"""Write all output artifacts for a backtest run.""" from __future__ import annotations import csv import datetime as dt import json from collections import defaultdict from pathlib import Path from typing import Any import pyarrow as pa import pyarrow.parquet as pq from libs.backtest.domain import ( BacktestConfig, DailyPortfolioState, ExperimentManifest, ExperimentResult, FilledTrade, MetricsBundle, OpenPosition, ) from libs.common.config import get_settings from libs.common.ids import sha256_checksum_str from libs.common.logging import get_logger logger = get_logger(__name__) def create_run_directory(output_root: str | Path, run_id: str) -> Path: """Create the full run directory tree. Returns the run root path.""" run_dir = Path(output_root) / run_id for subdir in ["logs", "metrics", "artifacts", "plots", "notes"]: (run_dir / subdir).mkdir(parents=True, exist_ok=True) logger.info("run_directory_created", path=str(run_dir)) return run_dir def write_metadata( run_dir: Path, run_id: str, started_at: dt.datetime, finished_at: dt.datetime, git_hash: str, total_trading_days: int, total_candidates_seen: int, total_orders_rejected: int, split_name: str | None = None, ) -> Path: """Write metadata.json.""" meta = { "run_id": run_id, "started_at": started_at.isoformat(), "finished_at": finished_at.isoformat(), "elapsed_seconds": (finished_at - started_at).total_seconds(), "git_commit_hash": git_hash, "total_trading_days": total_trading_days, "total_candidates_seen": total_candidates_seen, "total_orders_rejected": total_orders_rejected, } if split_name is not None: meta["split_name"] = split_name out = run_dir / "metadata.json" out.write_text(json.dumps(meta, indent=2)) return out def write_metrics_summary(run_dir: Path, metrics: MetricsBundle) -> Path: """Write metrics/metrics_summary.json.""" out = run_dir / "metrics" / "metrics_summary.json" out.write_text(metrics.model_dump_json(indent=2)) return out def write_snapshot_provenance( run_dir: Path, config: BacktestConfig, ) -> dict[str, str]: """Persist the snapshot manifest and a stable fingerprint for reproducibility checks.""" snapshot_id = config.dataset_snapshot_id settings = get_settings() candidate_paths = [ Path(settings.parquet_dir) / snapshot_id / "manifest.json", Path("data/datasets/snapshots") / snapshot_id / "manifest.json", ] manifest_path = next((path for path in candidate_paths if path.exists()), None) if manifest_path is None: return {} manifest_text = manifest_path.read_text() manifest_data = json.loads(manifest_text) manifest_snapshot_id = manifest_data.get("snapshot_id") manifest_output_dir = manifest_data.get("output_dir") snapshot_dir_name = manifest_path.parent.name snapshot_id_matches_manifest = manifest_snapshot_id == snapshot_dir_name output_dir_matches_manifest = ( True if not manifest_output_dir else Path(str(manifest_output_dir)).name == snapshot_dir_name ) if not snapshot_id_matches_manifest or not output_dir_matches_manifest: logger.warning( "snapshot_manifest_metadata_mismatch", dataset_snapshot_id=snapshot_id, source_manifest_path=str(manifest_path.resolve()), manifest_snapshot_id=manifest_snapshot_id, manifest_output_dir=manifest_output_dir, snapshot_dir_name=snapshot_dir_name, ) manifest_copy = run_dir / "snapshot_manifest.json" manifest_copy.write_text(json.dumps(manifest_data, indent=2)) fingerprint = { "dataset_snapshot_id": snapshot_id, "source_manifest_path": str(manifest_path.resolve()), "snapshot_dir_name": snapshot_dir_name, "manifest_snapshot_id": manifest_snapshot_id, "manifest_output_dir": manifest_output_dir, "snapshot_id_matches_manifest": snapshot_id_matches_manifest, "output_dir_matches_manifest": output_dir_matches_manifest, "manifest_sha256": sha256_checksum_str(manifest_text), "snapshot_created_at_utc": manifest_data.get("created_at_utc"), "code_commit_hash": manifest_data.get("code_commit_hash"), "feature_version": manifest_data.get("feature_version"), "parser_version": manifest_data.get("parser_version"), "label_version": manifest_data.get("label_version"), "row_counts": manifest_data.get("row_counts"), "total_rows": manifest_data.get("total_rows"), } fingerprint_path = run_dir / "snapshot_fingerprint.json" fingerprint_path.write_text(json.dumps(fingerprint, indent=2)) return { "snapshot_manifest": str(manifest_copy), "snapshot_fingerprint": str(fingerprint_path), } def write_trade_blotter( run_dir: Path, trades: list[FilledTrade], ) -> Path | None: """Write artifacts/trade_blotter.parquet.""" if not trades: return None rows = [ { "trade_id": t.trade_id, "position_id": t.position_id, "event_id": t.event_id, "symbol": t.symbol, "event_date": t.event_date.isoformat() if t.event_date else None, "event_type": t.event_type, "score": t.score, "timing_class": t.timing_class, "engine_id": t.engine_id, "entry_timing_policy": t.entry_timing_policy, "shadow_only": t.shadow_only, "parent_position_id": t.parent_position_id, "is_add_on": t.is_add_on, "entry_date": t.entry_date.isoformat(), "exit_date": t.exit_date.isoformat(), "entry_price": t.entry_price, "exit_price": t.exit_price, "exit_reason": t.exit_reason.value, "shares": t.shares, "commission": t.commission, "slippage_bps": t.slippage_bps, "gross_pnl": t.gross_pnl, "net_pnl": t.net_pnl, "pnl_pct": t.pnl_pct, "r_multiple": t.r_multiple, "holding_days": t.holding_days, } for t in trades ] out = run_dir / "artifacts" / "trade_blotter.parquet" _write_parquet(rows, out) return out def write_daily_equity_curve( run_dir: Path, equity_curve: list[DailyPortfolioState], ) -> Path | None: """Write artifacts/daily_equity_curve.parquet.""" if not equity_curve: return None rows = [ { "date": s.date.isoformat(), "equity": s.equity, "cash_available": s.cash_available, "gross_exposure": s.gross_exposure, "net_exposure": s.net_exposure, "unrealized_pnl": s.unrealized_pnl, "realized_pnl": s.realized_pnl, "open_position_count": len(s.open_positions), "daily_new_risk_used": s.daily_new_risk_used, "peak_equity": s.peak_equity, "current_drawdown_pct": s.current_drawdown_pct, } for s in equity_curve ] out = run_dir / "artifacts" / "daily_equity_curve.parquet" _write_parquet(rows, out) return out def write_position_timeline( run_dir: Path, trades: list[FilledTrade], open_positions: list[OpenPosition] | None = None, ) -> Path | None: """Write artifacts/position_timeline.parquet (one row per position).""" rows = [] for t in trades: rows.append( { "position_id": t.position_id, "event_id": t.event_id, "symbol": t.symbol, "event_date": t.event_date.isoformat() if t.event_date else None, "timing_class": t.timing_class, "engine_id": t.engine_id, "entry_timing_policy": t.entry_timing_policy, "shadow_only": t.shadow_only, "parent_position_id": t.parent_position_id, "is_add_on": t.is_add_on, "entry_date": t.entry_date.isoformat(), "exit_date": t.exit_date.isoformat(), "entry_price": t.entry_price, "exit_price": t.exit_price, "exit_reason": t.exit_reason.value, "shares": t.shares, "net_pnl": t.net_pnl, "r_multiple": t.r_multiple, "holding_days": t.holding_days, "status": "closed", } ) if open_positions: for p in open_positions: rows.append( { "position_id": p.position_id, "event_id": p.plan.candidate.event_id, "symbol": p.plan.candidate.symbol, "event_date": p.plan.event_date.isoformat() if p.plan.event_date else None, "timing_class": p.plan.timing_class, "engine_id": p.plan.engine_id, "entry_timing_policy": p.plan.entry_timing_policy, "shadow_only": p.plan.shadow_only, "parent_position_id": p.parent_position_id, "is_add_on": p.is_add_on, "entry_date": p.entry_date.isoformat(), "exit_date": None, "entry_price": p.entry_price, "exit_price": None, "exit_reason": None, "shares": p.shares_total, "net_pnl": None, "r_multiple": None, "holding_days": p.days_held, "status": p.status.value, } ) if not rows: return None out = run_dir / "artifacts" / "position_timeline.parquet" _write_parquet(rows, out) return out def write_attribution_by_event_type( run_dir: Path, trades: list[FilledTrade], candidate_map: dict[str, Any], ) -> Path: """Write metrics/attribution_by_event_type.csv.""" bucket_data: dict[str, dict[str, float | int]] = defaultdict( lambda: {"count": 0, "wins": 0, "net_pnl": 0.0, "avg_r": 0.0, "_r_sum": 0.0} ) for t in trades: cand = candidate_map.get(t.trade_id) et = getattr(cand, "event_type", "unknown") if cand else "unknown" d = bucket_data[et] d["count"] = int(d["count"]) + 1 if t.net_pnl > 0: d["wins"] = int(d["wins"]) + 1 d["net_pnl"] = float(d["net_pnl"]) + t.net_pnl d["_r_sum"] = float(d["_r_sum"]) + t.r_multiple out = run_dir / "metrics" / "attribution_by_event_type.csv" with open(out, "w", newline="") as f: writer = csv.DictWriter( f, fieldnames=["event_type", "count", "wins", "win_rate", "net_pnl", "avg_r"] ) writer.writeheader() for et, d in sorted(bucket_data.items()): count = int(d["count"]) wins = int(d["wins"]) writer.writerow( { "event_type": et, "count": count, "wins": wins, "win_rate": wins / count if count > 0 else 0.0, "net_pnl": round(float(d["net_pnl"]), 4), "avg_r": round(float(d["_r_sum"]) / count if count > 0 else 0.0, 4), } ) return out def write_attribution_by_sector( run_dir: Path, trades: list[FilledTrade], candidate_map: dict[str, Any], ) -> Path: """Write metrics/attribution_by_sector.csv.""" bucket_data: dict[str, dict[str, float | int]] = defaultdict( lambda: {"count": 0, "wins": 0, "net_pnl": 0.0, "_r_sum": 0.0} ) for t in trades: cand = candidate_map.get(t.trade_id) sector = getattr(cand, "sector", "UNKNOWN") if cand else "UNKNOWN" d = bucket_data[sector] d["count"] = int(d["count"]) + 1 if t.net_pnl > 0: d["wins"] = int(d["wins"]) + 1 d["net_pnl"] = float(d["net_pnl"]) + t.net_pnl d["_r_sum"] = float(d["_r_sum"]) + t.r_multiple out = run_dir / "metrics" / "attribution_by_sector.csv" with open(out, "w", newline="") as f: writer = csv.DictWriter( f, fieldnames=["sector", "count", "wins", "win_rate", "net_pnl", "avg_r"] ) writer.writeheader() for sector, d in sorted(bucket_data.items()): count = int(d["count"]) wins = int(d["wins"]) writer.writerow( { "sector": sector, "count": count, "wins": wins, "win_rate": wins / count if count > 0 else 0.0, "net_pnl": round(float(d["net_pnl"]), 4), "avg_r": round(float(d["_r_sum"]) / count if count > 0 else 0.0, 4), } ) return out def write_attribution_by_engine( run_dir: Path, trades: list[FilledTrade], per_engine_metrics: dict[str, dict[str, Any]] | None = None, ) -> Path: """Write metrics/attribution_by_engine.csv.""" bucket_data: dict[str, dict[str, float | int | bool]] = defaultdict( lambda: {"count": 0, "wins": 0, "net_pnl": 0.0, "_r_sum": 0.0, "shadow_only": False} ) for t in trades: engine_id = t.engine_id or "default" d = bucket_data[engine_id] d["count"] = int(d["count"]) + 1 if t.net_pnl > 0: d["wins"] = int(d["wins"]) + 1 d["net_pnl"] = float(d["net_pnl"]) + t.net_pnl d["_r_sum"] = float(d["_r_sum"]) + t.r_multiple d["shadow_only"] = bool(t.shadow_only) if per_engine_metrics: for engine_id, summary in per_engine_metrics.items(): d = bucket_data.setdefault( engine_id, {"count": 0, "wins": 0, "net_pnl": 0.0, "_r_sum": 0.0, "shadow_only": False}, ) d["shadow_only"] = bool(summary.get("shadow_only", d["shadow_only"])) out = run_dir / "metrics" / "attribution_by_engine.csv" with open(out, "w", newline="") as f: writer = csv.DictWriter( f, fieldnames=[ "engine_id", "shadow_only", "count", "wins", "win_rate", "net_pnl", "avg_r", ], ) writer.writeheader() for engine_id, d in sorted(bucket_data.items()): count = int(d["count"]) wins = int(d["wins"]) writer.writerow( { "engine_id": engine_id, "shadow_only": bool(d["shadow_only"]), "count": count, "wins": wins, "win_rate": wins / count if count > 0 else 0.0, "net_pnl": round(float(d["net_pnl"]), 4), "avg_r": round(float(d["_r_sum"]) / count if count > 0 else 0.0, 4), } ) return out def write_score_bucket_report( run_dir: Path, score_bucket_hit_rate: dict[str, float], trades: list[FilledTrade], candidate_map: dict[str, Any], ) -> Path: """Write metrics/score_bucket_report.csv.""" bucket_counts: dict[str, int] = defaultdict(int) for t in trades: cand = candidate_map.get(t.trade_id) bucket = getattr(cand, "score_bucket", "unknown") if cand else "unknown" bucket_counts[bucket] += 1 out = run_dir / "metrics" / "score_bucket_report.csv" with open(out, "w", newline="") as f: writer = csv.DictWriter(f, fieldnames=["score_bucket", "trade_count", "win_rate"]) writer.writeheader() for bucket in sorted(set(list(score_bucket_hit_rate.keys()) + list(bucket_counts.keys()))): writer.writerow( { "score_bucket": bucket, "trade_count": bucket_counts.get(bucket, 0), "win_rate": round(score_bucket_hit_rate.get(bucket, 0.0), 4), } ) return out def write_plots(run_dir: Path, generate: bool = False) -> Path: """Create plots directory. generate=True logs a warning (matplotlib not available).""" plots_dir = run_dir / "plots" plots_dir.mkdir(exist_ok=True) if generate: logger.warning( "plots_not_implemented", message="generate_plots=True is a no-op; matplotlib is not in dependencies.", ) return plots_dir def write_run_notes(run_dir: Path, notes: str = "") -> Path: """Write notes/run_notes.md.""" out = run_dir / "notes" / "run_notes.md" out.write_text(notes or "# Run Notes\n\n_No notes provided._\n") return out def write_per_engine_metrics( run_dir: Path, per_engine_metrics: dict[str, dict[str, Any]], ) -> Path: """Write metrics/per_engine_metrics.json.""" out = run_dir / "metrics" / "per_engine_metrics.json" out.write_text(json.dumps(per_engine_metrics, indent=2, default=str)) return out def write_all_artifacts( run_dir: Path, run_id: str, manifest: ExperimentManifest, config: BacktestConfig, metrics: MetricsBundle, trades: list[FilledTrade], equity_curve: list[DailyPortfolioState], open_positions: list[OpenPosition], candidate_map: dict[str, Any], started_at: dt.datetime, finished_at: dt.datetime, git_hash: str, total_trading_days: int, total_candidates_seen: int, total_orders_rejected: int, split_name: str | None = None, per_engine_metrics: dict[str, dict[str, Any]] | None = None, ) -> dict[str, str]: """Write all output files. Returns mapping of artifact_name → file_path.""" from libs.backtest.manifests import save_manifest, save_resolved_config paths: dict[str, str] = {} # Core files paths["manifest"] = str(save_manifest(manifest, run_dir)) paths["resolved_config"] = str(save_resolved_config(config, run_dir)) paths.update(write_snapshot_provenance(run_dir, config)) paths["metadata"] = str( write_metadata( run_dir, run_id, started_at, finished_at, git_hash, total_trading_days, total_candidates_seen, total_orders_rejected, split_name=split_name, ) ) # Metrics if config.reporting.write_metrics_summary: paths["metrics_summary"] = str(write_metrics_summary(run_dir, metrics)) paths["attribution_by_event_type"] = str( write_attribution_by_event_type(run_dir, trades, candidate_map) ) paths["attribution_by_sector"] = str( write_attribution_by_sector(run_dir, trades, candidate_map) ) paths["attribution_by_engine"] = str( write_attribution_by_engine(run_dir, trades, per_engine_metrics) ) paths["score_bucket_report"] = str( write_score_bucket_report( run_dir, metrics.score_bucket_hit_rate, trades, candidate_map ) ) if per_engine_metrics: paths["per_engine_metrics"] = str(write_per_engine_metrics(run_dir, per_engine_metrics)) # Trade data if config.reporting.write_trade_blotter: p = write_trade_blotter(run_dir, trades) if p: paths["trade_blotter"] = str(p) if config.reporting.write_equity_curve: p = write_daily_equity_curve(run_dir, equity_curve) if p: paths["daily_equity_curve"] = str(p) p = write_position_timeline(run_dir, trades, open_positions) if p: paths["position_timeline"] = str(p) # Plots (no-op) paths["plots_dir"] = str(write_plots(run_dir, config.reporting.generate_plots)) # Notes paths["run_notes"] = str(write_run_notes(run_dir, manifest.notes or "")) return paths # --------------------------------------------------------------------------- # Internal helpers # --------------------------------------------------------------------------- def _write_parquet(rows: list[dict[str, Any]], path: Path) -> None: """Write list of row dicts to Parquet.""" if not rows: return keys = list(rows[0].keys()) columns: dict[str, list[Any]] = {k: [] for k in keys} for row in rows: for k in keys: columns[k].append(row.get(k)) table = pa.table({k: pa.array(v) for k, v in columns.items()}) pq.write_table(table, str(path)) logger.debug("parquet_written", path=str(path), rows=len(rows))