config "${TUNING_CONFIG}" 2>&1)
# Extract job ID from output
local job_id
job_id=$(echo "${job_output}" | grep -oP 'Job ID: \K[a-f0-9-]+' || echo "")
if [ -z "${job_id}" ]; then
echo -e "${RED}✗ Failed to start tuning job${NC}"
echo "${job_output}"
exit 1
fi
echo -e "${GREEN}✓ Tuning job started successfully${NC}"
echo -e "Job ID: ${BLUE}${job_id}${NC}"
echo "${job_id}" > "${OUTPUT_DIR}/job_id.txt"
echo "${job_output}" >> "${LOG_FILE}"
echo "" >> "${LOG_FILE}"
echo "${job_id}"
}
# Function to monitor tuning progress
monitor_tuning_progress() {
local job_id=$1
print_section "Monitoring Tuning Progress"
echo "Job ID: ${job_id}"
echo "Press Ctrl+C to stop monitoring (tuning will continue in background)"
echo ""
local trial_count=0
local start_time=$(date +%s)
while true; do
# Get job status
local status_output
status_output=$(cargo run -p tli --release -- tune status --job-id "${job_id}" 2>&1 || true)
# Extract current trial number
local current_trial
current_trial=$(echo "${status_output}" | grep -oP 'Trial \K\d+' | tail -1 || echo "0")
# Extract status
local status
status=$(echo "${status_output}" | grep -oP 'Status: \K\w+' || echo "Unknown")
# Display progress bar
local progress=$((current_trial * 100 / NUM_TRIALS))
local filled=$((progress / 2))
local empty=$((50 - filled))
printf "\rProgress: ["
printf "%${filled}s" | tr ' ' '='
printf "%${empty}s" | tr ' ' ' '
printf "] %3d%% (%d/%d trials)" "${progress}" "${current_trial}" "${NUM_TRIALS}"
# Check if completed
if [[ "${status}" == "Completed" ]] || [[ "${status}" == "Failed" ]]; then
echo ""
echo ""
echo -e "${GREEN}Tuning job ${status}${NC}"
break
fi
# Periodic status log
if (( current_trial > trial_count )); then
trial_count=${current_trial}
local elapsed=$(($(date +%s) - start_time))
local avg_time_per_trial=$((elapsed / trial_count))
local remaining_trials=$((NUM_TRIALS - trial_count))
local eta=$((avg_time_per_trial * remaining_trials))
{
echo "Trial ${trial_count}/${NUM_TRIALS} completed"
echo " Elapsed: $(date -d@${elapsed} -u +%H:%M:%S)"
echo " Avg per trial: ${avg_time_per_trial}s"
echo " ETA: $(date -d@${eta} -u +%H:%M:%S)"
echo ""
} >> "${LOG_FILE}"
fi
sleep 10
done
# Log final status
echo "" >> "${LOG_FILE}"
echo "Tuning completed at: $(date)" >> "${LOG_FILE}"
echo "" >> "${LOG_FILE}"
}
# Function to retrieve best hyperparameters
retrieve_best_hyperparameters() {
local job_id=$1
print_section "Retrieving Best Hyperparameters"
local best_output
best_output=$(cargo run -p tli --release -- tune best --job-id "${job_id}" 2>&1)
echo "${best_output}"
echo "" >> "${LOG_FILE}"
echo "═══ Best Hyperparameters ═══" >> "${LOG_FILE}"
echo "${best_output}" >> "${LOG_FILE}"
echo "" >> "${LOG_FILE}"
# Save best params to file
echo "${best_output}" > "${OUTPUT_DIR}/best_hyperparameters.txt"
}
# Function to analyze ODE integration performance
analyze_ode_integration() {
print_section "ODE Integration Analysis"
echo "Analyzing ODE solver performance across trials..."
echo ""
echo "This analysis will be generated from tuning results:"
echo " • Accuracy vs ODE steps (3, 5, 10, 20)"
echo " • Inference time vs solver type (Euler, RK4, Adaptive)"
echo " • Optimal tradeoff for HFT requirements"
echo ""
# Create analysis script placeholder
cat > "${OUTPUT_DIR}/analysis/ode_integration_analysis.md" <<EOF
# ODE Integration Performance Analysis
## Objective
Find optimal balance between ODE integration accuracy and inference speed for HFT.
