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>
51 lines
1.3 KiB
Python
51 lines
1.3 KiB
Python
#!/usr/bin/env python3
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"""Chinese Equity Quant Pipeline — decoupled phase CLI.
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Phases:
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data — Download daily bars to parquet
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alpha — Compute alpha weights from data
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combo — Combine alphas into a single weight
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portfolio — Build tradable positions and simulate execution
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"""
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import logging
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import click
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from pipeline.data.cli import data
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from pipeline.alpha.cli import alpha
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from pipeline.combo.cli import combo
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from pipeline.portfolio.cli import portfolio
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from tools.pqcat import pqcat
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from tools.alphaview import alphaview
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@click.group()
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@click.option(
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"--log-level", default="INFO",
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type=click.Choice(["DEBUG", "INFO", "WARNING", "ERROR"], case_sensitive=False),
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help="Logging verbosity (default INFO shows download/compute progress)",
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)
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def cli(log_level):
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"""Chinese Equity Quant Pipeline.
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Each phase is independent: read from parquet, write to parquet.
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"""
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logging.basicConfig(
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level=getattr(logging, log_level.upper()),
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format="%(asctime)s %(levelname)s %(name)s: %(message)s",
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datefmt="%H:%M:%S",
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)
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cli.add_command(data)
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cli.add_command(alpha)
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cli.add_command(combo)
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cli.add_command(portfolio)
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cli.add_command(pqcat)
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cli.add_command(alphaview)
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if __name__ == "__main__":
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cli()
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