Compare commits

..
Author SHA1 Message Date
ao gong 02393b222b feat(governance): add risk-gated paper research slice
CI / lite (pull_request) Successful in 10s
2026-08-30 16:13:26 +08:00
12 changed files with 44 additions and 6475 deletions
+2 -14
View File
@@ -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": 1, "effective_from": "2026-08-20T00:00:00+08:00"},
"repository": {"name": "quant_engine", "workspace_id": "researchhub", "type": "research_engine", "maturity": "operational"},
"bounded_context": {
"domain": "quantitative-research-engine",
@@ -18,25 +18,13 @@
{"id": "factor-and-indicator-calculation", "summary": "Calculate reusable alpha factors and technical indicators from caller-supplied data.", "status": "operational"},
{"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": "risk-and-performance-analysis", "summary": "Calculate portfolio decomposition, risk contribution, and performance statistics.", "status": "operational"}
],
"data": {"owns": [
{"asset_id": "quantitative-model-implementations", "kind": "model", "classification": "internal"},
{"asset_id": "simulation-and-metric-results", "kind": "artifact", "classification": "confidential"}
]},
"contracts": {
"provides": [
{"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"}
],
"consumes": [
{"contract_id": "researchhub.dataset-snapshot", "version": "1.0.0", "authority": "researchhub.data", "admission": "qualified_immutable_envelope"},
{"contract_id": "researchhub.data-foundation", "version": "1.0.0", "authority": "researchhub.data", "admission": "content_addressed_selected_views"}
]
},
"contracts": {"provides": [], "consumes": []},
"dependencies": [],
"agent_context": {
"default_entrypoints": [
+2 -66
View File
@@ -19,15 +19,14 @@
## 模块
- `alpha_factors` — 158 alpha 公式 + 24 基础算子(移植自 qlib alpha158)
- `factor_contracts` — `FactorDefinition` / `FactorSetRef` v1 纯计算合同、严格 PIT/availability 输入准入与显式 legacy 投影
- `execution` — A 股长仓执行仿真(成本/滑点/现金约束)+ 稀疏调仓/完整交易日 Ledger + 可投影成交与 NAV 审计;T+1、涨跌停、成交量与价差提供独立约束函数
- `indicators` — 50+ 技术指标(MACD / KDJ / 布林 / ATR / ADX / 等)
- `data_adapter` — 桥接 qtdb_pro 长表与新模块(rename / long-wide / 复权 / vwap 代理)
- `backtest` — weight-based 多日仿真(rebalance_table / compute_nav / compare_to_benchmark)
- `portfolio_construction` — 多期因子分数 → Top-K → 等权目标权重表
- `research_pipeline` — 因子日 → 下一真实交易日 → 显式执行价 → 日末估值 → 成本后绩效(防前视编排)
- `governed_pipeline` — 数据快照 → 因子版本 → 策略版本 → 回测运行 → 目标组合 → 风险决策 → Paper 订单意图;同时拥有输入/配置/重放血缘决定的 `BacktestRunRef`
- `artifact` — 版本化、确定性、存储中立的完整 research run 事实表,以及只映射现有表的 `BacktestEvidenceManifest`
- `governed_pipeline` — 数据快照 → 因子版本 → 策略版本 → 回测运行 → 目标组合 → 风险决策 → Paper 订单意图;全链路带确定性 ID,风险拒绝时禁止生成订单意图
- `artifact` — 版本化、确定性、存储中立的完整 research run 事实表与 manifest
- `attribution` — 基于实际成交后持仓的隔夜 / 日内 / 交易成本逐日收益归因与闭合审计
- `metrics` — 绝对绩效 + 严格日期对齐的 TE / IR / alpha / beta 基准相对绩效
- `factor_library` — 通用方法(turnover / winsorize / IC / OLS / jb_test)
@@ -196,69 +195,6 @@ print(backtest.stats())
print(backtest.benchmark_report())
```
## 因子/特征合同 v1
`quant_engine.factor_contracts` 提供 `researchhub.factor-definition` 与
`researchhub.factor-set-ref` `1.0.0`。合同使用受限 canonical JSON:只接受 ASCII
lower-snake-case object key、UTF-8 string、bool/null 和 safe integer;小数参数必须用显式
canonical decimal string。定义、输入映射、上游证据、输出 schema/content 和 lineage 的任一
语义变化都会产生新 identity。
创建 `FactorSetRef` 必须提供完整且可重算 identity 的 `DatasetSnapshotEnvelope` 与
`DataFoundationEnvelope`,不能用 ID 字符串或布尔值代替资格证明。每个因子输入都要映射到一个
实际选中的 `StandardizedViewRef`,schema 必须同时匹配定义和 view;未消费、缺失、重复或跨
snapshot/Foundation/PIT 的 view 都会失败关闭。snapshot PIT 可以早于 Foundation/view PIT,
但始终满足 knowledge ≤ snapshot PIT ≤ Foundation/view/FactorSet PIT ≤ evaluation。
```python
from quant_engine.factor_contracts import (
DataFoundationEnvelope,
DatasetSnapshotEnvelope,
FactorDefinition,
FactorSetRef,
)
snapshot = DatasetSnapshotEnvelope.from_dict(dataset_snapshot_v1)
foundation = DataFoundationEnvelope.from_dict(data_foundation_v1)
# definition 必须是完整的 FactorDefinition;FactorSetRef.create 还要求显式 input bindings、
# view availability、output quality/coverage、canonical output bytes 和 immutable artifact ref。
factor_set = FactorSetRef.create(
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
**explicit_factor_set_evidence,
)
```
`availability_mode="as_available"` 声明 source/view 和计算产物在历史 evaluation 前实际可用;
`"retrospective_replay"` 保留历史 evaluation,但要求真实 publication/view creation、compute 和
artifact 时间位于之后,并固定 `historical_availability="not_established"`。两种模式都不会授予
decision、real-data、production、paper 或 live readiness。
旧 `governed_pipeline.FactorVersion` 的四字段构造器、`factor_id@version`、run/target/risk/order
identity 均保持不变。迁移只能通过 content-addressed `LegacyFactorBinding`,再显式调用
`bind_legacy_factor()` 或 `project_legacy_factor()`;后者是有损投影,不表示旧 digest 与新定义
digest 等价,也不会把旧 run 静默升级为新合同。
## 回测引用与证据合同 v1
`quant_engine.governed_pipeline.BacktestRunRef` 是合格回测运行身份的唯一权威。`run_id` 只由
已验收的 Dataset Snapshot / Data Foundation / `FactorSetRef` 身份、universe、日历与公司行动
祖先、策略、执行/成本模型、严格整数 seed、完整代码提交、环境锁、配置、时间和重放血缘决定;
它不包含任何输出摘要。重放必须绑定直接父运行、连续 attempt 和不变的
`replay_spec_digest`,输入漂移或血缘环会失败关闭。
`quant_engine.artifact.BacktestEvidenceManifest` 只摘要 `ResearchRunArtifact` 已有的九张事实表。
固定 `offline_research_v1` 映射为 `run`、`signal`、`fill`、`position_nav`、`performance`、
`attribution`、`risk_snapshot` 与 `replay`;每张表都保留列模式摘要、行数和内容摘要,空 risk
表也必须有稳定 schema。`manifest_id` 由完整 RunRef 与输出证据决定,因此结果变化不会反向改变
`run_id`。当前 artifact 不拥有订单或拒绝事实,所以此画像明确不声明 `order` / `rejection`。
旧 `BacktestRun` 只能通过 `build_legacy_backtest_evidence_manifest()` 显式映射为
`LEGACY_EXPLORATORY`;不能隐式提升为 `CONTRACT_QUALIFIED`。所有资格均只描述离线证据闭合,
不表示投资有效、组合获批、Paper、生产或实盘就绪。
## 治理垂直切片
`governed_pipeline` 不复制因子、回测、组合或执行算法,只编排现有能力并补充版本与风险契约。
File diff suppressed because it is too large Load Diff
File diff suppressed because it is too large Load Diff
+1 -811
View File
@@ -11,84 +11,26 @@ import hashlib
import json
import math
import re
from collections.abc import Mapping, Sequence
from collections.abc import Mapping
from dataclasses import asdict, dataclass
from datetime import UTC, datetime
from enum import StrEnum
from types import MappingProxyType
from typing import Any, Never, Self
import pandas as pd
from quant_engine.execution import ExecutionConfig
from quant_engine.factor_contracts import (
ContractErrorCode,
DataFoundationEnvelope,
DatasetSnapshotEnvelope,
FactorContractError,
FactorDefinition,
FactorSetRef,
LegacyFactorBinding,
canonical_json,
canonical_json_bytes,
)
from quant_engine.research_pipeline import FactorBacktestResult, run_factor_backtest_research
_SHA256 = re.compile(r"^[0-9a-f]{64}$")
_PREFIXED_SHA256 = re.compile(r"^sha256:[0-9a-f]{64}$")
_GIT_SHA = re.compile(r"^[0-9a-f]{40}$")
_LOGICAL_ID = re.compile(r"^[a-z0-9][a-z0-9._-]{0,127}$")
_SEMVER = re.compile(
r"^(?:0|[1-9][0-9]*)\.(?:0|[1-9][0-9]*)\."
r"(?:0|[1-9][0-9]*)"
r"(?:-(?:0|[1-9][0-9]*|[0-9A-Za-z-]*[A-Za-z-][0-9A-Za-z-]*)"
r"(?:\.(?:0|[1-9][0-9]*|[0-9A-Za-z-]*[A-Za-z-][0-9A-Za-z-]*))*)?"
r"(?:\+[0-9A-Za-z-]+(?:\.[0-9A-Za-z-]+)*)?$"
)
_MAX_SAFE_INTEGER = (1 << 53) - 1
_FORBIDDEN_ID_TOKENS = frozenset(
{
"latest",
"provider",
"source",
"broker",
"credential",
"locator",
"uri",
"s3",
"http",
"file",
"postgres",
"mysql",
"clickhouse",
"table",
"sql",
"tushare",
"wind",
"bloomberg",
"qtdb",
"edb",
"db",
"database",
"schema",
"bucket",
"path",
"endpoint",
}
)
__all__ = [
"BACKTEST_RUN_REF_SCHEMA_VERSION",
"DatasetSnapshot",
"FactorVersion",
"bind_legacy_factor",
"project_legacy_factor",
"StrategyStage",
"StrategyVersion",
"BacktestRun",
"BacktestContractErrorCode",
"BacktestContractError",
"BacktestRunRef",
"PortfolioTarget",
"RiskPolicy",
"RiskDecisionStatus",
@@ -101,684 +43,6 @@ __all__ = [
]
BACKTEST_RUN_REF_SCHEMA_VERSION = "1.0.0"
class BacktestContractErrorCode(StrEnum):
"""Stable rejection categories shared by the S3 public contracts."""
TYPE_ERROR = "type_error"
MISSING_FIELD = "missing_field"
UNKNOWN_FIELD = "unknown_field"
INVALID_FORMAT = "invalid_format"
INVALID_VALUE = "invalid_value"
IDENTITY_MISMATCH = "identity_mismatch"
QUALIFICATION_REJECTED = "qualification_rejected"
TIME_ORDER_VIOLATION = "time_order_violation"
INPUT_CLOSURE_VIOLATION = "input_closure_violation"
LINEAGE_VIOLATION = "lineage_violation"
EVIDENCE_MISMATCH = "evidence_mismatch"
READINESS_ESCALATION = "readiness_escalation"
class BacktestContractError(ValueError):
"""Typed deterministic contract rejection with an exact JSON path."""
def __init__(self, code: BacktestContractErrorCode, path: str, detail: str) -> None:
self.code = code
self.path = path
self.detail = detail
super().__init__(f"{code.value} at {path}: {detail}")
def _backtest_fail(
code: BacktestContractErrorCode,
path: str,
detail: str,
) -> Never:
raise BacktestContractError(code, path, detail)
def _backtest_object(value: Any, path: str, fields: Sequence[str]) -> dict[str, Any]:
if type(value) is not dict:
_backtest_fail(BacktestContractErrorCode.TYPE_ERROR, path, "must be an object")
if any(type(key) is not str for key in value):
_backtest_fail(
BacktestContractErrorCode.TYPE_ERROR,
path,
"object keys must be strings",
)
required = set(fields)
missing = sorted(required - set(value))
if missing:
_backtest_fail(
BacktestContractErrorCode.MISSING_FIELD,
f"{path}.{missing[0]}",
"field is required",
)
unknown = sorted(set(value) - required)
if unknown:
_backtest_fail(
BacktestContractErrorCode.UNKNOWN_FIELD,
f"{path}.{unknown[0]}",
"field is not permitted",
)
return value
def _backtest_text(value: Any, path: str) -> str:
if type(value) is not str:
_backtest_fail(BacktestContractErrorCode.TYPE_ERROR, path, "must be a string")
try:
value.encode("utf-8")
except UnicodeEncodeError as error:
raise BacktestContractError(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be valid UTF-8 text",
) from error
if not value or value != value.strip():
_backtest_fail(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be non-empty canonical text",
)
return value
def _backtest_logical_id(value: Any, path: str) -> str:
logical_id = _backtest_text(value, path)
tokens = set(re.split(r"[._-]+", logical_id))
if _LOGICAL_ID.fullmatch(logical_id) is None or tokens & _FORBIDDEN_ID_TOKENS:
_backtest_fail(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be a stable storage-neutral logical identifier",
)
return logical_id
def _backtest_semver(value: Any, path: str) -> str:
version = _backtest_text(value, path)
if _SEMVER.fullmatch(version) is None:
_backtest_fail(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be a canonical semantic version",
)
return version
def _backtest_digest(value: Any, path: str) -> str:
digest = _backtest_text(value, path)
if _PREFIXED_SHA256.fullmatch(digest) is None:
_backtest_fail(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be a lowercase sha256 digest",
)
return digest
def _backtest_git_revision(value: Any, path: str) -> str:
revision = _backtest_text(value, path)
if _GIT_SHA.fullmatch(revision) is None:
_backtest_fail(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be a lowercase 40-character Git commit",
)
return revision
def _backtest_instant(value: Any, path: str) -> tuple[str, datetime]:
text = _backtest_text(value, path)
if not text.endswith("Z"):
_backtest_fail(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be a canonical UTC instant",
)
try:
parsed = datetime.fromisoformat(text.removesuffix("Z") + "+00:00")
except ValueError as error:
raise BacktestContractError(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be a canonical UTC instant",
) from error
normalized = parsed.astimezone(UTC).isoformat().replace("+00:00", "Z")
if normalized != text:
_backtest_fail(
BacktestContractErrorCode.INVALID_FORMAT,
path,
"must be a canonical UTC instant",
)
return text, parsed
def _backtest_integer(value: Any, path: str, *, minimum: int = 0) -> int:
if type(value) is not int:
_backtest_fail(BacktestContractErrorCode.TYPE_ERROR, path, "must be an integer")
if value < minimum:
_backtest_fail(
BacktestContractErrorCode.INVALID_VALUE,
path,
f"must be at least {minimum}",
)
if value > _MAX_SAFE_INTEGER:
_backtest_fail(
BacktestContractErrorCode.INVALID_VALUE,
path,
"integer exceeds the canonical safe range",
)
return value
def _backtest_string_tuple(value: Any, path: str) -> tuple[str, ...]:
if type(value) not in {tuple, list}:
_backtest_fail(BacktestContractErrorCode.TYPE_ERROR, path, "must be an array")
normalized = tuple(
_backtest_text(item, f"{path}[{index}]") for index, item in enumerate(value)
)
if len(normalized) != len(set(normalized)):
_backtest_fail(
BacktestContractErrorCode.INVALID_VALUE,
path,
"items must be unique",
)
return tuple(sorted(normalized))
def _content_address_digest(value: str, prefix: str, path: str) -> str:
if not value.startswith(prefix) or _SHA256.fullmatch(value.removeprefix(prefix)) is None:
_backtest_fail(
BacktestContractErrorCode.IDENTITY_MISMATCH,
path,
"authority identity is not content addressed",
)
return f"sha256:{value.removeprefix(prefix)}"
def _digest_document(value: object) -> str:
return f"sha256:{hashlib.sha256(canonical_json_bytes(value)).hexdigest()}"
def _selected_revision_closure(
foundation: DataFoundationEnvelope,
factor_set: FactorSetRef,
field: str,
) -> tuple[str, ...]:
payload = foundation.to_dict()
raw_views = payload.get("standardized_views")
if type(raw_views) is not list:
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.foundation.standardized_views",
"validated Foundation views are required",
)
selected = set(factor_set.selected_view_ref_ids)
found: set[str] = set()
seen_views: set[str] = set()
for index, raw_view in enumerate(raw_views):
if type(raw_view) is not dict:
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
f"$.foundation.standardized_views[{index}]",
"validated view object is required",
)
view_id = raw_view.get("view_ref_id")
if view_id not in selected:
continue
seen_views.add(str(view_id))
revisions = raw_view.get(field)
path = f"$.foundation.standardized_views[{index}].{field}"
if type(revisions) is not list:
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
path,
"revision closure is required",
)
for revision_index, revision_id in enumerate(revisions):
found.add(_backtest_text(revision_id, f"{path}[{revision_index}]"))
if seen_views != selected:
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.factor_set.selected_view_ref_ids",
"selected FactorSet views are not Foundation members",
)
return tuple(sorted(found))
@dataclass(frozen=True, slots=True, init=False)
class BacktestRunRef:
"""Immutable input/configuration/replay identity determined before output exists."""