## Methodology
- Compare Euler (1st order), RK4 (4th order), and Adaptive solvers
- Measure accuracy improvement vs computational cost
- Analyze 3, 5, 10, 20 ODE steps per forward pass
## Expected Results
1. **Euler Solver**: Fastest, lower accuracy
2. **RK4 Solver**: Slower, higher accuracy
3. **Adaptive Solver**: Dynamic selection based on market regime
## Key Metrics
- Sharpe ratio (accuracy)
- Inference time (speed)
- Combined objective score
## Analysis
(Results will be populated after tuning completes)
### Solver Performance
| Solver | ODE Steps | Sharpe Ratio | Inference Time (μs) | Combined Score |
|--------|-----------|--------------|---------------------|----------------|
| TBD | TBD | TBD | TBD | TBD |
### Recommendations
(To be determined from tuning results)
EOF
echo -e "${GREEN}✓ ODE integration analysis template created${NC}"
}
# Function to analyze sparsity impact
analyze_sparsity_impact() {
print_section "Sparsity Level Analysis"
echo "Analyzing network sparsity impact on performance..."
echo ""
cat > "${OUTPUT_DIR}/analysis/sparsity_analysis.md" <<EOF
# Network Sparsity Performance Analysis
## Objective
Determine optimal connection sparsity for Liquid NN in HFT context.
## Sparsity Levels Tested
- 0.5: 50% connections pruned
- 0.7: 70% connections pruned
- 0.9: 90% connections pruned
## Tradeoffs
- Higher sparsity → Faster inference, fewer parameters
- Lower sparsity → Better accuracy, more expressiveness
## Analysis
(Results will be populated after tuning completes)
### Sparsity Performance
| Sparsity | Parameters | Sharpe Ratio | Inference Time (μs) | Combined Score |
|----------|------------|--------------|---------------------|----------------|
| TBD | TBD | TBD | TBD | TBD |
### Recommendations
(To be determined from tuning results)
EOF
echo -e "${GREEN}✓ Sparsity analysis template created${NC}"
}
# Function to compare with LSTM/DQN baselines
compare_with_baselines() {
print_section "Baseline Comparison"
echo "Comparison with LSTM and DQN models:"
echo ""
echo "LSTM Baseline (typical):"
echo " • Inference Time: ~500-1000μs"
echo " • Memory: Sequential state updates"
echo " • Strengths: Well-established, stable training"
echo ""
echo "DQN Baseline (Foxhunt):"
echo " • Inference Time: ~100-200μs"
echo " • Memory: Experience replay buffer"
echo " • Strengths: Reinforcement learning, discrete actions"
echo ""
echo "Liquid NN Target:"
echo " • Inference Time: <100μs (continuous-time advantage)"
echo " • Memory: Sparse connections, continuous dynamics"
echo " • Strengths: Continuous-time adaptation, regime-aware"
echo ""
cat > "${OUTPUT_DIR}/analysis/continuous_time_advantage.md" <<EOF
# Continuous-Time Advantage Analysis
## Hypothesis
Liquid Neural Networks provide advantages for HFT through:
1. **Continuous-time dynamics**: Natural fit for continuous market data
2. **Sparse connectivity**: Faster inference with fewer parameters
3. **Adaptive time constants**: Regime-aware behavior
## Comparison with Discrete-Time Models
### LSTM (Discrete-Time Recurrent)
- **Architecture**: Hidden state updates at discrete timesteps
- **Inference**: Sequential computation, ~500-1000μs
- **Adaptability**: Fixed architecture, no market regime awareness
### DQN (Discrete-Time Reinforcement Learning)
- **Architecture**: Q-network with experience replay
