Compare commits
5
Commits
| Author | SHA1 | Date | |
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02393b222b | ||
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015c1a3602 | ||
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2bc8aea435 | ||
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03e38d5123 | ||
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90a43adda2 |
@@ -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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@@ -3271,6 +3271,363 @@ def evaluate_phase3_formula(name: str, **inputs: pd.Series) -> pd.Series:
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return function(*(inputs[field] for field in required_inputs))
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return function(*(inputs[field] for field in required_inputs))
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# ── Phase 4 formula contract: frozen alpha051-alpha100 surface ──────────────
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# Phase 4 extends the versioned formula contract without mutating the Phase 3
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# catalogue, digest, dispatch surface, or the existing formula functions.
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ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION = "1.0.0"
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ALPHA158_PHASE4_FORMULA_CATALOG_SHA256 = (
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"858daf5e2abab5063fc28fcf7c79936096e2c76dde582fc7bab78b3458f17054"
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)
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_PHASE4_FORMULA_FUNCTIONS: dict[str, Callable[..., pd.Series]] = {
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"alpha_051": alpha_051,
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"alpha_052": alpha_052,
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"alpha_053": alpha_053,
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"alpha_054": alpha_054,
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"alpha_055": alpha_055,
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"alpha_056": alpha_056,
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"alpha_057": alpha_057,
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"alpha_058": alpha_058,
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"alpha_059": alpha_059,
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"alpha_060": alpha_060,
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"alpha_061": alpha_061,
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"alpha_062": alpha_062,
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"alpha_063": alpha_063,
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"alpha_064": alpha_064,
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"alpha_065": alpha_065,
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"alpha_066": alpha_066,
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"alpha_067": alpha_067,
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"alpha_068": alpha_068,
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"alpha_069": alpha_069,
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"alpha_070": alpha_070,
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"alpha_071": alpha_071,
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"alpha_072": alpha_072,
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"alpha_073": alpha_073,
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"alpha_074": alpha_074,
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"alpha_075": alpha_075,
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"alpha_076": alpha_076,
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"alpha_077": alpha_077,
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"alpha_078": alpha_078,
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"alpha_079": alpha_079,
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"alpha_080": alpha_080,
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"alpha_081": alpha_081,
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"alpha_082": alpha_082,
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"alpha_083": alpha_083,
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"alpha_084": alpha_084,
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"alpha_085": alpha_085,
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"alpha_086": alpha_086,
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"alpha_087": alpha_087,
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"alpha_088": alpha_088,
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"alpha_089": alpha_089,
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"alpha_090": alpha_090,
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"alpha_091": alpha_091,
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"alpha_092": alpha_092,
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"alpha_093": alpha_093,
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"alpha_094": alpha_094,
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"alpha_095": alpha_095,
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"alpha_096": alpha_096,
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"alpha_097": alpha_097,
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"alpha_098": alpha_098,
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"alpha_099": alpha_099,
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"alpha_100": alpha_100,
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}
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_PHASE4_INPUT_CATEGORIES = {
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1: "single",
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2: "pair",
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3: "triple",
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4: "quadruple",
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5: "quintuple",
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}
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def _build_phase4_formula_specs() -> dict[str, dict[str, Any]]:
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specs: dict[str, dict[str, Any]] = {}
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for alpha_id, function in _PHASE4_FORMULA_FUNCTIONS.items():
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meta = ALPHA158_REGISTRY[alpha_id]
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call_inputs = _phase3_call_inputs(function)
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formula_inputs = _phase3_string_list(meta, "inputs", alpha_id)
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input_category = _PHASE4_INPUT_CATEGORIES.get(len(call_inputs))
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if input_category is None:
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raise RuntimeError(f"unsupported formula input count for {alpha_id}")
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specs[alpha_id] = {
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"name": alpha_id,
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"contract_version": ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION,
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"formula": meta["formula"],
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"category": meta["category"],
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"complexity": meta["complexity"],
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"parameters": _phase3_string_list(meta, "params", alpha_id),
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"description": meta["description"],
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"references": _phase3_string_list(meta, "references", alpha_id),
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"call_inputs": list(call_inputs),
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"formula_inputs": formula_inputs,
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"input_category": input_category,
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}
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return specs
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ALPHA158_PHASE4_FORMULA_SPECS: Mapping[str, Mapping[str, Any]] = (
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_freeze_phase3_formula_specs(_build_phase4_formula_specs())
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||||||
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)
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||||||
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||||||
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def list_phase4_formulas() -> tuple[str, ...]:
|
||||||
|
"""Return the frozen alpha051-alpha100 formula IDs in stable order."""
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||||||
|
return tuple(ALPHA158_PHASE4_FORMULA_SPECS)
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||||||
|
|
||||||
|
|
||||||
|
def evaluate_phase4_formula(name: str, **inputs: pd.Series) -> pd.Series:
|
||||||
|
"""Evaluate a Phase 4 formula with an exact, alignment-safe input contract."""
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||||||
|
if name not in ALPHA158_PHASE4_FORMULA_SPECS:
|
||||||
|
raise KeyError(f"formula {name!r} not registered")
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||||||
|
|
||||||
|
spec = ALPHA158_PHASE4_FORMULA_SPECS[name]
|
||||||
|
required_inputs = cast(tuple[str, ...], spec["call_inputs"])
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||||||
|
missing_inputs = [field for field in required_inputs if field not in inputs]
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||||||
|
unexpected_inputs = sorted(field for field in inputs if field not in required_inputs)
|
||||||
|
if missing_inputs or unexpected_inputs:
|
||||||
|
details: list[str] = []
|
||||||
|
if missing_inputs:
|
||||||
|
details.append(f"missing inputs {missing_inputs}")
|
||||||
|
if unexpected_inputs:
|
||||||
|
details.append(f"unexpected inputs {unexpected_inputs}")
|
||||||
|
raise ValueError(f"invalid inputs for {name}: {'; '.join(details)}")
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||||||
|
|
||||||
|
for field in required_inputs:
|
||||||
|
if not isinstance(inputs[field], pd.Series):
|
||||||
|
raise TypeError(f"{field} must be a pandas Series")
|
||||||
|
|
||||||
|
primary_field = required_inputs[0]
|
||||||
|
primary = inputs[primary_field]
|
||||||
|
for field in required_inputs[1:]:
|
||||||
|
if not primary.index.equals(inputs[field].index):
|
||||||
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raise ValueError(f"{field} index must align with {primary_field}")
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||||||
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||||||
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function = _PHASE4_FORMULA_FUNCTIONS[name]
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||||||
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return function(*(inputs[field] for field in required_inputs))