contract_name: str
schema_version: str
run_id: str
dataset_snapshot_id: str
dataset_content_digest: str
dataset_manifest_digest: str
foundation_id: str
foundation_digest: str
factor_set_id: str
factor_set_digest: str
factor_output_content_digest: str
universe_digest: str
trading_calendar_revision_ids: tuple[str, ...]
trading_calendar_digest: str
corporate_action_revision_ids: tuple[str, ...]
corporate_action_digest: str
strategy_id: str
strategy_version: str
strategy_digest: str
execution_model_version: str
execution_model_digest: str
cost_model_version: str
cost_model_digest: str
random_seed: int
code_revision: str
environment_lock_digest: str
configuration_digest: str
evaluation_at: str
computed_at: str
replay_spec_digest: str
replay_parent_run_id: str | None
replay_reason: str | None
replay_attempt: int
replay_ancestor_run_ids: tuple[str, ...]
@classmethod
def create(
cls,
*,
dataset_snapshot: DatasetSnapshotEnvelope,
foundation: DataFoundationEnvelope,
factor_set: FactorSetRef,
universe_digest: str,
trading_calendar_revision_ids: Sequence[str],
corporate_action_revision_ids: Sequence[str],
strategy_id: str,
strategy_version: str,
strategy_digest: str,
execution_model_version: str,
execution_model_digest: str,
cost_model_version: str,
cost_model_digest: str,
random_seed: int,
code_revision: str,
environment_lock_digest: str,
configuration_digest: str,
evaluation_at: str,
computed_at: str,
parent: BacktestRunRef | None = None,
replay_reason: str | None = None,
replay_attempt: int = 0,
) -> Self:
return cls._build(
dataset_snapshot=dataset_snapshot,
foundation=foundation,
factor_set=factor_set,
universe_digest=universe_digest,
trading_calendar_revision_ids=trading_calendar_revision_ids,
corporate_action_revision_ids=corporate_action_revision_ids,
strategy_id=strategy_id,
strategy_version=strategy_version,
strategy_digest=strategy_digest,
execution_model_version=execution_model_version,
execution_model_digest=execution_model_digest,
cost_model_version=cost_model_version,
cost_model_digest=cost_model_digest,
random_seed=random_seed,
code_revision=code_revision,
environment_lock_digest=environment_lock_digest,
configuration_digest=configuration_digest,
evaluation_at=evaluation_at,
computed_at=computed_at,
parent=parent,
replay_reason=replay_reason,
replay_attempt=replay_attempt,
)
@classmethod
def _build(
cls,
*,
dataset_snapshot: Any,
foundation: Any,
factor_set: Any,
universe_digest: Any,
trading_calendar_revision_ids: Any,
corporate_action_revision_ids: Any,
strategy_id: Any,
strategy_version: Any,
strategy_digest: Any,
execution_model_version: Any,
execution_model_digest: Any,
cost_model_version: Any,
cost_model_digest: Any,
random_seed: Any,
code_revision: Any,
environment_lock_digest: Any,
configuration_digest: Any,
evaluation_at: Any,
computed_at: Any,
parent: BacktestRunRef | None,
replay_reason: Any,
replay_attempt: Any,
) -> Self:
if not isinstance(dataset_snapshot, DatasetSnapshotEnvelope):
_backtest_fail(
BacktestContractErrorCode.TYPE_ERROR,
"$.dataset_snapshot",
"complete validated DatasetSnapshotEnvelope required",
)
if not isinstance(foundation, DataFoundationEnvelope):
_backtest_fail(
BacktestContractErrorCode.TYPE_ERROR,
"$.foundation",
"complete validated DataFoundationEnvelope required",
)
if not isinstance(factor_set, FactorSetRef):
_backtest_fail(
BacktestContractErrorCode.TYPE_ERROR,
"$.factor_set",
"complete validated FactorSetRef required",
)
if foundation.dataset_snapshot_id != dataset_snapshot.snapshot_id:
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.foundation.dataset_snapshot_id",
"Foundation snapshot mismatch",
)
if (
factor_set.dataset_snapshot_id != dataset_snapshot.snapshot_id
or factor_set.foundation_id != foundation.foundation_id
or factor_set.upstream_evidence.snapshot_content_digest
!= dataset_snapshot.content_digest
or factor_set.upstream_evidence.snapshot_manifest_digest
!= dataset_snapshot.manifest_digest
):
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.factor_set",
"FactorSet upstream authority mismatch",
)
expected_calendars = _selected_revision_closure(
foundation,
factor_set,
"trading_calendar_revision_ids",
)
supplied_calendars = _backtest_string_tuple(
trading_calendar_revision_ids,
"$.trading_calendar_revision_ids",
)
if not expected_calendars or supplied_calendars != expected_calendars:
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.trading_calendar_revision_ids",
"must exactly match selected FactorSet calendar ancestry",
)
expected_actions = _selected_revision_closure(
foundation,
factor_set,
"corporate_action_revision_ids",
)
supplied_actions = _backtest_string_tuple(
corporate_action_revision_ids,
"$.corporate_action_revision_ids",
)
if supplied_actions != expected_actions:
_backtest_fail(
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.corporate_action_revision_ids",
"must exactly match selected FactorSet corporate-action ancestry",
)
normalized_evaluation, evaluation_time = _backtest_instant(
evaluation_at,
"$.evaluation_at",
)
normalized_computed, computed_time = _backtest_instant(computed_at, "$.computed_at")
_, factor_available = _backtest_instant(
factor_set.artifact_available_at,
"$.factor_set.artifact_available_at",
)
_, factor_evaluation = _backtest_instant(
factor_set.evaluation_at,
"$.factor_set.evaluation_at",
)
if evaluation_time < factor_evaluation or evaluation_time < factor_available:
_backtest_fail(
BacktestContractErrorCode.TIME_ORDER_VIOLATION,
"$.evaluation_at",
"run evaluation must not precede FactorSet evaluation or availability",
)
if computed_time < evaluation_time or computed_time < factor_available:
_backtest_fail(
BacktestContractErrorCode.TIME_ORDER_VIOLATION,
"$.computed_at",
"FactorSet availability and evaluation must not follow computation",
)
normalized_seed = _backtest_integer(random_seed, "$.random_seed")
replay_count = _backtest_integer(replay_attempt, "$.replay_attempt")
spec_payload: dict[str, object] = {
"dataset_snapshot_id": dataset_snapshot.snapshot_id,
"dataset_content_digest": dataset_snapshot.content_digest,
"dataset_manifest_digest": dataset_snapshot.manifest_digest,
"foundation_id": foundation.foundation_id,
"foundation_digest": _content_address_digest(
foundation.foundation_id,
"rhdfv1:sha256:",
"$.foundation.foundation_id",
),
"factor_set_id": factor_set.factor_set_id,
"factor_set_digest": _content_address_digest(
factor_set.factor_set_id,
"rhfactorsetv1:sha256:",
"$.factor_set.factor_set_id",
),
"factor_output_content_digest": factor_set.output_content_digest,
"universe_digest": _backtest_digest(universe_digest, "$.universe_digest"),
"trading_calendar_revision_ids": list(supplied_calendars),
"trading_calendar_digest": _digest_document(list(supplied_calendars)),
"corporate_action_revision_ids": list(supplied_actions),
"corporate_action_digest": _digest_document(list(supplied_actions)),
"strategy_id": _backtest_logical_id(strategy_id, "$.strategy_id"),
"strategy_version": _backtest_semver(strategy_version, "$.strategy_version"),
"strategy_digest": _backtest_digest(strategy_digest, "$.strategy_digest"),
"execution_model_version": _backtest_semver(
execution_model_version,
"$.execution_model_version",
),
"execution_model_digest": _backtest_digest(
execution_model_digest,
"$.execution_model_digest",
),
"cost_model_version": _backtest_semver(cost_model_version, "$.cost_model_version"),
"cost_model_digest": _backtest_digest(
cost_model_digest,
"$.cost_model_digest",
),
"random_seed": normalized_seed,
"code_revision": _backtest_git_revision(code_revision, "$.code_revision"),
"environment_lock_digest": _backtest_digest(
environment_lock_digest,
"$.environment_lock_digest",
),
"configuration_digest": _backtest_digest(
configuration_digest,
"$.configuration_digest",
),
"evaluation_at": normalized_evaluation,
}
replay_spec_digest = _digest_document(spec_payload)
if parent is None:
if replay_reason is not None:
_backtest_fail(
BacktestContractErrorCode.LINEAGE_VIOLATION,
"$.replay_reason",
"root run cannot declare a replay reason",
)
if replay_count != 0:
_backtest_fail(
BacktestContractErrorCode.LINEAGE_VIOLATION,
"$.replay_attempt",
"root run must use attempt zero",
)
normalized_reason = None
parent_run_id = None
ancestors: tuple[str, ...] = ()
else:
if not isinstance(parent, BacktestRunRef):
_backtest_fail(
BacktestContractErrorCode.TYPE_ERROR,
"$.parent",
"BacktestRunRef parent is required",
)
normalized_reason = _backtest_logical_id(replay_reason, "$.replay_reason")
if replay_count != parent.replay_attempt + 1:
_backtest_fail(
BacktestContractErrorCode.LINEAGE_VIOLATION,
"$.replay_attempt",
"replay attempt must follow its parent",
)
if replay_spec_digest != parent.replay_spec_digest:
_backtest_fail(
BacktestContractErrorCode.LINEAGE_VIOLATION,
"$.replay_spec_digest",
"replay cannot claim changed deterministic inputs",
)
_, parent_computed = _backtest_instant(parent.computed_at, "$.parent.computed_at")
if computed_time <= parent_computed:
_backtest_fail(
BacktestContractErrorCode.TIME_ORDER_VIOLATION,
"$.computed_at",
"replay computation must follow its parent",
)
parent_run_id = parent.run_id
ancestors = (*parent.replay_ancestor_run_ids, parent.run_id)
if len(ancestors) != len(set(ancestors)):
_backtest_fail(
BacktestContractErrorCode.LINEAGE_VIOLATION,
"$.replay_ancestor_run_ids",
"replay lineage contains a cycle",
)
payload: dict[str, object] = {
"contract_name": "researchhub.backtest-run-ref",
"schema_version": BACKTEST_RUN_REF_SCHEMA_VERSION,
**spec_payload,
"computed_at": normalized_computed,
"replay_spec_digest": replay_spec_digest,
"replay_parent_run_id": parent_run_id,
"replay_reason": normalized_reason,
"replay_attempt": replay_count,
"replay_ancestor_run_ids": list(ancestors),
}
run_id = f"rhbacktestrunv1:sha256:{hashlib.sha256(canonical_json_bytes(payload)).hexdigest()}"
values: dict[str, object] = {
**payload,
"run_id": run_id,
"trading_calendar_revision_ids": supplied_calendars,
"corporate_action_revision_ids": supplied_actions,
"replay_ancestor_run_ids": ancestors,
}
instance = object.__new__(cls)
for name, value in values.items():
object.__setattr__(instance, name, value)
return instance
def to_dict(self) -> dict[str, Any]:
return {
"contract_name": self.contract_name,
"schema_version": self.schema_version,
"run_id": self.run_id,
"dataset_snapshot_id": self.dataset_snapshot_id,
"dataset_content_digest": self.dataset_content_digest,
"dataset_manifest_digest": self.dataset_manifest_digest,
"foundation_id": self.foundation_id,
"foundation_digest": self.foundation_digest,
"factor_set_id": self.factor_set_id,
"factor_set_digest": self.factor_set_digest,
"factor_output_content_digest": self.factor_output_content_digest,
"universe_digest": self.universe_digest,
"trading_calendar_revision_ids": list(self.trading_calendar_revision_ids),
"trading_calendar_digest": self.trading_calendar_digest,
"corporate_action_revision_ids": list(self.corporate_action_revision_ids),
"corporate_action_digest": self.corporate_action_digest,
"strategy_id": self.strategy_id,
"strategy_version": self.strategy_version,
"strategy_digest": self.strategy_digest,
"execution_model_version": self.execution_model_version,
"execution_model_digest": self.execution_model_digest,
"cost_model_version": self.cost_model_version,
"cost_model_digest": self.cost_model_digest,
"random_seed": self.random_seed,
"code_revision": self.code_revision,
"environment_lock_digest": self.environment_lock_digest,
"configuration_digest": self.configuration_digest,
"evaluation_at": self.evaluation_at,
"computed_at": self.computed_at,
"replay_spec_digest": self.replay_spec_digest,
"replay_parent_run_id": self.replay_parent_run_id,
"replay_reason": self.replay_reason,
"replay_attempt": self.replay_attempt,
"replay_ancestor_run_ids": list(self.replay_ancestor_run_ids),
}
def to_json(self) -> str:
return canonical_json(self.to_dict())
@classmethod
def from_dict(
cls,
value: Any,
*,
dataset_snapshot: DatasetSnapshotEnvelope,
foundation: DataFoundationEnvelope,
factor_set: FactorSetRef,
parent: BacktestRunRef | None = None,
) -> Self:
field_names = tuple(cls.__dataclass_fields__)
item = _backtest_object(value, "$", field_names)
rebuilt = cls._build(
dataset_snapshot=dataset_snapshot,
foundation=foundation,
factor_set=factor_set,
universe_digest=item["universe_digest"],
trading_calendar_revision_ids=item["trading_calendar_revision_ids"],
corporate_action_revision_ids=item["corporate_action_revision_ids"],
strategy_id=item["strategy_id"],
strategy_version=item["strategy_version"],
strategy_digest=item["strategy_digest"],
execution_model_version=item["execution_model_version"],
execution_model_digest=item["execution_model_digest"],
cost_model_version=item["cost_model_version"],
cost_model_digest=item["cost_model_digest"],
random_seed=item["random_seed"],
code_revision=item["code_revision"],
environment_lock_digest=item["environment_lock_digest"],
configuration_digest=item["configuration_digest"],
evaluation_at=item["evaluation_at"],
computed_at=item["computed_at"],
parent=parent,
replay_reason=item["replay_reason"],
replay_attempt=item["replay_attempt"],
)
expected = rebuilt.to_dict()
for name in field_names:
if item[name] != expected[name]:
_backtest_fail(
BacktestContractErrorCode.IDENTITY_MISMATCH,
f"$.{name}",
"serialized run reference does not match admitted authorities",
)
return rebuilt
def _required_text(value: str, name: str) -> str:
normalized = value.strip()
if not normalized:
@@ -896,80 +160,6 @@ class FactorVersion:
return f"{self.factor_id}@{self.version}"
def _validate_legacy_factor_binding(
legacy: FactorVersion,
definition: FactorDefinition,
binding: LegacyFactorBinding,
) -> None:
if not isinstance(legacy, FactorVersion):
raise FactorContractError(
ContractErrorCode.TYPE_ERROR,
"$.legacy",
"FactorVersion is required",
)
if not isinstance(definition, FactorDefinition):
raise FactorContractError(
ContractErrorCode.TYPE_ERROR,
"$.definition",
"complete FactorDefinition is required",
)
if not isinstance(binding, LegacyFactorBinding):
raise FactorContractError(
ContractErrorCode.TYPE_ERROR,
"$.binding",
"LegacyFactorBinding is required",
)
expected = (
definition.definition_id,
legacy.factor_id,
legacy.version,
legacy.definition_sha256,
legacy.dataset_schema_version,
definition.input_schema_digest,
)
actual = (
binding.definition_id,
binding.legacy_factor_id,
binding.legacy_version,
binding.legacy_definition_sha256,
binding.legacy_dataset_schema_version,
binding.canonical_input_schema_digest,
)
if actual != expected:
raise FactorContractError(
ContractErrorCode.LEGACY_BINDING_MISMATCH,
"$.binding",
"binding does not exactly associate the supplied legacy and canonical identities",
)
def bind_legacy_factor(
legacy: FactorVersion,
complete_definition: FactorDefinition,
binding: LegacyFactorBinding,
) -> FactorDefinition:
"""Validate an explicit migration binding without manufacturing missing semantics."""
