Fix risk adjusted performance penalty

data_generator/tiingo_data_service.py

@@ -478,6 +478,9 @@ def tickers_to_tiingo_forex_url(tickers: List[str]) -> str:
             if verbose:
                 print(f'hitting url for batch of {len(batch)} tickers: {url}')
             requestResponse = requests.get(url, headers={'Content-Type': 'application/json'}, timeout=5)
+            # TODO re-enable after tiingo badwidth
+            if requestResponse.status_code == 429:
+                continue
             if requestResponse.status_code == 200:
                 lowest_delta = float('inf')
                 for x in requestResponse.json():
@@ -581,6 +584,9 @@ def tickers_to_crypto_url(tickers: List[str]) -> str:
                 print(f'hitting url for batch of {len(batch)} tickers: {url}')
 
             requestResponse = requests.get(url, headers={'Content-Type': 'application/json'}, timeout=5)
+            # TODO re-enable after tiingo badwidth
+            if requestResponse.status_code == 429:
+                continue
             if requestResponse.status_code != 200:
                 bt.logging.warning(f"Tiingo crypto API request failed with status code {requestResponse.status_code}. "
                                  f"URL: {url[:100]}... Response: {requestResponse.text[:200]}")

meta/meta.json

@@ -1,3 +1,3 @@
 {
-  "subnet_version": "8.8.9"
+  "subnet_version": "8.8.10"
 }

vali_objects/position_management/position_utils/position_penalties.py

@@ -217,7 +217,7 @@ def risk_adjusted_performance_penalty(
             score = metric_function(
                 log_returns=log_returns,
                 ledger=ledger,
-                # weighting=True, # discuss scoring weighting
+                weighting=True, # discuss scoring weighting
                 days_in_year=days_in_year
             )
             score = min(score, max_metric_value)

vali_objects/vali_dataclasses/ledger/penalty/penalty_ledger.py

@@ -898,27 +898,14 @@ def build_penalty_ledgers(self, verbose: bool = False, delta_update: bool = True
 
                         elif penalty_config.input_type == PenaltyInputType.ASSET_LEDGER:
                             segmentation_machine = AssetSegmentation({miner_hotkey: ledger_dict})
-                            accumulated_penalty = 1
-
-                            asset_class = self._asset_selection_client.get_asset_selections().get(miner_hotkey)
+                            asset_class = self._asset_selection_client.get_asset_selection(miner_hotkey)
                             if not asset_class:
-                                accumulated_penalty = 0
+                                penalty_value = 0
                             else:
-                                subcategories = ValiConfig.ASSET_CLASS_BREAKDOWN[asset_class].get("subcategory_weights", {}).keys()
-
-                                subcategory_penalties = []
-                                for subcategory in subcategories:
-                                    asset_ledger = segmentation_machine.segmentation(subcategory).get(miner_hotkey)
-                                    if not asset_ledger or not asset_ledger.cps:
-                                        continue
-                                    subcategory_penalty = penalty_config.function(asset_ledger, asset_class)
-                                    subcategory_penalties.append(subcategory_penalty)
-
-                                if subcategory_penalties:
-                                    category_penalty = sum(subcategory_penalties) / len(subcategory_penalties)
-                                    accumulated_penalty *= category_penalty
-
-                            penalty_value = accumulated_penalty
+                                asset_ledger = segmentation_machine.segmentation(asset_class).get(miner_hotkey)
+                                if not asset_ledger or not asset_ledger.cps:
+                                    continue
+                                penalty_value = penalty_config.function(asset_ledger, asset_class)
 
                     except Exception as e:
                         if verbose: