feat(universe): B1-1 指数历史成分（index_weight）+ Universe 按 as_of 成分过滤

- index_weight 表（migration f5e0d1c2b3a4，MySQL 已应用；index_code+date+symbol 唯一）
  + IndexWeight 实体 + IndexConstituentRepository（members_at：取 <=as_of 最近一期快照，
  Survivorship-free / 无未来成分；latest_date）
- UniverseSpec.index_code + universe.filter_stocks members 交集 + resolve_members；
  Research/Selection/Signal/Replay 服务注入 index repo（历史成分过滤，选股/回测共用）
- tests/test_index_universe.py：快照历史成分（成分变更不入早期结果）、幂等、
  空快照期空集、index_code 过滤下 as_of 一致性；全量 pytest 通过

backend/app/api/deps.py

@@ -16,6 +16,7 @@ from app.application.services.selection_service import SelectionService
 from app.application.services.signal_service import SignalService
 from app.domain.repositories.composite import CompositeRepository
 from app.domain.repositories.factor import FactorRepository
+from app.domain.repositories.index import IndexConstituentRepository
 from app.domain.repositories.jobs import ExperimentRepository, JobRepository
 from app.domain.repositories.market import (
     AdjustFactorRepository,
@@ -32,6 +33,9 @@ from app.infrastructure.persistence.sqlalchemy.repositories.composite_impl impor
 from app.infrastructure.persistence.sqlalchemy.repositories.factor_impl import (
     SqlAlchemyFactorRepository,
 )
+from app.infrastructure.persistence.sqlalchemy.repositories.index_impl import (
+    SqlAlchemyIndexConstituentRepository,
+)
 from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
     SqlAlchemyAdjustFactorRepository,
     SqlAlchemyDailyBarRepository,
@@ -78,6 +82,10 @@ def _chart_service_factory(
     return ChartService(stock_repo, daily_repo, adj_repo)
 
 
+def _index_repo_factory(session: DbSession) -> IndexConstituentRepository:
+    return SqlAlchemyIndexConstituentRepository(session)
+
+
 def _engine_factory() -> QuantEngine:
     return LocalEngine()
 
@@ -86,31 +94,34 @@ def _service_factory(
     stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
     daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
     engine: Annotated[QuantEngine, Depends(_engine_factory)],
+    index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
 ) -> ResearchService:
-    return ResearchService(stock_repo, daily_repo, engine)
+    return ResearchService(stock_repo, daily_repo, engine, index_repo)
 
 
 def _replay_service_factory(
     stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
     daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
+    index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
 ) -> ReplayService:
-    return ReplayService(stock_repo, daily_repo)
+    return ReplayService(stock_repo, daily_repo, index_repo)
 
 
 def _signal_service_factory(
     stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
     daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
+    index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
 ) -> SignalService:
-    return SignalService(stock_repo, daily_repo)
+    return SignalService(stock_repo, daily_repo, index_repo)
 
 
 def _selection_service_factory(
     stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
     daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
     financial_repo: Annotated[FinancialRepository, Depends(_financial_repo_factory)],
+    index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
 ) -> SelectionService:
-    
-    return SelectionService(stock_repo, daily_repo, financial_repo)
+    return SelectionService(stock_repo, daily_repo, financial_repo, index_repo)
 
 
 def _selection_repo_factory(session: DbSession) -> SelectionRepository:

backend/app/application/services/replay_service.py

@@ -16,17 +16,24 @@ from app.domain.entities.selection import SelectionQuery
 from app.domain.entities.signal import SignalRules
 from app.domain.repositories.market import DailyBarRepository, StockRepository
 from app.quant.selection import factor_columns
-from app.quant.service import filter_stocks, load_daily_df
+from app.quant.service import load_daily_df
 from app.quant.signal import generate_signals
+from app.quant.universe import filter_stocks, resolve_members
 
 MAX_SYMBOLS = 40
 MAX_DAYS = 90
 
 
 class ReplayService:
-    def __init__(self, stock_repo: StockRepository, daily_repo: DailyBarRepository) -> None:
+    def __init__(
+        self,
+        stock_repo: StockRepository,
+        daily_repo: DailyBarRepository,
+        index_repo=None,
+    ) -> None:
         self._stock_repo = stock_repo
         self._daily_repo = daily_repo
+        self._index_repo = index_repo
 
     def replay(
         self,
@@ -41,7 +48,10 @@ class ReplayService:
             raise ValueError("Bar Replay 需要 universe.symbols 白名单（≤40 只），避免全市场长任务")
         if len(symbols) > MAX_SYMBOLS:
             raise ValueError(f"Bar Replay 白名单最多 {MAX_SYMBOLS} 只，当前 {len(symbols)}")
-        stocks = filter_stocks(self._stock_repo.list(), query.universe, as_of=start)
+        stocks = filter_stocks(
+            self._stock_repo.list(), query.universe, as_of=start,
+            members=resolve_members(self._index_repo, query.universe, start),
+        )
         if not stocks:
             return ReplayResult(start=start, end=end, top_n=top_n)
 

backend/app/application/services/selection_service.py

@@ -28,7 +28,8 @@ from app.quant.selection import (
     run_condition_selection,
     run_score_selection,
 )
-from app.quant.service import filter_stocks, load_daily_df
+from app.quant.service import load_daily_df
+from app.quant.universe import filter_stocks, resolve_members
 
 _FUNDAMENTAL_PREFIX = "fundamental."
 
@@ -41,14 +42,19 @@ class SelectionService:
         stock_repo: StockRepository,
         daily_repo: DailyBarRepository,
         financial_repo: FinancialRepository | None = None,
+        index_repo=None,
     ) -> None:
         self._stock_repo = stock_repo
         self._daily_repo = daily_repo
         self._financial_repo = financial_repo
+        self._index_repo = index_repo
 
     def select(self, query: SelectionQuery) -> SelectionResult:
         as_of = query.as_of or date.today()
-        stocks = filter_stocks(self._stock_repo.list(), query.universe, as_of=as_of)
+        stocks = filter_stocks(
+            self._stock_repo.list(), query.universe, as_of=as_of,
+            members=resolve_members(self._index_repo, query.universe, as_of),
+        )
         if not stocks:
             return self._run(query, pd.DataFrame(), stocks, as_of, financial={})
         symbols = [s.symbol for s in stocks]

backend/app/application/services/signal_service.py

@@ -13,18 +13,28 @@ from app.domain.entities.selection import SelectionQuery
 from app.domain.entities.signal import SignalResult, SignalRules
 from app.domain.repositories.market import DailyBarRepository, StockRepository
 from app.quant.selection import factor_columns
-from app.quant.service import filter_stocks, load_daily_df
+from app.quant.service import load_daily_df
 from app.quant.signal import generate_signals
+from app.quant.universe import filter_stocks, resolve_members
 
 
 class SignalService:
-    def __init__(self, stock_repo: StockRepository, daily_repo: DailyBarRepository) -> None:
+    def __init__(
+        self,
+        stock_repo: StockRepository,
+        daily_repo: DailyBarRepository,
+        index_repo=None,
+    ) -> None:
         self._stock_repo = stock_repo
         self._daily_repo = daily_repo
+        self._index_repo = index_repo
 
     def signal(self, query: SelectionQuery, rules: SignalRules) -> SignalResult:
         as_of = query.as_of or date.today()
-        stocks = filter_stocks(self._stock_repo.list(), query.universe, as_of=as_of)
+        stocks = filter_stocks(
+            self._stock_repo.list(), query.universe, as_of=as_of,
+            members=resolve_members(self._index_repo, query.universe, as_of),
+        )
         if not stocks:
             return generate_signals(pd.DataFrame(), query, rules, as_of)
         columns = sorted(factor_columns(query))

backend/app/domain/entities/index.py

@@ -0,0 +1,21 @@
+"""指数及其历史成分（v3 §9/§30：Survivorship-free Universe 的数据基础）。
+
+index_weight：指数在某交易日的成分快照（来自指数权重表，每期含当时成分与权重）。
+历史成分语义：as_of 某日的成分 = 该日（<=as_of 最近一期）快照中的股票 ——
+禁止用今天的成分回测过去（未来函数/幸存者偏差红线）。
+"""
+
+from __future__ import annotations
+
+from datetime import date
+from decimal import Decimal
+
+from pydantic import BaseModel, Field
+
+
+class IndexWeight(BaseModel):
+    index_code: str = Field(pattern=r"^\d{6}\.(SH|SZ|CSI|CI)$", description="如 000300.SH / 000905.SH")
+    index_name: str | None = None
+    trade_date: date  # 该快照对应交易日（成分时点）
+    symbol: str = Field(pattern=r"^\d{6}\.(SH|SZ|BJ)$")
+    weight: Decimal | None = None

backend/app/domain/entities/research.py

@@ -26,6 +26,9 @@ class UniverseSpec(BaseModel):
     exclude_st: bool = True
     exclude_suspended: bool = True
     min_listing_days: int = Field(default=250, ge=0, description="上市至少 N 个自然日")
+    index_code: str | None = Field(
+        default=None, description="指数成分过滤（如 000300.SH）：按 as_of 当日历史成分（v3 §9）"
+    )
     symbols: list[str] = Field(
         default_factory=list,
         description="白名单（可选）：非空时仅这些 symbol 参与选股/回测",

backend/app/domain/repositories/index.py

@@ -0,0 +1,18 @@
+"""指数成分 Repository Protocol（B1）。"""
+
+from __future__ import annotations
+
+from collections.abc import Sequence
+from datetime import date
+from typing import Protocol
+
+from app.domain.entities.index import IndexWeight
+
+
+class IndexConstituentRepository(Protocol):
+    def upsert_many(self, rows: Sequence[IndexWeight]) -> int: ...
+
+    def members_at(self, index_code: str, as_of: date) -> set[str]:
+        """as_of 当日成分：取 <=as_of 最近一期快照的股票集合（历史成分语义）。"""
+
+    def latest_date(self, index_code: str) -> date | None: ...

backend/app/infrastructure/persistence/migrations/versions/f5e0d1c2b3a4_index_weight_table.py

@@ -0,0 +1,46 @@
+"""index_weight 表（B1 指数历史成分）
+
+Revision ID: f5e0d1c2b3a4
+Revises: e1f2a3b4c5d6
+Create Date: 2026-09-09
+
+"""
+
+from __future__ import annotations
+
+from collections.abc import Sequence
+
+import sqlalchemy as sa
+from alembic import op
+
+revision: str = "f5e0d1c2b3a4"
+down_revision: str | None = "e1f2a3b4c5d6"
+branch_labels: str | Sequence[str] | None = None
+depends_on: str | Sequence[str] | None = None
+
+
+def upgrade() -> None:
+    op.create_table(
+        "index_weight",
+        sa.Column(
+            "id",
+            sa.BigInteger().with_variant(sa.Integer(), "sqlite"),
+            autoincrement=True,
+            nullable=False,
+        ),
+        sa.Column("index_code", sa.String(length=12), nullable=False),
+        sa.Column("index_name", sa.String(length=64), nullable=True),
+        sa.Column("trade_date", sa.Date(), nullable=False),
+        sa.Column("symbol", sa.String(length=12), nullable=False),
+        sa.Column("weight", sa.Numeric(precision=10, scale=6), nullable=True),
+        sa.PrimaryKeyConstraint("id"),
+        sa.UniqueConstraint("index_code", "trade_date", "symbol", name="uq_idxw_code_date_sym"),
+    )
+    op.create_index("ix_index_weight_index_code", "index_weight", ["index_code"])
+    op.create_index("ix_index_weight_trade_date", "index_weight", ["trade_date"])
+
+
+def downgrade() -> None:
+    op.drop_index("ix_index_weight_trade_date", table_name="index_weight")
+    op.drop_index("ix_index_weight_index_code", table_name="index_weight")
+    op.drop_table("index_weight")

backend/app/infrastructure/persistence/sqlalchemy/models/index.py

@@ -0,0 +1,31 @@
+"""指数历史成分表（B1）。
+
+index_weight：指数成分快照（index_code, trade_date, symbol 唯一）。
+历史成分查询（members_at）取 <= as_of 最近一期快照 —— Survivorship-free Universe。
+"""
+
+from __future__ import annotations
+
+from datetime import date
+from decimal import Decimal
+
+from sqlalchemy import BigInteger, Date, Integer, Numeric, String, UniqueConstraint
+from sqlalchemy.orm import Mapped, mapped_column
+
+from app.infrastructure.persistence.sqlalchemy.base import Base
+
+PK_INT = BigInteger().with_variant(Integer, "sqlite")
+
+
+class IndexWeightModel(Base):
+    __tablename__ = "index_weight"
+    __table_args__ = (
+        UniqueConstraint("index_code", "trade_date", "symbol", name="uq_idxw_code_date_sym"),
+    )
+
+    id: Mapped[int] = mapped_column(PK_INT, primary_key=True, autoincrement=True)
+    index_code: Mapped[str] = mapped_column(String(12), index=True)
+    index_name: Mapped[str | None] = mapped_column(String(64), nullable=True)
+    trade_date: Mapped[date] = mapped_column(Date, index=True)
+    symbol: Mapped[str] = mapped_column(String(12))
+    weight: Mapped[Decimal | None] = mapped_column(Numeric(10, 6), nullable=True)