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|
|
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||||||
|
# ── Phase 5 formula contract: frozen alpha101-alpha150 surface ──────────────
|
||||||
|
|
||||||
|
# Phase 5 extends the versioned formula contract without mutating any earlier
|
||||||
|
# catalogue, digest, dispatch surface, or existing formula implementation.
|
||||||
|
ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION = "1.0.0"
|
||||||
|
ALPHA158_PHASE5_FORMULA_CATALOG_SHA256 = (
|
||||||
|
"3368796169c9fbd39c4a34ea137e569964b15882fbf4de25124790d548db6533"
|
||||||
|
)
|
||||||
|
|
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_PHASE5_FORMULA_FUNCTIONS: dict[str, Callable[..., pd.Series]] = {
|
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"alpha_101": alpha_101,
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"alpha_102": alpha_102,
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"alpha_103": alpha_103,
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"alpha_104": alpha_104,
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|
"alpha_105": alpha_105,
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"alpha_106": alpha_106,
|
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"alpha_107": alpha_107,
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"alpha_108": alpha_108,
|
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"alpha_109": alpha_109,
|
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"alpha_110": alpha_110,
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"alpha_111": alpha_111,
|
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|
"alpha_112": alpha_112,
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|
"alpha_113": alpha_113,
|
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"alpha_114": alpha_114,
|
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"alpha_115": alpha_115,
|
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|
"alpha_116": alpha_116,
|
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|
"alpha_117": alpha_117,
|
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|
"alpha_118": alpha_118,
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|
"alpha_119": alpha_119,
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"alpha_120": alpha_120,
|
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|
"alpha_121": alpha_121,
|
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"alpha_122": alpha_122,
|
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|
"alpha_123": alpha_123,
|
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|
"alpha_124": alpha_124,
|
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|
"alpha_125": alpha_125,
|
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|
"alpha_126": alpha_126,
|
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|
"alpha_127": alpha_127,
|
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|
"alpha_128": alpha_128,
|
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|
"alpha_129": alpha_129,
|
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|
"alpha_130": alpha_130,
|
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|
"alpha_131": alpha_131,
|
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|
"alpha_132": alpha_132,
|
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|
"alpha_133": alpha_133,
|
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|
"alpha_134": alpha_134,
|
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|
"alpha_135": alpha_135,
|
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|
"alpha_136": alpha_136,
|
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|
"alpha_137": alpha_137,
|
||||||
|
"alpha_138": alpha_138,
|
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|
"alpha_139": alpha_139,
|
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|
"alpha_140": alpha_140,
|
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|
"alpha_141": alpha_141,
|
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|
"alpha_142": alpha_142,
|
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|
"alpha_143": alpha_143,
|
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|
"alpha_144": alpha_144,
|
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|
"alpha_145": alpha_145,
|
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|
"alpha_146": alpha_146,
|
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|
"alpha_147": alpha_147,
|
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|
"alpha_148": alpha_148,
|
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|
"alpha_149": alpha_149,
|
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|
"alpha_150": alpha_150,
|
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|
}
|
||||||
|
|
||||||
|
|
||||||
|
def _build_phase5_formula_specs() -> dict[str, dict[str, Any]]:
|
||||||
|
specs: dict[str, dict[str, Any]] = {}
|
||||||
|
for alpha_id, function in _PHASE5_FORMULA_FUNCTIONS.items():
|
||||||
|
meta = ALPHA158_REGISTRY[alpha_id]
|
||||||
|
call_inputs = _phase3_call_inputs(function)
|
||||||
|
formula_inputs = _phase3_string_list(meta, "inputs", alpha_id)
|
||||||
|
input_category = _PHASE4_INPUT_CATEGORIES.get(len(call_inputs))
|
||||||
|
if input_category is None:
|
||||||
|
raise RuntimeError(f"unsupported formula input count for {alpha_id}")
|
||||||
|
specs[alpha_id] = {
|
||||||
|
"name": alpha_id,
|
||||||
|
"contract_version": ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION,
|
||||||
|
"formula": meta["formula"],
|
||||||
|
"category": meta["category"],
|
||||||
|
"complexity": meta["complexity"],
|
||||||
|
"parameters": _phase3_string_list(meta, "params", alpha_id),
|
||||||
|
"description": meta["description"],
|
||||||
|
"references": _phase3_string_list(meta, "references", alpha_id),
|
||||||
|
"call_inputs": list(call_inputs),
|
||||||
|
"formula_inputs": formula_inputs,
|
||||||
|
"input_category": input_category,
|
||||||
|
}
|
||||||
|
return specs
|
||||||
|
|
||||||
|
|
||||||
|
ALPHA158_PHASE5_FORMULA_SPECS: Mapping[str, Mapping[str, Any]] = (
|
||||||
|
_freeze_phase3_formula_specs(_build_phase5_formula_specs())
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def list_phase5_formulas() -> tuple[str, ...]:
|
||||||
|
"""Return the frozen alpha101-alpha150 formula IDs in stable order."""
|
||||||
|
return tuple(ALPHA158_PHASE5_FORMULA_SPECS)
|
||||||
|
|
||||||
|
|
||||||
|
def evaluate_phase5_formula(name: str, **inputs: pd.Series) -> pd.Series:
|
||||||
|
"""Evaluate a Phase 5 formula with an exact, alignment-safe input contract."""
|
||||||
|
if name not in ALPHA158_PHASE5_FORMULA_SPECS:
|
||||||
|
raise KeyError(f"formula {name!r} not registered")
|
||||||
|
|
||||||
|
spec = ALPHA158_PHASE5_FORMULA_SPECS[name]
|
||||||
|
required_inputs = cast(tuple[str, ...], spec["call_inputs"])
|
||||||
|
missing_inputs = [field for field in required_inputs if field not in inputs]
|
||||||
|
unexpected_inputs = sorted(field for field in inputs if field not in required_inputs)
|
||||||
|
if missing_inputs or unexpected_inputs:
|
||||||
|
details: list[str] = []
|
||||||
|
if missing_inputs:
|
||||||
|
details.append(f"missing inputs {missing_inputs}")
|
||||||
|
if unexpected_inputs:
|
||||||
|
details.append(f"unexpected inputs {unexpected_inputs}")
|
||||||
|
raise ValueError(f"invalid inputs for {name}: {'; '.join(details)}")
|
||||||
|
|
||||||
|
for field in required_inputs:
|
||||||
|
if not isinstance(inputs[field], pd.Series):
|
||||||
|
raise TypeError(f"{field} must be a pandas Series")
|
||||||
|
|
||||||
|
primary_field = required_inputs[0]
|
||||||
|
primary = inputs[primary_field]
|
||||||
|
for field in required_inputs[1:]:
|
||||||
|
if len(inputs[field]) != len(primary):
|
||||||
|
raise ValueError(f"{field} length must match {primary_field}")
|
||||||
|
if not primary.index.equals(inputs[field].index):
|
||||||
|
raise ValueError(f"{field} index must align with {primary_field}")
|
||||||
|
|
||||||
|
function = _PHASE5_FORMULA_FUNCTIONS[name]
|
||||||
|
return function(*(inputs[field] for field in required_inputs))