_validate_legacy_factor_binding(legacy, complete_definition, binding)
return complete_definition
def project_legacy_factor(
complete_definition: FactorDefinition,
binding: LegacyFactorBinding,
) -> FactorVersion:
"""Project a canonical definition into its recorded, explicitly lossy legacy identity."""
legacy = FactorVersion(
factor_id=binding.legacy_factor_id,
version=binding.legacy_version,
definition_sha256=binding.legacy_definition_sha256,
dataset_schema_version=binding.legacy_dataset_schema_version,
)
_validate_legacy_factor_binding(legacy, complete_definition, binding)
return legacy
class StrategyStage(StrEnum):
DRAFT = "Draft"
RESEARCH = "Research"
-17
View File
@@ -1,17 +0,0 @@
{
"run_id": "rhbacktestrunv1:sha256:5036c771c44a2adade9ea590eee0d8cf824ff8f519fadd8ba424e5d914856386",
"replay_spec_digest": "sha256:20f07fcb526bc38b4ba3d71d6c3b00a8c63ad96cab0fecd869326503ab42d98b",
"manifest_id": "rhbacktestevidencev1:sha256:f94733e849433f62f3da1e1ec8999891b93d49c7d657832d64e64bef9e211117",
"evidence_digest": "sha256:f3913894d032c389c64eef59058b3cbc694cb9cc14ce9cee2699f0068200b650",
"table_content_digests": {
"run": "sha256:7d947ec93f714641669cbb14bd69dd8cf30387aabb7f3a086918fc2e878ab05c",
"signals": "sha256:72dc15064cc45d7c51d2dd4b8c3a6d8c7d4155232d5d70d3c9e7697fab70ce50",
"trades": "sha256:2b8b9321e7993941ac486cf50cab5b4c6425b2571a4701f0eb02273ec9a96c53",
"positions": "sha256:b456a48fab51742b05084ca6dcaf01c03dfe5b39ad71215ada070e9b1f59f7ea",
"nav": "sha256:25649efce860b76410f87dbd36c81085887620086dc0b48b07099918f65d9c78",
"performance": "sha256:0856439ea7ec84e38887ccfa0067324f2e9cd293543e4ef683b9c2beb9eb34cf",
"attribution": "sha256:ad0f12f668d0a2d9ae5b3636d29989ab4bafcfb95f5de77abeb52a6d9e95d366",
"attribution_daily": "sha256:d4459ad650f88871d7b1e40392033037b5818ef92fdf1ee021868929fc1455a5",
"risk": "sha256:4816dd4812b5ff2e97e74bf34ca2221bfde675b387a96e277683557f0ad7d975"
}
}
-206
View File
@@ -1,206 +0,0 @@
{
"dataset_snapshot": {
"contract_name": "researchhub.dataset-snapshot",
"schema_version": "1.0.0",
"snapshot_id": "rhdsv1:sha256:f63a29b4795c63fb7d6b2d3b5544cee9274b633db77c75c63d50a340c0827d57",
"descriptor": {
"dataset": {
"dataset_id": "rhdataset:market:0123456789abcdef0123456789abcdef",
"dataset_kind": "market",
"record_schema_version": "1.0.0",
"dimensions": ["instrument_id", "effective_time"]
},
"published_at": "2026-01-02T07:05:00Z",
"time_semantics": {
"effective_time": {
"start_inclusive": "2026-01-02T07:00:00Z",
"end_inclusive": "2026-01-02T07:00:00Z"
},
"knowledge_time": {
"start_inclusive": "2026-01-02T07:01:00Z",
"end_inclusive": "2026-01-02T07:01:00Z"
},
"pit_cutoff": "2026-01-02T07:01:00Z"
},
"content": {
"digest_algorithm": "sha256",
"canonicalization": "RFC8785",
"record_order": "canonical-record-byte-order",
"content_digest": "sha256:44ea11ba64dc2e6fd55c6d8e038c5edc84ee38d6fd46e38b15a1d5409662a020",
"logical_manifest": {
"record_count": 2,
"chunks": [
{
"chunk_index": 0,
"content_digest": "sha256:44ea11ba64dc2e6fd55c6d8e038c5edc84ee38d6fd46e38b15a1d5409662a020",
"record_count": 2
}
]
},
"manifest_digest": "sha256:d991bb2f8f6b80525f93c51e0b371213a3ed4649dffb073ed4605bfbd32349bd",
"record_count": 2
},
"lineage": {
"publisher": {"id": "researchhub.data", "version": "1.0.0"},
"transformation": {
"id": "rhtransform:00112233445566778899aabbccddeeff",
"version": "1.0.0"
},
"upstream_snapshot_ids": [],
"upstream_content_digests": []
},
"quality": {
"status": "passed",
"checks": [
{
"check_id": "completeness",
"status": "passed",
"severity": "blocking",
"evidence_digest": "sha256:876fc2fcc6414ddc3f824a47f475d34c82a53d2bda5dc72a234a3f3164e8e2ec"
},
{
"check_id": "pit_time_integrity",
"status": "passed",
"severity": "blocking",
"evidence_digest": "sha256:90a6cc46b9f2ab317a1c6d14dc173784e19b5621cd7fe956e8f41338cbdc5944"
}
]
},
"qualification": {
"status": "qualified",
"policy_id": "researchhub.dataset-snapshot.pit",
"policy_version": "1.0.0",
"evaluated_at": "2026-01-02T07:04:00Z",
"evidence_digest": "sha256:e192462f9022f2b477f73cdbe9e6c9f891ebcfdc2b4ed4f8ddd7b1ff107ee6a6"
}
}
},
"data_foundation": {
"contract_name": "researchhub.data-foundation",
"schema_version": "1.0.0",
"foundation_id": "rhdfv1:sha256:d848237ab753ee9432ae78ec1f93b6ac45c8072d6694023b7f288203daf9d838",
"dataset_snapshot_id": "rhdsv1:sha256:f63a29b4795c63fb7d6b2d3b5544cee9274b633db77c75c63d50a340c0827d57",
"pit_cutoff": "2026-01-03T00:00:00Z",
"instrument_routes": [
{
"route_revision_id": "rhroutev1:sha256:ca67013250e28ab4cce16570607379a8792400e62415ee6cb71c75508e2f3d86",
"instrument_id": "rhinstrument:0123456789abcdef0123456789abcdef",
"revision_number": 1,
"symbol": "600000",
"mic": "XSHG",
"currency": "CNY",
"asset_class": "equity",
"instrument_type": "stock",
"calendar_id": "rhcalendar:11112222333344445555666677778888",
"effective_from": "2020-01-01T00:00:00Z",
"knowledge_time": "2026-01-01T07:00:00Z",
"evidence_digest": "sha256:aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa"
}
],
"trading_calendar_revisions": [
{
"calendar_revision_id": "rhcalv1:sha256:1f4ca22557063389badd669cf774bb35234066e847646682dccfe411e252a078",
"calendar_id": "rhcalendar:11112222333344445555666677778888",
"session_date": "2026-01-02",
"revision_number": 1,
"status": "open",
"sessions": [
{"opens_at": "2026-01-02T01:30:00Z", "closes_at": "2026-01-02T07:00:00Z"}
],
"knowledge_time": "2026-01-01T08:00:00Z",
"evidence_digest": "sha256:bbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbb"
}
],
"corporate_action_revisions": [
{
"action_revision_id": "rhcav1:sha256:0f947df29f152bfa2c6ab0da7a0d464670c7ad2526cd10f2a7939b42fee5c275",
"action_id": "rhaction:99998888777766665555444433332222",
"instrument_id": "rhinstrument:0123456789abcdef0123456789abcdef",
"revision_number": 1,
"action_type": "cash_dividend",
"status": "confirmed",
"effective_time": "2026-01-02T00:00:00Z",
"knowledge_time": "2026-01-01T09:00:00Z",
"terms_digest": "sha256:cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc",
"evidence_digest": "sha256:dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd"
}
],
"standardized_views": [
{
"view_ref_id": "rhviewrefv1:sha256:bf776bcd26d940fafde1d650776a5505fb3fe8b5b068c351622bf2c42385629c",
"view_id": "rhview:abcdef0123456789abcdef0123456789",
"view_version": "1.0.0",
"dataset_snapshot_id": "rhdsv1:sha256:f63a29b4795c63fb7d6b2d3b5544cee9274b633db77c75c63d50a340c0827d57",
"pit_cutoff": "2026-01-03T00:00:00Z",
"schema_digest": "sha256:0123456789abcdef0123456789abcdef0123456789abcdef0123456789abcdef",
"content_digest": "sha256:123456789abcdef0123456789abcdef0123456789abcdef0123456789abcdef0",
"transformation_digest": "sha256:23456789abcdef0123456789abcdef0123456789abcdef0123456789abcdef01",
"instrument_route_revision_ids": [
"rhroutev1:sha256:ca67013250e28ab4cce16570607379a8792400e62415ee6cb71c75508e2f3d86"
],
"trading_calendar_revision_ids": [
"rhcalv1:sha256:1f4ca22557063389badd669cf774bb35234066e847646682dccfe411e252a078"
],
"corporate_action_revision_ids": [
"rhcav1:sha256:0f947df29f152bfa2c6ab0da7a0d464670c7ad2526cd10f2a7939b42fee5c275"
]
}
],
"revision_lineage": [
{
"revision_kind": "instrument_route",
"revision_id": "rhroutev1:sha256:ca67013250e28ab4cce16570607379a8792400e62415ee6cb71c75508e2f3d86",
"revision_number": 1,
"knowledge_time": "2026-01-01T07:00:00Z",
"evidence_digest": "sha256:aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa"
},
{
"revision_kind": "trading_calendar",
"revision_id": "rhcalv1:sha256:1f4ca22557063389badd669cf774bb35234066e847646682dccfe411e252a078",
"revision_number": 1,
"knowledge_time": "2026-01-01T08:00:00Z",
"evidence_digest": "sha256:bbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbb"
},
{
"revision_kind": "corporate_action",
"revision_id": "rhcav1:sha256:0f947df29f152bfa2c6ab0da7a0d464670c7ad2526cd10f2a7939b42fee5c275",
"revision_number": 1,
"knowledge_time": "2026-01-01T09:00:00Z",
"evidence_digest": "sha256:dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd"
}
],
"readiness": {
"evidence_scope": "synthetic_fixture",
"contract_validation": {
"status": "validated",
"evidence_digests": [
"sha256:eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee"
]
},
"real_data_validation": {"status": "not_validated", "evidence_digests": []},
"production_validation": {"status": "not_validated", "evidence_digests": []},
"live_validation": {"status": "not_validated", "evidence_digests": []}
}
},
"output_schema": {
"columns": ["evaluation_at", "factor_id", "instrument_id", "value"],
"schema_version": "1.0.0"
},
"output_content": {
"rows": [
{
"evaluation_at": "2026-01-03T11:00:00Z",
"factor_id": "alpha_005",
"instrument_id": "rhinstrument:0123456789abcdef0123456789abcdef",
"value": "0.125"
}
]
},
"expected": {
"definition_id": "rhfactorv1:sha256:978fb8000d318373844a5e044ca14bf377e01ebe8d85964b826ecd2af9085ce9",
"input_schema_digest": "sha256:4501aeab99b4bcc25a1b8813ebe197fb498053fd710d73746bf20fc8eeb4bfa7",
"factor_set_id": "rhfactorsetv1:sha256:e9339581cf569e92459f672e8081337712e7bf98e58ad42d60d7ed13f9b5a021",
"output_artifact_id": "rhfactoroutputv1:sha256:a4803b5ff66d12d3a0e7e8e5b8cca953cbc137e2bf41514b7c4e5f05da5ee68b",
"legacy_binding_id": "rhlegacyfactorv1:sha256:541bc5a9469f9c8e4c2d696a9972fc5f2e6e2bef218b86f728823994b915dede"
}
}
+20 -46
View File
@@ -1,58 +1,32 @@
from __future__ import annotations
import json
import unittest
from pathlib import Path
ROOT = Path(__file__).resolve().parents[2]
def test_module_spec_declares_pure_research_engine_boundary() -> None:
spec = json.loads((ROOT / "MODULE_SPEC.yaml").read_text(encoding="utf-8"))
assert spec["module_id"] == "quant_engine"
assert spec["authority"]["subject"] == spec["module_id"]
assert spec["repository"]["type"] == "research_engine"
assert spec["bounded_context"]["domain"] == "quantitative-research-engine"
prohibited = " ".join(spec["bounded_context"]["prohibited_responsibilities"]).lower()
for term in ("investment advice", "live order", "credentials", "source facts"):
assert term in prohibited
assert spec["authority"]["revision"] == 3
assert {
(item["contract_id"], item["version"])
for item in spec["contracts"]["provides"]
} == {
("researchhub.factor-definition", "1.0.0"),
("researchhub.factor-set-ref", "1.0.0"),
("researchhub.backtest-run-ref", "1.0.0"),
("researchhub.backtest-evidence-manifest", "1.0.0"),
}
expected_paths = {
"researchhub.factor-definition": "src/quant_engine/factor_contracts.py",
"researchhub.factor-set-ref": "src/quant_engine/factor_contracts.py",
"researchhub.backtest-run-ref": "src/quant_engine/governed_pipeline.py",
"researchhub.backtest-evidence-manifest": "src/quant_engine/artifact.py",
}
assert all(item["authority"] == "quant_engine" for item in spec["contracts"]["provides"])
assert {
item["contract_id"]: item["path"] for item in spec["contracts"]["provides"]
} == expected_paths
assert {
(item["contract_id"], item["version"])
for item in spec["contracts"]["consumes"]
} == {
("researchhub.dataset-snapshot", "1.0.0"),
("researchhub.data-foundation", "1.0.0"),
}
assert all(
item["authority"] == "researchhub.data"
for item in spec["contracts"]["consumes"]
)
assert spec["dependencies"] == []
assert all(
command["required"] and not command["network"]
for command in spec["verification"]["commands"]
)
class ModuleSpecTests(unittest.TestCase):
def test_module_spec_declares_pure_research_engine_boundary(self) -> None:
spec = json.loads((ROOT / "MODULE_SPEC.yaml").read_text(encoding="utf-8"))
self.assertEqual(spec["module_id"], "quant_engine")
self.assertEqual(spec["authority"]["subject"], spec["module_id"])
self.assertEqual(spec["repository"]["type"], "research_engine")
self.assertEqual(spec["bounded_context"]["domain"], "quantitative-research-engine")
prohibited = " ".join(spec["bounded_context"]["prohibited_responsibilities"]).lower()
for term in ("investment advice", "live order", "credentials", "source facts"):
self.assertIn(term, prohibited)
self.assertEqual(spec["contracts"], {"provides": [], "consumes": []})
self.assertEqual(spec["dependencies"], [])
self.assertTrue(
all(
command["required"] and not command["network"]
for command in spec["verification"]["commands"]
)
)
if __name__ == "__main__":
test_module_spec_declares_pure_research_engine_boundary()
unittest.main()
-51
View File
@@ -7,13 +7,6 @@ import pandas as pd
import pytest
import quant_engine.alpha_factors as alpha_factors_module
from quant_engine.factor_contracts import (
FactorContractError,
FactorInput,
ProducerIdentity,
factor_definition_from_alpha158,
factor_input_schema_digest,
)
from quant_engine.alpha_factors import (
ALPHA158_REGISTRY,
ALPHA158_PHASE1_OPERATOR_SPECS,
