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Commits
| Author | SHA1 | Date | |
|---|---|---|---|
 ao gong
|
9cb794674c |
@@ -3271,363 +3271,6 @@ 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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# ── 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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def list_phase4_formulas() -> tuple[str, ...]:
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"""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:
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"""Evaluate a Phase 4 formula with an exact, alignment-safe input contract."""
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if name not in ALPHA158_PHASE4_FORMULA_SPECS:
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raise KeyError(f"formula {name!r} not registered")
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spec = ALPHA158_PHASE4_FORMULA_SPECS[name]
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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)
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if missing_inputs or unexpected_inputs:
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details: list[str] = []
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if missing_inputs:
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details.append(f"missing inputs {missing_inputs}")
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if unexpected_inputs:
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details.append(f"unexpected inputs {unexpected_inputs}")
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raise ValueError(f"invalid inputs for {name}: {'; '.join(details)}")
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for field in required_inputs:
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if not isinstance(inputs[field], pd.Series):
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raise TypeError(f"{field} must be a pandas Series")
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primary_field = required_inputs[0]
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primary = inputs[primary_field]
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for field in required_inputs[1:]:
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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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function = _PHASE4_FORMULA_FUNCTIONS[name]
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return function(*(inputs[field] for field in required_inputs))
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# ── Phase 5 formula contract: frozen alpha101-alpha150 surface ──────────────
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# Phase 5 extends the versioned formula contract without mutating any earlier
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# catalogue, digest, dispatch surface, or existing formula implementation.
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ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION = "1.0.0"
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ALPHA158_PHASE5_FORMULA_CATALOG_SHA256 = (
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"3368796169c9fbd39c4a34ea137e569964b15882fbf4de25124790d548db6533"
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)
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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,
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"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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}
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def _build_phase5_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 _PHASE5_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_PHASE5_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_PHASE5_FORMULA_SPECS: Mapping[str, Mapping[str, Any]] = (
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_freeze_phase3_formula_specs(_build_phase5_formula_specs())
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)
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def list_phase5_formulas() -> tuple[str, ...]:
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"""Return the frozen alpha101-alpha150 formula IDs in stable order."""
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return tuple(ALPHA158_PHASE5_FORMULA_SPECS)
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def evaluate_phase5_formula(name: str, **inputs: pd.Series) -> pd.Series:
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"""Evaluate a Phase 5 formula with an exact, alignment-safe input contract."""
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if name not in ALPHA158_PHASE5_FORMULA_SPECS:
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raise KeyError(f"formula {name!r} not registered")
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spec = ALPHA158_PHASE5_FORMULA_SPECS[name]
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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)
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if missing_inputs or unexpected_inputs:
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details: list[str] = []
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if missing_inputs:
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details.append(f"missing inputs {missing_inputs}")
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if unexpected_inputs:
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details.append(f"unexpected inputs {unexpected_inputs}")
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raise ValueError(f"invalid inputs for {name}: {'; '.join(details)}")
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for field in required_inputs:
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if not isinstance(inputs[field], pd.Series):
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raise TypeError(f"{field} must be a pandas Series")
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primary_field = required_inputs[0]
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primary = inputs[primary_field]
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for field in required_inputs[1:]:
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if len(inputs[field]) != len(primary):
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raise ValueError(f"{field} length must match {primary_field}")
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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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function = _PHASE5_FORMULA_FUNCTIONS[name]
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return function(*(inputs[field] for field in required_inputs))
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# ── Phase 6 formula contract: frozen alpha151-alpha158 surface ──────────────
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# Phase 6 completes the versioned formula contract without mutating any
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# earlier catalogue, digest, dispatch surface, or formula implementation.
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ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION = "1.0.0"
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ALPHA158_PHASE6_FORMULA_CATALOG_SHA256 = (
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"70ffae16ca6cbb59a1e8644f5cdeec1d291fa75ff8b5647fb534af0083408219"
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)
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_PHASE6_FORMULA_FUNCTIONS: dict[str, Callable[..., pd.Series]] = {
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"alpha_151": alpha_151,
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"alpha_152": alpha_152,
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"alpha_153": alpha_153,
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"alpha_154": alpha_154,
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"alpha_155": alpha_155,
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"alpha_156": alpha_156,
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"alpha_157": alpha_157,
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"alpha_158": alpha_158,
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}
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def _build_phase6_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 _PHASE6_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_PHASE6_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_PHASE6_FORMULA_SPECS: Mapping[str, Mapping[str, Any]] = (
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_freeze_phase3_formula_specs(_build_phase6_formula_specs())
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)
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def list_phase6_formulas() -> tuple[str, ...]:
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"""Return the frozen alpha151-alpha158 formula IDs in stable order."""