|
||||||
|
|
||||||
|
|
||||||
|
# ── Phase 6 formula contract: frozen alpha151-alpha158 surface ──────────────
|
||||||
|
|
||||||
|
# Phase 6 completes the versioned formula contract without mutating any
|
||||||
|
# earlier catalogue, digest, dispatch surface, or formula implementation.
|
||||||
|
ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION = "1.0.0"
|
||||||
|
ALPHA158_PHASE6_FORMULA_CATALOG_SHA256 = (
|
||||||
|
"70ffae16ca6cbb59a1e8644f5cdeec1d291fa75ff8b5647fb534af0083408219"
|
||||||
|
)
|
||||||
|
|
||||||
|
_PHASE6_FORMULA_FUNCTIONS: dict[str, Callable[..., pd.Series]] = {
|
||||||
|
"alpha_151": alpha_151,
|
||||||
|
"alpha_152": alpha_152,
|
||||||
|
"alpha_153": alpha_153,
|
||||||
|
"alpha_154": alpha_154,
|
||||||
|
"alpha_155": alpha_155,
|
||||||
|
"alpha_156": alpha_156,
|
||||||
|
"alpha_157": alpha_157,
|
||||||
|
"alpha_158": alpha_158,
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
def _build_phase6_formula_specs() -> dict[str, dict[str, Any]]:
|
||||||
|
specs: dict[str, dict[str, Any]] = {}
|
||||||
|
for alpha_id, function in _PHASE6_FORMULA_FUNCTIONS.items():
|
||||||
|
meta = ALPHA158_REGISTRY[alpha_id]
|
||||||
|
call_inputs = _phase3_call_inputs(function)
|
||||||
|
formula_inputs = _phase3_string_list(meta, "inputs", alpha_id)
|
||||||
|
input_category = _PHASE4_INPUT_CATEGORIES.get(len(call_inputs))
|
||||||
|
if input_category is None:
|
||||||
|
raise RuntimeError(f"unsupported formula input count for {alpha_id}")
|
||||||
|
specs[alpha_id] = {
|
||||||
|
"name": alpha_id,
|
||||||
|
"contract_version": ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION,
|
||||||
|
"formula": meta["formula"],
|
||||||
|
"category": meta["category"],
|
||||||
|
"complexity": meta["complexity"],
|
||||||
|
"parameters": _phase3_string_list(meta, "params", alpha_id),
|
||||||
|
"description": meta["description"],
|
||||||
|
"references": _phase3_string_list(meta, "references", alpha_id),
|
||||||
|
"call_inputs": list(call_inputs),
|
||||||
|
"formula_inputs": formula_inputs,
|
||||||
|
"input_category": input_category,
|
||||||
|
}
|
||||||
|
return specs
|
||||||
|
|
||||||
|
|
||||||
|
ALPHA158_PHASE6_FORMULA_SPECS: Mapping[str, Mapping[str, Any]] = (
|
||||||
|
_freeze_phase3_formula_specs(_build_phase6_formula_specs())
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def list_phase6_formulas() -> tuple[str, ...]:
|
||||||
|
"""Return the frozen alpha151-alpha158 formula IDs in stable order."""
|
||||||
|
return tuple(ALPHA158_PHASE6_FORMULA_SPECS)
|
||||||
|
|
||||||
|
|
||||||
|
def evaluate_phase6_formula(name: str, **inputs: pd.Series) -> pd.Series:
|
||||||
|
"""Evaluate a Phase 6 formula with an exact, alignment-safe input contract."""
|
||||||
|
if name not in ALPHA158_PHASE6_FORMULA_SPECS:
|
||||||
|
raise KeyError(f"formula {name!r} not registered")
|
||||||
|
|
||||||
|
spec = ALPHA158_PHASE6_FORMULA_SPECS[name]
|
||||||
|
required_inputs = cast(tuple[str, ...], spec["call_inputs"])
|
||||||
|
missing_inputs = [field for field in required_inputs if field not in inputs]
|
||||||
|
unexpected_inputs = sorted(field for field in inputs if field not in required_inputs)
|
||||||
|
if missing_inputs or unexpected_inputs:
|
||||||
|
details: list[str] = []
|
||||||
|
if missing_inputs:
|
||||||
|
details.append(f"missing inputs {missing_inputs}")
|
||||||
|
if unexpected_inputs:
|
||||||
|
details.append(f"unexpected inputs {unexpected_inputs}")
|
||||||
|
raise ValueError(f"invalid inputs for {name}: {'; '.join(details)}")
|
||||||
|
|
||||||
|
for field in required_inputs:
|
||||||
|
if not isinstance(inputs[field], pd.Series):
|
||||||
|
raise TypeError(f"{field} must be a pandas Series")
|
||||||
|
|
||||||
|
primary_field = required_inputs[0]
|
||||||
|
primary = inputs[primary_field]
|
||||||
|
for field in required_inputs[1:]:
|
||||||
|
if len(inputs[field]) != len(primary):
|
||||||
|
raise ValueError(f"{field} length must match {primary_field}")
|
||||||
|
if not primary.index.equals(inputs[field].index):
|
||||||
|
raise ValueError(f"{field} index must align with {primary_field}")
|
||||||
|
|
||||||
|
function = _PHASE6_FORMULA_FUNCTIONS[name]
|
||||||
|
return function(*(inputs[field] for field in required_inputs))
|
||||||
|
|
||||||
|
|
||||||
__all__ = [
|
__all__ = [
|
||||||
"rank",
|
"rank",
|
||||||
"delta",
|
"delta",
|
||||||
@@ -3309,6 +3666,21 @@ __all__ = [
|
|||||||
"ALPHA158_PHASE3_FORMULA_SPECS",
|
"ALPHA158_PHASE3_FORMULA_SPECS",
|
||||||
"list_phase3_formulas",
|
"list_phase3_formulas",
|
||||||
"evaluate_phase3_formula",
|
"evaluate_phase3_formula",
|
||||||
|
"ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION",
|
||||||
|
"ALPHA158_PHASE4_FORMULA_CATALOG_SHA256",
|
||||||
|
"ALPHA158_PHASE4_FORMULA_SPECS",
|
||||||
|
"list_phase4_formulas",
|
||||||
|
"evaluate_phase4_formula",
|
||||||
|
"ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION",
|
||||||
|
"ALPHA158_PHASE5_FORMULA_CATALOG_SHA256",
|
||||||
|
"ALPHA158_PHASE5_FORMULA_SPECS",
|
||||||
|
"list_phase5_formulas",
|
||||||
|
"evaluate_phase5_formula",
|
||||||
|
"ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION",
|
||||||
|
"ALPHA158_PHASE6_FORMULA_CATALOG_SHA256",
|
||||||
|
"ALPHA158_PHASE6_FORMULA_SPECS",
|
||||||
|
"list_phase6_formulas",
|
||||||
|
"evaluate_phase6_formula",
|
||||||
"alpha_001",
|
"alpha_001",
|
||||||
"alpha_002",
|
"alpha_002",
|
||||||
"alpha_003",
|
"alpha_003",
|
||||||
|
|||||||
@@ -0,0 +1,540 @@
|
|||||||
|
"""Versioned, risk-gated, paper-only quantitative research vertical slice.
|
||||||
|
|
||||||
|
The module composes existing ``quant_engine`` calculations into a small set of
|
||||||
|
storage-neutral governance contracts. It never reads a database, calls a data
|
||||||
|
vendor, loads credentials, or routes an order to a broker.
