Yuxuan Yan
177 lines
6.9 KiB
Python
177 lines
6.9 KiB
Python
"""Continuous portfolio construction and the date-ordered position driver.
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Layer-1 (research) math lives in :func:`continuous_targets`: it turns a signed
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weight vector into target weights, dollar exposures, and continuous shares.
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:func:`construct_positions` is the Layer-2 driver — it threads ``prev_shares``
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across dates (positions are stateful, unlike alphas/combos), discretizing and
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repairing each day's target into a tradable integer book.
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Return-convention note: weights here are *target allocations*. The research
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evaluation in :mod:`pipeline.portfolio.research` marks them close-to-close on the
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*next* period (no look-ahead); the execution simulator marks the actually-filled
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book at the next open. See those modules for details.
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"""
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from __future__ import annotations
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import logging
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import numpy as np
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import pandas as pd
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from pipeline.common.schema import POSITION_COLUMNS
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from pipeline.portfolio.discretize import repair_exposure, round_to_valid_lot
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from pipeline.portfolio.market_rules import MarketRule
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logger = logging.getLogger(__name__)
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def continuous_targets(
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alpha: np.ndarray, price: np.ndarray, booksize: float
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) -> tuple[np.ndarray, np.ndarray, np.ndarray]:
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"""Continuous (research) portfolio targets from a signed weight vector.
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``w = alpha / sum(|alpha|)`` so ``sum(|w|) = 1`` and, because the upstream
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alpha is demeaned, ``sum(w) ≈ 0`` (dollar-neutral). Then
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``v_target = booksize · w`` and ``q_target = v_target / price``.
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NaN alphas and non-positive / NaN prices are treated as a 0 target.
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Args:
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alpha: Signed weight vector, length N.
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price: Per-name price (yuan), length N.
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booksize: Gross dollar exposure ``B``.
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Returns:
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``(w, v_target, q_target)``, each a float array of length N.
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"""
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alpha = np.asarray(alpha, dtype=np.float64)
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price = np.asarray(price, dtype=np.float64)
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tradable = np.isfinite(price) & (price > 0)
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a = np.where(np.isfinite(alpha) & tradable, alpha, 0.0)
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gross = np.abs(a).sum()
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if gross <= 0:
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zeros = np.zeros_like(a)
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return zeros, zeros.copy(), zeros.copy()
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w = a / gross
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v_target = booksize * w
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q_target = np.zeros_like(v_target)
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np.divide(v_target, price, out=q_target, where=tradable)
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return w, v_target, q_target
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def _pivot(df: pd.DataFrame, value: str, weight_col: str | None = None) -> pd.DataFrame:
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col = weight_col or value
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return df.pivot_table(
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index="date", columns="symbol_id", values=col, aggfunc="first"
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).sort_index()
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def construct_positions(
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weights_df: pd.DataFrame,
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data_df: pd.DataFrame,
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booksize: float,
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portfolio_name: str,
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rule_engine: MarketRule | None = None,
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price_field: str = "close",
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net_tol: float = 0.02,
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gross_tol: float = 0.02,
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) -> pd.DataFrame:
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"""Build a tradable position book from target weights, day by day.
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Pivots weights and prices to a wide grid on a fixed symbol column order,
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then iterates dates in ascending order carrying an integer ``prev_shares``
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vector. Each date: continuous targets → state-dependent lot rounding →
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two-stage exposure repair. Names absent on a date get weight 0 (which closes
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any stale holding). An empty / zero-gross cross-section carries the book
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unchanged in ``position_shares`` while leaving the target fields at 0.
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Args:
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weights_df: Long frame with ``symbol_id, date, weight`` (ALPHA/COMBO).
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data_df: Long frame with DATA_COLUMNS (prices, tradestatus, isST).
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booksize: Gross dollar exposure ``B``.
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portfolio_name: Identifier stored in the ``portfolio_name`` column.
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rule_engine: A :class:`MarketRule`; a default one is built if None.
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price_field: Data column used as the construction price (default close).
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net_tol: Net tolerance (fraction of B) passed to the repair.
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gross_tol: Gross tolerance (fraction of B) passed to the repair.
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Returns:
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Long DataFrame with POSITION_COLUMNS, sorted by ``(symbol_id, date)``.
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"""
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rule_engine = rule_engine or MarketRule()
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price_wide = _pivot(data_df, price_field)
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w_wide = _pivot(weights_df, "weight")
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st_wide = _pivot(data_df, "isST") if "isST" in data_df.columns else None
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# Fixed, sorted symbol-column order shared across the whole run.
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symbols = sorted(set(price_wide.columns) | set(w_wide.columns))
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price_wide = price_wide.reindex(columns=symbols)
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w_wide = w_wide.reindex(columns=symbols)
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if st_wide is not None:
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st_wide = st_wide.reindex(columns=symbols)
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dates = sorted(set(price_wide.index) & set(w_wide.index))
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if not dates:
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logger.warning("No overlapping dates between weights and data; empty result.")
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return pd.DataFrame(columns=POSITION_COLUMNS)
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sym_arr = np.asarray(symbols, dtype=object)
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n = len(symbols)
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prev_shares = np.zeros(n, dtype=np.int64)
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blocks: list[pd.DataFrame] = []
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for d in dates:
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price = price_wide.loc[d].to_numpy(dtype=np.float64)
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alpha = w_wide.loc[d].to_numpy(dtype=np.float64)
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is_st = (
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st_wide.loc[d].fillna(0).to_numpy() if st_wide is not None
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else np.zeros(n)
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)
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min_open, increment, odd_full, _ = rule_engine.get_rules_vectorized(
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sym_arr, d, is_st
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)
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w, v_target, q_target = continuous_targets(alpha, price, booksize)
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if np.abs(w).sum() <= 0:
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logger.warning(
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"Portfolio '%s': zero-gross target on %s; carrying previous positions.",
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portfolio_name, d,
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)
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pos = prev_shares.copy()
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else:
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q_round = round_to_valid_lot(q_target, prev_shares, min_open, increment, odd_full)
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pos = repair_exposure(
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q_round, q_target, price, increment, min_open, prev_shares, odd_full,
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booksize=booksize, net_tol=net_tol, gross_tol=gross_tol,
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)
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safe_price = np.where(np.isfinite(price) & (price > 0), price, 0.0)
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blocks.append(pd.DataFrame({
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"symbol_id": symbols,
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"date": d,
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"portfolio_name": portfolio_name,
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"target_weight": w,
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"target_value": v_target,
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"target_shares": q_target,
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"position_shares": pos,
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"position_value": pos.astype(np.float64) * safe_price,
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"price": price,
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}))
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prev_shares = pos
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result = pd.concat(blocks, ignore_index=True)
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# Drop names that are flat AND have no target (keep the active universe tidy).
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active = (result["position_shares"] != 0) | (result["target_weight"] != 0)
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result = result[active]
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result = result[POSITION_COLUMNS]
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result = result.sort_values(["symbol_id", "date"]).reset_index(drop=True)
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n_dates = result["date"].nunique()
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logger.info(
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"Portfolio '%s': %d symbols × %d dates, booksize %.0f",
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portfolio_name, result["symbol_id"].nunique(), n_dates, booksize,
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)
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return result
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