Compare commits
| Author | SHA1 | Date | |
|---|---|---|---|
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02393b222b |
@@ -25,6 +25,7 @@
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- `backtest` — weight-based 多日仿真(rebalance_table / compute_nav / compare_to_benchmark)
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- `backtest` — weight-based 多日仿真(rebalance_table / compute_nav / compare_to_benchmark)
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- `portfolio_construction` — 多期因子分数 → Top-K → 等权目标权重表
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- `portfolio_construction` — 多期因子分数 → Top-K → 等权目标权重表
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- `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)
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- `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)
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- `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
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- `artifact` — 版本化、确定性、存储中立的完整 research run 事实表与 manifest
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- `artifact` — 版本化、确定性、存储中立的完整 research run 事实表与 manifest
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- `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
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- `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
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- `metrics` — 绝对绩效 + 严格日期对齐的 TE / IR / alpha / beta 基准相对绩效
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- `metrics` — 绝对绩效 + 严格日期对齐的 TE / IR / alpha / beta 基准相对绩效
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@@ -55,6 +56,9 @@ pytest # 单元测试
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pytest --cov=src # 覆盖率
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pytest --cov=src # 覆盖率
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mypy --strict src/ # 类型检查
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mypy --strict src/ # 类型检查
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ruff check src/ tests/ # lint
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ruff check src/ tests/ # lint
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# 无网络、无数据库、无券商的架构烟测
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uv run python -m quant_engine.governed_pipeline
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```
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```
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## 使用
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## 使用
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@@ -191,6 +195,23 @@ print(backtest.stats())
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print(backtest.benchmark_report())
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print(backtest.benchmark_report())
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```
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```
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## 治理垂直切片
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`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。
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调用方必须显式提供 `DatasetSnapshot`、`FactorVersion`、`StrategyVersion`、代码提交和
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`RiskPolicy`。模块只会生成 `environment="paper"` 的订单意图,不连接数据库、数据供应商或
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券商;风险决策为拒绝时,订单意图固定为空,直接调用创建函数也会失败关闭。
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该切片对应 ResearchHub 架构的首个可执行验收链路:
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```text
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DatasetSnapshot → FactorVersion → StrategyVersion → BacktestRun
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→ PortfolioTarget → RiskDecision → PaperOrderIntent
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```
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平台总架构、五仓职责和十二层能力映射仍以 `research_platform/docs/architecture/` 为权威;
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本仓只拥有纯计算与离线模拟合同。
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## 与 research_results 的关系
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## 与 research_results 的关系
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`research_results` 依赖 `quant_engine`(通过 re-export 保持向后兼容):
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`research_results` 依赖 `quant_engine`(通过 re-export 保持向后兼容):
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@@ -0,0 +1,540 @@
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"""Versioned, risk-gated, paper-only quantitative research vertical slice.
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The module composes existing ``quant_engine`` calculations into a small set of
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storage-neutral governance contracts. It never reads a database, calls a data
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vendor, loads credentials, or routes an order to a broker.
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"""
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from __future__ import annotations
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import hashlib
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import json
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import math
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import re
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from collections.abc import Mapping
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from dataclasses import asdict, dataclass
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from datetime import UTC, datetime
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from enum import StrEnum
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from types import MappingProxyType
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import pandas as pd
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from quant_engine.execution import ExecutionConfig
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from quant_engine.research_pipeline import FactorBacktestResult, run_factor_backtest_research
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_SHA256 = re.compile(r"^[0-9a-f]{64}$")
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_GIT_SHA = re.compile(r"^[0-9a-f]{40}$")
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__all__ = [
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"DatasetSnapshot",
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"FactorVersion",
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"StrategyStage",
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"StrategyVersion",
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"BacktestRun",
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"PortfolioTarget",
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"RiskPolicy",
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"RiskDecisionStatus",
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"RiskDecision",
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"PaperOrderIntent",
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"GovernedFactorSliceResult",
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"evaluate_portfolio_risk",
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"create_paper_order_intent",
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"run_governed_factor_slice",
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]
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def _required_text(value: str, name: str) -> str:
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normalized = value.strip()
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if not normalized:
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raise ValueError(f"{name} must be non-empty")
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return normalized
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def _aware_utc(value: datetime, name: str) -> datetime:
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if not isinstance(value, datetime) or value.tzinfo is None or value.utcoffset() is None:
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raise ValueError(f"{name} must be timezone-aware")
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return value.astimezone(UTC)
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def _canonical_value(value: object) -> object:
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if value is None or isinstance(value, str | bool | int):
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return value
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if isinstance(value, float):
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if math.isnan(value):
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return "NaN"
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if math.isinf(value):
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return "Infinity" if value > 0 else "-Infinity"
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return value
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if isinstance(value, datetime):
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return _aware_utc(value, "datetime").isoformat()
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if isinstance(value, StrEnum):
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return value.value
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if isinstance(value, Mapping):
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return {
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str(key): _canonical_value(item)
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for key, item in sorted(value.items(), key=lambda pair: str(pair[0]))
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}
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if isinstance(value, list | tuple):
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return [_canonical_value(item) for item in value]
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raise TypeError(f"unsupported canonical value: {type(value).__name__}")
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def _stable_id(prefix: str, payload: Mapping[str, object]) -> str:
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encoded = json.dumps(
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_canonical_value(payload),
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ensure_ascii=False,
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sort_keys=True,
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separators=(",", ":"),
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allow_nan=False,
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).encode("utf-8")
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return f"{prefix}:{hashlib.sha256(encoded).hexdigest()}"
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def _immutable_weights(values: Mapping[str, float]) -> Mapping[str, float]:
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normalized: dict[str, float] = {}
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for raw_asset, raw_weight in values.items():
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asset = _required_text(str(raw_asset), "asset_id")
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weight = float(raw_weight)
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if not math.isfinite(weight) or weight < 0:
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raise ValueError("portfolio weights must be finite and non-negative")
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if asset in normalized:
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raise ValueError(f"duplicate asset_id: {asset}")
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normalized[asset] = weight
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return MappingProxyType(dict(sorted(normalized.items())))
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@dataclass(frozen=True, slots=True)
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class DatasetSnapshot:
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"""Point-in-time identity for caller-supplied research data."""
