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