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
@@ -0,0 +1,77 @@
+package com.quantai.trader.model;
+
+import com.quantai.trader.artifact.TraderArtifactLoader;
+import com.quantai.trader.artifact.TraderModelManifest;
+import com.quantai.trader.feature.TraderFeatureVectorBuilder;
+import org.junit.jupiter.api.Test;
+import org.junit.jupiter.api.io.TempDir;
+
+import java.io.IOException;
+import java.nio.file.Path;
+import java.util.Map;
+
+import static com.quantai.trader.TestFixtures.*;
+import static org.assertj.core.api.Assertions.assertThat;
+import static org.assertj.core.api.Assertions.assertThatThrownBy;
+
+class OnnxTraderModelServiceTest {
+    @TempDir
+    Path artifactRoot;
+
+    @Test
+    void evaluatesFiveModelFamiliesWithFeatureOrderCalibrationAndOutputBounds() throws IOException {
+        writeArtifactBundle(artifactRoot);
+        var properties = propertiesWithArtifactRoot(artifactRoot);
+        var bundle = new TraderArtifactLoader(properties, objectMapper()).loadActiveBundle();
+        OnnxTraderModelService service = new OnnxTraderModelService(
+                properties,
+                objectMapper(),
+                new TraderFeatureVectorBuilder(properties, objectMapper()),
+                new FakeInferenceClient());
+
+        var output = service.evaluate(snapshot(), bundle);
+
+        assertThat(output.direction().longProb()).isEqualByComparingTo("0.62");
+        assertThat(output.entry().longExpectedNetEdgeBps()).isEqualByComparingTo("12");
+        assertThat(output.continuation().shortExpectedContinueEdgeBps()).isEqualByComparingTo("1.5");
+        assertThat(output.exit().reasonScore("reversal_prob")).isEqualByComparingTo("0.25");
+        assertThat(output.risk().reasonScore("liquidity_deterioration_prob")).isEqualByComparingTo("0.12");
+        assertThat(output.metadata().uncertainty()).isEqualByComparingTo("0.38");
+        assertThat(output.metadata().oodScore()).isEqualByComparingTo("0.05");
+    }
+
+    @Test
+    void failsWhenShadowSnapshotHasNoOodScore() throws IOException {
+        writeArtifactBundle(artifactRoot);
+        var properties = propertiesWithArtifactRoot(artifactRoot);
+        var bundle = new TraderArtifactLoader(properties, objectMapper()).loadActiveBundle();
+        OnnxTraderModelService service = new OnnxTraderModelService(
+                properties,
+                objectMapper(),
+                new TraderFeatureVectorBuilder(properties, objectMapper()),
+                new FakeInferenceClient());
+
+        var snapshot = new com.quantai.trader.domain.TraderMarketSnapshot("snapshot-1", "run-1", "cycle-1",
+                "BTC-USDT-PERP", T0, "feature-v4-p0", bd("100"), bd("99.5"), bd("1.2"),
+                bd("0.5"), bd("1000"), bd("1400"), bd("2200"), true, featureJson(), Map.of());
+
+        assertThatThrownBy(() -> service.evaluate(snapshot, bundle))
+                .isInstanceOf(com.quantai.trader.domain.TraderException.class)
+                .hasMessageContaining("ood_score");
+    }
+
+    private static final class FakeInferenceClient implements TraderOnnxInferenceClient {
+        @Override
+        public Map<String, float[]> infer(TraderModelManifest manifest, Path modelPath, float[] features) {
+            return switch (manifest.modelType()) {
+                case "DIRECTION" -> Map.of("probabilities", new float[]{0.5f, 0.5f, 0.5f});
+                case "ENTRY" -> Map.of("entry", new float[]{0.5f, 0.5f, 12.0f, 8.0f});
+                case "CONTINUE" -> Map.of("continue", new float[]{0.5f, 0.5f, 3.0f, 1.5f});
+                case "EXIT" -> Map.of("exit", new float[]{0.5f, 0.5f, 10.0f, 18.0f, 0.5f, 0.5f, 0.5f, 0.5f});
+                case "RISK" -> Map.of("risk", new float[]{0.5f, 0.5f, 0.5f, 20.0f, 20.0f, 30.0f,
+                        0.5f, 0.5f, 0.5f, 0.5f, 0.5f});
+                default -> throw new IllegalArgumentException("unexpected model type: " + manifest.modelType());
+            };
+        }
+    }
+}