backend/app/infrastructure/persistence/sqlalchemy/repositories/index_impl.py

@@ -0,0 +1,70 @@
+"""指数成分 Repository 的 SQLAlchemy 实现（B1）。"""
+
+from __future__ import annotations
+
+from collections.abc import Sequence
+from datetime import date
+
+from sqlalchemy import select
+from sqlalchemy.orm import Session
+
+from app.domain.entities.index import IndexWeight
+from app.infrastructure.persistence.sqlalchemy.models.index import IndexWeightModel
+
+
+class SqlAlchemyIndexConstituentRepository:
+    def __init__(self, session: Session) -> None:
+        self._session = session
+
+    def upsert_many(self, rows: Sequence[IndexWeight]) -> int:
+        if not rows:
+            return 0
+        existing = {
+            (r.index_code, r.trade_date, r.symbol): r
+            for r in self._session.scalars(
+                select(IndexWeightModel).where(
+                    IndexWeightModel.index_code.in_({x.index_code for x in rows})
+                )
+            )
+        }
+        changed = 0
+        for row in rows:
+            key = (row.index_code, row.trade_date, row.symbol)
+            model = existing.get(key)
+            if model is None:
+                self._session.add(IndexWeightModel(**row.model_dump()))
+                changed += 1
+            else:
+                for k, v in row.model_dump(exclude={"index_code", "trade_date", "symbol"}).items():
+                    setattr(model, k, v)
+                changed += 1
+        return changed
+
+    def latest_date(self, index_code: str) -> date | None:
+        return self._session.scalar(
+            select(IndexWeightModel.trade_date)
+            .where(IndexWeightModel.index_code == index_code)
+            .order_by(IndexWeightModel.trade_date.desc())
+            .limit(1)
+        )
+
+    def members_at(self, index_code: str, as_of: date) -> set[str]:
+        """<= as_of 最近一期快照的成分（历史成分；无快照 → 空集）。"""
+        latest = self._session.scalar(
+            select(IndexWeightModel.trade_date)
+            .where(
+                IndexWeightModel.index_code == index_code,
+                IndexWeightModel.trade_date <= as_of,
+            )
+            .order_by(IndexWeightModel.trade_date.desc())
+            .limit(1)
+        )
+        if latest is None:
+            return set()
+        rows = self._session.scalars(
+            select(IndexWeightModel.symbol).where(
+                IndexWeightModel.index_code == index_code,
+                IndexWeightModel.trade_date == latest,
+            )
+        ).all()
+        return set(rows)

backend/app/quant/service.py

@@ -25,7 +25,7 @@ from app.domain.repositories.market import (
     StockRepository,
 )
 from app.quant.engine import QuantEngine
-from app.quant.universe import filter_stocks  # noqa: F401 —— 选股/回测共用范围过滤
+from app.quant.universe import filter_stocks, resolve_members  # noqa: F401 —— 范围过滤
 
 # 流式路径每攒多少行落一个 DataFrame 分片（控制 concat 峰值）
 _FRAME_CHUNK_ROWS = 50_000
@@ -110,10 +110,12 @@ class ResearchService:
         stock_repo: StockRepository,
         daily_repo: DailyBarRepository,
         engine: QuantEngine,
+        index_repo=None,
     ) -> None:
         self._stock_repo = stock_repo
         self._daily_repo = daily_repo
         self._engine = engine
+        self._index_repo = index_repo
 
     def run_factor_test(self, spec: ResearchSpec, horizon_days: int = 21) -> FactorTestReport:
         if spec.type != "factor_test":
@@ -133,7 +135,10 @@ class ResearchService:
         start, end = spec.period
         # 回测前预留因子 warmup（lookback≤120 交易日，取 300 自然日余量）
         data_start = start - timedelta(days=300)
-        stocks = filter_stocks(self._stock_repo.list(), spec.universe, as_of=start)
+        stocks = filter_stocks(
+            self._stock_repo.list(), spec.universe, as_of=start,
+            members=resolve_members(self._index_repo, spec.universe, start),
+        )
         # 引擎所需列裁剪（LocalEngine 只取 close + 因子字段；Qlib 回测取全 OHLCV）
         required = self._engine.required_columns(spec)
         return load_daily_df(

backend/app/quant/universe.py

@@ -17,17 +17,30 @@ from app.domain.entities.market import Stock
 from app.domain.entities.research import UniverseSpec
 
 
+def resolve_members(index_repo, universe: UniverseSpec, as_of: date) -> set[str] | None:
+    """若 universe 指定指数成分 → 取 as_of 当日历史成分；否则 None（不过滤）。"""
+    if index_repo is None or not universe.index_code:
+        return None
+    return index_repo.members_at(universe.index_code, as_of)
+
+
 def filter_stocks(
     stocks: Sequence[Stock],
     universe: UniverseSpec,
     as_of: date,
+    members: set[str] | None = None,
 ) -> list[Stock]:
-    """按股票池口径过滤，返回 as_of 时点应纳入的股票列表。"""
+    """按股票池口径过滤，返回 as_of 时点应纳入的股票列表。
+
+    members：指数历史成分集合（resolve_members 结果）；提供时取交集。
+    """
     symbols = set(universe.symbols) if universe.symbols else None
     out: list[Stock] = []
     for s in stocks:
         if symbols is not None and s.symbol not in symbols:
             continue
+        if members is not None and s.symbol not in members:
+            continue
         if s.delist_date is not None and s.delist_date < as_of:
             continue
         if universe.exclude_st and s.name and "ST" in s.name.upper():