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Q Research/scripts/compare_fills.py

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+#!/usr/bin/env python3
+"""
+Compare paper vs. live fills to produce a lightweight TCA summary.
+"""
+
+from __future__ import annotations
+
+import argparse
+import json
+from pathlib import Path
+
+import pandas as pd
+
+
+def parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(description="Compare paper vs live fills.")
+    parser.add_argument("--paper", required=True, help="Path to paper fills CSV.")
+    parser.add_argument("--live", required=True, help="Path to live fills CSV.")
+    parser.add_argument("--out", default="results/execution/tca_summary.json", help="Output JSON path.")
+    return parser.parse_args()
+
+
+def load(path: str) -> pd.DataFrame:
+    csv = Path(path)
+    if not csv.exists():
+        raise SystemExit(f"fills CSV not found: {csv}")
+    df = pd.read_csv(csv)
+    if df.empty:
+        raise SystemExit(f"{csv} is empty")
+    if "ts" in df.columns:
+        df["ts"] = pd.to_datetime(df["ts"])
+    return df
+
+
+def summary(df: pd.DataFrame, label: str) -> dict:
+    pnl = df["pnl"] if "pnl" in df.columns else pd.Series(dtype=float)
+    latency = df["adapter_latency_ms"] if "adapter_latency_ms" in df.columns else pd.Series(dtype=float)
+    return {
+        f"{label}_trade_count": int(len(df)),
+        f"{label}_total_pnl": float(pnl.sum()) if not pnl.empty else None,
+        f"{label}_avg_pnl": float(pnl.mean()) if not pnl.empty else None,
+        f"{label}_avg_latency_ms": float(latency.mean()) if not latency.empty else None,
+    }
+
+
+def pnl_gap(paper: pd.DataFrame, live: pd.DataFrame) -> dict:
+    cols = []
+    if "ts" in paper.columns and "ts" in live.columns:
+        merged = pd.merge(
+            paper[["ts", "pnl"]].rename(columns={"pnl": "paper_pnl"}),
+            live[["ts", "pnl"]].rename(columns={"pnl": "live_pnl"}),
+            on="ts",
+            how="outer",
+        )
+    else:
+        merged = pd.DataFrame({"paper_pnl": paper.get("pnl"), "live_pnl": live.get("pnl")})
+    merged = merged.fillna(0.0)
+    merged["pnl_diff"] = merged["live_pnl"] - merged["paper_pnl"]
+    return {
+        "pnl_diff_mean": float(merged["pnl_diff"].mean()),
+        "pnl_diff_std": float(merged["pnl_diff"].std(ddof=0)),
+    }
+
+
+def main() -> None:
+    args = parse_args()
+    paper = load(args.paper)
+    live = load(args.live)
+
+    report = {"paper_path": args.paper, "live_path": args.live}
+    report.update(summary(paper, "paper"))
+    report.update(summary(live, "live"))
+    report.update(pnl_gap(paper, live))
+
+    out_path = Path(args.out)
+    out_path.parent.mkdir(parents=True, exist_ok=True)
+    out_path.write_text(json.dumps(report, indent=2, default=float), encoding="utf-8")
+    print(json.dumps(report, indent=2, default=float))
+
+
+if __name__ == "__main__":
+    main()