@@ -441,50 +434,6 @@ def test_alpha_registry_required_fields():
assert required <= set(meta.keys()), f"{alpha_id} missing fields"
def test_alpha_registry_adapts_to_definition_without_copying_formula_or_inputs():
factor_input = FactorInput(
"market",
"sha256:" + "1" * 64,
tuple(ALPHA158_REGISTRY["alpha_005"]["inputs"]),
)
definition = factor_definition_from_alpha158(
"alpha_005",
version="1.0.0",
parameters={},
inputs=(factor_input,),
implementation_digest="sha256:" + "2" * 64,
input_schema_digest=factor_input_schema_digest((factor_input,)),
valid_from="2026-01-01T00:00:00Z",
valid_until="2027-01-01T00:00:00Z",
warmup_sessions=10,
lag_sessions=1,
producer=ProducerIdentity("quant_engine", "1.0.0"),
code_revision="c" * 40,
)
assert definition.formula == ALPHA158_REGISTRY["alpha_005"]["formula"]
assert definition.inputs[0].required_columns == tuple(
ALPHA158_REGISTRY["alpha_005"]["inputs"]
)
incomplete = FactorInput("market", "sha256:" + "1" * 64, ("close",))
with pytest.raises(FactorContractError, match="exactly correspond"):
factor_definition_from_alpha158(
"alpha_005",
version="1.0.0",
parameters={},
inputs=(incomplete,),
implementation_digest="sha256:" + "2" * 64,
input_schema_digest=factor_input_schema_digest((incomplete,)),
valid_from="2026-01-01T00:00:00Z",
valid_until="2027-01-01T00:00:00Z",
warmup_sessions=10,
lag_sessions=1,
producer=ProducerIdentity("quant_engine", "1.0.0"),
code_revision="c" * 40,
)
def test_get_alpha_meta_success():
"""已知 alpha_id 返回完整 meta。"""
meta = get_alpha_meta("alpha_001")
-773
View File
@@ -1,773 +0,0 @@
"""Backtest run-reference and closed-evidence contract conformance."""
from __future__ import annotations
import copy
import hashlib
import json
from dataclasses import replace
from datetime import UTC, datetime
from pathlib import Path
from typing import Any
import pandas as pd
import pytest
from quant_engine.artifact import (
BacktestEvidenceManifest,
EvidenceQualification,
RESEARCH_ARTIFACT_SCHEMA_VERSION,
ResearchRunArtifact,
build_backtest_evidence_manifest,
build_legacy_backtest_evidence_manifest,
build_research_run_artifact,
)
from quant_engine.execution import ExecutionConfig
from quant_engine.factor_contracts import (
ActorIdentity,
AvailabilityMode,
Causation,
DataFoundationEnvelope,
DatasetSnapshotEnvelope,
FactorInput,
FactorSetRef,
InputBinding,
OutputArtifactRef,
OutputCoverage,
OutputQuality,
OutputQualityCheck,
ProducerIdentity,
ViewAvailability,
canonical_json_bytes,
factor_definition_from_alpha158,
factor_input_schema_digest,
)
from quant_engine.governed_pipeline import (
BacktestContractError,
BacktestContractErrorCode,
BacktestRun,
BacktestRunRef,
)
from quant_engine.research_pipeline import FactorBacktestResult, run_factor_backtest_research
ROOT = Path(__file__).resolve().parents[1]
FACTOR_FIXTURE = ROOT / "tests" / "fixtures" / "factor-contracts-v1.golden.json"
BACKTEST_FIXTURE = ROOT / "tests" / "fixtures" / "backtest-evidence-v1.golden.json"
VIEW_REF_ID = "rhviewrefv1:sha256:bf776bcd26d940fafde1d650776a5505fb3fe8b5b068c351622bf2c42385629c"
VIEW_SCHEMA_DIGEST = "sha256:0123456789abcdef0123456789abcdef0123456789abcdef0123456789abcdef"
CALENDAR_REVISION_ID = "rhcalv1:sha256:1f4ca22557063389badd669cf774bb35234066e847646682dccfe411e252a078"
ACTION_REVISION_ID = "rhcav1:sha256:0f947df29f152bfa2c6ab0da7a0d464670c7ad2526cd10f2a7939b42fee5c275"
PARAMETERS = {"lag_sessions": 1, "top_k": 1}
def _sha256(value: bytes) -> str:
return f"sha256:{hashlib.sha256(value).hexdigest()}"
def _accepted_authorities(
*,
factor_evaluation_at: str = "2026-01-03T11:00:00Z",
factor_computed_at: str = "2026-01-03T10:15:00Z",
factor_artifact_available_at: str = "2026-01-03T10:20:00Z",
factor_availability_mode: AvailabilityMode = AvailabilityMode.AS_AVAILABLE,
) -> tuple[
DatasetSnapshotEnvelope,
DataFoundationEnvelope,
FactorSetRef,
]:
fixture = json.loads(FACTOR_FIXTURE.read_text(encoding="utf-8"))
snapshot = DatasetSnapshotEnvelope.from_dict(fixture["dataset_snapshot"])
foundation = DataFoundationEnvelope.from_dict(fixture["data_foundation"])
factor_input = FactorInput("market", VIEW_SCHEMA_DIGEST, ("close", "volume"))
definition = factor_definition_from_alpha158(
"alpha_005",
version="1.0.0",
parameters={},
inputs=(factor_input,),
implementation_digest="sha256:" + "1" * 64,
input_schema_digest=factor_input_schema_digest((factor_input,)),
valid_from="2026-01-01T00:00:00.000000Z",
valid_until="2027-01-01T00:00:00Z",
warmup_sessions=10,
lag_sessions=1,
producer=ProducerIdentity("quant_engine", "1.0.0"),
code_revision="c" * 40,
)
output_schema_bytes = canonical_json_bytes(fixture["output_schema"])
output_content_bytes = canonical_json_bytes(fixture["output_content"])
artifact_ref = OutputArtifactRef.create(
schema_digest=_sha256(output_schema_bytes),
content_digest=_sha256(output_content_bytes),
)
factor_set = FactorSetRef.create(
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
selected_view_ref_ids=(VIEW_REF_ID,),
input_bindings=(
InputBinding(definition.definition_id, "market", VIEW_REF_ID, VIEW_SCHEMA_DIGEST),
),
view_availability=(
ViewAvailability(VIEW_REF_ID, "2026-01-02T23:50:00Z", "sha256:" + "2" * 64),
),
output_quality=OutputQuality(
"passed",
(OutputQualityCheck("finite_values", "passed", "sha256:" + "3" * 64),),
),
output_coverage=OutputCoverage(
"complete", 1, 1, "row", "alpha_005.cn_a", "sha256:" + "4" * 64
),
output_schema_bytes=output_schema_bytes,
output_content_bytes=output_content_bytes,
output_artifact_ref=artifact_ref,
availability_mode=factor_availability_mode,
evaluation_at=factor_evaluation_at,
computed_at=factor_computed_at,
artifact_available_at=factor_artifact_available_at,
producer=ProducerIdentity("quant_engine", "1.0.0"),
code_revision="c" * 40,
actor=ActorIdentity("service", "factor_worker_v1"),
correlation_id="research_run_001",
causation=Causation("foundation", foundation.foundation_id),
evidence_scope="synthetic_fixture",
decision_eligible=False,
)
return snapshot, foundation, factor_set
def _config_digest(parameters: dict[str, object] | None = None) -> str:
encoded = json.dumps(
PARAMETERS if parameters is None else parameters,
ensure_ascii=False,
sort_keys=True,
separators=(",", ":"),
allow_nan=False,
).encode("utf-8")
return _sha256(encoded)
def _run_ref(**overrides: Any) -> BacktestRunRef:
snapshot, foundation, factor_set = _accepted_authorities()
arguments: dict[str, Any] = {
"dataset_snapshot": snapshot,
"foundation": foundation,
"factor_set": factor_set,
"universe_digest": "sha256:" + "5" * 64,
"trading_calendar_revision_ids": (CALENDAR_REVISION_ID,),
"corporate_action_revision_ids": (ACTION_REVISION_ID,),
"strategy_id": "alpha-top1",
"strategy_version": "1.0.0",
"strategy_digest": "sha256:" + "6" * 64,
"execution_model_version": "1.0.0",
"execution_model_digest": "sha256:" + "7" * 64,
"cost_model_version": "1.0.0",
"cost_model_digest": "sha256:" + "8" * 64,
"random_seed": 7,
"code_revision": "d" * 40,
"environment_lock_digest": "sha256:" + "9" * 64,
"configuration_digest": _config_digest(),
"evaluation_at": "2026-01-08T01:00:00Z",
"computed_at": "2026-01-08T02:00:00Z",
}
arguments.update(overrides)
return BacktestRunRef.create(**arguments)
def _backtest_result() -> FactorBacktestResult:
dates = pd.date_range("2026-01-05", periods=4, freq="B")
scores = pd.DataFrame({"A": [2.0, 0.0], "B": [1.0, 3.0]}, index=dates[:2])
opens = pd.DataFrame(
{"A": [10.0, 10.0, 15.0, 15.0], "B": [20.0, 20.0, 20.0, 21.0]},
index=dates,
)
closes = pd.DataFrame(
{"A": [10.0, 12.0, 15.0, 15.0], "B": [20.0, 20.0, 18.0, 21.0]},
index=dates,
)
return run_factor_backtest_research(
scores,
opens,
closes,
top_k=1,
execution_price_field="open",
valuation_price_field="close",
initial_cash=1_000.0,
config=ExecutionConfig(
commission_bps=0,
stamp_tax_bps=0,
slippage_bps=0,
min_trade_amount=0,
),
)
def _artifact(run_ref: BacktestRunRef, *, run_id: str | None = None) -> ResearchRunArtifact:
result = _backtest_result()
benchmark = pd.Series(
[0.0, 0.01, -0.01, 0.02],
index=result.returns.index,
name="benchmark_return",
)
return build_research_run_artifact(
result,
run_id=run_ref.run_id if run_id is None else run_id,
strategy_id=run_ref.strategy_id,
strategy_name="Alpha Top 1",
strategy_version=run_ref.strategy_version,
engine_version="1.2.0",
code_revision=run_ref.code_revision,
data_snapshot_id=run_ref.dataset_snapshot_id,
calendar="CN-A",
timezone="Asia/Shanghai",
started_at="2026-01-08T10:00:00+08:00",
finished_at="2026-01-08T10:01:00+08:00",
parameters=PARAMETERS,
benchmark_id="000300.SH",
benchmark_returns=benchmark,
)
def _assert_error(
error: pytest.ExceptionInfo[BacktestContractError],
code: BacktestContractErrorCode,
path: str,
) -> None:
assert error.value.code is code
assert error.value.path == path
def test_backtest_run_ref_is_deterministic_and_binds_only_opaque_authorities() -> None:
first = _run_ref()
second = _run_ref()
assert first == second
assert first.run_id.startswith("rhbacktestrunv1:sha256:")
assert first.replay_spec_digest.startswith("sha256:")
assert first.dataset_snapshot_id.startswith("rhdsv1:sha256:")
assert first.foundation_id.startswith("rhdfv1:sha256:")
assert first.factor_set_id.startswith("rhfactorsetv1:sha256:")
assert first.trading_calendar_revision_ids == (CALENDAR_REVISION_ID,)
assert first.corporate_action_revision_ids == (ACTION_REVISION_ID,)
assert first.replay_parent_run_id is None
assert first.replay_attempt == 0
assert first.replay_ancestor_run_ids == ()
snapshot, foundation, factor_set = _accepted_authorities()
assert BacktestRunRef.from_dict(
first.to_dict(),
dataset_snapshot=snapshot,
foundation=foundation,
factor_set=factor_set,
) == first
forbidden = ("latest", "locator", "uri", "credential", "provider", "broker")
assert not any(token in first.to_json().lower() for token in forbidden)
@pytest.mark.parametrize(
("field", "value"),
[
("universe_digest", "sha256:" + "a" * 64),
("strategy_digest", "sha256:" + "b" * 64),
("execution_model_digest", "sha256:" + "c" * 64),
("cost_model_digest", "sha256:" + "e" * 64),
("random_seed", 8),
("code_revision", "e" * 40),
("environment_lock_digest", "sha256:" + "f" * 64),
("configuration_digest", "sha256:" + "0" * 64),
("evaluation_at", "2026-01-08T01:00:01Z"),
("computed_at", "2026-01-08T02:00:01Z"),
],
)
def test_every_governed_run_input_mutation_changes_run_identity(
field: str,
value: object,
) -> None:
assert _run_ref(**{field: value}).run_id != _run_ref().run_id
def test_backtest_run_ref_rejects_unclosed_upstream_and_unsafe_scalars() -> None:
with pytest.raises(BacktestContractError) as wrong_calendar:
_run_ref(trading_calendar_revision_ids=())
_assert_error(
wrong_calendar,
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.trading_calendar_revision_ids",
)
with pytest.raises(BacktestContractError) as wrong_action:
_run_ref(corporate_action_revision_ids=())
_assert_error(
wrong_action,
BacktestContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.corporate_action_revision_ids",
)
with pytest.raises(BacktestContractError) as bool_seed:
_run_ref(random_seed=True)
_assert_error(bool_seed, BacktestContractErrorCode.TYPE_ERROR, "$.random_seed")
with pytest.raises(BacktestContractError) as bad_revision:
_run_ref(code_revision="abc")
_assert_error(bad_revision, BacktestContractErrorCode.INVALID_FORMAT, "$.code_revision")
with pytest.raises(BacktestContractError) as bad_digest:
_run_ref(universe_digest="5" * 64)
_assert_error(bad_digest, BacktestContractErrorCode.INVALID_FORMAT, "$.universe_digest")
with pytest.raises(BacktestContractError) as lookahead:
_run_ref(computed_at="2026-01-08T00:59:59Z")
_assert_error(lookahead, BacktestContractErrorCode.TIME_ORDER_VIOLATION, "$.computed_at")
with pytest.raises(BacktestContractError) as factor_type:
_run_ref(factor_set="rhfactorsetv1:sha256:" + "0" * 64)
_assert_error(factor_type, BacktestContractErrorCode.TYPE_ERROR, "$.factor_set")
@pytest.mark.parametrize(
("factor_times", "expected_path"),
[
(
{
"factor_evaluation_at": "2026-01-08T01:00:01Z",
"factor_computed_at": "2026-01-08T00:59:59Z",
"factor_artifact_available_at": "2026-01-08T01:00:00Z",
},
"$.evaluation_at",
),
(
{
"factor_evaluation_at": "2026-01-03T11:00:00Z",
"factor_computed_at": "2026-01-08T01:00:00Z",
"factor_artifact_available_at": "2026-01-08T01:00:01Z",
"factor_availability_mode": AvailabilityMode.RETROSPECTIVE_REPLAY,
},
"$.evaluation_at",
),
],
)
def test_run_ref_evaluation_closes_factor_pit(
factor_times: dict[str, Any],
expected_path: str,
) -> None:
snapshot, foundation, factor_set = _accepted_authorities(**factor_times)
with pytest.raises(BacktestContractError) as lookahead:
_run_ref(
