Add files via upload

2026-08-18 03:18:06 +00:00 · 2025-11-14 23:16:51 +00:00
parent 8c9371683e
commit 53c7aa9182
85 changed files with 6789 additions and 0 deletions
@@ -0,0 +1,90 @@
+#!/usr/bin/env python3
+"""
+Append a metrics row using TCA summary + KPI overrides.
+
+Example:
+  python scripts/update_metrics_from_tca.py \
+    --tca QuantTrader/results/execution/tca_summary.json \
+    --run-id 20251112_parallel_demo_live \
+    --status pass --latency-avg 28 --latency-p95 45 \
+    --total-pnl 27.3 --max-exposure 500000 --max-drawdown 0.02 \
+    --rolling-sharpe 1.5 --live-drawdown 0.03 \
+    --live-latency-p95 45 --slippage-bps 1.2
+"""
+
+from __future__ import annotations
+
+import argparse
+import csv
+import json
+from datetime import datetime, timezone
+from pathlib import Path
+
+
+def parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(description="Append metrics row from TCA summary.")
+    parser.add_argument("--tca", required=True, help="Path to tca_summary.json")
+    parser.add_argument("--metrics", default="results/risk/metrics.csv", help="Metrics CSV path")
+    parser.add_argument("--run-id", required=True)
+    parser.add_argument("--status", default="pass")
+    parser.add_argument("--latency-avg", type=float, required=True)
+    parser.add_argument("--latency-p95", type=float, required=True)
+    parser.add_argument("--total-pnl", type=float, required=True)
+    parser.add_argument("--max-exposure", type=float, required=True)
+    parser.add_argument("--max-drawdown", type=float, required=True)
+    parser.add_argument("--rolling-sharpe", type=float, required=True)
+    parser.add_argument("--live-drawdown", type=float, required=True)
+    parser.add_argument("--live-latency-p95", type=float, required=True)
+    parser.add_argument("--slippage-bps", type=float, required=True)
+    parser.add_argument("--rejects", type=int, default=0)
+    parser.add_argument("--kills", type=int, default=0)
+    parser.add_argument("--max-gross-notional", type=float, default=0.0)
+    return parser.parse_args()
+
+
+def main() -> None:
+    args = parse_args()
+    tca_path = Path(args.tca)
+    if not tca_path.exists():
+        raise SystemExit(f"TCA summary not found: {tca_path}")
+    with tca_path.open("r", encoding="utf-8") as f:
+        tca = json.load(f)
+
+    timestamp = datetime.now(timezone.utc).isoformat()
+    row = {
+        "timestamp": timestamp,
+        "run_id": args.run_id,
+        "rejects": args.rejects,
+        "kills": args.kills,
+        "status": args.status,
+        "latency_ms_avg": args.latency_avg,
+        "latency_ms_p95": args.latency_p95,
+        "total_pnl": args.total_pnl,
+        "max_gross_notional": args.max_gross_notional or args.max_exposure,
+        "max_symbol_exposure": args.max_exposure,
+        "max_drawdown_pct": args.max_drawdown,
+        "rolling_sharpe_30d": args.rolling_sharpe,
+        "live_drawdown_pct": args.live_drawdown,
+        "live_latency_ms_p95": args.live_latency_p95,
+        "slippage_bps": args.slippage_bps,
+        "paper_trade_count": tca.get("paper_trade_count"),
+        "paper_total_pnl": tca.get("paper_total_pnl"),
+        "live_trade_count": tca.get("live_trade_count"),
+        "live_total_pnl": tca.get("live_total_pnl"),
+        "pnl_diff_mean": tca.get("pnl_diff_mean"),
+        "pnl_diff_std": tca.get("pnl_diff_std"),
+    }
+
+    metrics_path = Path(args.metrics)
+    metrics_path.parent.mkdir(parents=True, exist_ok=True)
+    write_header = not metrics_path.exists()
+    with metrics_path.open("a", newline="", encoding="utf-8") as f:
+        writer = csv.DictWriter(f, fieldnames=row.keys())
+        if write_header:
+            writer.writeheader()
+        writer.writerow(row)
+    print(f"Appended metrics row for run={args.run_id}")
+
+
+if __name__ == "__main__":
+    main()