"""Build, rank and filter Candidate objects from raw Parquet row dicts.""" from __future__ import annotations import datetime as dt from typing import Any from zoneinfo import ZoneInfo from libs.backtest.domain import Candidate, EventTypeProfile, SignalConfig, UniverseConfig from libs.common.logging import get_logger logger = get_logger(__name__) _UTC = ZoneInfo("UTC") def build_candidate(row: dict[str, Any]) -> Candidate | None: """Build a Candidate from a raw Parquet row dict. Returns None (logged as skip) if: - event_timestamp is null/missing - entry_price_est is null/zero - execution_date is null/missing """ event_id = row.get("event_id", "") # Strict: no silent substitution for event_timestamp raw_ts = row.get("event_timestamp") if raw_ts is None: logger.warning("skip_candidate_no_timestamp", event_id=event_id) return None # Normalise to timezone-aware datetime if isinstance(raw_ts, str): try: event_timestamp = dt.datetime.fromisoformat(raw_ts) except ValueError: logger.warning("skip_candidate_bad_timestamp", event_id=event_id, raw=raw_ts) return None elif isinstance(raw_ts, dt.datetime): event_timestamp = raw_ts else: logger.warning("skip_candidate_unknown_timestamp_type", event_id=event_id) return None if event_timestamp.tzinfo is None: event_timestamp = event_timestamp.replace(tzinfo=_UTC) # entry_price_est (mapped from Parquet entry_price) entry_price_est = row.get("entry_price") or row.get("entry_price_est") if not entry_price_est: logger.warning("skip_candidate_no_entry_price", event_id=event_id) return None entry_price_est = float(entry_price_est) if entry_price_est <= 0: logger.warning("skip_candidate_zero_entry_price", event_id=event_id) return None # execution_date (mapped from Parquet entry_date) raw_exec_date = row.get("execution_date") or row.get("entry_date") if raw_exec_date is None: logger.warning("skip_candidate_no_exec_date", event_id=event_id) return None if isinstance(raw_exec_date, str): execution_date = dt.date.fromisoformat(raw_exec_date) elif isinstance(raw_exec_date, dt.date): execution_date = raw_exec_date else: logger.warning("skip_candidate_bad_exec_date", event_id=event_id) return None # reaction_date raw_react = row.get("reaction_date") if isinstance(raw_react, str): reaction_date = dt.date.fromisoformat(raw_react) elif isinstance(raw_react, dt.date): reaction_date = raw_react else: reaction_date = execution_date # fallback: same as execution score = float(row.get("score", 0.0)) avg_dollar_volume = float(row.get("avg_dollar_volume", 0.0)) atr_14_raw = row.get("atr_14") atr_14 = float(atr_14_raw) if atr_14_raw is not None else None # Classify score bucket score_bucket = _classify_score_bucket(score) return Candidate( event_id=event_id, symbol=str(row.get("symbol", row.get("ticker", ""))), issuer_id=row.get("issuer_id"), score=score, sector=str(row.get("sector") or "UNKNOWN"), event_type=str(row.get("event_type", "")), event_timestamp=event_timestamp, filing_time_bucket=str(row.get("filing_time_bucket", "unknown")), reaction_date=reaction_date, execution_date=execution_date, entry_price_est=entry_price_est, avg_dollar_volume=avg_dollar_volume, atr_14=atr_14, score_bucket=score_bucket, features={k: v for k, v in row.items() if k not in _RESERVED_KEYS}, ) _RESERVED_KEYS = { "event_id", "symbol", "ticker", "issuer_id", "score", "sector", "event_type", "event_timestamp", "filing_time_bucket", "reaction_date", "entry_date", "execution_date", "entry_price", "entry_price_est", "avg_dollar_volume", "atr_14", "score_bucket", } def _classify_score_bucket(score: float) -> str: if score >= 0.8: return "high" if score >= 0.6: return "medium_high" if score >= 0.4: return "medium" if score >= 0.2: return "medium_low" return "low" def rank_candidates(candidates: list[Candidate]) -> list[Candidate]: """Sort by score DESC, avg_dollar_volume DESC, symbol ASC (stable, deterministic).""" return sorted(candidates, key=lambda c: (-c.score, -c.avg_dollar_volume, c.symbol)) def filter_by_universe( candidates: list[Candidate], config: UniverseConfig, ) -> list[Candidate]: """Apply universe filters: min_price, min_avg_dollar_volume, exchange.""" filtered = [] for c in candidates: if c.entry_price_est < config.min_price: continue if c.avg_dollar_volume < config.min_avg_dollar_volume: continue filtered.append(c) return filtered def filter_by_score( candidates: list[Candidate], score_threshold: float, ) -> list[Candidate]: return [c for c in candidates if c.score >= score_threshold] def truncate_candidates( candidates: list[Candidate], max_per_day: int, ) -> list[Candidate]: return candidates[:max_per_day] def filter_by_event_type( candidates: list[Candidate], profiles: dict[str, EventTypeProfile], ) -> list[Candidate]: """Filter out candidates whose event_type is unknown, disabled, or below per-type threshold. Default-deny: if profiles dict is non-empty and event_type is not in profiles, the candidate is skipped (unknown event types are blocked). """ if not profiles: return candidates filtered = [] for c in candidates: profile = profiles.get(c.event_type) if profile is None: logger.debug("skip_unknown_event_type", symbol=c.symbol, event_type=c.event_type) continue if not profile.enabled: logger.debug("skip_disabled_event_type", symbol=c.symbol, event_type=c.event_type) continue if profile.score_threshold_override is not None: if c.score < profile.score_threshold_override: logger.debug( "skip_event_type_score", symbol=c.symbol, event_type=c.event_type, score=c.score, threshold=profile.score_threshold_override, ) continue filtered.append(c) return filtered def select_candidates( raw_rows: list[dict[str, Any]], universe_config: UniverseConfig, signal_config: SignalConfig, event_type_profiles: dict[str, EventTypeProfile] | None = None, ) -> list[Candidate]: """Full selection pipeline: build → filter → rank → truncate.""" candidates = [] for row in raw_rows: c = build_candidate(row) if c is not None: candidates.append(c) candidates = filter_by_universe(candidates, universe_config) candidates = filter_by_score(candidates, signal_config.score_threshold) if event_type_profiles: candidates = filter_by_event_type(candidates, event_type_profiles) candidates = rank_candidates(candidates) candidates = truncate_candidates(candidates, signal_config.max_candidates_per_day) return candidates