|
||||||
|
"""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import hashlib
|
||||||
|
import json
|
||||||
|
import math
|
||||||
|
import re
|
||||||
|
from collections.abc import Mapping
|
||||||
|
from dataclasses import asdict, dataclass
|
||||||
|
from datetime import UTC, datetime
|
||||||
|
from enum import StrEnum
|
||||||
|
from types import MappingProxyType
|
||||||
|
|
||||||
|
import pandas as pd
|
||||||
|
|
||||||
|
from quant_engine.execution import ExecutionConfig
|
||||||
|
from quant_engine.research_pipeline import FactorBacktestResult, run_factor_backtest_research
|
||||||
|
|
||||||
|
_SHA256 = re.compile(r"^[0-9a-f]{64}$")
|
||||||
|
_GIT_SHA = re.compile(r"^[0-9a-f]{40}$")
|
||||||
|
|
||||||
|
__all__ = [
|
||||||
|
"DatasetSnapshot",
|
||||||
|
"FactorVersion",
|
||||||
|
"StrategyStage",
|
||||||
|
"StrategyVersion",
|
||||||
|
"BacktestRun",
|
||||||
|
"PortfolioTarget",
|
||||||
|
"RiskPolicy",
|
||||||
|
"RiskDecisionStatus",
|
||||||
|
"RiskDecision",
|
||||||
|
"PaperOrderIntent",
|
||||||
|
"GovernedFactorSliceResult",
|
||||||
|
"evaluate_portfolio_risk",
|
||||||
|
"create_paper_order_intent",
|
||||||
|
"run_governed_factor_slice",
|
||||||
|
]
|
||||||
|
|
||||||
|
|
||||||
|
def _required_text(value: str, name: str) -> str:
|
||||||
|
normalized = value.strip()
|
||||||
|
if not normalized:
|
||||||
|
raise ValueError(f"{name} must be non-empty")
|
||||||
|
return normalized
|
||||||
|
|
||||||
|
|
||||||
|
def _aware_utc(value: datetime, name: str) -> datetime:
|
||||||
|
if not isinstance(value, datetime) or value.tzinfo is None or value.utcoffset() is None:
|
||||||
|
raise ValueError(f"{name} must be timezone-aware")
|
||||||
|
return value.astimezone(UTC)
|
||||||
|
|
||||||
|
|
||||||
|
def _canonical_value(value: object) -> object:
|
||||||
|
if value is None or isinstance(value, str | bool | int):
|
||||||
|
return value
|
||||||
|
if isinstance(value, float):
|
||||||
|
if math.isnan(value):
|
||||||
|
return "NaN"
|
||||||
|
if math.isinf(value):
|
||||||
|
return "Infinity" if value > 0 else "-Infinity"
|
||||||
|
return value
|
||||||
|
if isinstance(value, datetime):
|
||||||
|
return _aware_utc(value, "datetime").isoformat()
|
||||||
|
if isinstance(value, StrEnum):
|
||||||
|
return value.value
|
||||||
|
if isinstance(value, Mapping):
|
||||||
|
return {
|
||||||
|
str(key): _canonical_value(item)
|
||||||
|
for key, item in sorted(value.items(), key=lambda pair: str(pair[0]))
|
||||||
|
}
|
||||||
|
if isinstance(value, list | tuple):
|
||||||
|
return [_canonical_value(item) for item in value]
|
||||||
|
raise TypeError(f"unsupported canonical value: {type(value).__name__}")
|
||||||
|
|
||||||
|
|
||||||
|
def _stable_id(prefix: str, payload: Mapping[str, object]) -> str:
|
||||||
|
encoded = json.dumps(
|
||||||
|
_canonical_value(payload),
|
||||||
|
ensure_ascii=False,
|
||||||
|
sort_keys=True,
|
||||||
|
separators=(",", ":"),
|
||||||
|
allow_nan=False,
|
||||||
|
).encode("utf-8")
|
||||||
|
return f"{prefix}:{hashlib.sha256(encoded).hexdigest()}"
|
||||||
|
|
||||||
|
|
||||||
|
def _immutable_weights(values: Mapping[str, float]) -> Mapping[str, float]:
|
||||||
|
normalized: dict[str, float] = {}
|
||||||
|
for raw_asset, raw_weight in values.items():
|
||||||
|
asset = _required_text(str(raw_asset), "asset_id")
|
||||||
|
weight = float(raw_weight)
|
||||||
|
if not math.isfinite(weight) or weight < 0:
|
||||||
|
raise ValueError("portfolio weights must be finite and non-negative")
|
||||||
|
if asset in normalized:
|
||||||
|
raise ValueError(f"duplicate asset_id: {asset}")
|
||||||
|
normalized[asset] = weight
|
||||||
|
return MappingProxyType(dict(sorted(normalized.items())))
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class DatasetSnapshot:
|
||||||
|
"""Point-in-time identity for caller-supplied research data."""
|
||||||
|
|
||||||
|
snapshot_id: str
|
||||||
|
schema_version: str
|
||||||
|
content_sha256: str
|
||||||
|
effective_at: datetime
|
||||||
|
available_at: datetime
|
||||||
|
ingested_at: datetime
|
||||||
|
|
||||||
|
def __post_init__(self) -> None:
|
||||||
|
object.__setattr__(self, "snapshot_id", _required_text(self.snapshot_id, "snapshot_id"))
|
||||||
|
object.__setattr__(
|
||||||
|
self, "schema_version", _required_text(self.schema_version, "schema_version")
|
||||||
|
)
|
||||||
|
digest = self.content_sha256.strip().lower()
|
||||||
|
if not _SHA256.fullmatch(digest):
|
||||||
|
raise ValueError("content_sha256 must be a lowercase SHA-256 digest")
|
||||||
|
object.__setattr__(self, "content_sha256", digest)
|
||||||
|
effective_at = _aware_utc(self.effective_at, "effective_at")
|
||||||
|
available_at = _aware_utc(self.available_at, "available_at")
|
||||||
|
ingested_at = _aware_utc(self.ingested_at, "ingested_at")
|
||||||
|
if not effective_at <= available_at <= ingested_at:
|
||||||
|
raise ValueError("timestamps must satisfy effective_at <= available_at <= ingested_at")
|
||||||
|
object.__setattr__(self, "effective_at", effective_at)
|
||||||
|
object.__setattr__(self, "available_at", available_at)
|
||||||
|
object.__setattr__(self, "ingested_at", ingested_at)
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class FactorVersion:
|
||||||
|
"""Versioned factor definition identity without factor implementation duplication."""
|
||||||
|
|
||||||
|
factor_id: str
|
||||||
|
version: str
|
||||||
|
definition_sha256: str
|
||||||
|
dataset_schema_version: str
|
||||||
|
|
||||||
|
def __post_init__(self) -> None:
|
||||||
|
object.__setattr__(self, "factor_id", _required_text(self.factor_id, "factor_id"))
|
||||||
|
object.__setattr__(self, "version", _required_text(self.version, "version"))
|
||||||
|
object.__setattr__(
|
||||||
|
self,
|
||||||
|
"dataset_schema_version",
|
||||||
|
_required_text(self.dataset_schema_version, "dataset_schema_version"),
|
||||||
|
)
|
||||||
|
digest = self.definition_sha256.strip().lower()
|
||||||
|
if not _SHA256.fullmatch(digest):
|
||||||
|
raise ValueError("definition_sha256 must be a lowercase SHA-256 digest")
|
||||||
|
object.__setattr__(self, "definition_sha256", digest)
|
||||||
|
|
||||||
|
@property
|
||||||
|
def version_id(self) -> str:
|
||||||
|
return f"{self.factor_id}@{self.version}"
|
||||||
|
|
||||||
|
|
||||||
|
class StrategyStage(StrEnum):
|
||||||
|
DRAFT = "Draft"
|
||||||
|
RESEARCH = "Research"
|
||||||
|
VALIDATED = "Validated"
|
||||||
|
APPROVED = "Approved"
|
||||||
|
PAPER = "Paper"
|
||||||
|
LIVE = "Live"
|
||||||
|
PAUSED = "Paused"
|
||||||
|
RETIRED = "Retired"
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class StrategyVersion:
|
||||||
|
"""Strategy lineage and lifecycle state used by the governed slice."""
