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
This commit is contained in:
Simon
2026-09-09 07:27:13 +08:00
parent 03fb463216
commit 9cc4bfccac
13 changed files with 379 additions and 16 deletions
@@ -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)