Load trader V4 artifacts from manifests
This commit is contained in:
Codex
@@ -10,12 +10,14 @@ public record TraderArtifactBundle(
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String pmConfigVersion,
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String bundleHashSha256,
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Set<String> providedModels,
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TraderPmConfig pmConfig
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TraderPmConfig pmConfig,
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TraderArtifactModelPolicy modelPolicy
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) {
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public TraderArtifactBundle {
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if (providedModels == null || !providedModels.containsAll(Set.of("DIRECTION", "ENTRY", "CONTINUE", "EXIT", "RISK"))) {
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throw new IllegalArgumentException("artifact bundle must provide all five V4 models");
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}
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pmConfig = java.util.Objects.requireNonNull(pmConfig, "pmConfig is required");
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modelPolicy = java.util.Objects.requireNonNull(modelPolicy, "modelPolicy is required");
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}
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}
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@@ -1,71 +1,186 @@
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package com.quantai.trader.artifact;
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import com.fasterxml.jackson.databind.JsonNode;
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import com.fasterxml.jackson.databind.ObjectMapper;
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import com.quantai.trader.config.TraderProperties;
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import com.quantai.trader.domain.TraderException;
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import com.quantai.trader.domain.TraderPmConfig;
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import com.quantai.trader.enums.TraderRunMode;
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import com.quantai.trader.enums.TraderErrorCode;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import org.springframework.stereotype.Component;
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import java.math.BigDecimal;
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import java.io.IOException;
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import java.nio.file.Files;
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import java.nio.file.Path;
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import java.util.Set;
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import java.util.stream.Collectors;
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import java.util.stream.StreamSupport;
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@Component
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public class TraderArtifactLoader {
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private static final Logger log = LoggerFactory.getLogger(TraderArtifactLoader.class);
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private static final Set<String> REQUIRED_MODELS = Set.of("DIRECTION", "ENTRY", "CONTINUE", "EXIT", "RISK");
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private final TraderProperties properties;
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private final ObjectMapper objectMapper;
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public TraderArtifactLoader(TraderProperties properties) {
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public TraderArtifactLoader(TraderProperties properties, ObjectMapper objectMapper) {
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this.properties = properties;
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this.objectMapper = objectMapper;
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}
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public TraderArtifactBundle loadActiveBundle() {
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TraderProperties.Artifact artifact = properties.artifact();
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if (artifact.modelBundleVersion().isBlank()
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|| artifact.calibrationBundleVersion().isBlank()
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|| artifact.pmConfigVersion().isBlank()) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"model/calibration/pm version is required");
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}
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TraderArtifactBundle bundle = deterministicP0Bundle(artifact);
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Path root = Path.of(artifact.artifactRoot());
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TraderModelBundleManifest modelManifest = readModelBundleManifest(root.resolve("manifests/model_bundle_manifest.json"));
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TraderPmConfigManifest pmManifest = readPmConfigManifest(root.resolve("manifests/position_manager_manifest.json"));
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TraderArtifactModelPolicy modelPolicy = readJson(root.resolve("model_output_policy.json"), TraderArtifactModelPolicy.class);
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validateVersions(artifact, modelManifest, pmManifest);
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validateModelManifest(modelManifest);
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validatePmManifest(pmManifest, properties.runMode());
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TraderArtifactBundle bundle = new TraderArtifactBundle(
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modelManifest.modelBundleVersion(),
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modelManifest.calibrationBundleVersion(),
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pmManifest.pmConfigVersion(),
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modelManifest.bundleHashSha256(),
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modelManifest.providedModels(),
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pmManifest.config(),
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modelPolicy);
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log.info("event=trader.artifact.loaded modelBundleVersion={} calibrationBundleVersion={} pmConfigVersion={} providedModels={}",
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bundle.modelBundleVersion(), bundle.calibrationBundleVersion(), bundle.pmConfigVersion(), bundle.providedModels());
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return bundle;
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}
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private TraderArtifactBundle deterministicP0Bundle(TraderProperties.Artifact artifact) {
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TraderPmConfig pmConfig = new TraderPmConfig(
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artifact.pmConfigVersion(),
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new TraderPmConfig.OpenRuleConfig(
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new BigDecimal("0.58"), new BigDecimal("0.58"),
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new BigDecimal("0.55"), new BigDecimal("0.55"),