|
||||||
|
|
||||||
|
strategy_id: str
|
||||||
|
version: str
|
||||||
|
factor_version_id: str
|
||||||
|
stage: StrategyStage
|
||||||
|
|
||||||
|
def __post_init__(self) -> None:
|
||||||
|
object.__setattr__(self, "strategy_id", _required_text(self.strategy_id, "strategy_id"))
|
||||||
|
object.__setattr__(self, "version", _required_text(self.version, "version"))
|
||||||
|
object.__setattr__(
|
||||||
|
self,
|
||||||
|
"factor_version_id",
|
||||||
|
_required_text(self.factor_version_id, "factor_version_id"),
|
||||||
|
)
|
||||||
|
if not isinstance(self.stage, StrategyStage):
|
||||||
|
raise TypeError("stage must be a StrategyStage")
|
||||||
|
|
||||||
|
@property
|
||||||
|
def version_id(self) -> str:
|
||||||
|
return f"{self.strategy_id}@{self.version}"
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class BacktestRun:
|
||||||
|
run_id: str
|
||||||
|
dataset_snapshot_id: str
|
||||||
|
factor_version_id: str
|
||||||
|
strategy_version_id: str
|
||||||
|
code_revision: str
|
||||||
|
config_hash: str
|
||||||
|
created_at: datetime
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class PortfolioTarget:
|
||||||
|
target_id: str
|
||||||
|
backtest_run_id: str
|
||||||
|
dataset_snapshot_id: str
|
||||||
|
weights: Mapping[str, float]
|
||||||
|
created_at: datetime
|
||||||
|
|
||||||
|
def __post_init__(self) -> None:
|
||||||
|
object.__setattr__(self, "weights", _immutable_weights(self.weights))
|
||||||
|
|
||||||
|
@property
|
||||||
|
def gross_exposure(self) -> float:
|
||||||
|
return float(sum(abs(weight) for weight in self.weights.values()))
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class RiskPolicy:
|
||||||
|
policy_id: str
|
||||||
|
max_gross_exposure: float
|
||||||
|
max_single_asset_weight: float
|
||||||
|
max_positions: int
|
||||||
|
|
||||||
|
def __post_init__(self) -> None:
|
||||||
|
object.__setattr__(self, "policy_id", _required_text(self.policy_id, "policy_id"))
|
||||||
|
if not math.isfinite(self.max_gross_exposure) or self.max_gross_exposure <= 0:
|
||||||
|
raise ValueError("max_gross_exposure must be positive and finite")
|
||||||
|
if not math.isfinite(self.max_single_asset_weight) or not (
|
||||||
|
0 < self.max_single_asset_weight <= 1
|
||||||
|
):
|
||||||
|
raise ValueError("max_single_asset_weight must be in (0, 1]")
|
||||||
|
if (
|
||||||
|
isinstance(self.max_positions, bool)
|
||||||
|
or not isinstance(self.max_positions, int)
|
||||||
|
or self.max_positions <= 0
|
||||||
|
):
|
||||||
|
raise ValueError("max_positions must be a positive integer")
|
||||||
|
|
||||||
|
|
||||||
|
class RiskDecisionStatus(StrEnum):
|
||||||
|
APPROVED = "approved"
|
||||||
|
REJECTED = "rejected"
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class RiskDecision:
|
||||||
|
decision_id: str
|
||||||
|
portfolio_target_id: str
|
||||||
|
policy_id: str
|
||||||
|
status: RiskDecisionStatus
|
||||||
|
reasons: tuple[str, ...]
|
||||||
|
created_at: datetime
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True, init=False)
|
||||||
|
class PaperOrderIntent:
|
||||||
|
intent_id: str
|
||||||
|
portfolio_target_id: str
|
||||||
|
risk_decision_id: str
|
||||||
|
environment: str
|
||||||
|
target_weights: Mapping[str, float]
|
||||||
|
created_at: datetime
|
||||||
|
|
||||||
|
def __init__(self, target: PortfolioTarget, decision: RiskDecision) -> None:
|
||||||
|
if decision.status is not RiskDecisionStatus.APPROVED:
|
||||||
|
raise ValueError("an approved risk decision is required")
|
||||||
|
if decision.portfolio_target_id != target.target_id:
|
||||||
|
raise ValueError("risk decision does not bind the supplied portfolio target")
|
||||||
|
target_weights = _immutable_weights(target.weights)
|
||||||
|
payload = {
|
||||||
|
"portfolio_target_id": target.target_id,
|
||||||
|
"risk_decision_id": decision.decision_id,
|
||||||
|
"environment": "paper",
|
||||||
|
"target_weights": target_weights,
|
||||||
|
"created_at": decision.created_at,
|
||||||
|
}
|
||||||
|
object.__setattr__(self, "intent_id", _stable_id("order-intent", payload))
|
||||||
|
object.__setattr__(self, "portfolio_target_id", target.target_id)
|
||||||
|
object.__setattr__(self, "risk_decision_id", decision.decision_id)
|
||||||
|
object.__setattr__(self, "environment", "paper")
|
||||||
|
object.__setattr__(self, "target_weights", target_weights)
|
||||||
|
object.__setattr__(self, "created_at", decision.created_at)
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True)
|
||||||
|
class GovernedFactorSliceResult:
|
||||||
|
dataset_snapshot: DatasetSnapshot
|
||||||
|
factor_version: FactorVersion
|
||||||
|
strategy_version: StrategyVersion
|
||||||
|
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))
|
||||||
@@ -14,6 +14,15 @@ from quant_engine.alpha_factors import (
|
|||||||
ALPHA158_PHASE3_FORMULA_CATALOG_SHA256,
|
ALPHA158_PHASE3_FORMULA_CATALOG_SHA256,
|
||||||
ALPHA158_PHASE3_FORMULA_CONTRACT_VERSION,
|
ALPHA158_PHASE3_FORMULA_CONTRACT_VERSION,
|
||||||
ALPHA158_PHASE3_FORMULA_SPECS,
|
ALPHA158_PHASE3_FORMULA_SPECS,
|
||||||
|
ALPHA158_PHASE4_FORMULA_CATALOG_SHA256,
|
||||||
|
ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION,
|
||||||
|
ALPHA158_PHASE4_FORMULA_SPECS,
|
||||||
|
ALPHA158_PHASE5_FORMULA_CATALOG_SHA256,
|
||||||
|
ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION,
|
||||||
|
ALPHA158_PHASE5_FORMULA_SPECS,
|
||||||
|
ALPHA158_PHASE6_FORMULA_CATALOG_SHA256,
|
||||||
|
ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION,
|
||||||
|
ALPHA158_PHASE6_FORMULA_SPECS,
|
||||||
alpha_001,
|
alpha_001,
|
||||||
alpha_002,
|
alpha_002,
|
||||||
alpha_003,
|
alpha_003,
|
||||||
@@ -175,9 +184,15 @@ from quant_engine.alpha_factors import (
|
|||||||
evaluate_phase1_operator,
|
evaluate_phase1_operator,
|
||||||
evaluate_phase2_operator,
|
evaluate_phase2_operator,
|
||||||
evaluate_phase3_formula,
|
evaluate_phase3_formula,
|
||||||
|
evaluate_phase4_formula,
|
||||||
|
evaluate_phase5_formula,
|
||||||
|
evaluate_phase6_formula,
|
||||||
list_phase1_operators,
|
list_phase1_operators,
|
||||||
list_phase2_operators,
|
list_phase2_operators,
|
||||||
list_phase3_formulas,
|
list_phase3_formulas,
|
||||||
|
list_phase4_formulas,
|
||||||
|
list_phase5_formulas,
|
||||||
|
list_phase6_formulas,
|
||||||
correlation,
|
correlation,
|
||||||
covariance,
|
covariance,
|
||||||
decay_linear,
|
decay_linear,
|
||||||
@@ -1641,3 +1656,504 @@ def test_phase3_dispatch_rejects_implicit_series_alignment():