dataset_snapshot=snapshot,
foundation=foundation,
factor_set=factor_set,
)
_assert_error(
lookahead,
BacktestContractErrorCode.TIME_ORDER_VIOLATION,
expected_path,
)
def test_run_ref_rejects_aliases_locators_unsafe_integers_and_invalid_text() -> None:
with pytest.raises(BacktestContractError) as mutable_alias:
_run_ref(strategy_id="latest")
_assert_error(
mutable_alias,
BacktestContractErrorCode.INVALID_FORMAT,
"$.strategy_id",
)
with pytest.raises(BacktestContractError) as physical_uri:
_run_ref(execution_model_version="s3://model-bucket/current")
_assert_error(
physical_uri,
BacktestContractErrorCode.INVALID_FORMAT,
"$.execution_model_version",
)
with pytest.raises(BacktestContractError) as unsafe_seed:
_run_ref(random_seed=2**53)
_assert_error(
unsafe_seed,
BacktestContractErrorCode.INVALID_VALUE,
"$.random_seed",
)
with pytest.raises(BacktestContractError) as invalid_unicode:
_run_ref(strategy_id="\ud800")
_assert_error(
invalid_unicode,
BacktestContractErrorCode.INVALID_FORMAT,
"$.strategy_id",
)
run_ref = _run_ref()
mixed_keys = run_ref.to_dict()
mixed_keys[1] = "not-a-contract-key" # type: ignore[index]
snapshot, foundation, factor_set = _accepted_authorities()
with pytest.raises(BacktestContractError) as invalid_key:
BacktestRunRef.from_dict(
mixed_keys,
dataset_snapshot=snapshot,
foundation=foundation,
factor_set=factor_set,
)
_assert_error(invalid_key, BacktestContractErrorCode.TYPE_ERROR, "$")
@pytest.mark.parametrize(
"physical_id",
["db.table", "source_alpha", "wind.model", "qtdb_view", "bloomberg-signal"],
)
def test_run_ref_rejects_physical_terms_in_logical_ids(physical_id: str) -> None:
with pytest.raises(BacktestContractError) as physical:
_run_ref(strategy_id=physical_id)
_assert_error(
physical,
BacktestContractErrorCode.INVALID_FORMAT,
"$.strategy_id",
)
@pytest.mark.parametrize("version", ["1.0.0-.", "1.0.0-foo..bar", "1.0.0-01"])
def test_run_ref_requires_strict_semver_prerelease_identifiers(version: str) -> None:
with pytest.raises(BacktestContractError) as invalid:
_run_ref(strategy_version=version)
_assert_error(
invalid,
BacktestContractErrorCode.INVALID_FORMAT,
"$.strategy_version",
)
assert _run_ref(strategy_version="1.0.0-alpha.1").strategy_version == "1.0.0-alpha.1"
def test_replay_lineage_is_acyclic_and_cannot_claim_changed_inputs() -> None:
parent = _run_ref()
replay = _run_ref(
computed_at="2026-01-08T03:00:00Z",
parent=parent,
replay_reason="deterministic_reproduction",
replay_attempt=1,
)
assert replay.run_id != parent.run_id
assert replay.replay_spec_digest == parent.replay_spec_digest
assert replay.replay_parent_run_id == parent.run_id
assert replay.replay_ancestor_run_ids == (parent.run_id,)
with pytest.raises(BacktestContractError) as changed_input:
_run_ref(
universe_digest="sha256:" + "a" * 64,
computed_at="2026-01-08T03:00:00Z",
parent=parent,
replay_reason="changed_universe",
replay_attempt=1,
)
_assert_error(
changed_input,
BacktestContractErrorCode.LINEAGE_VIOLATION,
"$.replay_spec_digest",
)
with pytest.raises(BacktestContractError) as skipped_attempt:
_run_ref(
computed_at="2026-01-08T03:00:00Z",
parent=parent,
replay_reason="skipped_attempt",
replay_attempt=2,
)
_assert_error(
skipped_attempt,
BacktestContractErrorCode.LINEAGE_VIOLATION,
"$.replay_attempt",
)
def test_offline_research_manifest_closes_exact_existing_evidence_mapping() -> None:
run_ref = _run_ref()
artifact = _artifact(run_ref)
first = build_backtest_evidence_manifest(
run_ref,
artifact,
artifact_available_at="2026-01-08T02:05:00Z",
qualification=EvidenceQualification.CONTRACT_QUALIFIED,
)
second = build_backtest_evidence_manifest(
run_ref,
artifact,
artifact_available_at="2026-01-08T02:05:00Z",
qualification=EvidenceQualification.CONTRACT_QUALIFIED,
)
assert first == second
assert first.manifest_id.startswith("rhbacktestevidencev1:sha256:")
assert first.run_id == run_ref.run_id
assert first.profile == "offline_research_v1"
assert first.qualification is EvidenceQualification.CONTRACT_QUALIFIED
mapping = {
item.category: tuple(table.logical_name for table in item.tables)
for item in first.evidence
}
assert mapping == {
"run": ("run",),
"signal": ("signals",),
"fill": ("trades",),
"position_nav": ("positions", "nav"),
"performance": ("performance",),
"attribution": ("attribution", "attribution_daily"),
"risk_snapshot": ("risk",),
"replay": (),
}
assert "order" not in mapping
assert "rejection" not in mapping
risk = next(item for item in first.evidence if item.category == "risk_snapshot")
assert risk.tables[0].row_count == 0
assert risk.tables[0].schema_digest.startswith("sha256:")
changed_performance = artifact.performance
changed_performance.loc[0, "n_days"] += 1
changed_artifact = replace(artifact, _performance=changed_performance)
changed = build_backtest_evidence_manifest(
run_ref,
changed_artifact,
artifact_available_at="2026-01-08T02:05:00Z",
)
assert changed.manifest_id != first.manifest_id
assert run_ref.run_id == first.run_id == changed.run_id
def test_manifest_rejects_missing_mismatched_or_duplicate_evidence() -> None:
run_ref = _run_ref()
artifact = _artifact(run_ref)
with pytest.raises(BacktestContractError) as wrong_run:
build_backtest_evidence_manifest(
run_ref,
_artifact(run_ref, run_id="different-run"),
artifact_available_at="2026-01-08T02:05:00Z",
)
_assert_error(
wrong_run,
BacktestContractErrorCode.IDENTITY_MISMATCH,
"$.artifact.tables.run.run_id",
)
missing_signals = replace(artifact, _signals=None) # type: ignore[arg-type]
with pytest.raises(BacktestContractError) as missing_table:
build_backtest_evidence_manifest(
run_ref,
missing_signals,
artifact_available_at="2026-01-08T02:05:00Z",
)
_assert_error(
missing_table,
BacktestContractErrorCode.TYPE_ERROR,
"$.artifact.tables.signals",
)
with pytest.raises(BacktestContractError) as digest_mismatch:
build_backtest_evidence_manifest(
run_ref,
artifact,
artifact_available_at="2026-01-08T02:05:00Z",
expected_table_digests={"performance": "sha256:" + "0" * 64},
)
_assert_error(
digest_mismatch,
BacktestContractErrorCode.EVIDENCE_MISMATCH,
"$.artifact.tables.performance.content_digest",
)
manifest = build_backtest_evidence_manifest(
run_ref,
artifact,
artifact_available_at="2026-01-08T02:05:00Z",
)
duplicate = manifest.to_dict()
duplicate["evidence"].append(copy.deepcopy(duplicate["evidence"][0]))
with pytest.raises(BacktestContractError) as duplicate_category:
BacktestEvidenceManifest.from_dict(
duplicate,
backtest_run_ref=run_ref,
artifact=artifact,
)
_assert_error(
duplicate_category,
BacktestContractErrorCode.INVALID_VALUE,
"$.evidence[8].category",
)
def test_manifest_binds_supported_schema_and_has_collision_free_cell_encoding() -> None:
run_ref = _run_ref()
artifact = _artifact(run_ref)
with pytest.raises(BacktestContractError) as unsupported_schema:
build_backtest_evidence_manifest(
run_ref,
replace(artifact, schema_version="999.0.0"),
artifact_available_at="2026-01-08T02:05:00Z",
)
_assert_error(
unsupported_schema,
BacktestContractErrorCode.INVALID_VALUE,
"$.artifact.schema_version",
)
identities: set[str] = set()
for value in (float("nan"), float("inf"), float("-inf")):
performance = artifact.performance
performance.loc[0, "alpha"] = value
manifest = build_backtest_evidence_manifest(
run_ref,
replace(artifact, _performance=performance),
artifact_available_at="2026-01-08T02:05:00Z",
)
assert manifest.artifact_schema_version == RESEARCH_ARTIFACT_SCHEMA_VERSION
identities.add(manifest.manifest_id)
assert len(identities) == 3
content_digests: set[str] = set()
for value in (float("nan"), {"non_finite_float": "nan"}):
performance = artifact.performance.astype(object)
performance.at[0, "alpha"] = value
manifest = build_backtest_evidence_manifest(
run_ref,
replace(artifact, _performance=performance),
artifact_available_at="2026-01-08T02:05:00Z",
)
performance_entry = next(
entry for entry in manifest.evidence if entry.category == "performance"
)
content_digests.add(performance_entry.tables[0].content_digest)
assert len(content_digests) == 2
unsupported = artifact.performance.astype(object)
unsupported.loc[0, "alpha"] = object()
with pytest.raises(BacktestContractError) as unsupported_cell:
build_backtest_evidence_manifest(
run_ref,
replace(artifact, _performance=unsupported),
artifact_available_at="2026-01-08T02:05:00Z",
)
_assert_error(
unsupported_cell,
BacktestContractErrorCode.TYPE_ERROR,
"$.artifact.tables.performance.rows[0].alpha",
)
invalid_nested_key = artifact.performance.astype(object)
invalid_nested_key.at[0, "alpha"] = {"\ud800": "value"}
with pytest.raises(BacktestContractError) as invalid_utf8:
build_backtest_evidence_manifest(
run_ref,
replace(artifact, _performance=invalid_nested_key),
artifact_available_at="2026-01-08T02:05:00Z",
)
_assert_error(
invalid_utf8,
BacktestContractErrorCode.INVALID_FORMAT,
"$.artifact.tables.performance.rows[0].alpha.keys",
)
unsafe_integer = artifact.performance.astype(object)
unsafe_integer.loc[0, "alpha"] = 10**5000
with pytest.raises(BacktestContractError) as unsafe_cell:
build_backtest_evidence_manifest(
run_ref,
replace(artifact, _performance=unsafe_integer),
artifact_available_at="2026-01-08T02:05:00Z",
)
_assert_error(
unsafe_cell,
BacktestContractErrorCode.INVALID_VALUE,
"$.artifact.tables.performance.rows[0].alpha",
)
def test_artifact_canonical_content_has_typed_collision_free_cell_encoding() -> None:
run_ref = _run_ref()
artifact = _artifact(run_ref)
content_hashes: set[str] = set()
for value in (
float("nan"),
float("inf"),
float("-inf"),
{"non_finite_float": "nan"},
):
performance = artifact.performance.astype(object)
performance.at[0, "alpha"] = value
mutated = replace(artifact, _performance=performance)
content_hashes.add(mutated.content_sha256)
assert "non_finite_float" in mutated.canonical_json()
assert len(content_hashes) == 4
unsupported = artifact.performance.astype(object)
unsupported.loc[0, "alpha"] = object()
with pytest.raises(BacktestContractError) as unsupported_cell:
replace(artifact, _performance=unsupported).canonical_json()
_assert_error(
unsupported_cell,
BacktestContractErrorCode.TYPE_ERROR,
"$.tables.performance.rows[0].alpha",
)
def test_legacy_bridge_is_explicit_and_cannot_be_contract_qualified() -> None:
run_ref = _run_ref()
legacy_run = BacktestRun(
run_id="legacy-run-001",
dataset_snapshot_id=run_ref.dataset_snapshot_id,
factor_version_id="alpha_005@1.0.0",
strategy_version_id="alpha-top1@1.0.0",
code_revision=run_ref.code_revision,
config_hash=_config_digest().removeprefix("sha256:"),
created_at=datetime(2026, 1, 8, 2, 0, tzinfo=UTC),
)
artifact = _artifact(run_ref, run_id=legacy_run.run_id)
manifest = build_legacy_backtest_evidence_manifest(
legacy_run,
artifact,
artifact_available_at="2026-01-08T02:05:00Z",
)
assert manifest.qualification is EvidenceQualification.LEGACY_EXPLORATORY
assert manifest.run_id == legacy_run.run_id
assert manifest.backtest_run_ref is None
assert manifest.to_dict()["run_reference"]["kind"] == "legacy_backtest_run"
assert BacktestEvidenceManifest.from_dict(
manifest.to_dict(),
artifact=artifact,
) == manifest
with pytest.raises(BacktestContractError) as implicit_promotion:
build_backtest_evidence_manifest( # type: ignore[arg-type]
legacy_run,
artifact,
artifact_available_at="2026-01-08T02:05:00Z",
qualification=EvidenceQualification.CONTRACT_QUALIFIED,
)
_assert_error(
implicit_promotion,
BacktestContractErrorCode.TYPE_ERROR,
"$.backtest_run_ref",
)
def test_golden_contract_and_architecture_boundary() -> None:
run_ref = _run_ref()
artifact = _artifact(run_ref)
manifest = build_backtest_evidence_manifest(
run_ref,
artifact,
artifact_available_at="2026-01-08T02:05:00Z",
)
golden = json.loads(BACKTEST_FIXTURE.read_text(encoding="utf-8"))
table_digests = {
table.logical_name: table.content_digest
for item in manifest.evidence
for table in item.tables
}
assert golden == {
"run_id": run_ref.run_id,
"replay_spec_digest": run_ref.replay_spec_digest,
"manifest_id": manifest.manifest_id,
"evidence_digest": manifest.evidence_digest,
"table_content_digests": table_digests,
}
governed_source = (ROOT / "src" / "quant_engine" / "governed_pipeline.py").read_text(
encoding="utf-8"
)
artifact_source = (ROOT / "src" / "quant_engine" / "artifact.py").read_text(
encoding="utf-8"
)
assert "from quant_engine.artifact" not in governed_source
assert "BacktestRunRef" in governed_source
assert "BacktestEvidenceManifest" not in governed_source
assert "BacktestEvidenceManifest" in artifact_source
assert not (ROOT / "src" / "quant_engine" / "backtest_contracts.py").exists()
-938
View File
@@ -1,938 +0,0 @@
"""Versioned factor-definition and factor-set contract conformance."""