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new BigDecimal("0.45"), new BigDecimal("1.0"),
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new BigDecimal("0.03"), new BigDecimal("0.10"), new BigDecimal("0.80")),
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new TraderPmConfig.AddRuleConfig(
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new BigDecimal("0.60"), new BigDecimal("0.60"),
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new BigDecimal("0.58"), new BigDecimal("0.55"), new BigDecimal("0.45"),
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new BigDecimal("0.45"), new BigDecimal("0.50"),
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new BigDecimal("1.0"), BigDecimal.ZERO, new BigDecimal("0.10"),
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new BigDecimal("500"), 3, 5),
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new TraderPmConfig.ExitRuleConfig(
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new BigDecimal("0.70"), new BigDecimal("0.70"), new BigDecimal("0.70"),
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new BigDecimal("0.25"), new BigDecimal("0.62"),
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new BigDecimal("0.35"), new BigDecimal("0.70"),
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new BigDecimal("5.0"), new BigDecimal("80")),
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new TraderPmConfig.SizingConfig(
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new BigDecimal("0.80"), new BigDecimal("0.05"), BigDecimal.ONE,
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new BigDecimal("0.02"), new BigDecimal("0.25"), BigDecimal.ONE,
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new BigDecimal("1.0"), new BigDecimal("80"),
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new BigDecimal("0.20"), new BigDecimal("0.50"), new BigDecimal("500"))
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);
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return new TraderArtifactBundle(
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artifact.modelBundleVersion(),
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artifact.calibrationBundleVersion(),
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artifact.pmConfigVersion(),
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"deterministic-p0-fixture",
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Set.of("DIRECTION", "ENTRY", "CONTINUE", "EXIT", "RISK"),
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pmConfig);
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private TraderModelBundleManifest readModelBundleManifest(Path path) {
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JsonNode root = readJsonNode(path);
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return new TraderModelBundleManifest(
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requiredText(root, "model_bundle_version", path),
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requiredText(root, "calibration_bundle_version", path),
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requiredText(root, "feature_version", path),
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requiredText(root, "label_version", path),
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requiredText(root, "split_version", path),
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textSet(root, "required_models_json", path),
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textSet(root, "provided_models_json", path),
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textSet(root, "missing_models_json", path),
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requiredText(root, "bundle_hash_sha256", path),
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root.path("complete").asBoolean(false),
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requiredText(root, "status", path));
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}
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private TraderPmConfigManifest readPmConfigManifest(Path path) {
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JsonNode root = readJsonNode(path);
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return new TraderPmConfigManifest(
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requiredText(root, "pm_config_version", path),
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requiredText(root, "model_bundle_version", path),
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requiredText(root, "calibration_bundle_version", path),
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enumSet(root, "allowed_run_modes_json", TraderRunMode.class, path),
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convert(root.path("config_json"), TraderPmConfig.class, path),
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requiredText(root, "config_hash_sha256", path),
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requiredText(root, "status", path));
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}
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private void validateVersions(TraderProperties.Artifact expected, TraderModelBundleManifest model, TraderPmConfigManifest pm) {
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if (!expected.modelBundleVersion().equals(model.modelBundleVersion())
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|| !expected.calibrationBundleVersion().equals(model.calibrationBundleVersion())
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|| !expected.pmConfigVersion().equals(pm.pmConfigVersion())) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact version triple does not match configured model/calibration/pm versions");
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}
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if (!model.modelBundleVersion().equals(pm.modelBundleVersion())
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|| !model.calibrationBundleVersion().equals(pm.calibrationBundleVersion())) {
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throw new TraderException(TraderErrorCode.TRADER_CALIBRATION_MISMATCH,
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"model and pm manifests reference different model/calibration versions");
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}
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}
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private void validateModelManifest(TraderModelBundleManifest manifest) {
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if (!manifest.complete() || !"ACTIVE".equals(manifest.status())) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"model bundle manifest must be complete and ACTIVE");
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}
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if (!manifest.requiredModels().containsAll(REQUIRED_MODELS)
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|| !manifest.providedModels().containsAll(REQUIRED_MODELS)
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|| !manifest.missingModels().isEmpty()) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"model bundle must provide all five V4 models with no missing model");
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}
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}
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private void validatePmManifest(TraderPmConfigManifest manifest, TraderRunMode runMode) {
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if (!"ACTIVE".equals(manifest.status())) {