|
|||||||
close=inputs["close"],
|
close=inputs["close"],
|
||||||
volume=misaligned_volume,
|
volume=misaligned_volume,
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
|
# ── Alpha158 Phase 4: versioned alpha051-alpha100 formula contract ──────────
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase4_formula_catalog_is_versioned_exact_and_content_addressed():
|
||||||
|
import hashlib
|
||||||
|
import json
|
||||||
|
from collections import Counter
|
||||||
|
|
||||||
|
expected_ids = tuple(f"alpha_{number:03d}" for number in range(51, 101))
|
||||||
|
expected_fields = {
|
||||||
|
"name",
|
||||||
|
"contract_version",
|
||||||
|
"formula",
|
||||||
|
"category",
|
||||||
|
"complexity",
|
||||||
|
"parameters",
|
||||||
|
"description",
|
||||||
|
"references",
|
||||||
|
"call_inputs",
|
||||||
|
"formula_inputs",
|
||||||
|
"input_category",
|
||||||
|
}
|
||||||
|
|
||||||
|
assert ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION == "1.0.0"
|
||||||
|
assert list_phase4_formulas() == expected_ids
|
||||||
|
assert tuple(ALPHA158_PHASE4_FORMULA_SPECS) == expected_ids
|
||||||
|
assert Counter(
|
||||||
|
spec["input_category"] for spec in ALPHA158_PHASE4_FORMULA_SPECS.values()
|
||||||
|
) == {"single": 1, "pair": 27, "triple": 11, "quadruple": 10, "quintuple": 1}
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE4_FORMULA_SPECS.items():
|
||||||
|
assert set(spec) == expected_fields
|
||||||
|
assert spec["name"] == alpha_id
|
||||||
|
assert spec["contract_version"] == ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION
|
||||||
|
assert spec["formula"] == ALPHA158_REGISTRY[alpha_id]["formula"]
|
||||||
|
|
||||||
|
serializable_specs = {
|
||||||
|
alpha_id: {
|
||||||
|
field: list(value) if isinstance(value, tuple) else value
|
||||||
|
for field, value in spec.items()
|
||||||
|
}
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE4_FORMULA_SPECS.items()
|
||||||
|
}
|
||||||
|
encoded = json.dumps(
|
||||||
|
serializable_specs,
|
||||||
|
sort_keys=True,
|
||||||
|
separators=(",", ":"),
|
||||||
|
ensure_ascii=False,
|
||||||
|
).encode()
|
||||||
|
assert hashlib.sha256(encoded).hexdigest() == ALPHA158_PHASE4_FORMULA_CATALOG_SHA256
|
||||||
|
assert ALPHA158_PHASE4_FORMULA_CATALOG_SHA256 == (
|
||||||
|
"858daf5e2abab5063fc28fcf7c79936096e2c76dde582fc7bab78b3458f17054"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase4_formula_catalog_is_recursively_immutable():
|
||||||
|
import operator
|
||||||
|
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(ALPHA158_PHASE4_FORMULA_SPECS, "alpha_051", {})
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(
|
||||||
|
ALPHA158_PHASE4_FORMULA_SPECS["alpha_051"],
|
||||||
|
"formula",
|
||||||
|
"changed",
|
||||||
|
)
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(
|
||||||
|
ALPHA158_PHASE4_FORMULA_SPECS["alpha_051"]["call_inputs"],
|
||||||
|
0,
|
||||||
|
"volume",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase4_catalog_freezes_callable_and_formula_inputs():
|
||||||
|
import inspect
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE4_FORMULA_SPECS.items():
|
||||||
|
function = getattr(alpha_factors_module, alpha_id)
|
||||||
|
signature_inputs = tuple(
|
||||||
|
"open" if name == "open_" else name
|
||||||
|
for name in inspect.signature(function).parameters
|
||||||
|
)
|
||||||
|
assert spec["call_inputs"] == signature_inputs
|
||||||
|
assert spec["formula_inputs"] == tuple(ALPHA158_REGISTRY[alpha_id]["inputs"])
|
||||||
|
|
||||||
|
assert ALPHA158_PHASE4_FORMULA_SPECS["alpha_055"]["call_inputs"] == (
|
||||||
|
"open",
|
||||||
|
"high",
|
||||||
|
"low",
|
||||||
|
"volume",
|
||||||
|
"close",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase4_dispatch_matches_all_existing_alpha051_alpha100_functions():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE4_FORMULA_SPECS.items():
|
||||||
|
call_inputs = spec["call_inputs"]
|
||||||
|
function = getattr(alpha_factors_module, alpha_id)
|
||||||
|
expected = function(*(inputs[name] for name in call_inputs))
|
||||||
|
actual = evaluate_phase4_formula(
|
||||||
|
alpha_id,
|
||||||
|
**{name: inputs[name] for name in reversed(call_inputs)},
|
||||||
|
)
|
||||||
|
pd.testing.assert_series_equal(actual, expected)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase4_dispatch_rejects_unknown_missing_extra_and_non_series_inputs():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
|
||||||
|
with pytest.raises(KeyError, match="not registered"):
|
||||||
|
evaluate_phase4_formula("alpha_050", close=inputs["close"])
|
||||||
|
with pytest.raises(ValueError, match=r"missing inputs.*low"):
|
||||||
|
evaluate_phase4_formula("alpha_051", high=inputs["high"])
|
||||||
|
with pytest.raises(ValueError, match=r"unexpected inputs.*vwap"):
|
||||||
|
evaluate_phase4_formula(
|
||||||
|
"alpha_051",
|
||||||
|
high=inputs["high"],
|
||||||
|
low=inputs["low"],
|
||||||
|
vwap=inputs["vwap"],
|
||||||
|
)
|
||||||
|
with pytest.raises(TypeError, match="high must be a pandas Series"):
|
||||||
|
evaluate_phase4_formula( # type: ignore[arg-type]
|
||||||
|
"alpha_051",
|
||||||
|
high=[1.0, 2.0],
|
||||||
|
low=inputs["low"],
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase4_dispatch_rejects_implicit_series_alignment():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
misaligned_low = inputs["low"].rename(index={79: 80})
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="low index must align with high"):
|
||||||
|
evaluate_phase4_formula(
|
||||||
|
"alpha_051",
|
||||||
|
high=inputs["high"],
|
||||||
|
low=misaligned_low,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
# ── Alpha158 Phase 5: versioned alpha101-alpha150 formula contract ──────────
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase5_formula_catalog_is_versioned_exact_and_content_addressed():
|
||||||
|
import hashlib
|
||||||
|
import json
|
||||||
|
from collections import Counter
|
||||||
|
|
||||||
|
expected_ids = tuple(f"alpha_{number:03d}" for number in range(101, 151))
|
||||||
|
expected_fields = {
|
||||||
|
"name",
|
||||||
|
"contract_version",
|
||||||
|
"formula",
|
||||||
|
"category",
|
||||||
|
"complexity",
|
||||||
|
"parameters",
|
||||||
|
"description",
|
||||||
|
"references",
|
||||||
|
"call_inputs",
|
||||||
|
"formula_inputs",
|
||||||
|
"input_category",
|
||||||
|
}
|
||||||
|
|
||||||
|
assert ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION == "1.0.0"
|
||||||
|