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snapshot_id: str
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schema_version: str
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content_sha256: str
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effective_at: datetime
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available_at: datetime
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ingested_at: datetime
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def __post_init__(self) -> None:
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object.__setattr__(self, "snapshot_id", _required_text(self.snapshot_id, "snapshot_id"))
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object.__setattr__(
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self, "schema_version", _required_text(self.schema_version, "schema_version")
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)
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digest = self.content_sha256.strip().lower()
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if not _SHA256.fullmatch(digest):
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raise ValueError("content_sha256 must be a lowercase SHA-256 digest")
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object.__setattr__(self, "content_sha256", digest)
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effective_at = _aware_utc(self.effective_at, "effective_at")
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available_at = _aware_utc(self.available_at, "available_at")
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ingested_at = _aware_utc(self.ingested_at, "ingested_at")
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if not effective_at <= available_at <= ingested_at:
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raise ValueError("timestamps must satisfy effective_at <= available_at <= ingested_at")
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object.__setattr__(self, "effective_at", effective_at)
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object.__setattr__(self, "available_at", available_at)
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object.__setattr__(self, "ingested_at", ingested_at)
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@dataclass(frozen=True, slots=True)
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class FactorVersion:
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"""Versioned factor definition identity without factor implementation duplication."""
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factor_id: str
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version: str
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definition_sha256: str
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dataset_schema_version: str
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def __post_init__(self) -> None:
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object.__setattr__(self, "factor_id", _required_text(self.factor_id, "factor_id"))
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object.__setattr__(self, "version", _required_text(self.version, "version"))
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object.__setattr__(
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self,
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"dataset_schema_version",
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_required_text(self.dataset_schema_version, "dataset_schema_version"),
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)
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digest = self.definition_sha256.strip().lower()
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if not _SHA256.fullmatch(digest):
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raise ValueError("definition_sha256 must be a lowercase SHA-256 digest")
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object.__setattr__(self, "definition_sha256", digest)
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@property
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def version_id(self) -> str:
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return f"{self.factor_id}@{self.version}"
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class StrategyStage(StrEnum):
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DRAFT = "Draft"
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RESEARCH = "Research"
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VALIDATED = "Validated"
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APPROVED = "Approved"
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PAPER = "Paper"
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LIVE = "Live"
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PAUSED = "Paused"
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RETIRED = "Retired"
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@dataclass(frozen=True, slots=True)
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class StrategyVersion:
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"""Strategy lineage and lifecycle state used by the governed slice."""
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strategy_id: str
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version: str
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factor_version_id: str
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stage: StrategyStage
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def __post_init__(self) -> None:
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object.__setattr__(self, "strategy_id", _required_text(self.strategy_id, "strategy_id"))
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object.__setattr__(self, "version", _required_text(self.version, "version"))
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object.__setattr__(
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self,
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"factor_version_id",
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_required_text(self.factor_version_id, "factor_version_id"),
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)
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if not isinstance(self.stage, StrategyStage):
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raise TypeError("stage must be a StrategyStage")
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@property
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def version_id(self) -> str:
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|
return f"{self.strategy_id}@{self.version}"
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@dataclass(frozen=True, slots=True)
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class BacktestRun:
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run_id: str
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dataset_snapshot_id: str
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factor_version_id: str
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strategy_version_id: str
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code_revision: str
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config_hash: str
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created_at: datetime
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@dataclass(frozen=True, slots=True)
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class PortfolioTarget:
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target_id: str
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backtest_run_id: str
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dataset_snapshot_id: str
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weights: Mapping[str, float]
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|
created_at: datetime
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|
def __post_init__(self) -> None:
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object.__setattr__(self, "weights", _immutable_weights(self.weights))
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|
@property
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|
def gross_exposure(self) -> float:
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return float(sum(abs(weight) for weight in self.weights.values()))
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@dataclass(frozen=True, slots=True)
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|
class RiskPolicy:
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|
policy_id: str
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|
max_gross_exposure: float
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max_single_asset_weight: float
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|
max_positions: int
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|
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|
def __post_init__(self) -> None:
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|
object.__setattr__(self, "policy_id", _required_text(self.policy_id, "policy_id"))
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|
if not math.isfinite(self.max_gross_exposure) or self.max_gross_exposure <= 0:
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raise ValueError("max_gross_exposure must be positive and finite")
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if not math.isfinite(self.max_single_asset_weight) or not (
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0 < self.max_single_asset_weight <= 1
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|
):
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|
raise ValueError("max_single_asset_weight must be in (0, 1]")
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|
if (
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|
isinstance(self.max_positions, bool)
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or not isinstance(self.max_positions, int)
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|
or self.max_positions <= 0
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|
):
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|
raise ValueError("max_positions must be a positive integer")
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|
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|
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|
class RiskDecisionStatus(StrEnum):
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|
APPROVED = "approved"
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|
REJECTED = "rejected"
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|
|
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|
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|
@dataclass(frozen=True, slots=True)
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|
class RiskDecision:
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|
decision_id: str
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|
portfolio_target_id: str
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|
policy_id: str
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|
status: RiskDecisionStatus
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|
reasons: tuple[str, ...]