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throw new TraderException(TraderErrorCode.TRADER_PM_CONFIG_MISMATCH,
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"pm config manifest must be ACTIVE");
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}
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if (!manifest.allowedRunModes().contains(runMode)) {
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throw new TraderException(TraderErrorCode.TRADER_PM_CONFIG_MISMATCH,
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"pm config manifest does not allow current run mode");
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}
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}
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private JsonNode readJsonNode(Path path) {
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if (!Files.isRegularFile(path)) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact file is missing: " + path);
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}
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try {
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return objectMapper.readTree(path.toFile());
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} catch (IOException exception) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact file cannot be read: " + path);
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}
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}
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private <T> T readJson(Path path, Class<T> type) {
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if (!Files.isRegularFile(path)) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact file is missing: " + path);
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}
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try {
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return objectMapper.readValue(path.toFile(), type);
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} catch (IOException exception) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact file cannot be read: " + path);
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}
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}
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private <T> T convert(JsonNode node, Class<T> type, Path path) {
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if (node == null || node.isMissingNode() || node.isNull()) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact field is missing: " + path + "#config_json");
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}
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try {
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return objectMapper.treeToValue(node, type);
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} catch (IOException exception) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact field cannot be parsed: " + path + "#config_json");
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}
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}
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private String requiredText(JsonNode node, String field, Path path) {
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String value = node.path(field).asText("");
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if (value.isBlank()) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact field is required: " + path + "#" + field);
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}
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return value;
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}
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private Set<String> textSet(JsonNode node, String field, Path path) {
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JsonNode array = node.path(field);
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if (!array.isArray()) {
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throw new TraderException(TraderErrorCode.TRADER_MODEL_ARTIFACT_MISSING,
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"artifact field must be array: " + path + "#" + field);
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}
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return StreamSupport.stream(array.spliterator(), false)
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.map(JsonNode::asText)
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.collect(Collectors.toUnmodifiableSet());
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}
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private <E extends Enum<E>> Set<E> enumSet(JsonNode node, String field, Class<E> type, Path path) {
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return textSet(node, field, path).stream()
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.map(value -> Enum.valueOf(type, value))
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.collect(Collectors.toUnmodifiableSet());
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}
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}
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@@ -0,0 +1,76 @@
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package com.quantai.trader.artifact;
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import java.math.BigDecimal;
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public record TraderArtifactModelPolicy(
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DirectionPolicy direction,
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EntryPolicy entry,
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ContinuePolicy continuation,
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ExitPolicy exit,
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RiskPolicy risk,
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BigDecimal uncertainty,
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BigDecimal oodScore
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) {
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public record DirectionPolicy(
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BigDecimal longProbWhenMarkGteIndex,
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BigDecimal longProbWhenMarkLtIndex,
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BigDecimal neutralProb,
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BigDecimal expectedReturnBps,
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int horizonMinutes,
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String modelVersion
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) {
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}
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public record EntryPolicy(
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BigDecimal longEntryProb,
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BigDecimal shortEntryProb,
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BigDecimal entryQualityScore,
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BigDecimal expectedEdgeBps,
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String pricePlanId,
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String pricePlanConfigHash,
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BigDecimal stopDistanceBps,
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BigDecimal targetDistanceBps,
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int maxHoldMinutes,
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BigDecimal costBps,
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String modelVersion
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) {