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return tuple(ALPHA158_PHASE6_FORMULA_SPECS)
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def evaluate_phase6_formula(name: str, **inputs: pd.Series) -> pd.Series:
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"""Evaluate a Phase 6 formula with an exact, alignment-safe input contract."""
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if name not in ALPHA158_PHASE6_FORMULA_SPECS:
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raise KeyError(f"formula {name!r} not registered")
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spec = ALPHA158_PHASE6_FORMULA_SPECS[name]
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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)
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if missing_inputs or unexpected_inputs:
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details: list[str] = []
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if missing_inputs:
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details.append(f"missing inputs {missing_inputs}")
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if unexpected_inputs:
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details.append(f"unexpected inputs {unexpected_inputs}")
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raise ValueError(f"invalid inputs for {name}: {'; '.join(details)}")
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for field in required_inputs:
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if not isinstance(inputs[field], pd.Series):
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raise TypeError(f"{field} must be a pandas Series")
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primary_field = required_inputs[0]
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primary = inputs[primary_field]
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for field in required_inputs[1:]:
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if len(inputs[field]) != len(primary):
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raise ValueError(f"{field} length must match {primary_field}")
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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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function = _PHASE6_FORMULA_FUNCTIONS[name]
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return function(*(inputs[field] for field in required_inputs))
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__all__ = [
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"rank",
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"delta",
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@@ -3666,21 +3309,6 @@ __all__ = [
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"ALPHA158_PHASE3_FORMULA_SPECS",
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"list_phase3_formulas",
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"evaluate_phase3_formula",
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"ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION",
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"ALPHA158_PHASE4_FORMULA_CATALOG_SHA256",
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"ALPHA158_PHASE4_FORMULA_SPECS",
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"list_phase4_formulas",
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"evaluate_phase4_formula",
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"ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION",
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"ALPHA158_PHASE5_FORMULA_CATALOG_SHA256",
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"ALPHA158_PHASE5_FORMULA_SPECS",
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"list_phase5_formulas",
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"evaluate_phase5_formula",
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"ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION",
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"ALPHA158_PHASE6_FORMULA_CATALOG_SHA256",
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"ALPHA158_PHASE6_FORMULA_SPECS",
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"list_phase6_formulas",
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"evaluate_phase6_formula",
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"alpha_001",
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"alpha_002",
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"alpha_003",
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@@ -14,15 +14,6 @@ from quant_engine.alpha_factors import (
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ALPHA158_PHASE3_FORMULA_CATALOG_SHA256,
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ALPHA158_PHASE3_FORMULA_CONTRACT_VERSION,
|
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ALPHA158_PHASE3_FORMULA_SPECS,
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ALPHA158_PHASE4_FORMULA_CATALOG_SHA256,
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ALPHA158_PHASE4_FORMULA_CONTRACT_VERSION,
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ALPHA158_PHASE4_FORMULA_SPECS,
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ALPHA158_PHASE5_FORMULA_CATALOG_SHA256,
|
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ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION,
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ALPHA158_PHASE5_FORMULA_SPECS,
|
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ALPHA158_PHASE6_FORMULA_CATALOG_SHA256,
|
||||
ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION,
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ALPHA158_PHASE6_FORMULA_SPECS,
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alpha_001,
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alpha_002,
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alpha_003,
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@@ -184,15 +175,9 @@ from quant_engine.alpha_factors import (
|
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evaluate_phase1_operator,
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evaluate_phase2_operator,
|
||||
evaluate_phase3_formula,
|
||||
evaluate_phase4_formula,
|
||||
evaluate_phase5_formula,
|
||||
evaluate_phase6_formula,
|
||||
list_phase1_operators,
|
||||
list_phase2_operators,
|
||||
list_phase3_formulas,
|
||||
list_phase4_formulas,
|
||||
list_phase5_formulas,
|
||||
list_phase6_formulas,
|
||||
correlation,
|
||||
covariance,
|
||||
decay_linear,
|
||||
@@ -1656,504 +1641,3 @@ def test_phase3_dispatch_rejects_implicit_series_alignment():
|
||||
close=inputs["close"],
|
||||
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__)
|
||||
|
||||
Reference in New Issue
Block a user