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>
7 lines
211 B
Python
7 lines
211 B
Python
"""Portfolio construction phase.
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Turns continuous alpha/combo weights into tradable A-share positions under
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date-aware lot/board rules, and simulates execution with market constraints,
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costs, and slippage.
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"""
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