assert list_phase5_formulas() == expected_ids
|
||||||
|
assert tuple(ALPHA158_PHASE5_FORMULA_SPECS) == expected_ids
|
||||||
|
assert Counter(
|
||||||
|
spec["input_category"] for spec in ALPHA158_PHASE5_FORMULA_SPECS.values()
|
||||||
|
) == {"pair": 33, "triple": 14, "quadruple": 3}
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE5_FORMULA_SPECS.items():
|
||||||
|
assert set(spec) == expected_fields
|
||||||
|
assert spec["name"] == alpha_id
|
||||||
|
assert spec["contract_version"] == ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION
|
||||||
|
assert spec["formula"] == ALPHA158_REGISTRY[alpha_id]["formula"]
|
||||||
|
|
||||||
|
serializable_specs = {
|
||||||
|
alpha_id: {
|
||||||
|
field: list(value) if isinstance(value, tuple) else value
|
||||||
|
for field, value in spec.items()
|
||||||
|
}
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE5_FORMULA_SPECS.items()
|
||||||
|
}
|
||||||
|
encoded = json.dumps(
|
||||||
|
serializable_specs,
|
||||||
|
sort_keys=True,
|
||||||
|
separators=(",", ":"),
|
||||||
|
ensure_ascii=False,
|
||||||
|
).encode()
|
||||||
|
assert hashlib.sha256(encoded).hexdigest() == ALPHA158_PHASE5_FORMULA_CATALOG_SHA256
|
||||||
|
assert ALPHA158_PHASE5_FORMULA_CATALOG_SHA256 == (
|
||||||
|
"3368796169c9fbd39c4a34ea137e569964b15882fbf4de25124790d548db6533"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase5_formula_catalog_is_recursively_immutable():
|
||||||
|
import operator
|
||||||
|
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(ALPHA158_PHASE5_FORMULA_SPECS, "alpha_101", {})
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(
|
||||||
|
ALPHA158_PHASE5_FORMULA_SPECS["alpha_101"],
|
||||||
|
"formula",
|
||||||
|
"changed",
|
||||||
|
)
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(
|
||||||
|
ALPHA158_PHASE5_FORMULA_SPECS["alpha_101"]["call_inputs"],
|
||||||
|
0,
|
||||||
|
"volume",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase5_catalog_freezes_callable_and_formula_inputs():
|
||||||
|
import inspect
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE5_FORMULA_SPECS.items():
|
||||||
|
function = getattr(alpha_factors_module, alpha_id)
|
||||||
|
signature_inputs = tuple(
|
||||||
|
"open" if name == "open_" else name
|
||||||
|
for name in inspect.signature(function).parameters
|
||||||
|
)
|
||||||
|
assert spec["call_inputs"] == signature_inputs
|
||||||
|
assert spec["formula_inputs"] == tuple(ALPHA158_REGISTRY[alpha_id]["inputs"])
|
||||||
|
|
||||||
|
assert ALPHA158_PHASE5_FORMULA_SPECS["alpha_101"]["call_inputs"] == (
|
||||||
|
"close",
|
||||||
|
"high",
|
||||||
|
"low",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase5_dispatch_matches_all_existing_alpha101_alpha150_functions():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE5_FORMULA_SPECS.items():
|
||||||
|
call_inputs = spec["call_inputs"]
|
||||||
|
function = getattr(alpha_factors_module, alpha_id)
|
||||||
|
expected = function(*(inputs[name] for name in call_inputs))
|
||||||
|
actual = evaluate_phase5_formula(
|
||||||
|
alpha_id,
|
||||||
|
**{name: inputs[name] for name in reversed(call_inputs)},
|
||||||
|
)
|
||||||
|
pd.testing.assert_series_equal(actual, expected)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase5_dispatch_rejects_unknown_missing_extra_and_non_series_inputs():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
|
||||||
|
with pytest.raises(KeyError, match="not registered"):
|
||||||
|
evaluate_phase5_formula("alpha_100", close=inputs["close"])
|
||||||
|
with pytest.raises(KeyError, match="not registered"):
|
||||||
|
evaluate_phase5_formula("alpha_151", close=inputs["close"])
|
||||||
|
with pytest.raises(ValueError, match=r"missing inputs.*low"):
|
||||||
|
evaluate_phase5_formula(
|
||||||
|
"alpha_101",
|
||||||
|
close=inputs["close"],
|
||||||
|
high=inputs["high"],
|
||||||
|
)
|
||||||
|
with pytest.raises(ValueError, match=r"unexpected inputs.*vwap"):
|
||||||
|
evaluate_phase5_formula(
|
||||||
|
"alpha_101",
|
||||||
|
close=inputs["close"],
|
||||||
|
high=inputs["high"],
|
||||||
|
low=inputs["low"],
|
||||||
|
vwap=inputs["vwap"],
|
||||||
|
)
|
||||||
|
with pytest.raises(TypeError, match="high must be a pandas Series"):
|
||||||
|
evaluate_phase5_formula( # type: ignore[arg-type]
|
||||||
|
"alpha_101",
|
||||||
|
close=inputs["close"],
|
||||||
|
high=[1.0, 2.0],
|
||||||
|
low=inputs["low"],
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase5_dispatch_rejects_length_and_index_alignment_errors():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
shorter_low = inputs["low"].iloc[:-1]
|
||||||
|
misaligned_high = inputs["high"].rename(index={79: 80})
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="low length must match close"):
|
||||||
|
evaluate_phase5_formula(
|
||||||
|
"alpha_101",
|
||||||
|
close=inputs["close"],
|
||||||
|
high=inputs["high"],
|
||||||
|
low=shorter_low,
|
||||||
|
)
|
||||||
|
with pytest.raises(ValueError, match="high index must align with close"):
|
||||||
|
evaluate_phase5_formula(
|
||||||
|
"alpha_101",
|
||||||
|
close=inputs["close"],
|
||||||
|
high=misaligned_high,
|
||||||
|
low=inputs["low"],
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase5_contract_is_publicly_exported():
|
||||||
|
assert {
|
||||||
|
"ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION",
|
||||||
|
"ALPHA158_PHASE5_FORMULA_CATALOG_SHA256",
|
||||||
|
"ALPHA158_PHASE5_FORMULA_SPECS",
|
||||||
|
"list_phase5_formulas",
|
||||||
|
"evaluate_phase5_formula",
|
||||||
|
} <= set(alpha_factors_module.__all__)
|
||||||
|
|
||||||
|
|
||||||
|
# ── Alpha158 Phase 6: versioned alpha151-alpha158 formula contract ──────────
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_formula_catalog_is_versioned_exact_and_content_addressed():
|
||||||
|
import hashlib
|
||||||
|
import json
|
||||||
|
from collections import Counter
|
||||||
|
|
||||||
|
expected_ids = tuple(f"alpha_{number:03d}" for number in range(151, 159))
|
||||||
|
expected_fields = {
|
||||||
|
"name",
|
||||||
|
"contract_version",
|
||||||
|
"formula",
|
||||||
|
"category",
|
||||||
|
"complexity",
|
||||||
|
"parameters",
|
||||||
|
"description",
|
||||||
|
"references",
|
||||||
|
"call_inputs",
|
||||||
|
"formula_inputs",
|
||||||
|
"input_category",
|
||||||
|
}
|
||||||
|
|
||||||
|
assert ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION == "1.0.0"
|
||||||
|
assert list_phase6_formulas() == expected_ids
|
||||||
|
