Adds a fourth pipeline phase modeling A-share microstructure: lot sizes,
the 2023-08-10 Main Board increment change, STAR 200-share minimum/odd-lot
rules, limit-up/down, suspensions, volume caps, costs, and slippage.
Two layers: research (continuous weights → return/Sharpe/turnover/Fitness,
no IC per repo convention) and execution (state-dependent lot rounding +
two-stage greedy exposure repair + next-open reference simulator).
Wires `portfolio build/simulate/eval` into the CLI and adds the
POSITION/FILL/PNL schema contracts. Covered by tests/test_portfolio.py.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Batch download now pulls baostock's preclose, turn, pctChg, tradestatus,
isST, and peTTM/pbMRQ/psTTM/pcfNcfTTM on top of OHLCV+amount, plus a
derived daily VWAP (amount/volume). VWAP is raw-price scale and not
comparable with adjusted OHLC under qfq/hfq — documented in the schema.
Richer fields live only in the batch path (download_daily_batch ->
download_universe); single-symbol download_daily keeps the legacy
8-column schema that test_downloader.py pins. Also flags intraday/L1-L2
microstructure data as a future phase in the README roadmap.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Replace the old signal/strategy/backtest modules with a decoupled
data → alpha → combo pipeline (parquet between phases, .pq extension).
Alphas:
- BaseAlpha + @register_alpha factory/plugin registry; one file per
built-in (reversal, reversal_vol, momentum); external alphas via
--alpha-module. Alphas are z-scored position weights, not predictors.
Data:
- baostock primary / akshare fallback, treated consistently.
- New --universe all (~5000 A-shares via query_all_stock, filtered).
- login-once batch downloader; empty-string OHLCV coerced to NaN.
- Month-partitioned dataset {output_dir}/{universe}/month=YYYY-MM/*.pq
with chunked durability flushes; --data-path is the dataset dir.
CLI logs at INFO by default (--log-level) so progress is visible.
Docs (README, CLAUDE.md) updated incl. pipeline diagram and roadmap
TODOs for portfolio construction / backtest / paper trading.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Yuxuan Yan