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}
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public record ContinuePolicy(
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BigDecimal longContinueProb,
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BigDecimal shortContinueProb,
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BigDecimal trendPersistenceProb,
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BigDecimal holdEdgeBps,
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BigDecimal continueVsExitEdgeBps,
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String modelVersion
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) {
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}
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public record ExitPolicy(
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BigDecimal longExitProb,
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BigDecimal shortExitProb,
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BigDecimal profitGivebackProb,
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BigDecimal reversalProb,
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BigDecimal stopRiskProb,
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BigDecimal stagnationProb,
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BigDecimal expectedGivebackBps,
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String modelVersion
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) {
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}
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public record RiskPolicy(
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BigDecimal marketRiskProb,
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BigDecimal positionRiskProb,
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BigDecimal marketRiskSeverityBps,
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BigDecimal positionRiskSeverityBps,
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BigDecimal drawdownProb,
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BigDecimal expectedShortfallBps,
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BigDecimal volatilityExpansionProb,
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BigDecimal spikeProb,
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BigDecimal liquidityRiskProb,
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BigDecimal liquidityCapacityRatioWhenReady,
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BigDecimal liquidityCapacityRatioWhenNotReady,
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String modelVersion
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) {
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}
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}
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@@ -0,0 +1,18 @@
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package com.quantai.trader.artifact;
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import java.util.Set;
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public record TraderModelBundleManifest(
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String modelBundleVersion,
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String calibrationBundleVersion,
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String featureVersion,
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String labelVersion,
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String splitVersion,
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Set<String> requiredModels,
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Set<String> providedModels,
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Set<String> missingModels,
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String bundleHashSha256,
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boolean complete,
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String status
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) {
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}
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@@ -0,0 +1,17 @@
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package com.quantai.trader.artifact;
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import com.quantai.trader.domain.TraderPmConfig;
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import com.quantai.trader.enums.TraderRunMode;
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import java.util.Set;
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public record TraderPmConfigManifest(
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String pmConfigVersion,
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String modelBundleVersion,
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String calibrationBundleVersion,
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Set<TraderRunMode> allowedRunModes,
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TraderPmConfig config,
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String configHashSha256,
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String status
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) {
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}
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@@ -0,0 +1,72 @@
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package com.quantai.trader.model;
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import com.quantai.trader.artifact.TraderArtifactBundle;
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import com.quantai.trader.artifact.TraderArtifactModelPolicy;
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import com.quantai.trader.domain.*;
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import org.springframework.stereotype.Service;
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import java.math.BigDecimal;
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import java.util.Map;
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@Service
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public class ArtifactTraderModelService implements TraderModelService {
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@Override
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public TraderModelOutput evaluate(TraderMarketSnapshot snapshot, TraderArtifactBundle bundle) {
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TraderArtifactModelPolicy policy = bundle.modelPolicy();
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DirectionOutput direction = direction(snapshot, bundle, policy.direction());
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return new TraderModelOutput(
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"model_output_" + snapshot.cycleId(),
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snapshot.runId(),
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snapshot.cycleId(),
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bundle.modelBundleVersion(),
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bundle.calibrationBundleVersion(),
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direction,
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entry(bundle, policy.entry()),
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continuation(bundle, policy.continuation()),
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exit(bundle, policy.exit()),
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risk(snapshot, bundle, policy.risk()),
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policy.uncertainty(),
