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feat: add portfolio risk computation contracts
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ao gong
2026-09-01 13:57:03 +08:00
parent d4ee6f005f
commit 8c5af40dad
6 changed files with 3026 additions and 13 deletions
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MODULE_SPEC.yaml
+6 -2
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@@ -1,7 +1,7 @@
{
"schema_version": 1,
"module_id": "quant_engine",
"authority": {"scope": "module_metadata", "subject": "quant_engine", "owner": "quant-engine-owner", "source": "MODULE_SPEC.yaml", "revision": 3, "effective_from": "2026-09-01T00:00:00+08:00"},
"authority": {"scope": "module_metadata", "subject": "quant_engine", "owner": "quant-engine-owner", "source": "MODULE_SPEC.yaml", "revision": 4, "effective_from": "2026-09-01T00:00:00+08:00"},
"repository": {"name": "quant_engine", "workspace_id": "researchhub", "type": "research_engine", "maturity": "operational"},
"bounded_context": {
"domain": "quantitative-research-engine",
@@ -11,6 +11,7 @@
"Submitting live orders, routing trades, managing brokerage accounts, or claiming transaction execution",
"Owning market-data source facts, research-result publication, or platform presentation state",
"Loading provider credentials, brokerage credentials, or production secrets",
"Granting portfolio approval, maker-checker decisions, publication eligibility, paper execution, or live execution authority",
"Changing financial model semantics through module metadata"
]
},
@@ -19,6 +20,7 @@
{"id": "execution-simulation", "summary": "Simulate costs, slippage, market constraints, fills, NAV, and PnL without live order routing.", "status": "operational"},
{"id": "portfolio-backtesting", "summary": "Run weight-based backtests and benchmark comparisons.", "status": "operational"},
{"id": "backtest-evidence-contracts", "summary": "Identify governed offline backtest inputs and close existing research artifact evidence without persistence or decision authority.", "status": "operational"},
{"id": "portfolio-risk-computation-contracts", "summary": "Verify deterministic portfolio-computation receipts and expose S3-bound portfolio decisions and risk assessments without adding algorithms or execution authority.", "status": "operational"},
{"id": "risk-and-performance-analysis", "summary": "Calculate portfolio decomposition, risk contribution, and performance statistics.", "status": "operational"}
],
"data": {"owns": [
@@ -30,7 +32,9 @@
{"contract_id": "researchhub.factor-definition", "version": "1.0.0", "authority": "quant_engine", "path": "src/quant_engine/factor_contracts.py"},
{"contract_id": "researchhub.factor-set-ref", "version": "1.0.0", "authority": "quant_engine", "path": "src/quant_engine/factor_contracts.py"},
{"contract_id": "researchhub.backtest-run-ref", "version": "1.0.0", "authority": "quant_engine", "path": "src/quant_engine/governed_pipeline.py"},
{"contract_id": "researchhub.backtest-evidence-manifest", "version": "1.0.0", "authority": "quant_engine", "path": "src/quant_engine/artifact.py"}
{"contract_id": "researchhub.backtest-evidence-manifest", "version": "1.0.0", "authority": "quant_engine", "path": "src/quant_engine/artifact.py"},
{"contract_id": "researchhub.portfolio-decision", "version": "1.0.0", "authority": "quant_engine", "path": "src/quant_engine/portfolio_risk_contracts.py"},
{"contract_id": "researchhub.risk-assessment", "version": "1.0.0", "authority": "quant_engine", "path": "src/quant_engine/portfolio_risk_contracts.py"}
],
"consumes": [
{"contract_id": "researchhub.dataset-snapshot", "version": "1.0.0", "authority": "researchhub.data", "admission": "qualified_immutable_envelope"},