- **Inference**: Feedforward pass, ~100-200μs
- **Adaptability**: Learns from rewards, discrete action space
### Liquid NN (Continuous-Time Neural ODE)
- **Architecture**: Continuous-time dynamics with ODE integration
- **Inference**: Sparse forward pass, target <100μs
- **Adaptability**: Time constant modulation, market regime awareness
## Expected Advantages
1. **Speed**: Sparse connectivity → fewer operations
2. **Accuracy**: ODE integration → smooth dynamics
3. **Regime Adaptation**: Continuous-time allows adaptive behavior
## Analysis
(Results will be populated after tuning completes)
EOF
echo -e "${GREEN}✓ Continuous-time advantage analysis template created${NC}"
}
# Function to generate summary report
generate_summary_report() {
print_section "Generating Summary Report"
local report_file="${OUTPUT_DIR}/LIQUID_NN_TUNING_SUMMARY.md"
cat > "${report_file}" <<EOF
# Liquid Neural Network Hyperparameter Tuning - Summary Report
**Generated**: $(date)
**Job ID**: $(cat "${OUTPUT_DIR}/job_id.txt" 2>/dev/null || echo "N/A")
**Configuration**: ${TUNING_CONFIG}
---
## Executive Summary
Liquid Neural Networks represent a new frontier in HFT ML models, leveraging continuous-time dynamics for ultra-low latency inference and market regime adaptation.
## Tuning Configuration
- **Model Type**: ${MODEL_TYPE} (Liquid Time-constant / Closed-form Continuous-time)
- **Number of Trials**: ${NUM_TRIALS}
- **Max Epochs per Trial**: ${MAX_EPOCHS_PER_TRIAL}
- **GPU**: ${USE_GPU} (RTX 3050 Ti CUDA acceleration)
- **Validation Symbols**: ${SYMBOLS[*]}
## Combined Objective Function
\`\`\`
Maximize: Sharpe Ratio - 0.1 × log(inference_ms)
\`\`\`
### Rationale
- **Sharpe Ratio**: Risk-adjusted returns (primary goal)
- **Inference Time Penalty**: Ensures <100μs latency for HFT
- **Logarithmic Penalty**: Balanced tradeoff (0.1 weight factor)
## Search Space Overview
### Core Architecture (3³ = 27 combinations)
- Learning Rate: 3 choices
- Batch Size: 3 choices
- Hidden Dim: 3 choices
- Num Layers: 3 choices
### ODE Integration (4×3 = 12 combinations)
- ODE Steps: 4 choices [3, 5, 10, 20]
- Solver Type: 3 choices [Euler, RK4, Adaptive]
- Default dt: Continuous range [0.001 - 0.1]
### Network Structure (3×3 = 9 combinations)
- Sparsity Level: 3 choices [0.5, 0.7, 0.9]
- Network Type: 3 choices [LTC, CfC, Mixed]
### Time Constants (3×2 = 6 combinations)
- Base τ: 3 choices [0.01, 0.1, 1.0]
- Adaptive τ: 2 choices [true, false]
- τ Min/Max: Continuous ranges
**Total Search Space**: ~10^10 unique configurations
**Sampling Strategy**: TPE (Tree-structured Parzen Estimator)
## Best Hyperparameters
\`\`\`
$(cat "${OUTPUT_DIR}/best_hyperparameters.txt" 2>/dev/null || echo "Not available - check tuning job status")
\`\`\`
## ODE Integration Analysis
See detailed analysis: [ODE Integration Performance](analysis/ode_integration_analysis.md)
### Key Findings
(To be populated from tuning results)
## Sparsity Level Analysis
See detailed analysis: [Sparsity Impact](analysis/sparsity_analysis.md)
### Key Findings
(To be populated from tuning results)
## Continuous-Time Advantage
See detailed analysis: [Continuous-Time vs Discrete-Time](analysis/continuous_time_advantage.md)
### Performance Comparison
| Model Type | Inference Time (μs) | Sharpe Ratio | Combined Score |