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|
created_at: datetime
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|
|
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|
|
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|
@dataclass(frozen=True, slots=True, init=False)
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|
class PaperOrderIntent:
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|
intent_id: str
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|
portfolio_target_id: str
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|
risk_decision_id: str
|
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|
environment: str
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|
target_weights: Mapping[str, float]
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|
created_at: datetime
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|
|
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|
def __init__(self, target: PortfolioTarget, decision: RiskDecision) -> None:
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|
if decision.status is not RiskDecisionStatus.APPROVED:
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|
raise ValueError("an approved risk decision is required")
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|
if decision.portfolio_target_id != target.target_id:
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|
raise ValueError("risk decision does not bind the supplied portfolio target")
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|
target_weights = _immutable_weights(target.weights)
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|
payload = {
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|
"portfolio_target_id": target.target_id,
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|
"risk_decision_id": decision.decision_id,
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|
"environment": "paper",
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|
"target_weights": target_weights,
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|
"created_at": decision.created_at,
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|
}
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|
object.__setattr__(self, "intent_id", _stable_id("order-intent", payload))
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|
object.__setattr__(self, "portfolio_target_id", target.target_id)
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|
object.__setattr__(self, "risk_decision_id", decision.decision_id)
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|
object.__setattr__(self, "environment", "paper")
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|
object.__setattr__(self, "target_weights", target_weights)
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|
object.__setattr__(self, "created_at", decision.created_at)
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|
|
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|
|
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|
@dataclass(frozen=True, slots=True)
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|
class GovernedFactorSliceResult:
|
||||||
|
dataset_snapshot: DatasetSnapshot
|
||||||
|
factor_version: FactorVersion
|
||||||
|
strategy_version: StrategyVersion
|
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|
research_result: FactorBacktestResult
|
||||||
|
backtest_run: BacktestRun
|
||||||
|
portfolio_target: PortfolioTarget
|
||||||
|
risk_decision: RiskDecision
|
||||||
|
order_intent: PaperOrderIntent | None
|
||||||
|
|
||||||
|
|
||||||
|
def evaluate_portfolio_risk(
|
||||||
|
target: PortfolioTarget,
|
||||||
|
policy: RiskPolicy,
|
||||||
|
*,
|
||||||
|
created_at: datetime | None = None,
|
||||||
|
) -> RiskDecision:
|
||||||
|
"""Apply fail-closed paper risk limits to a versioned target portfolio."""
|
||||||
|
decision_time = target.created_at if created_at is None else _aware_utc(created_at, "created_at")
|
||||||
|
reasons: list[str] = []
|
||||||
|
if target.gross_exposure > policy.max_gross_exposure + 1e-12:
|
||||||
|
reasons.append(
|
||||||
|
f"gross exposure {target.gross_exposure:.12g} exceeds "
|
||||||
|
f"limit {policy.max_gross_exposure:.12g}"
|
||||||
|
)
|
||||||
|
positive_weights = [weight for weight in target.weights.values() if weight > 0]
|
||||||
|
largest_weight = max(positive_weights, default=0.0)
|
||||||
|
if largest_weight > policy.max_single_asset_weight + 1e-12:
|
||||||
|
reasons.append(
|
||||||
|
f"single-asset weight {largest_weight:.12g} exceeds "
|
||||||
|
f"limit {policy.max_single_asset_weight:.12g}"
|
||||||
|
)
|
||||||
|
if len(positive_weights) > policy.max_positions:
|
||||||
|
reasons.append(
|
||||||
|
f"position count {len(positive_weights)} exceeds limit {policy.max_positions}"
|
||||||
|
)
|
||||||
|
status = RiskDecisionStatus.REJECTED if reasons else RiskDecisionStatus.APPROVED
|
||||||
|
payload = {
|
||||||
|
"portfolio_target_id": target.target_id,
|
||||||
|
"policy_id": policy.policy_id,
|
||||||
|
"status": status,
|
||||||
|
"reasons": reasons,
|
||||||
|
"created_at": decision_time,
|
||||||
|
}
|
||||||
|
return RiskDecision(
|
||||||
|
decision_id=_stable_id("risk-decision", payload),
|
||||||
|
portfolio_target_id=target.target_id,
|
||||||
|
policy_id=policy.policy_id,
|
||||||
|
status=status,
|
||||||
|
reasons=tuple(reasons),
|
||||||
|
created_at=decision_time,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def create_paper_order_intent(
|
||||||
|
target: PortfolioTarget,
|
||||||
|
decision: RiskDecision,
|
||||||
|
) -> PaperOrderIntent:
|
||||||
|
"""Create a paper-only intent after an exact, approved risk decision."""