from __future__ import annotations
import copy
import hashlib
import json
from dataclasses import FrozenInstanceError
from pathlib import Path
from typing import Any, Callable
import pytest
from quant_engine.factor_contracts import (
ActorIdentity,
AvailabilityMode,
ContractErrorCode,
Causation,
DataFoundationEnvelope,
DatasetSnapshotEnvelope,
FactorContractError,
FactorDefinition,
FactorInput,
FactorSetRef,
HistoricalAvailability,
InputBinding,
LegacyFactorBinding,
OutputArtifactRef,
OutputCoverage,
OutputQuality,
OutputQualityCheck,
PayloadValidation,
ProducerIdentity,
TypedParameter,
ViewAvailability,
canonical_json_bytes,
factor_definition_from_alpha158,
factor_input_schema_digest,
validate_factor_catalog,
)
from quant_engine.governed_pipeline import (
FactorVersion,
bind_legacy_factor,
project_legacy_factor,
)
FIXTURE_PATH = Path(__file__).parent / "fixtures" / "factor-contracts-v1.golden.json"
VIEW_REF_ID = "rhviewrefv1:sha256:bf776bcd26d940fafde1d650776a5505fb3fe8b5b068c351622bf2c42385629c"
VIEW_SCHEMA_DIGEST = "sha256:0123456789abcdef0123456789abcdef0123456789abcdef0123456789abcdef"
def _golden() -> dict[str, Any]:
loaded = json.loads(FIXTURE_PATH.read_text(encoding="utf-8"))
assert isinstance(loaded, dict)
return loaded
def _sha256(value: bytes) -> str:
return f"sha256:{hashlib.sha256(value).hexdigest()}"
def _reidentify(item: dict[str, Any], field: str, prefix: str) -> None:
payload = {key: value for key, value in item.items() if key != field}
item[field] = f"{prefix}{hashlib.sha256(canonical_json_bytes(payload)).hexdigest()}"
def _snapshot_and_foundation(
fixture: dict[str, Any] | None = None,
) -> tuple[DatasetSnapshotEnvelope, DataFoundationEnvelope]:
source = _golden() if fixture is None else fixture
return (
DatasetSnapshotEnvelope.from_dict(source["dataset_snapshot"]),
DataFoundationEnvelope.from_dict(source["data_foundation"]),
)
def _definition(
*,
inputs: tuple[FactorInput, ...] | None = None,
**overrides: Any,
) -> FactorDefinition:
factor_inputs = inputs or (
FactorInput("market", VIEW_SCHEMA_DIGEST, ("close", "volume")),
)
arguments: dict[str, Any] = {
"factor_id": "alpha_005",
"version": "1.0.0",
"formula": "correlation(close, volume, 10)",
"parameters": {},
"implementation_digest": "sha256:" + "1" * 64,
"input_schema_digest": factor_input_schema_digest(factor_inputs),
"inputs": factor_inputs,
"valid_from": "2026-01-01T00:00:00.000000Z",
"valid_until": "2027-01-01T00:00:00Z",
"warmup_sessions": 10,
"lag_sessions": 1,
"producer": ProducerIdentity("quant_engine", "1.0.0"),
"code_revision": "c" * 40,
}
arguments.update(overrides)
return FactorDefinition.create(**arguments)
def _golden_definition() -> FactorDefinition:
factor_input = FactorInput("market", VIEW_SCHEMA_DIGEST, ("close", "volume"))
return factor_definition_from_alpha158(
"alpha_005",
version="1.0.0",
parameters={},
inputs=(factor_input,),
implementation_digest="sha256:" + "1" * 64,
input_schema_digest=factor_input_schema_digest((factor_input,)),
valid_from="2026-01-01T00:00:00.000000Z",
valid_until="2027-01-01T00:00:00Z",
warmup_sessions=10,
lag_sessions=1,
producer=ProducerIdentity("quant_engine", "1.0.0"),
code_revision="c" * 40,
)
def _factor_set_arguments(
*,
fixture: dict[str, Any] | None = None,
snapshot: DatasetSnapshotEnvelope | None = None,
foundation: DataFoundationEnvelope | None = None,
definition: FactorDefinition | None = None,
) -> dict[str, Any]:
source = _golden() if fixture is None else fixture
if snapshot is None or foundation is None:
parsed_snapshot, parsed_foundation = _snapshot_and_foundation(source)
snapshot = snapshot or parsed_snapshot
foundation = foundation or parsed_foundation
selected_definition = definition or _golden_definition()
output_schema_bytes = canonical_json_bytes(source["output_schema"])
output_content_bytes = canonical_json_bytes(source["output_content"])
artifact = OutputArtifactRef.create(
schema_digest=_sha256(output_schema_bytes),
content_digest=_sha256(output_content_bytes),
)
return {
"definitions": (selected_definition,),
"dataset_snapshot": snapshot,
"foundation": foundation,
"selected_view_ref_ids": (VIEW_REF_ID,),
"input_bindings": (
InputBinding(
selected_definition.definition_id,
"market",
VIEW_REF_ID,
VIEW_SCHEMA_DIGEST,
),
),
"view_availability": (
ViewAvailability(VIEW_REF_ID, "2026-01-02T23:50:00Z", "sha256:" + "2" * 64),
),
"output_quality": OutputQuality(
"passed",
(OutputQualityCheck("finite_values", "passed", "sha256:" + "3" * 64),),
),
"output_coverage": OutputCoverage(
"complete",
1,
1,
"row",
"alpha_005.cn_a",
"sha256:" + "4" * 64,
),
"output_schema_bytes": output_schema_bytes,
"output_content_bytes": output_content_bytes,
"output_artifact_ref": artifact,
"availability_mode": AvailabilityMode.AS_AVAILABLE,
"evaluation_at": "2026-01-03T11:00:00Z",
"computed_at": "2026-01-03T10:15:00Z",
"artifact_available_at": "2026-01-03T10:20:00Z",
"producer": ProducerIdentity("quant_engine", "1.0.0"),
"code_revision": "c" * 40,
"actor": ActorIdentity("service", "factor_worker_v1"),
"correlation_id": "research_run_001",
"causation": Causation("foundation", foundation.foundation_id),
"evidence_scope": "synthetic_fixture",
"decision_eligible": False,
}
def _factor_set(**overrides: Any) -> FactorSetRef:
arguments = _factor_set_arguments()
arguments.update(overrides)
return FactorSetRef.create(**arguments)
def _assert_error(
error: pytest.ExceptionInfo[FactorContractError],
code: ContractErrorCode,
path: str,
) -> None:
assert error.value.code is code
assert error.value.path == path
def _mutate_artifact_schema_binding(value: dict[str, Any]) -> None:
artifact = value["output_artifact_ref"]
artifact["schema_digest"] = "sha256:" + "0" * 64
_reidentify(artifact, "artifact_id", "rhfactoroutputv1:sha256:")
def test_golden_contracts_are_content_addressed_round_trippable_and_deeply_immutable() -> None:
fixture = _golden()
original_snapshot = copy.deepcopy(fixture["dataset_snapshot"])
original_foundation = copy.deepcopy(fixture["data_foundation"])
snapshot, foundation = _snapshot_and_foundation(fixture)
definition = _golden_definition()
factor_set = FactorSetRef.create(**_factor_set_arguments(fixture=fixture, snapshot=snapshot, foundation=foundation, definition=definition))
binding = LegacyFactorBinding.create(
definition=definition,
legacy_factor_id="factor:demo-momentum",
legacy_version="1.0.0",
legacy_definition_sha256="b" * 64,
legacy_dataset_schema_version="1.0.0",
canonical_input_schema_digest=definition.input_schema_digest,
correspondence_evidence_digest="sha256:" + "5" * 64,
)
assert snapshot.pit_cutoff == "2026-01-02T07:01:00Z"
assert foundation.pit_cutoff == factor_set.pit_cutoff == "2026-01-03T00:00:00Z"
assert snapshot.pit_cutoff != foundation.pit_cutoff
assert definition.definition_id == fixture["expected"]["definition_id"]
assert definition.input_schema_digest == fixture["expected"]["input_schema_digest"]
assert factor_set.factor_set_id == fixture["expected"]["factor_set_id"]
assert factor_set.output_artifact_ref.artifact_id == fixture["expected"]["output_artifact_id"]
assert binding.binding_id == fixture["expected"]["legacy_binding_id"]
assert not definition.to_json().endswith("\n")
assert not factor_set.to_json().endswith("\n")
assert FactorDefinition.from_json(definition.to_json()) == definition
reparsed = FactorSetRef.from_json(
factor_set.to_json(),
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
output_schema_bytes=canonical_json_bytes(fixture["output_schema"]),
output_content_bytes=canonical_json_bytes(fixture["output_content"]),
)
reference_only = FactorSetRef.from_json(
factor_set.to_json(),
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
)
assert reparsed.factor_set_id == factor_set.factor_set_id
assert reparsed.payload_validation is PayloadValidation.PAYLOAD_REVALIDATED
assert reference_only.payload_validation is PayloadValidation.REFERENCE_ONLY
fixture["dataset_snapshot"]["descriptor"]["dataset"]["dimensions"].append("forbidden")
fixture["data_foundation"]["standardized_views"][0]["schema_digest"] = "sha256:" + "0" * 64
assert snapshot.to_dict() == original_snapshot
assert foundation.to_dict() == original_foundation
returned = snapshot.to_dict()
returned["descriptor"]["dataset"]["dimensions"].append("also_forbidden")
assert snapshot.to_dict() == original_snapshot
with pytest.raises(FrozenInstanceError):
snapshot.snapshot_id = "rhdsv1:sha256:" + "0" * 64 # type: ignore[misc]
@pytest.mark.parametrize("variant", ["whitespace", "key_order"])
def test_contract_decoders_reject_non_canonical_json(variant: str) -> None:
fixture = _golden()
snapshot, foundation = _snapshot_and_foundation(fixture)
definition = _golden_definition()
factor_set = FactorSetRef.create(
**_factor_set_arguments(
fixture=fixture,
snapshot=snapshot,
foundation=foundation,
definition=definition,
)
)
binding = LegacyFactorBinding.create(
definition=definition,
legacy_factor_id="factor:demo-momentum",
legacy_version="1.0.0",
legacy_definition_sha256="b" * 64,
legacy_dataset_schema_version="1.0.0",
canonical_input_schema_digest=definition.input_schema_digest,
correspondence_evidence_digest="sha256:" + "5" * 64,
)
def non_canonical(value: str) -> str:
if variant == "whitespace":
return value + "\n"
loaded = json.loads(value)
reversed_items = dict(reversed(tuple(loaded.items())))
return json.dumps(reversed_items, ensure_ascii=False, separators=(",", ":"))
decoders = (
lambda value: FactorDefinition.from_json(value),
lambda value: FactorSetRef.from_json(
value,
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
),
lambda value: LegacyFactorBinding.from_json(value, definition=definition),
)
for decoder, encoded in zip(
decoders,
(definition.to_json(), factor_set.to_json(), binding.to_json()),
strict=True,
):
with pytest.raises(FactorContractError) as exc_info:
decoder(non_canonical(encoded))
assert exc_info.value.code is ContractErrorCode.INVALID_FORMAT
assert exc_info.value.path == "$"
def test_factor_definition_identity_is_order_independent_where_semantics_are_unordered() -> None:
first_input = FactorInput("prices", "sha256:" + "6" * 64, ("close",))
second_input = FactorInput("volumes", "sha256:" + "7" * 64, ("volume",))
inputs = (first_input, second_input)
parameters_a = {
"window": TypedParameter("integer", 10),
"weights": TypedParameter("json", {"fast": [1, 2], "slow": [3, 4]}),
}
parameters_b = {
"weights": TypedParameter("json", {"slow": [3, 4], "fast": [1, 2]}),
"window": TypedParameter("integer", 10),
}
first = _definition(
inputs=inputs,
parameters=parameters_a,
input_schema_digest=factor_input_schema_digest(inputs),
)
second = _definition(
inputs=tuple(reversed(inputs)),
parameters=parameters_b,
input_schema_digest=factor_input_schema_digest(tuple(reversed(inputs))),
)
assert first.definition_id == second.definition_id
assert first.to_json() == second.to_json()
semantic_changes = (
_definition(factor_id="alpha_006"),
_definition(version="1.0.1"),
_definition(formula="correlation(close, volume, 11)"),
_definition(parameters={"window": TypedParameter("integer", 10)}),
_definition(implementation_digest="sha256:" + "9" * 64),
_definition(valid_until="2027-01-02T00:00:00Z"),
_definition(warmup_sessions=11),
_definition(lag_sessions=2),
_definition(producer=ProducerIdentity("quant_engine", "1.0.1")),
_definition(code_revision="d" * 40),
)
assert all(changed.definition_id != _golden_definition().definition_id for changed in semantic_changes)
assert len({changed.definition_id for changed in semantic_changes}) == len(semantic_changes)
def test_parameter_types_decimal_profile_and_detached_nested_values_are_strict() -> None:
nested = {"ordered": [1, {"flag": True}]}
parameter = TypedParameter("json", nested)
nested["ordered"].append(2)
definition = _definition(parameters={"payload": parameter})
assert definition.to_dict()["parameters"]["payload"]["value"] == {
"ordered": [1, {"flag": True}]
}
integer_definition = _definition(parameters={"value": TypedParameter("integer", 1)})
string_definition = _definition(parameters={"value": TypedParameter("string", "1")})
assert integer_definition.definition_id != string_definition.definition_id
for parameter_type, value, code in (