|------------|---------------------|--------------|----------------|
| LSTM | ~500-1000 | TBD | TBD |
| DQN | ~100-200 | TBD | TBD |
| Liquid NN | Target <100 | TBD | TBD |
## Market Regime Adaptation
Liquid NN supports adaptive time constants based on market volatility:
- **Normal**: Standard dt (base time constant)
- **Sideways**: dt/2 (slower adaptation)
- **Trending**: dt×2 (faster adaptation)
- **Bull/Bear**: dt/4 (high-frequency updates)
- **Crisis**: dt/8 (ultra-fast response)
## Next Steps
1. **Validation**: Run comprehensive backtest with best hyperparameters
2. **ODE Analysis**: Deep dive into solver performance vs accuracy
3. **Sparsity Study**: Analyze connection pruning impact
4. **Production Training**: Full 100-epoch training with optimized hyperparameters
5. **Benchmark Comparison**: Test against LSTM and DQN baselines
6. **Inference Profiling**: Validate <100μs latency requirement
## Files Generated
- **Tuning Log**: ${LOG_FILE}
- **Best Hyperparameters**: ${OUTPUT_DIR}/best_hyperparameters.txt
- **ODE Analysis**: ${OUTPUT_DIR}/analysis/ode_integration_analysis.md
- **Sparsity Analysis**: ${OUTPUT_DIR}/analysis/sparsity_analysis.md
- **Continuous-Time Analysis**: ${OUTPUT_DIR}/analysis/continuous_time_advantage.md
- **Checkpoints**: ${OUTPUT_DIR}/checkpoints/
- **This Report**: ${report_file}
---
**Mission Status**: ✅ COMPLETE
**Ready for**: Production training and deployment validation
**Innovation**: First continuous-time neural ODE model in Foxhunt HFT system
EOF
echo -e "${GREEN}✓ Summary report generated: ${report_file}${NC}"
}
# Function to display completion summary
display_completion_summary() {
print_section "Tuning Complete"
local elapsed=$(($(date +%s) - SCRIPT_START_TIME))
echo -e "${GREEN}╔════════════════════════════════════════════════════════════╗${NC}"
echo -e "${GREEN}║ Liquid NN Hyperparameter Tuning Completed Successfully ║${NC}"
echo -e "${GREEN}╚════════════════════════════════════════════════════════════╝${NC}"
echo ""
echo "Duration: $(date -d@${elapsed} -u +%H:%M:%S)"
echo "Trials: ${NUM_TRIALS}"
echo "Output: ${OUTPUT_DIR}"
echo ""
echo "Key Analyses:"
echo " • ODE Integration: ${OUTPUT_DIR}/analysis/ode_integration_analysis.md"
echo " • Sparsity Impact: ${OUTPUT_DIR}/analysis/sparsity_analysis.md"
echo " • Continuous-Time Advantage: ${OUTPUT_DIR}/analysis/continuous_time_advantage.md"
echo ""
echo "Next steps:"
echo " 1. Review best hyperparameters: ${OUTPUT_DIR}/best_hyperparameters.txt"
echo " 2. Analyze ODE solver performance (Euler vs RK4 vs Adaptive)"
echo " 3. Validate sparsity level impact (0.5 vs 0.7 vs 0.9)"
echo " 4. Benchmark inference speed (<100μs target)"
echo " 5. Compare with LSTM/DQN baselines"
echo ""
echo -e "${BLUE}Full summary report: ${OUTPUT_DIR}/LIQUID_NN_TUNING_SUMMARY.md${NC}"
}
# Main execution
main() {
SCRIPT_START_TIME=$(date +%s)
# Execute tuning workflow
check_prerequisites
prepare_output_directory
display_search_space
display_objective
# Start tuning job
local job_id
job_id=$(start_tuning_job)
# Monitor progress
monitor_tuning_progress "${job_id}"
# Retrieve results
retrieve_best_hyperparameters "${job_id}"
# Perform analyses
analyze_ode_integration
analyze_sparsity_impact
compare_with_baselines
# Generate reports
generate_summary_report
display_completion_summary
}
# Run main function
main "$@"