assert tuple(ALPHA158_PHASE6_FORMULA_SPECS) == expected_ids
|
||||||
|
assert Counter(
|
||||||
|
spec["input_category"] for spec in ALPHA158_PHASE6_FORMULA_SPECS.values()
|
||||||
|
) == {"pair": 6, "triple": 2}
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items():
|
||||||
|
assert set(spec) == expected_fields
|
||||||
|
assert spec["name"] == alpha_id
|
||||||
|
assert spec["contract_version"] == ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION
|
||||||
|
assert spec["formula"] == ALPHA158_REGISTRY[alpha_id]["formula"]
|
||||||
|
|
||||||
|
serializable_specs = {
|
||||||
|
alpha_id: {
|
||||||
|
field: list(value) if isinstance(value, tuple) else value
|
||||||
|
for field, value in spec.items()
|
||||||
|
}
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items()
|
||||||
|
}
|
||||||
|
encoded = json.dumps(
|
||||||
|
serializable_specs,
|
||||||
|
sort_keys=True,
|
||||||
|
separators=(",", ":"),
|
||||||
|
ensure_ascii=False,
|
||||||
|
).encode()
|
||||||
|
assert hashlib.sha256(encoded).hexdigest() == ALPHA158_PHASE6_FORMULA_CATALOG_SHA256
|
||||||
|
assert ALPHA158_PHASE6_FORMULA_CATALOG_SHA256 == (
|
||||||
|
"70ffae16ca6cbb59a1e8644f5cdeec1d291fa75ff8b5647fb534af0083408219"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_formula_catalog_is_recursively_immutable():
|
||||||
|
import operator
|
||||||
|
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(ALPHA158_PHASE6_FORMULA_SPECS, "alpha_151", {})
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(
|
||||||
|
ALPHA158_PHASE6_FORMULA_SPECS["alpha_151"],
|
||||||
|
"formula",
|
||||||
|
"changed",
|
||||||
|
)
|
||||||
|
with pytest.raises(TypeError):
|
||||||
|
operator.setitem(
|
||||||
|
ALPHA158_PHASE6_FORMULA_SPECS["alpha_151"]["call_inputs"],
|
||||||
|
0,
|
||||||
|
"volume",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_catalog_freezes_callable_and_formula_inputs():
|
||||||
|
import inspect
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items():
|
||||||
|
function = getattr(alpha_factors_module, alpha_id)
|
||||||
|
signature_inputs = tuple(
|
||||||
|
"open" if name == "open_" else name
|
||||||
|
for name in inspect.signature(function).parameters
|
||||||
|
)
|
||||||
|
assert spec["call_inputs"] == signature_inputs
|
||||||
|
assert spec["formula_inputs"] == tuple(ALPHA158_REGISTRY[alpha_id]["inputs"])
|
||||||
|
|
||||||
|
assert ALPHA158_PHASE6_FORMULA_SPECS["alpha_158"]["call_inputs"] == (
|
||||||
|
"high",
|
||||||
|
"low",
|
||||||
|
"volume",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_dispatch_matches_all_existing_alpha151_alpha158_functions():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
|
||||||
|
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items():
|
||||||
|
call_inputs = spec["call_inputs"]
|
||||||
|
function = getattr(alpha_factors_module, alpha_id)
|
||||||
|
expected = function(*(inputs[name] for name in call_inputs))
|
||||||
|
actual = evaluate_phase6_formula(
|
||||||
|
alpha_id,
|
||||||
|
**{name: inputs[name] for name in reversed(call_inputs)},
|
||||||
|
)
|
||||||
|
pd.testing.assert_series_equal(actual, expected)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_dispatch_rejects_unknown_missing_extra_and_non_series_inputs():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
|
||||||
|
with pytest.raises(KeyError, match="not registered"):
|
||||||
|
evaluate_phase6_formula("alpha_150", close=inputs["close"])
|
||||||
|
with pytest.raises(KeyError, match="not registered"):
|
||||||
|
evaluate_phase6_formula("alpha_159", close=inputs["close"])
|
||||||
|
with pytest.raises(ValueError, match=r"missing inputs.*volume"):
|
||||||
|
evaluate_phase6_formula("alpha_151", close=inputs["close"])
|
||||||
|
with pytest.raises(ValueError, match=r"unexpected inputs.*vwap"):
|
||||||
|
evaluate_phase6_formula(
|
||||||
|
"alpha_151",
|
||||||
|
close=inputs["close"],
|
||||||
|
volume=inputs["volume"],
|
||||||
|
vwap=inputs["vwap"],
|
||||||
|
)
|
||||||
|
with pytest.raises(TypeError, match="volume must be a pandas Series"):
|
||||||
|
evaluate_phase6_formula( # type: ignore[arg-type]
|
||||||
|
"alpha_151",
|
||||||
|
close=inputs["close"],
|
||||||
|
volume=[1.0, 2.0],
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_dispatch_rejects_length_and_index_alignment_errors():
|
||||||
|
inputs = _phase3_market_inputs()
|
||||||
|
shorter_volume = inputs["volume"].iloc[:-1]
|
||||||
|
misaligned_low = inputs["low"].rename(index={79: 80})
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="volume length must match close"):
|
||||||
|
evaluate_phase6_formula(
|
||||||
|
"alpha_151",
|
||||||
|
close=inputs["close"],
|
||||||
|
volume=shorter_volume,
|
||||||
|
)
|
||||||
|
with pytest.raises(ValueError, match="low index must align with high"):
|
||||||
|
evaluate_phase6_formula(
|
||||||
|
"alpha_158",
|
||||||
|
high=inputs["high"],
|
||||||
|
low=misaligned_low,
|
||||||
|
volume=inputs["volume"],
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_preserves_complete_alpha001_alpha158_formula_body_fingerprint():
|
||||||
|
import ast
|
||||||
|
import hashlib
|
||||||
|
import inspect
|
||||||
|
import json
|
||||||
|
import textwrap
|
||||||
|
|
||||||
|
fingerprints = {}
|
||||||
|
for number in range(1, 159):
|
||||||
|
alpha_id = f"alpha_{number:03d}"
|
||||||
|
source = textwrap.dedent(inspect.getsource(getattr(alpha_factors_module, alpha_id)))
|
||||||
|
node = ast.parse(source).body[0]
|
||||||
|
assert isinstance(node, (ast.FunctionDef, ast.AsyncFunctionDef))
|
||||||
|
body = ast.dump(
|
||||||
|
ast.Module(body=node.body, type_ignores=[]),
|
||||||
|
include_attributes=False,
|
||||||
|
)
|
||||||
|
fingerprints[alpha_id] = hashlib.sha256(body.encode()).hexdigest()
|
||||||
|
|
||||||
|
encoded = json.dumps(
|
||||||
|
fingerprints,
|
||||||
|
sort_keys=True,
|
||||||
|
separators=(",", ":"),
|
||||||
|
).encode()
|
||||||
|
assert hashlib.sha256(encoded).hexdigest() == (
|
||||||
|
"f3ae807983cf8ca083d0b924c3807ffd84a62a5bd354f9efb1a1a16ca40c7da6"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_phase6_contract_is_publicly_exported():
|
||||||
|
assert {
|
||||||
|
"ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION",
|
||||||
|
"ALPHA158_PHASE6_FORMULA_CATALOG_SHA256",
|
||||||
|
"ALPHA158_PHASE6_FORMULA_SPECS",
|
||||||
|
"list_phase6_formulas",
|
||||||
|
"evaluate_phase6_formula",
|
||||||
|
} <= set(alpha_factors_module.__all__)
|
||||||
|
|||||||
@@ -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