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chinese-equity-quant/pipeline/common
Yuxuan Yan 94ab679a75 feat: add portfolio phase — discretize alpha weights into tradable positions
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>
2026-06-10 11:23:04 +08:00
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