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>
16 lines
190 B
Plaintext
16 lines
190 B
Plaintext
__pycache__/
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*.py[cod]
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.pytest_cache/
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*.egg-info/
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.venv/
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venv/
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# Pipeline outputs (regenerated by the CLI; can be large)
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data/daily_bars/
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alphas/
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combos/
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reports/
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/portfolio/
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/fills/
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/pnl/
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