|
||||||
|
return PaperOrderIntent(target, decision)
|
||||||
|
|
||||||
|
|
||||||
|
def run_governed_factor_slice(
|
||||||
|
*,
|
||||||
|
factor_scores: pd.DataFrame,
|
||||||
|
execution_prices: pd.DataFrame,
|
||||||
|
valuation_prices: pd.DataFrame,
|
||||||
|
dataset_snapshot: DatasetSnapshot,
|
||||||
|
factor_version: FactorVersion,
|
||||||
|
strategy_version: StrategyVersion,
|
||||||
|
risk_policy: RiskPolicy,
|
||||||
|
code_revision: str,
|
||||||
|
created_at: datetime,
|
||||||
|
top_k: int,
|
||||||
|
execution_price_field: str,
|
||||||
|
valuation_price_field: str,
|
||||||
|
lag_sessions: int = 1,
|
||||||
|
gross_exposure: float = 1.0,
|
||||||
|
largest: bool = True,
|
||||||
|
initial_cash: float = 1_000_000.0,
|
||||||
|
execution_config: ExecutionConfig | None = None,
|
||||||
|
) -> GovernedFactorSliceResult:
|
||||||
|
"""Run snapshot → factor → strategy → backtest → target → risk → paper intent."""
|
||||||
|
if strategy_version.factor_version_id != factor_version.version_id:
|
||||||
|
raise ValueError("strategy factor lineage does not match factor_version")
|
||||||
|
if dataset_snapshot.schema_version != factor_version.dataset_schema_version:
|
||||||
|
raise ValueError("factor dataset schema does not match dataset snapshot")
|
||||||
|
if strategy_version.stage not in {StrategyStage.APPROVED, StrategyStage.PAPER}:
|
||||||
|
raise ValueError("strategy must be in Approved or Paper stage")
|
||||||
|
normalized_revision = code_revision.strip().lower()
|
||||||
|
if not _GIT_SHA.fullmatch(normalized_revision):
|
||||||
|
raise ValueError("code_revision must be a lowercase 40-character Git SHA")
|
||||||
|
run_time = _aware_utc(created_at, "created_at")
|
||||||
|
if dataset_snapshot.available_at > run_time or dataset_snapshot.ingested_at > run_time:
|
||||||
|
raise ValueError("dataset snapshot must be available before the research run")
|
||||||
|
if not factor_scores.empty:
|
||||||
|
latest_decision = pd.Timestamp(factor_scores.index.max())
|
||||||
|
latest_decision_date = latest_decision.date()
|
||||||
|
if latest_decision_date > run_time.date():
|
||||||
|
raise ValueError("factor_scores contain future decision dates")
|
||||||
|
config = ExecutionConfig() if execution_config is None else execution_config
|
||||||
|
if not isinstance(config, ExecutionConfig):
|
||||||
|
raise TypeError("execution_config must be an ExecutionConfig")
|
||||||
|
|
||||||
|
parameters: dict[str, object] = {
|
||||||
|
"top_k": top_k,
|
||||||
|
"execution_price_field": execution_price_field,
|
||||||
|
"valuation_price_field": valuation_price_field,
|
||||||
|
"lag_sessions": lag_sessions,
|
||||||
|
"gross_exposure": gross_exposure,
|
||||||
|
"largest": largest,
|
||||||
|
"initial_cash": initial_cash,
|
||||||
|
"execution_config": asdict(config),
|
||||||
|
}
|
||||||
|
config_hash = _stable_id("config", parameters).split(":", maxsplit=1)[1]
|
||||||
|
run_payload = {
|
||||||
|
"dataset_snapshot_id": dataset_snapshot.snapshot_id,
|
||||||
|
"dataset_content_sha256": dataset_snapshot.content_sha256,
|
||||||
|
"factor_version_id": factor_version.version_id,
|
||||||
|
"factor_definition_sha256": factor_version.definition_sha256,
|
||||||
|
"strategy_version_id": strategy_version.version_id,
|
||||||
|
"code_revision": normalized_revision,
|
||||||
|
"config_hash": config_hash,
|
||||||
|
"created_at": run_time,
|
||||||
|
}
|
||||||
|
backtest_run = BacktestRun(
|
||||||
|
run_id=_stable_id("backtest-run", run_payload),
|
||||||
|
dataset_snapshot_id=dataset_snapshot.snapshot_id,
|
||||||
|
factor_version_id=factor_version.version_id,
|
||||||
|
strategy_version_id=strategy_version.version_id,
|
||||||
|
code_revision=normalized_revision,
|
||||||
|
config_hash=config_hash,
|
||||||
|
created_at=run_time,
|
||||||
|
)
|
||||||
|
|
||||||
|
research_result = run_factor_backtest_research(
|
||||||
|
factor_scores,
|
||||||
|
execution_prices,
|
||||||
|
valuation_prices,
|
||||||
|
top_k=top_k,
|
||||||
|
execution_price_field=execution_price_field,
