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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"""指数及其历史成分(v3 §9/§30:Survivorship-free Universe 的数据基础)。
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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)。
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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 ——
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禁止用今天的成分回测过去(未来函数/幸存者偏差红线)。
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"""
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from __future__ import annotations
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from datetime import date
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from decimal import Decimal
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from pydantic import BaseModel, Field
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class IndexWeight(BaseModel):
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index_code: str = Field(pattern=r"^\d{6}\.(SH|SZ|CSI|CI)$", description="如 000300.SH / 000905.SH")
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index_name: str | None = None
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trade_date: date # 该快照对应交易日(成分时点)
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symbol: str = Field(pattern=r"^\d{6}\.(SH|SZ|BJ)$")
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weight: Decimal | None = None
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@@ -26,6 +26,9 @@ class UniverseSpec(BaseModel):
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exclude_st: bool = True
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exclude_suspended: bool = True
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min_listing_days: int = Field(default=250, ge=0, description="上市至少 N 个自然日")
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index_code: str | None = Field(
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default=None, description="指数成分过滤(如 000300.SH):按 as_of 当日历史成分(v3 §9)"
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)
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symbols: list[str] = Field(
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default_factory=list,
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description="白名单(可选):非空时仅这些 symbol 参与选股/回测",
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