("decimal", "1.0", ContractErrorCode.INVALID_FORMAT),
("decimal", "1e3", ContractErrorCode.INVALID_FORMAT),
("decimal", "-0", ContractErrorCode.INVALID_FORMAT),
("integer", True, ContractErrorCode.TYPE_ERROR),
("json", 1.5, ContractErrorCode.TYPE_ERROR),
("json", {"é": "bad-key"}, ContractErrorCode.INVALID_FORMAT),
("json", 9_007_199_254_740_992, ContractErrorCode.INVALID_VALUE),
):
with pytest.raises(FactorContractError) as error:
TypedParameter(parameter_type, value)
assert error.value.code is code
assert TypedParameter("decimal", "10.25").to_dict()["value"] == "10.25"
def test_catalog_rejects_duplicate_and_overlapping_logical_validity_but_allows_adjacency() -> None:
base = _golden_definition()
adjacent = _definition(valid_from="2027-01-01T00:00:00Z", valid_until="2028-01-01T00:00:00Z")
assert len(validate_factor_catalog((adjacent, base))) == 2
with pytest.raises(FactorContractError) as duplicate:
validate_factor_catalog((base, base))
_assert_error(duplicate, ContractErrorCode.INVALID_VALUE, "$.definitions")
overlapping = _definition(valid_from="2026-06-01T00:00:00Z", valid_until="2028-01-01T00:00:00Z")
with pytest.raises(FactorContractError) as overlap:
validate_factor_catalog((base, overlapping))
_assert_error(overlap, ContractErrorCode.TIME_ORDER_VIOLATION, "$.definitions")
def test_upstream_contracts_reject_unknown_fields_identity_forgery_and_unqualified_input() -> None:
unknown = _golden()["dataset_snapshot"]
unknown["provider"] = "forbidden"
with pytest.raises(FactorContractError) as unknown_error:
DatasetSnapshotEnvelope.from_dict(unknown)
_assert_error(unknown_error, ContractErrorCode.UNKNOWN_FIELD, "$.provider")
forged = _golden()["data_foundation"]
forged["standardized_views"][0]["schema_digest"] = "sha256:" + "0" * 64
with pytest.raises(FactorContractError) as forged_error:
DataFoundationEnvelope.from_dict(forged)
assert forged_error.value.code is ContractErrorCode.IDENTITY_MISMATCH
assert forged_error.value.path.endswith("view_ref_id")
rejected_source = _golden()
rejected_source["dataset_snapshot"]["descriptor"]["qualification"]["status"] = "rejected"
_reidentify(rejected_source["dataset_snapshot"], "snapshot_id", "rhdsv1:sha256:")
rejected_snapshot = DatasetSnapshotEnvelope.from_dict(rejected_source["dataset_snapshot"])
_, foundation = _snapshot_and_foundation()
with pytest.raises(FactorContractError) as rejected_error:
FactorSetRef.create(
**_factor_set_arguments(snapshot=rejected_snapshot, foundation=foundation)
)
_assert_error(
rejected_error,
ContractErrorCode.QUALIFICATION_REJECTED,
"$.dataset_snapshot.descriptor.qualification",
)
def test_foundation_rejects_future_knowledge_and_per_view_calendar_borrowing() -> None:
future = _golden()["data_foundation"]
action = future["corporate_action_revisions"][0]
old_action_id = action["action_revision_id"]
action["knowledge_time"] = "2026-01-03T00:00:01Z"
_reidentify(action, "action_revision_id", "rhcav1:sha256:")
future["standardized_views"][0]["corporate_action_revision_ids"] = [action["action_revision_id"]]
lineage = next(item for item in future["revision_lineage"] if item["revision_id"] == old_action_id)
lineage["revision_id"] = action["action_revision_id"]
lineage["knowledge_time"] = action["knowledge_time"]
_reidentify(future["standardized_views"][0], "view_ref_id", "rhviewrefv1:sha256:")
_reidentify(future, "foundation_id", "rhdfv1:sha256:")
with pytest.raises(FactorContractError) as future_error:
DataFoundationEnvelope.from_dict(future)
_assert_error(
future_error,
ContractErrorCode.TIME_ORDER_VIOLATION,
"$.revision_lineage.knowledge_time",
)
uncovered = _golden()["data_foundation"]
original_route_id = uncovered["instrument_routes"][0]["route_revision_id"]
second_calendar = copy.deepcopy(uncovered["trading_calendar_revisions"][0])
second_calendar["calendar_id"] = "rhcalendar:99990000111122223333444455556666"
_reidentify(second_calendar, "calendar_revision_id", "rhcalv1:sha256:")
uncovered["trading_calendar_revisions"].append(second_calendar)
route = uncovered["instrument_routes"][0]
route["calendar_id"] = second_calendar["calendar_id"]
_reidentify(route, "route_revision_id", "rhroutev1:sha256:")
route_lineage = next(item for item in uncovered["revision_lineage"] if item["revision_id"] == original_route_id)
route_lineage["revision_id"] = route["route_revision_id"]
uncovered["revision_lineage"].append(
{
"revision_kind": "trading_calendar",
"revision_id": second_calendar["calendar_revision_id"],
"revision_number": 1,
"knowledge_time": second_calendar["knowledge_time"],
"evidence_digest": second_calendar["evidence_digest"],
}
)
view = uncovered["standardized_views"][0]
view["instrument_route_revision_ids"] = [route["route_revision_id"]]
_reidentify(view, "view_ref_id", "rhviewrefv1:sha256:")
_reidentify(uncovered, "foundation_id", "rhdfv1:sha256:")
with pytest.raises(FactorContractError) as calendar_error:
DataFoundationEnvelope.from_dict(uncovered)
assert calendar_error.value.code is ContractErrorCode.INPUT_CLOSURE_VIOLATION
assert "selected route calendar" in calendar_error.value.detail
def _replay_fixture() -> dict[str, Any]:
fixture = _golden()
snapshot = fixture["dataset_snapshot"]
snapshot["descriptor"]["published_at"] = "2026-01-04T00:00:00Z"
_reidentify(snapshot, "snapshot_id", "rhdsv1:sha256:")
foundation = fixture["data_foundation"]
foundation["dataset_snapshot_id"] = snapshot["snapshot_id"]
for view in foundation["standardized_views"]:
view["dataset_snapshot_id"] = snapshot["snapshot_id"]
_reidentify(view, "view_ref_id", "rhviewrefv1:sha256:")
_reidentify(foundation, "foundation_id", "rhdfv1:sha256:")
return fixture
def test_as_available_and_retrospective_replay_keep_distinct_time_claims() -> None:
as_available = _factor_set()
assert as_available.historical_availability is HistoricalAvailability.DECLARED_AS_AVAILABLE
replay_source = _replay_fixture()
snapshot, foundation = _snapshot_and_foundation(replay_source)
replay_view_id = next(iter(foundation.views))
arguments = _factor_set_arguments(
fixture=replay_source,
snapshot=snapshot,
foundation=foundation,
)
arguments.update(
selected_view_ref_ids=(replay_view_id,),
input_bindings=(
InputBinding(
arguments["definitions"][0].definition_id,
"market",
replay_view_id,
VIEW_SCHEMA_DIGEST,
),
),
view_availability=(
ViewAvailability(replay_view_id, "2026-01-04T00:10:00Z", "sha256:" + "2" * 64),
),
availability_mode=AvailabilityMode.RETROSPECTIVE_REPLAY,
computed_at="2026-01-04T00:20:00Z",
artifact_available_at="2026-01-04T00:25:00Z",
causation=Causation("foundation", foundation.foundation_id),
)
replay = FactorSetRef.create(**arguments)
assert replay.evaluation_at == "2026-01-03T11:00:00Z"
assert replay.computed_at == "2026-01-04T00:20:00Z"
assert replay.historical_availability is HistoricalAvailability.NOT_ESTABLISHED
replay_source_args = _factor_set_arguments(
fixture=replay_source,
snapshot=snapshot,
foundation=foundation,
)
replay_source_args.update(
selected_view_ref_ids=(replay_view_id,),
input_bindings=(
InputBinding(
replay_source_args["definitions"][0].definition_id,
"market",
replay_view_id,
VIEW_SCHEMA_DIGEST,
),
),
view_availability=(
ViewAvailability(replay_view_id, "2026-01-02T23:50:00Z", "sha256:" + "2" * 64),
),
causation=Causation("foundation", foundation.foundation_id),
)
with pytest.raises(FactorContractError) as late_publication:
FactorSetRef.create(**replay_source_args)
_assert_error(
late_publication,
ContractErrorCode.TIME_ORDER_VIOLATION,
"$.dataset_snapshot.descriptor.published_at",
)
@pytest.mark.parametrize(
("overrides", "path"),
[
({"view_availability": (ViewAvailability(VIEW_REF_ID, "2026-01-03T00:00:01Z", "sha256:" + "2" * 64),)}, "$.view_availability"),
({"computed_at": "2026-01-02T23:40:00Z"}, "$.computed_at"),
({"artifact_available_at": "2026-01-03T10:14:00Z"}, "$.artifact_available_at"),
({"artifact_available_at": "2026-01-03T11:00:01Z"}, "$.artifact_available_at"),
({"evaluation_at": "2026-01-03T11:00:00"}, "$.evaluation_at"),
],
)
def test_as_available_time_failures_are_typed(overrides: dict[str, Any], path: str) -> None:
with pytest.raises(FactorContractError) as error:
_factor_set(**overrides)
assert error.value.code in {
ContractErrorCode.INVALID_FORMAT,
ContractErrorCode.TIME_ORDER_VIOLATION,
}
assert error.value.path == path
def test_replay_rejects_backdating_and_historical_availability_promotion() -> None:
source = _replay_fixture()
snapshot, foundation = _snapshot_and_foundation(source)
view_id = next(iter(foundation.views))
arguments = _factor_set_arguments(fixture=source, snapshot=snapshot, foundation=foundation)
definition = arguments["definitions"][0]
arguments.update(
selected_view_ref_ids=(view_id,),
input_bindings=(InputBinding(definition.definition_id, "market", view_id, VIEW_SCHEMA_DIGEST),),
view_availability=(ViewAvailability(view_id, "2026-01-04T00:10:00Z", "sha256:" + "2" * 64),),
availability_mode=AvailabilityMode.RETROSPECTIVE_REPLAY,
computed_at="2026-01-04T00:20:00Z",
artifact_available_at="2026-01-04T00:25:00Z",
causation=Causation("foundation", foundation.foundation_id),
)
replay = FactorSetRef.create(**arguments)
promoted = replay.to_dict()
promoted["historical_availability"] = "declared_as_available"
_reidentify(promoted, "factor_set_id", "rhfactorsetv1:sha256:")
with pytest.raises(FactorContractError) as promotion_error:
FactorSetRef.from_dict(
promoted,
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
)
_assert_error(
promotion_error,
ContractErrorCode.READINESS_ESCALATION,
"$.historical_availability",
)
arguments["computed_at"] = "2026-01-03T11:30:00Z"
with pytest.raises(FactorContractError) as backdated_error:
FactorSetRef.create(**arguments)
_assert_error(backdated_error, ContractErrorCode.TIME_ORDER_VIOLATION, "$.computed_at")
def _multi_view_fixture() -> tuple[dict[str, Any], str]:
fixture = _golden()
foundation = fixture["data_foundation"]
second = copy.deepcopy(foundation["standardized_views"][0])
second["view_id"] = "rhview:11111111222222223333333344444444"
second["schema_digest"] = "sha256:" + "6" * 64
second["content_digest"] = "sha256:" + "7" * 64
second["transformation_digest"] = "sha256:" + "8" * 64
_reidentify(second, "view_ref_id", "rhviewrefv1:sha256:")
foundation["standardized_views"].append(second)
_reidentify(foundation, "foundation_id", "rhdfv1:sha256:")
return fixture, second["view_ref_id"]
def test_multi_input_mapping_requires_exact_consumption_closure_and_is_order_independent() -> None:
fixture, second_view_id = _multi_view_fixture()
snapshot, foundation = _snapshot_and_foundation(fixture)
inputs = (
FactorInput("prices", VIEW_SCHEMA_DIGEST, ("close",)),
FactorInput("volumes", "sha256:" + "6" * 64, ("volume",)),
)
definition = _definition(
inputs=inputs,
formula="correlation(close, volume, 10)",
input_schema_digest=factor_input_schema_digest(inputs),
)
first_binding = InputBinding(definition.definition_id, "prices", VIEW_REF_ID, VIEW_SCHEMA_DIGEST)
second_binding = InputBinding(definition.definition_id, "volumes", second_view_id, "sha256:" + "6" * 64)
first_availability = ViewAvailability(VIEW_REF_ID, "2026-01-02T23:40:00Z", "sha256:" + "2" * 64)
second_availability = ViewAvailability(second_view_id, "2026-01-02T23:50:00Z", "sha256:" + "6" * 64)
base = _factor_set_arguments(fixture=fixture, snapshot=snapshot, foundation=foundation, definition=definition)
base.update(
selected_view_ref_ids=(VIEW_REF_ID, second_view_id),
input_bindings=(first_binding, second_binding),
view_availability=(first_availability, second_availability),
causation=Causation("foundation", foundation.foundation_id),
)
first = FactorSetRef.create(**base)
reordered = dict(base)
reordered.update(
selected_view_ref_ids=(second_view_id, VIEW_REF_ID),
input_bindings=(second_binding, first_binding),
view_availability=(second_availability, first_availability),
)
assert FactorSetRef.create(**reordered).factor_set_id == first.factor_set_id
for invalid_bindings, invalid_views in (
((first_binding,), (VIEW_REF_ID, second_view_id)),
((first_binding, second_binding), (VIEW_REF_ID,)),
((first_binding, second_binding), (VIEW_REF_ID, second_view_id, VIEW_REF_ID)),
):
invalid = dict(base)