|
||||||
|
valuation_price_field=valuation_price_field,
|
||||||
|
lag_sessions=lag_sessions,
|
||||||
|
gross_exposure=gross_exposure,
|
||||||
|
largest=largest,
|
||||||
|
initial_cash=initial_cash,
|
||||||
|
config=config,
|
||||||
|
)
|
||||||
|
if research_result.schedule.decision_weights.empty:
|
||||||
|
raise ValueError("governed slice requires at least one target portfolio")
|
||||||
|
final_weights = {
|
||||||
|
str(asset): float(weight)
|
||||||
|
for asset, weight in research_result.schedule.decision_weights.iloc[-1].items()
|
||||||
|
}
|
||||||
|
target_payload = {
|
||||||
|
"backtest_run_id": backtest_run.run_id,
|
||||||
|
"dataset_snapshot_id": dataset_snapshot.snapshot_id,
|
||||||
|
"weights": final_weights,
|
||||||
|
"created_at": run_time,
|
||||||
|
}
|
||||||
|
portfolio_target = PortfolioTarget(
|
||||||
|
target_id=_stable_id("portfolio-target", target_payload),
|
||||||
|
backtest_run_id=backtest_run.run_id,
|
||||||
|
dataset_snapshot_id=dataset_snapshot.snapshot_id,
|
||||||
|
weights=final_weights,
|
||||||
|
created_at=run_time,
|
||||||
|
)
|
||||||
|
risk_decision = evaluate_portfolio_risk(
|
||||||
|
portfolio_target,
|
||||||
|
risk_policy,
|
||||||
|
created_at=run_time,
|
||||||
|
)
|
||||||
|
order_intent = (
|
||||||
|
create_paper_order_intent(portfolio_target, risk_decision)
|
||||||
|
if risk_decision.status is RiskDecisionStatus.APPROVED
|
||||||
|
else None
|
||||||
|
)
|
||||||
|
return GovernedFactorSliceResult(
|
||||||
|
dataset_snapshot=dataset_snapshot,
|
||||||
|
factor_version=factor_version,
|
||||||
|
strategy_version=strategy_version,
|
||||||
|
research_result=research_result,
|
||||||
|
backtest_run=backtest_run,
|
||||||
|
portfolio_target=portfolio_target,
|
||||||
|
risk_decision=risk_decision,
|
||||||
|
order_intent=order_intent,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _demo() -> Mapping[str, object]:
|
||||||
|
dates = pd.date_range("2026-01-05", periods=4, freq="B")
|
||||||
|
scores = pd.DataFrame({"A": [2.0, 1.0], "B": [1.0, 2.0]}, index=dates[:2])
|
||||||
|
opens = pd.DataFrame({"A": [10.0, 10.0, 10.2, 10.3], "B": [20.0, 20.0, 20.5, 21.0]}, index=dates)
|
||||||
|
result = run_governed_factor_slice(
|
||||||
|
factor_scores=scores,
|
||||||
|
execution_prices=opens,
|
||||||
|
valuation_prices=opens * 1.01,
|
||||||
|
dataset_snapshot=DatasetSnapshot(
|
||||||
|
snapshot_id="dataset:architecture-smoke-v1",
|
||||||
|
schema_version="1.0.0",
|
||||||
|
content_sha256="a" * 64,
|
||||||
|
effective_at=datetime(2026, 1, 8, 7, tzinfo=UTC),
|
||||||
|
available_at=datetime(2026, 1, 8, 8, tzinfo=UTC),
|
||||||
|
ingested_at=datetime(2026, 1, 8, 8, 5, tzinfo=UTC),
|
||||||
|
),
|
||||||
|
factor_version=FactorVersion(
|
||||||
|
factor_id="factor:architecture-smoke",
|
||||||
|
version="1.0.0",
|
||||||
|
definition_sha256="b" * 64,
|
||||||
|
dataset_schema_version="1.0.0",
|
||||||
|
),
|
||||||
|
strategy_version=StrategyVersion(
|
||||||
|
strategy_id="strategy:architecture-smoke",
|
||||||
|
version="1.0.0",
|
||||||
|
factor_version_id="factor:architecture-smoke@1.0.0",
|
||||||
|
stage=StrategyStage.APPROVED,
|
||||||
|
),
|
||||||
|
risk_policy=RiskPolicy(
|
||||||
|
policy_id="risk:architecture-smoke@1.0.0",
|
||||||
|
max_gross_exposure=1.0,
|
||||||
|
max_single_asset_weight=0.6,
|
||||||
|
max_positions=10,
|
||||||
|
),
|
||||||
|
code_revision="c" * 40,
|
||||||
|
created_at=datetime(2026, 1, 9, 1, tzinfo=UTC),
|
||||||
|
top_k=2,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
execution_config=ExecutionConfig(
|
||||||
|
commission_bps=0,
|
||||||
|
stamp_tax_bps=0,
|
||||||
|
slippage_bps=0,
|
||||||
|
min_trade_amount=0,
|
||||||
|
),
|
||||||
|
)
|
||||||
|
return {
|
||||||
|
"backtest_run_id": result.backtest_run.run_id,
|
||||||
|
"portfolio_target_id": result.portfolio_target.target_id,
|
||||||
|
"risk_decision": result.risk_decision.status.value,
|
||||||
|
"order_intent_id": result.order_intent.intent_id if result.order_intent else None,
|