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policy.oodScore(),
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Map.of("artifactPolicy", bundle.bundleHashSha256()));
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}
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private DirectionOutput direction(TraderMarketSnapshot snapshot, TraderArtifactBundle bundle, TraderArtifactModelPolicy.DirectionPolicy policy) {
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BigDecimal longProb = snapshot.markPrice().compareTo(snapshot.indexPrice()) >= 0
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? policy.longProbWhenMarkGteIndex()
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: policy.longProbWhenMarkLtIndex();
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BigDecimal shortProb = BigDecimal.ONE.subtract(longProb).subtract(policy.neutralProb()).max(BigDecimal.ZERO);
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BigDecimal neutralProb = BigDecimal.ONE.subtract(longProb).subtract(shortProb);
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return new DirectionOutput(longProb, shortProb, neutralProb, longProb.max(shortProb),
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longProb.subtract(shortProb).abs(), policy.expectedReturnBps(), policy.horizonMinutes(),
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policy.modelVersion(), bundle.calibrationBundleVersion(), Map.of("source", "artifact_policy"));
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}
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private EntryOutput entry(TraderArtifactBundle bundle, TraderArtifactModelPolicy.EntryPolicy policy) {
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return new EntryOutput(policy.longEntryProb(), policy.shortEntryProb(), policy.entryQualityScore(),
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policy.expectedEdgeBps(), policy.pricePlanId(), policy.pricePlanConfigHash(),
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policy.stopDistanceBps(), policy.targetDistanceBps(), policy.maxHoldMinutes(), policy.costBps(),
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policy.modelVersion(), bundle.calibrationBundleVersion(), Map.of("source", "artifact_policy"));
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}
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private ContinueOutput continuation(TraderArtifactBundle bundle, TraderArtifactModelPolicy.ContinuePolicy policy) {
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return new ContinueOutput(policy.longContinueProb(), policy.shortContinueProb(), policy.trendPersistenceProb(),
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policy.holdEdgeBps(), policy.continueVsExitEdgeBps(),
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policy.modelVersion(), bundle.calibrationBundleVersion(), Map.of("source", "artifact_policy"));
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}
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private ExitOutput exit(TraderArtifactBundle bundle, TraderArtifactModelPolicy.ExitPolicy policy) {
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return new ExitOutput(policy.longExitProb(), policy.shortExitProb(), policy.profitGivebackProb(),
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policy.reversalProb(), policy.stopRiskProb(), policy.stagnationProb(), policy.expectedGivebackBps(),
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policy.modelVersion(), bundle.calibrationBundleVersion(), Map.of("source", "artifact_policy"));
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}
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private RiskOutput risk(TraderMarketSnapshot snapshot, TraderArtifactBundle bundle, TraderArtifactModelPolicy.RiskPolicy policy) {
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BigDecimal liquidityCapacity = snapshot.dataReady()
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? policy.liquidityCapacityRatioWhenReady()
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: policy.liquidityCapacityRatioWhenNotReady();
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return new RiskOutput(policy.marketRiskProb(), policy.positionRiskProb(), policy.marketRiskSeverityBps(),
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policy.positionRiskSeverityBps(), policy.drawdownProb(), policy.expectedShortfallBps(),
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policy.volatilityExpansionProb(), policy.spikeProb(), policy.liquidityRiskProb(), liquidityCapacity,
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policy.modelVersion(), bundle.calibrationBundleVersion(), Map.of("source", "artifact_policy"));
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}
|
||||
}
|
||||
@@ -1,50 +0,0 @@
|
||||
package com.quantai.trader.model;
|
||||
|
||||
import com.quantai.trader.artifact.TraderArtifactBundle;
|
||||
import com.quantai.trader.domain.*;
|
||||
import org.springframework.stereotype.Service;
|
||||
|
||||
import java.math.BigDecimal;
|
||||
import java.util.Map;
|
||||
|
||||
@Service
|
||||
public class DeterministicTraderModelService implements TraderModelService {
|
||||
@Override
|
||||
public TraderModelOutput evaluate(TraderMarketSnapshot snapshot, TraderArtifactBundle bundle) {
|
||||
BigDecimal directionalBias = snapshot.markPrice().compareTo(snapshot.indexPrice()) >= 0
|
||||
? new BigDecimal("0.62")
|
||||
: new BigDecimal("0.32");
|
||||
BigDecimal shortBias = BigDecimal.ONE.subtract(directionalBias).subtract(new BigDecimal("0.10"));
|
||||
if (shortBias.compareTo(BigDecimal.ZERO) < 0) {
|
||||
shortBias = BigDecimal.ZERO;
|
||||
}
|
||||
BigDecimal neutral = BigDecimal.ONE.subtract(directionalBias).subtract(shortBias);
|
||||
EntryOutput entry = new EntryOutput(
|
||||
new BigDecimal("0.63"), new BigDecimal("0.42"), new BigDecimal("0.64"),
|
||||
new BigDecimal("12.0"), "p0-plan-atr-2r", "p0-price-plan-hash",
|
||||
new BigDecimal("35"), new BigDecimal("70"), 45, new BigDecimal("4.0"),
|
||||
"entry-p0", bundle.calibrationBundleVersion(), Map.of("source", "deterministic_fixture"));
|
||||
return new TraderModelOutput(
|
||||
"model_output_" + snapshot.cycleId(),
|
||||
snapshot.runId(),
|
||||
snapshot.cycleId(),
|
||||
bundle.modelBundleVersion(),
|
||||
bundle.calibrationBundleVersion(),
|
||||
new DirectionOutput(directionalBias, shortBias, neutral, directionalBias, directionalBias.subtract(shortBias).abs(),
|
||||
new BigDecimal("8.0"), 45, "direction-p0", bundle.calibrationBundleVersion(), Map.of()),
|
||||
entry,
|
||||
new ContinueOutput(new BigDecimal("0.61"), new BigDecimal("0.39"), new BigDecimal("0.58"),
|
||||
new BigDecimal("5.0"), new BigDecimal("3.0"), "continue-p0", bundle.calibrationBundleVersion(), Map.of()),
|
||||
new ExitOutput(new BigDecimal("0.24"), new BigDecimal("0.48"), new BigDecimal("0.20"),
|
||||
new BigDecimal("0.25"), new BigDecimal("0.22"), new BigDecimal("0.20"),
|
||||
new BigDecimal("10"), "exit-p0", bundle.calibrationBundleVersion(), Map.of()),
|
||||
new RiskOutput(new BigDecimal("0.20"), new BigDecimal("0.18"),
|
||||
new BigDecimal("20"), new BigDecimal("18"), new BigDecimal("0.15"),
|
||||
new BigDecimal("20"), new BigDecimal("0.20"), new BigDecimal("0.10"),
|
||||
new BigDecimal("0.12"), snapshot.depthNotional5Bps().compareTo(BigDecimal.ZERO) > 0 ? new BigDecimal("1.0") : BigDecimal.ZERO,
|
||||
"risk-p0", bundle.calibrationBundleVersion(), Map.of()),
|
||||
new BigDecimal("0.10"),
|
||||
new BigDecimal("0.05"),
|
||||
Map.of("source", "deterministic_p0_fixture"));
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user