invalid.update(input_bindings=invalid_bindings, selected_view_ref_ids=invalid_views)
with pytest.raises(FactorContractError) as error:
FactorSetRef.create(**invalid)
assert error.value.code in {
ContractErrorCode.INPUT_CLOSURE_VIOLATION,
ContractErrorCode.INVALID_VALUE,
}
@pytest.mark.parametrize(
("mutate", "code", "path"),
[
(lambda value: value["producer"].pop("id"), ContractErrorCode.MISSING_FIELD, "$.producer.id"),
(lambda value: value["producer"].pop("version"), ContractErrorCode.MISSING_FIELD, "$.producer.version"),
(lambda value: value["producer"].update(id="other_engine"), ContractErrorCode.LINEAGE_VIOLATION, "$.producer.id"),
(lambda value: value["producer"].update(version="latest"), ContractErrorCode.INVALID_FORMAT, "$.producer.version"),
(lambda value: value.update(code_revision="bad"), ContractErrorCode.INVALID_FORMAT, "$.code_revision"),
(lambda value: value["actor"].pop("kind"), ContractErrorCode.MISSING_FIELD, "$.actor.kind"),
(lambda value: value["actor"].pop("id"), ContractErrorCode.MISSING_FIELD, "$.actor.id"),
(lambda value: value["actor"].update(kind="robot"), ContractErrorCode.INVALID_VALUE, "$.actor.kind"),
(lambda value: value["actor"].update(id="latest"), ContractErrorCode.INVALID_VALUE, "$.actor.id"),
(lambda value: value.pop("correlation_id"), ContractErrorCode.MISSING_FIELD, "$.correlation_id"),
(lambda value: value.update(correlation_id="latest"), ContractErrorCode.INVALID_VALUE, "$.correlation_id"),
(lambda value: value["causation"].pop("kind"), ContractErrorCode.MISSING_FIELD, "$.causation.kind"),
(lambda value: value["causation"].update(kind="run"), ContractErrorCode.INVALID_VALUE, "$.causation.kind"),
(lambda value: value["causation"].update(id="rhdfv1:sha256:" + "0" * 64), ContractErrorCode.LINEAGE_VIOLATION, "$.causation.id"),
(lambda value: value.pop("output_artifact_ref"), ContractErrorCode.MISSING_FIELD, "$.output_artifact_ref"),
(lambda value: value["output_artifact_ref"].update(artifact_id="rhfactoroutputv1:sha256:" + "0" * 64), ContractErrorCode.IDENTITY_MISMATCH, "$.output_artifact_ref.artifact_id"),
(_mutate_artifact_schema_binding, ContractErrorCode.ARTIFACT_MISMATCH, "$.output_artifact_ref"),
(lambda value: value.update(availability_mode="implicit_fallback"), ContractErrorCode.INVALID_VALUE, "$.availability_mode"),
(lambda value: value.pop("computed_at"), ContractErrorCode.MISSING_FIELD, "$.computed_at"),
(lambda value: value.update(decision_eligible=True), ContractErrorCode.READINESS_ESCALATION, "$.decision_eligible"),
(lambda value: value.update(evidence_scope="real_data"), ContractErrorCode.READINESS_ESCALATION, "$.evidence_scope"),
(lambda value: value["upstream_evidence"].update(qualification_evidence_digest="sha256:" + "0" * 64), ContractErrorCode.IDENTITY_MISMATCH, "$.upstream_evidence"),
],
)
def test_lineage_artifact_and_readiness_fields_have_independent_typed_negatives(
mutate: Callable[[dict[str, Any]], Any],
code: ContractErrorCode,
path: str,
) -> None:
factor_set = _factor_set()
value = factor_set.to_dict()
mutate(value)
if "factor_set_id" in value:
_reidentify(value, "factor_set_id", "rhfactorsetv1:sha256:")
snapshot, foundation = _snapshot_and_foundation()
with pytest.raises(FactorContractError) as error:
FactorSetRef.from_dict(
value,
definitions=(_golden_definition(),),
dataset_snapshot=snapshot,
foundation=foundation,
)
_assert_error(error, code, path)
def test_output_schema_content_bytes_cannot_be_swapped_or_forged() -> None:
factor_set = _factor_set()
fixture = _golden()
snapshot, foundation = _snapshot_and_foundation()
schema_bytes = canonical_json_bytes(fixture["output_schema"])
content_bytes = canonical_json_bytes(fixture["output_content"])
with pytest.raises(FactorContractError) as swapped:
FactorSetRef.from_dict(
factor_set.to_dict(),
definitions=(_golden_definition(),),
dataset_snapshot=snapshot,
foundation=foundation,
output_schema_bytes=content_bytes,
output_content_bytes=schema_bytes,
)
_assert_error(swapped, ContractErrorCode.ARTIFACT_MISMATCH, "$.output_artifact_ref")
with pytest.raises(FactorContractError) as noncanonical:
FactorSetRef.create(
**{
**_factor_set_arguments(),
"output_schema_bytes": json.dumps(fixture["output_schema"], indent=2).encode(),
}
)
_assert_error(noncanonical, ContractErrorCode.INVALID_FORMAT, "$.output_schema_bytes")
def test_unsuccessful_output_quality_or_coverage_cannot_form_a_factor_set() -> None:
with pytest.raises(FactorContractError) as failed_quality:
_factor_set(
output_quality=OutputQuality(
"failed",
(OutputQualityCheck("finite_values", "failed", "sha256:" + "3" * 64),),
)
)
_assert_error(failed_quality, ContractErrorCode.INVALID_VALUE, "$.output_quality")
for coverage in (
OutputCoverage("incomplete", 2, 1, "row", "alpha_005.cn_a", "sha256:" + "4" * 64),
OutputCoverage("complete", 2, 1, "row", "alpha_005.cn_a", "sha256:" + "4" * 64),
):
with pytest.raises(FactorContractError) as incomplete:
_factor_set(output_coverage=coverage)
_assert_error(incomplete, ContractErrorCode.INVALID_VALUE, "$.output_coverage")
def test_external_snapshot_definition_and_view_references_cannot_be_substituted() -> None:
factor_set = _factor_set()
snapshot, foundation = _snapshot_and_foundation()
value = factor_set.to_dict()
value["dataset_snapshot_id"] = "rhdsv1:sha256:" + "0" * 64
_reidentify(value, "factor_set_id", "rhfactorsetv1:sha256:")
with pytest.raises(FactorContractError) as snapshot_error:
FactorSetRef.from_dict(
value,
definitions=(_golden_definition(),),
dataset_snapshot=snapshot,
foundation=foundation,
)
_assert_error(
snapshot_error,
ContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.dataset_snapshot_id",
)
value = factor_set.to_dict()
value["definition_ids"] = ["rhfactorv1:sha256:" + "0" * 64]
_reidentify(value, "factor_set_id", "rhfactorsetv1:sha256:")
with pytest.raises(FactorContractError) as definition_error:
FactorSetRef.from_dict(
value,
definitions=(_golden_definition(),),
dataset_snapshot=snapshot,
foundation=foundation,
)
_assert_error(
definition_error,
ContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.definition_ids",
)
arguments = _factor_set_arguments()
arguments["selected_view_ref_ids"] = ("rhviewrefv1:sha256:" + "0" * 64,)
with pytest.raises(FactorContractError) as view_error:
FactorSetRef.create(**arguments)
_assert_error(
view_error,
ContractErrorCode.INPUT_CLOSURE_VIOLATION,
"$.selected_view_ref_ids",
)
@pytest.mark.parametrize(
"invalid_definition_id",
[
{"unexpected": "object"},
["array"],
42,
True,
None,
],
)
def test_factor_set_ref_definition_ids_reject_non_string_types(
invalid_definition_id: Any,
) -> None:
factor_set = _factor_set()
definition = _golden_definition()
value = factor_set.to_dict()
value["definition_ids"] = [definition.definition_id, invalid_definition_id]
_reidentify(value, "factor_set_id", "rhfactorsetv1:sha256:")
snapshot, foundation = _snapshot_and_foundation()
with pytest.raises(FactorContractError) as error:
FactorSetRef.from_json(
canonical_json_bytes(value),
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
)
_assert_error(error, ContractErrorCode.TYPE_ERROR, "$.definition_ids[1]")
def test_factor_set_ref_definition_ids_still_reject_duplicate_strings() -> None:
factor_set = _factor_set()
definition = _golden_definition()
value = factor_set.to_dict()
value["definition_ids"] = [definition.definition_id, definition.definition_id]
_reidentify(value, "factor_set_id", "rhfactorsetv1:sha256:")
snapshot, foundation = _snapshot_and_foundation()
with pytest.raises(FactorContractError) as error:
FactorSetRef.from_json(
canonical_json_bytes(value),
definitions=(definition,),
dataset_snapshot=snapshot,
foundation=foundation,
)
_assert_error(error, ContractErrorCode.INVALID_VALUE, "$.definition_ids")
def test_factor_set_parent_requires_exact_identity_and_correlation() -> None:
parent = _factor_set()
child_arguments = _factor_set_arguments()
child_arguments.update(
output_content_bytes=canonical_json_bytes({"rows": [{"value": "0.250"}]}),
causation=Causation("factor_set", parent.factor_set_id),
parent=parent,
)
child_arguments["output_artifact_ref"] = OutputArtifactRef.create(
schema_digest=_sha256(child_arguments["output_schema_bytes"]),
content_digest=_sha256(child_arguments["output_content_bytes"]),
)
child = FactorSetRef.create(**child_arguments)
assert child.causation.id == parent.factor_set_id
missing_parent = child.to_dict()
snapshot, foundation = _snapshot_and_foundation()
with pytest.raises(FactorContractError) as missing_error:
FactorSetRef.from_dict(
missing_parent,
definitions=(_golden_definition(),),
dataset_snapshot=snapshot,
foundation=foundation,
)
_assert_error(missing_error, ContractErrorCode.LINEAGE_VIOLATION, "$.causation")
wrong_correlation = dict(child_arguments)
wrong_correlation["correlation_id"] = "different_run"
with pytest.raises(FactorContractError) as correlation_error:
FactorSetRef.create(**wrong_correlation)
_assert_error(correlation_error, ContractErrorCode.LINEAGE_VIOLATION, "$.correlation_id")
def test_legacy_bridge_is_explicit_lossy_and_preserves_all_four_historical_fields() -> None:
definition = _golden_definition()
legacy = FactorVersion(
factor_id="factor:demo-momentum",
version="1.0.0",
definition_sha256="b" * 64,
dataset_schema_version="1.0.0",
)
binding = LegacyFactorBinding.create(
definition=definition,
legacy_factor_id=legacy.factor_id,
legacy_version=legacy.version,
legacy_definition_sha256=legacy.definition_sha256,
legacy_dataset_schema_version=legacy.dataset_schema_version,
canonical_input_schema_digest=definition.input_schema_digest,
correspondence_evidence_digest="sha256:" + "5" * 64,
)
assert bind_legacy_factor(legacy, definition, binding) is definition
assert project_legacy_factor(definition, binding) == legacy
assert legacy.version_id == "factor:demo-momentum@1.0.0"
assert legacy.definition_sha256 != definition.definition_id.rsplit(":", maxsplit=1)[-1]
assert LegacyFactorBinding.from_json(binding.to_json(), definition=definition) == binding
mismatched = FactorVersion(
factor_id="factor:different",
version=legacy.version,
definition_sha256=legacy.definition_sha256,
dataset_schema_version=legacy.dataset_schema_version,
)
with pytest.raises(FactorContractError) as mismatch_error:
bind_legacy_factor(mismatched, definition, binding)
_assert_error(mismatch_error, ContractErrorCode.LEGACY_BINDING_MISMATCH, "$.binding")
def test_bare_legacy_factor_or_id_cannot_enter_factor_set_contract() -> None:
legacy = FactorVersion("factor:demo-momentum", "1.0.0", "b" * 64, "1.0.0")
arguments = _factor_set_arguments()
arguments["definitions"] = (legacy,)
with pytest.raises(FactorContractError) as legacy_error:
FactorSetRef.create(**arguments)
_assert_error(legacy_error, ContractErrorCode.TYPE_ERROR, "$.definitions[0]")
arguments["definitions"] = (legacy.version_id,)
with pytest.raises(FactorContractError) as id_error:
FactorSetRef.create(**arguments)
_assert_error(id_error, ContractErrorCode.TYPE_ERROR, "$.definitions[0]")
-18
View File
@@ -119,24 +119,6 @@ def test_governed_slice_is_reproducible_and_creates_only_paper_intent() -> None:
assert result.order_intent.environment == "paper"
assert result.order_intent.risk_decision_id == result.risk_decision.decision_id
assert result.order_intent.portfolio_target_id == result.portfolio_target.target_id
assert result.factor_version.version_id == "factor:demo-momentum@1.0.0"
assert result.factor_version.definition_sha256 == "b" * 64
assert result.strategy_version.version_id == "strategy:demo-top2@1.0.0"
assert result.backtest_run.run_id == (
"backtest-run:e74403571f6a73c98b380220748957a422518c0bed883fabc4b93ebe13f05a37"
)
assert result.backtest_run.config_hash == (
"40a3c804a2dc940161a626d1a5d25817c13463e685005e37fc48c41d1e20b87b"
)
assert result.portfolio_target.target_id == (
"portfolio-target:ab2d398489aa9a292ee155a1098e9340beac0a924874cdaeb5b7b4d379ac9ce8"
)
assert result.risk_decision.decision_id == (
"risk-decision:95924926bd327e44beeb15a63f47d14c5e77b97533fc3227fba2eda68e9b423d"
)
assert result.order_intent.intent_id == (
"order-intent:73c349086c2c05b68424ace9286896eb21507b9080da5ff9b96b58c88d8f6ac1"
)
repeated = run_governed_factor_slice(
factor_scores=_scores(),