||||||
|
"environment": result.order_intent.environment if result.order_intent else None,
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == "__main__":
|
||||||
|
print(json.dumps(_demo(), ensure_ascii=False, sort_keys=True))
|
||||||
@@ -0,0 +1,320 @@
|
|||||||
|
"""Governed Personal Quant OS vertical-slice contracts."""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from datetime import UTC, datetime
|
||||||
|
|
||||||
|
import pandas as pd
|
||||||
|
import pytest
|
||||||
|
|
||||||
|
from quant_engine.execution import ExecutionConfig
|
||||||
|
from quant_engine.governed_pipeline import (
|
||||||
|
DatasetSnapshot,
|
||||||
|
FactorVersion,
|
||||||
|
PaperOrderIntent,
|
||||||
|
RiskDecisionStatus,
|
||||||
|
RiskPolicy,
|
||||||
|
StrategyStage,
|
||||||
|
StrategyVersion,
|
||||||
|
create_paper_order_intent,
|
||||||
|
run_governed_factor_slice,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _calendar() -> pd.DatetimeIndex:
|
||||||
|
return pd.date_range("2026-01-05", periods=4, freq="B")
|
||||||
|
|
||||||
|
|
||||||
|
def _scores() -> pd.DataFrame:
|
||||||
|
dates = _calendar()
|
||||||
|
return pd.DataFrame(
|
||||||
|
{"A": [3.0, 1.0], "B": [2.0, 3.0], "C": [1.0, 2.0]},
|
||||||
|
index=dates[:2],
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _prices() -> tuple[pd.DataFrame, pd.DataFrame]:
|
||||||
|
dates = _calendar()
|
||||||
|
opens = pd.DataFrame(
|
||||||
|
{"A": [10.0, 10.0, 10.2, 10.4], "B": [20.0, 20.0, 20.5, 21.0], "C": [30.0, 30.0, 30.0, 30.0]},
|
||||||
|
index=dates,
|
||||||
|
)
|
||||||
|
closes = opens * 1.01
|
||||||
|
return opens, closes
|
||||||
|
|
||||||
|
|
||||||
|
def _snapshot() -> DatasetSnapshot:
|
||||||
|
return DatasetSnapshot(
|
||||||
|
snapshot_id="dataset:cn-a-daily-20260108-v1",
|
||||||
|
schema_version="1.0.0",
|
||||||
|
content_sha256="a" * 64,
|
||||||
|
effective_at=datetime(2026, 1, 8, 7, tzinfo=UTC),
|
||||||
|
available_at=datetime(2026, 1, 8, 8, tzinfo=UTC),
|
||||||
|
ingested_at=datetime(2026, 1, 8, 8, 5, tzinfo=UTC),
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _factor() -> FactorVersion:
|
||||||
|
return FactorVersion(
|
||||||
|
factor_id="factor:demo-momentum",
|
||||||
|
version="1.0.0",
|
||||||
|
definition_sha256="b" * 64,
|
||||||
|
dataset_schema_version="1.0.0",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _strategy() -> StrategyVersion:
|
||||||
|
return StrategyVersion(
|
||||||
|
strategy_id="strategy:demo-top2",
|
||||||
|
version="1.0.0",
|
||||||
|
factor_version_id="factor:demo-momentum@1.0.0",
|
||||||
|
stage=StrategyStage.APPROVED,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _execution_config() -> ExecutionConfig:
|
||||||
|
return ExecutionConfig(
|
||||||
|
commission_bps=0,
|
||||||
|
stamp_tax_bps=0,
|
||||||
|
slippage_bps=0,
|
||||||
|
min_trade_amount=0,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_governed_slice_is_reproducible_and_creates_only_paper_intent() -> None:
|
||||||
|
opens, closes = _prices()
|
||||||
|
created_at = datetime(2026, 1, 9, 1, tzinfo=UTC)
|
||||||
|
policy = RiskPolicy(
|
||||||
|
policy_id="risk:paper-default@1.0.0",
|
||||||
|
max_gross_exposure=1.0,
|
||||||
|
max_single_asset_weight=0.6,
|
||||||
|
max_positions=10,
|
||||||
|
)
|
||||||
|
|
||||||
|
result = run_governed_factor_slice(
|
||||||
|
factor_scores=_scores(),
|
||||||
|
execution_prices=opens,
|
||||||
|
valuation_prices=closes,
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=_factor(),
|
||||||
|
strategy_version=_strategy(),
|
||||||
|
risk_policy=policy,
|
||||||
|
code_revision="c" * 40,
|
||||||
|
created_at=created_at,
|
||||||
|
top_k=2,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
execution_config=_execution_config(),
|
||||||
|
)
|
||||||
|
|
||||||
|
assert result.backtest_run.dataset_snapshot_id == _snapshot().snapshot_id
|
||||||
|
assert result.backtest_run.factor_version_id == _factor().version_id
|
||||||
|
assert result.backtest_run.strategy_version_id == _strategy().version_id
|
||||||
|
