Yuxuan Yan
94ab679a75
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>
85 lines
3.8 KiB
Python
85 lines
3.8 KiB
Python
"""Column contracts for pipeline parquet files."""
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from typing import Final
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# Required columns for data parquet files (daily bars, alternative data, etc.)
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DATA_COLUMNS: Final[list[str]] = [
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"symbol_id", # str: internal code like 'sh600000'
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"symbol_name", # str: stock name like '浦发银行'
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"date", # date
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"open", # float64
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"high", # float64
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"low", # float64
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"close", # float64
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"preclose", # float64: previous trading day's close
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"volume", # float64 (shares)
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"amount", # float64 (turnover in yuan, raw/unadjusted)
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"vwap", # float64: daily VWAP = amount / volume. NB raw price scale —
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# NOT comparable with adjusted OHLC under qfq/hfq.
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"turn", # float64: turnover rate (%)
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"pctChg", # float64: daily % change
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"tradestatus", # int: 1 = traded, 0 = suspended
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"isST", # int: 1 = ST/special-treatment, 0 = normal
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"peTTM", # float64: trailing-12m P/E
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"pbMRQ", # float64: P/B (most recent quarter)
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"psTTM", # float64: trailing-12m P/S
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"pcfNcfTTM", # float64: P/CF (net cash flow, TTM)
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]
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# Required columns for alpha parquet files.
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# Alphas are position WEIGHTS: positive=long, negative=short.
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ALPHA_COLUMNS: Final[list[str]] = [
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"symbol_id", # str: matches DATA_COLUMNS symbol_id
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"date", # date: aligned with data dates
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"alpha_name", # str: identifies which alpha (e.g. 'reversal_5d')
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"weight", # float64: position weight, signed
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]
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# Required columns for combo parquet files.
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COMBO_COLUMNS: Final[list[str]] = [
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"symbol_id", # str
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"date", # date
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"combo_name", # str: identifies which combo (e.g. 'equal_weight')
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"weight", # float64: combined weight, signed
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]
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# Required columns for portfolio (position) parquet files.
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# A position is a tradable integer holding derived from a target weight under
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# A-share lot/board rules. Produced by the `portfolio build` phase.
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POSITION_COLUMNS: Final[list[str]] = [
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"symbol_id", # str
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"date", # date
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"portfolio_name", # str: identifies this construction run
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"target_weight", # float64: w = alpha / sum(|alpha|); signed, sum(|w|)=1
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"target_value", # float64: v_target = booksize * w (signed dollar exposure)
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"target_shares", # float64: q_target = v_target / price (continuous, signed)
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"position_shares", # int64: discretized + repaired integer shares (signed)
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"position_value", # float64: position_shares * price (signed)
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"price", # float64: construction price (close by default)
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]
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# Required columns for execution-simulator fill parquet files.
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FILL_COLUMNS: Final[list[str]] = [
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"symbol_id", # str
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"date", # date: the EXECUTION date (open[t+1] of the target date)
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"portfolio_name", # str
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"prev_shares", # int64: realized position carried in
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"target_shares", # int64: requested target for this execution
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"traded_shares", # int64: signed delta actually executed
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"realized_shares", # int64: resulting position (blocked trades revert to prev)
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"blocked", # int: 1 if the trade was (fully or partially) blocked
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"trade_cost", # float64: commission + slippage in yuan
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]
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# Required columns for execution-simulator per-day PnL parquet files.
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PNL_COLUMNS: Final[list[str]] = [
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"date", # date
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"portfolio_name", # str
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"gross_exposure", # float64: sum(|position_value|)
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"net_exposure", # float64: sum(signed position_value)
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"pnl", # float64: daily mark-to-market PnL (yuan), net of cost
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"cost", # float64: total trade cost that day (yuan)
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"turnover", # float64: sum(|traded_value|) / booksize
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"n_positions", # int: count of nonzero holdings
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]
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