"""Disk-based cache for breakout_52w ranked-universe results. Mirrors libs/backtest/low_vol_cache.py exactly — just renamed and keyed on the breakout-52w params. Caches the full pre-ranked universe per rebalance date so re-runs with different top_n values can skip the expensive per-symbol bar scan. Cache key: (snapshot_fingerprint, param_hash, BREAKOUT_52W_CACHE_VERSION) Cache file: /.runtime_cache/breakout_52w_v{N}__{param_hash}.parquet The cache stores rows that have already passed all universe-quality gates (min_price, min_adv, is_52w_breakout). Only top_n selection is deferred to read time so a single cache file serves runs with different top_n values. """ from __future__ import annotations import datetime as dt import hashlib import json import os from pathlib import Path from typing import Any from uuid import uuid4 import pyarrow as pa import pyarrow.parquet as pq from libs.common.logging import get_logger logger = get_logger(__name__) BREAKOUT_52W_CACHE_VERSION = 1 # Params that determine the cached content. # top_n is NOT here — it only slices the cached ranking. _CACHE_KEY_PARAMS = ( "breakout_52w_lookback_days", "breakout_52w_min_avg_dollar_volume", "breakout_52w_min_price", ) _SCHEMA = pa.schema([ pa.field("decision_date", pa.string()), pa.field("symbol", pa.string()), pa.field("volume_ratio_20d", pa.float64()), pa.field("avg_dollar_volume_20d", pa.float64()), pa.field("last_close", pa.float64()), pa.field("prior_252d_max_high", pa.float64()), pa.field("last_bar_date", pa.string()), pa.field("last_bar_timestamp_iso", pa.string()), ]) def compute_snapshot_fingerprint(snapshot_dir: Path) -> str: """SHA-256 fingerprint of snapshot manifest + parquet files (size + mtime_ns).""" parts: list[str] = [f"breakout_52w_v{BREAKOUT_52W_CACHE_VERSION}"] manifest = snapshot_dir / "manifest.json" if manifest.exists(): s = manifest.stat() parts.append(f"manifest:{s.st_size}:{s.st_mtime_ns}") for pq_path in sorted(snapshot_dir.glob("*.parquet")): s = pq_path.stat() parts.append(f"{pq_path.name}:{s.st_size}:{s.st_mtime_ns}") return hashlib.sha256("|".join(parts).encode()).hexdigest()[:32] def build_param_hash(engine: Any) -> str: """16-char hex hash of the cache-key params from an engine config.""" params = {k: getattr(engine, k, None) for k in _CACHE_KEY_PARAMS} raw = json.dumps(params, sort_keys=True, default=str) return hashlib.sha256(raw.encode()).hexdigest()[:16] class Breakout52wRankCache: """Per-snapshot-dir disk cache for breakout-52w rebalance-day ranked universes. Lifecycle: 1. Construct once per backtest run (lazy, on first rebalance day). 2. Pass to build_candidates() on every call. 3. Call close() after the backtest loop to flush new rows to disk. """ def __init__( self, snapshot_dir: Path, snapshot_fingerprint: str, param_hash: str, ) -> None: self._cache_dir = snapshot_dir / ".runtime_cache" self._fingerprint = snapshot_fingerprint self._param_hash = param_hash self._cache_path = ( self._cache_dir / f"breakout_52w_v{BREAKOUT_52W_CACHE_VERSION}__{param_hash}.parquet" ) self._by_date: dict[str, list[dict[str, Any]]] | None = None self._new_rows: list[dict[str, Any]] = [] def _ensure_loaded(self) -> None: if self._by_date is not None: return if not self._cache_path.exists(): logger.info( "breakout_52w_cache_miss", reason="file_missing", cache_file=str(self._cache_path), ) self._by_date = {} return try: table = pq.read_table(str(self._cache_path)) meta = table.schema.metadata or {} stored_fp = (meta.get(b"breakout_52w_fingerprint") or b"").decode() if stored_fp != self._fingerprint: logger.info( "breakout_52w_cache_miss", reason="fingerprint_mismatch", cache_file=str(self._cache_path), ) self._by_date = {} return by_date: dict[str, list[dict[str, Any]]] = {} for row in table.to_pylist(): d = str(row["decision_date"]) by_date.setdefault(d, []).append(row) self._by_date = by_date logger.info( "breakout_52w_cache_hit", cache_file=str(self._cache_path), dates=len(by_date), rows=table.num_rows, ) except Exception as exc: logger.warning( "breakout_52w_cache_read_failed", cache_file=str(self._cache_path), error=str(exc), ) self._by_date = {} def get_date(self, decision_date: dt.date) -> list[dict[str, Any]] | None: self._ensure_loaded() return self._by_date.get(decision_date.isoformat()) def save_date(self, decision_date: dt.date, rows: list[dict[str, Any]]) -> None: self._new_rows.extend(rows) def close(self) -> None: if not self._new_rows: return all_rows: list[dict[str, Any]] = [] if self._by_date: for date_rows in self._by_date.values(): all_rows.extend(date_rows) all_rows.extend(self._new_rows) table = pa.Table.from_pylist(all_rows, schema=_SCHEMA) existing_meta = dict(table.schema.metadata or {}) table = table.replace_schema_metadata( {**existing_meta, b"breakout_52w_fingerprint": self._fingerprint.encode()} ) self._cache_dir.mkdir(parents=True, exist_ok=True) _write_table_atomic(table, self._cache_path) logger.info( "breakout_52w_cache_written", cache_file=str(self._cache_path), total_rows=len(all_rows), new_dates=len({r["decision_date"] for r in self._new_rows}), ) self._new_rows = [] def _write_table_atomic(table: pa.Table, path: Path) -> None: tmp = path.with_suffix(f".{uuid4().hex}.tmp") try: pq.write_table(table, str(tmp), compression="snappy") os.replace(str(tmp), str(path)) except Exception: if tmp.exists(): tmp.unlink(missing_ok=True) raise