Implement Trader V4 training artifact pipeline

2026-06-27 16:15:23 +08:00
parent dad6b831b4
commit e58e4a5572
113 changed files with 7959 additions and 477 deletions
@@ -2,37 +2,68 @@ package com.quantai.trader.domain;

 import static com.quantai.trader.util.TraderNumbers.*;

+import com.quantai.trader.enums.PositionSide;
+
 import java.math.BigDecimal;
 import java.util.Map;
+import java.util.Set;

 public record RiskOutput(
        BigDecimal marketRiskProb,
-        BigDecimal positionRiskProb,
-        BigDecimal marketRiskSeverityBps,
-        BigDecimal positionRiskSeverityBps,
-        BigDecimal drawdownProb,
-        BigDecimal expectedShortfallBps,
-        BigDecimal volatilityExpansionProb,
-        BigDecimal spikeProb,
-        BigDecimal liquidityRiskProb,
-        BigDecimal liquidityCapacityRatio,
-        String modelVersion,
-        String calibrationVersion,
-        Map<String, Object> explanation
+        BigDecimal longPositionRiskProb,
+        BigDecimal shortPositionRiskProb,
+        BigDecimal marketPathRiskBps,
+        BigDecimal longPositionPathRiskBps,
+        BigDecimal shortPositionPathRiskBps,
+        Map<String, BigDecimal> riskReasonScores
 ) {
+    private static final Set<String> REQUIRED_REASON_KEYS = Set.of(
+            "market_drawdown_prob", "volatility_expansion_prob", "spike_prob",
+            "liquidity_deterioration_prob", "position_drawdown_prob");
+
    public RiskOutput {
        marketRiskProb = probability(marketRiskProb, "risk.marketRiskProb");
-        positionRiskProb = probability(positionRiskProb, "risk.positionRiskProb");
-        marketRiskSeverityBps = nonNegative(marketRiskSeverityBps, "risk.marketRiskSeverityBps");
-        positionRiskSeverityBps = nonNegative(positionRiskSeverityBps, "risk.positionRiskSeverityBps");
-        drawdownProb = probability(drawdownProb, "risk.drawdownProb");
-        expectedShortfallBps = nonNegative(expectedShortfallBps, "risk.expectedShortfallBps");
-        volatilityExpansionProb = probability(volatilityExpansionProb, "risk.volatilityExpansionProb");
-        spikeProb = probability(spikeProb, "risk.spikeProb");
-        liquidityRiskProb = probability(liquidityRiskProb, "risk.liquidityRiskProb");
-        liquidityCapacityRatio = nonNegative(liquidityCapacityRatio, "risk.liquidityCapacityRatio");
-        modelVersion = requiredText(modelVersion, "risk.modelVersion");
-        calibrationVersion = requiredText(calibrationVersion, "risk.calibrationVersion");
-        explanation = Map.copyOf(explanation == null ? Map.of() : explanation);
+        longPositionRiskProb = probability(longPositionRiskProb, "risk.longPositionRiskProb");
+        shortPositionRiskProb = probability(shortPositionRiskProb, "risk.shortPositionRiskProb");
+        marketPathRiskBps = nonNegative(marketPathRiskBps, "risk.marketPathRiskBps");
+        longPositionPathRiskBps = nonNegative(longPositionPathRiskBps, "risk.longPositionPathRiskBps");
+        shortPositionPathRiskBps = nonNegative(shortPositionPathRiskBps, "risk.shortPositionPathRiskBps");
+        riskReasonScores = checkedProbabilities(riskReasonScores, "risk.riskReasonScores");
+    }
+
+    public BigDecimal reasonScore(String key) {
+        return riskReasonScores.get(requiredText(key, "risk reason key"));
+    }
+
+    public BigDecimal sideRiskProbFor(PositionSide side) {
+        if (side == PositionSide.LONG) {
+            return longPositionRiskProb;
+        }
+        if (side == PositionSide.SHORT) {
+            return shortPositionRiskProb;
+        }
+        throw new IllegalArgumentException("position risk requires LONG or SHORT side");
+    }
+
+    public BigDecimal positionPathRiskBpsFor(PositionSide side) {
+        if (side == PositionSide.LONG) {
+            return longPositionPathRiskBps;
+        }
+        if (side == PositionSide.SHORT) {
+            return shortPositionPathRiskBps;
+        }
+        throw new IllegalArgumentException("position path risk requires LONG or SHORT side");
+    }
+
+    private static Map<String, BigDecimal> checkedProbabilities(Map<String, BigDecimal> scores, String field) {
+        Map<String, BigDecimal> source = scores == null ? Map.of() : scores;
+        if (!source.keySet().containsAll(REQUIRED_REASON_KEYS)) {
+            throw new IllegalArgumentException(field + " must contain " + REQUIRED_REASON_KEYS);
+        }
+        source.forEach((key, value) -> {
+            requiredText(key, field + ".key");
+            probability(value, field + "." + key);
+        });
+        return Map.copyOf(source);
    }
 }