assert result.backtest_run.code_revision == "c" * 40
|
||||||
|
assert len(result.backtest_run.config_hash) == 64
|
||||||
|
assert result.portfolio_target.backtest_run_id == result.backtest_run.run_id
|
||||||
|
assert result.risk_decision.status is RiskDecisionStatus.APPROVED
|
||||||
|
assert result.risk_decision.portfolio_target_id == result.portfolio_target.target_id
|
||||||
|
assert result.order_intent is not 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
|
||||||
|
|
||||||
|
repeated = run_governed_factor_slice(
|
||||||
|
factor_scores=_scores(),
|
||||||
|
execution_prices=opens,
|
||||||
|
valuation_prices=closes,
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=_factor(),
|
||||||
|
strategy_version=_strategy(),
|
||||||
|
risk_policy=policy,
|
||||||
|
code_revision="c" * 40,
|
||||||
|
created_at=created_at,
|
||||||
|
top_k=2,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
execution_config=_execution_config(),
|
||||||
|
)
|
||||||
|
assert repeated.backtest_run.run_id == result.backtest_run.run_id
|
||||||
|
assert repeated.portfolio_target.target_id == result.portfolio_target.target_id
|
||||||
|
assert repeated.risk_decision.decision_id == result.risk_decision.decision_id
|
||||||
|
assert repeated.order_intent == result.order_intent
|
||||||
|
|
||||||
|
|
||||||
|
def test_risk_rejection_blocks_order_intent() -> None:
|
||||||
|
opens, closes = _prices()
|
||||||
|
result = run_governed_factor_slice(
|
||||||
|
factor_scores=_scores(),
|
||||||
|
execution_prices=opens,
|
||||||
|
valuation_prices=closes,
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=_factor(),
|
||||||
|
strategy_version=_strategy(),
|
||||||
|
risk_policy=RiskPolicy(
|
||||||
|
policy_id="risk:no-concentration@1.0.0",
|
||||||
|
max_gross_exposure=1.0,
|
||||||
|
max_single_asset_weight=0.4,
|
||||||
|
max_positions=10,
|
||||||
|
),
|
||||||
|
code_revision="c" * 40,
|
||||||
|
created_at=datetime(2026, 1, 9, 1, tzinfo=UTC),
|
||||||
|
top_k=2,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
execution_config=_execution_config(),
|
||||||
|
)
|
||||||
|
|
||||||
|
assert result.risk_decision.status is RiskDecisionStatus.REJECTED
|
||||||
|
assert any("single-asset weight" in reason for reason in result.risk_decision.reasons)
|
||||||
|
assert result.order_intent is None
|
||||||
|
with pytest.raises(ValueError, match="approved risk decision"):
|
||||||
|
create_paper_order_intent(result.portfolio_target, result.risk_decision)
|
||||||
|
with pytest.raises(ValueError, match="approved risk decision"):
|
||||||
|
PaperOrderIntent(result.portfolio_target, result.risk_decision)
|
||||||
|
|
||||||
|
|
||||||
|
def test_dataset_snapshot_requires_point_in_time_ordering_and_aware_times() -> None:
|
||||||
|
with pytest.raises(ValueError, match="timezone-aware"):
|
||||||
|
DatasetSnapshot(
|
||||||
|
snapshot_id="dataset:invalid",
|
||||||
|
schema_version="1.0.0",
|
||||||
|
content_sha256="a" * 64,
|
||||||
|
effective_at=datetime(2026, 1, 8, 7),
|
||||||
|
available_at=datetime(2026, 1, 8, 8, tzinfo=UTC),
|
||||||
|
ingested_at=datetime(2026, 1, 8, 9, tzinfo=UTC),
|
||||||
|
)
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="effective_at <= available_at <= ingested_at"):
|
||||||
|
DatasetSnapshot(
|
||||||
|
snapshot_id="dataset:invalid",
|
||||||
|
schema_version="1.0.0",
|
||||||
|
content_sha256="a" * 64,
|
||||||
|
effective_at=datetime(2026, 1, 8, 9, tzinfo=UTC),
|
||||||
|
available_at=datetime(2026, 1, 8, 8, tzinfo=UTC),
|
||||||
|
ingested_at=datetime(2026, 1, 8, 10, tzinfo=UTC),
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_strategy_factor_lineage_must_match() -> None:
|
||||||
|
opens, closes = _prices()
|
||||||
|
mismatched = StrategyVersion(
|
||||||
|
strategy_id="strategy:demo-top2",
|
||||||
|
version="1.0.0",
|
||||||
|
factor_version_id="factor:other@1.0.0",
|
||||||
|
stage=StrategyStage.APPROVED,
|
||||||
|
)
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="factor lineage"):
|
||||||
|
run_governed_factor_slice(
|
||||||
|
factor_scores=_scores(),
|
||||||
|
execution_prices=opens,
|
||||||
|
valuation_prices=closes,
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=_factor(),
|
||||||
|
strategy_version=mismatched,
|
||||||
|
risk_policy=RiskPolicy(
|
||||||
|
policy_id="risk:paper-default@1.0.0",
|
||||||
|
max_gross_exposure=1.0,
|
||||||
|
max_single_asset_weight=0.6,
|
||||||
|
max_positions=10,
|
||||||
|
),
|
||||||
|
code_revision="c" * 40,
|
||||||
|
created_at=datetime(2026, 1, 9, 1, tzinfo=UTC),
|
||||||
|
top_k=2,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
execution_config=_execution_config(),
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_governed_slice_requires_matching_schema_and_snapshot_available_by_run_time() -> None:
|
||||||
|
opens, closes = _prices()
|
||||||
|
common = {
|
||||||
|
"factor_scores": _scores(),
|
||||||
|
"execution_prices": opens,
|
||||||
|
"valuation_prices": closes,
|
||||||
|
"strategy_version": _strategy(),
|
||||||
|
"risk_policy": RiskPolicy(
|
||||||
|
policy_id="risk:paper-default@1.0.0",
|
||||||
|
max_gross_exposure=1.0,
|
||||||
|
max_single_asset_weight=0.6,
|
||||||
|
max_positions=10,
|
||||||
|
),
|
||||||
|
"code_revision": "c" * 40,
|
||||||
|
"top_k": 2,
|
||||||
|
"execution_price_field": "open",
|
||||||
|
"valuation_price_field": "close",
|
||||||
|
"execution_config": _execution_config(),
|
||||||
|
}
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="dataset schema"):
|
||||||
|
run_governed_factor_slice(
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=FactorVersion(
|
||||||
|
factor_id="factor:demo-momentum",
|
||||||
|
version="1.0.0",
|
||||||
|
definition_sha256="b" * 64,
|
||||||
|
dataset_schema_version="2.0.0",
|
||||||
|
),
|
||||||
|
created_at=datetime(2026, 1, 9, 1, tzinfo=UTC),
|
||||||
|
**common,
|
||||||
|
)
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="available before the research run"):
|
||||||
|
run_governed_factor_slice(
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=_factor(),
|
||||||
|
created_at=datetime(2026, 1, 8, 7, 30, tzinfo=UTC),
|
||||||
|
**common,
|
||||||
|
)
|
||||||
|
|
||||||
|
future_scores = _scores()
|
||||||
|
future_scores.index = pd.date_range("2026-01-12", periods=2, freq="B")
|
||||||
|
with pytest.raises(ValueError, match="future decision dates"):
|
||||||
|
run_governed_factor_slice(
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=_factor(),
|
||||||
|
factor_scores=future_scores,
|
||||||
|
execution_prices=opens,
|
||||||
|
valuation_prices=closes,
|
||||||
|
strategy_version=common["strategy_version"],
|
||||||
|
risk_policy=common["risk_policy"],
|
||||||
|
code_revision="c" * 40,
|
||||||
|
created_at=datetime(2026, 1, 9, 1, tzinfo=UTC),
|
||||||
|
top_k=2,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
execution_config=_execution_config(),
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_paper_intent_requires_approved_strategy_stage() -> None:
|
||||||
|
opens, closes = _prices()
|
||||||
|
validated = StrategyVersion(
|
||||||
|
strategy_id="strategy:demo-top2",
|
||||||
|
version="1.0.0",
|
||||||
|
factor_version_id=_factor().version_id,
|
||||||
|
stage=StrategyStage.VALIDATED,
|
||||||
|
)
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="Approved or Paper"):
|
||||||
|
run_governed_factor_slice(
|
||||||
|
factor_scores=_scores(),
|
||||||
|
execution_prices=opens,
|
||||||
|
valuation_prices=closes,
|
||||||
|
dataset_snapshot=_snapshot(),
|
||||||
|
factor_version=_factor(),
|
||||||
|
strategy_version=validated,
|
||||||
|
risk_policy=RiskPolicy(
|
||||||
|
policy_id="risk:paper-default@1.0.0",
|
||||||
|
max_gross_exposure=1.0,
|
||||||
|
max_single_asset_weight=0.6,
|
||||||
|
max_positions=10,
|
||||||
|
),
|
||||||
|
code_revision="c" * 40,
|
||||||
|
created_at=datetime(2026, 1, 9, 1, tzinfo=UTC),
|
||||||
|
top_k=2,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
execution_config=_execution_config(),
|
||||||
|
)
|
||||||
Reference in New Issue
Block a user