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GitHubandClaude bfefadf70b feat(backtest): v1.15.0 — attribution analysis 
- AttributionReport dataclass with Brinson/factor/cost fields
- AttributionAnalyzer with 3 attribution modes:
  - Cost attribution (commission/slippage/stamp tax breakdown)
  - Brinson attribution (allocation + selection + interaction)
  - Factor attribution (factor contribution + specific return)
- Priority: factor > Brinson > cost in full_report()
- 556 tests passing (12 new)

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 21:11:33 +08:00
GitHubandClaude 2eeb7f9806 chore: bump version to v1.15.0 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 21:11:23 +08:00
GitHubandClaude 06f2e1f1a2 feat(backtest): add AttributionAnalyzer with Brinson, factor, cost attribution 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 21:10:50 +08:00
GitHubandClaude 8c2c204002 feat(backtest): v1.14.0 — pluggable slippage models + execution simulation 
- SlippageModel ABC with 4 built-in models (Fixed, Percent, SquareRoot, Volume)
- ExecutionModel ABC with 4 built-in models (Immediate, TWAP, VWAP, Limit)
- OrderSimulator integration with SlippageModel
- BacktestEngine integration with SlippageModel + ExecutionModel
- Full backward compatibility (all existing code unchanged)
- 544 tests passing (46 new)

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 21:06:15 +08:00
GitHubandClaude 8c4c4a6629 chore: bump version to v1.14.0 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 21:05:46 +08:00
GitHub 0945e47990 feat(backtest): integrate SlippageModel + ExecutionModel into BacktestEngine 2026-06-12 21:04:24 +08:00
GitHub d18af98855 feat(backtest): add LimitExecution 2026-06-12 20:59:59 +08:00
GitHub fe68d9da95 feat(backtest): add TWAPExecution + VWAPExecution 2026-06-12 20:56:57 +08:00
GitHub 0772666be3 feat(backtest): add ExecutionModel ABC + ImmediateExecution 2026-06-12 20:53:07 +08:00
GitHub 6414c2cc11 feat(backtest): integrate SlippageModel into OrderSimulator 2026-06-12 20:50:42 +08:00
GitHub d081eeb265 feat(backtest): add SquareRootSlippage + VolumeSlippage 2026-06-12 20:47:03 +08:00
GitHub 4098af02bf feat(backtest): add SlippageModel ABC + FixedSlippage + PercentSlippage 2026-06-12 20:44:28 +08:00
GitHub b7b72b10d1 feat(portfolio): add optimizer, risk model, rebalance engine, CLI pfactor command, bump v1.13.0 2026-06-12 20:25:50 +08:00
GitHubandClaude e6a69d51e4 feat(portfolio): add optimizer, risk model, and rebalance engine 
- WeightOptimizer base class with registry (equal, factor_weighted, risk_parity, mean_variance)
- RiskModel with shrinkage covariance estimation and portfolio risk metrics
- RebalanceEngine for multi-period backtesting with commission/slippage
- 20 unit tests covering all components

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 20:22:31 +08:00
GitHub 6b6b7c66a0 docs: add v1.13.0 portfolio management implementation plan 2026-06-12 20:17:43 +08:00
GitHub 303964ea67 feat(factor): add analysis/transform exports, CLI analyze command, bump v1.12.0 2026-06-12 20:11:28 +08:00
GitHub 9d7bf84d5d feat(factor): add FactorAnalyzer with IC/quantile/turnover/decay analysis 2026-06-12 20:09:08 +08:00
GitHub c6f2580b73 feat(factor): add factor preprocessing pipeline (winsorize/zscore/rank/fill/orthogonalize) 2026-06-12 20:08:10 +08:00
GitHub 799a4da428 docs: add v1.12.0 factor analysis implementation plan 2026-06-12 20:05:24 +08:00
GitHubandClaude d5fa572a43 style: ruff format factor module 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:58:34 +08:00
GitHubandClaude d35b08ff85 chore: bump version to v1.11.0 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:58:28 +08:00
GitHubandClaude 54e06009d4 test(factor): add integration tests for FactorEngine with builtins 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:57:18 +08:00
GitHub f47a6df776 feat(cli): add 'easy-tdx factor list' command 2026-06-12 19:55:40 +08:00
GitHub d9bb37f750 feat(factor): wire up builtin factor auto-registration and export 2026-06-12 19:53:18 +08:00
GitHubandClaude c9be1f85d9 feat(factor): add 19 builtin factors (momentum/volatility/quality/volume/technical/chanlun/value) 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:50:05 +08:00
GitHubandClaude e766cace73 feat(factor): add FactorEngine with single/cross-section/forward-return compute 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:47:08 +08:00
GitHub 67d9963f20 feat(factor): add Factor base class and registry 2026-06-12 19:43:54 +08:00
GitHub 7d6607b0cf docs: add v1.11.0 factor engine implementation plan (13 tasks, TDD) 2026-06-12 19:35:16 +08:00
GitHub 64f8a5e8b6 docs: add quantitative factor engine + portfolio management design spec 2026-06-12 19:27:02 +08:00
GitHub e6ed6efcd4 chore: bump version to v1.10.5 + update changelog 2026-06-12 17:19:47 +08:00
GitHubandClaude de2b37e1e3 fix(web): use redoc@2.2.0 standalone bundle (v3 is ESM-only) 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 17:06:54 +08:00
GitHubandClaude 79c81cc3b6 fix(web): override redoc endpoint with pinned JS v3.0.0-rc.0 
FastAPI does not accept redoc_js_url as a constructor param — the old
approach silently ignored it, leaving the default redoc@next CDN URL
(which returns 404). Manually register /redoc with get_redoc_html()
using the fixed v3.0.0-rc.0 bundle URL.

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 17:05:25 +08:00
GitHubandClaude 9848d754a8 fix(web): use redoc@3.0.0-rc.0 bundle 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:55:21 +08:00
GitHubandClaude 0d673f1972 fix(web): pin ReDoc JS to v2.1.3 (cdn redoc@next returns 404) 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:54:03 +08:00
GitHubandClaude 46c5d3cc05 fix(web): guard MAC client None + filter _raw bytes from Ex responses 
- get_mac_client() now raises TdxConnectionError (503) when MAC client
  is None, matching get_ex_client() behavior. Previously returned None
  causing AttributeError (500) on all 12 MAC endpoints.
- _records_to_df_resp() filters out internal _raw: bytes fields from
  Ex dataclass models. Previously asdict() included binary protocol
  data that is not JSON-serializable and would cause 500 errors.

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:51:47 +08:00
GitHubandClaude d17895e92b feat(web): full Web API parity with CLI — 18 new endpoints (v1.10.2) 
- Board analysis: list/members/belong/summary/ranking/change-ranking (6)
- Capital flow, symbol info, server info (3)
- Quote list, auction, unusual (3)
- Extended market: bars/quote/minute/transaction (4)
- Technical indicators: list + compute (2)
- Multi-client DI: AsyncMacClient + AsyncExTdxClient lifecycle
- 6 MAC enum converters, DictResponse, ComputeIndicatorsRequest schemas
- Web API endpoints: 22 → 40

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:46:48 +08:00
Justin Gu 06ce712d15 fix: CI mypy job missing [web] deps + update README intro 2026-06-12 03:52:47 +08:00
Justin Gu 2eedd81093 feat(web): FastAPI REST + WebSocket API layer (v1.10.0) 2026-06-12 03:36:11 +08:00
Justin Gu d904ae7af6 docs(web): update README with serve CLI, docs URL, and install instructions 2026-06-12 03:35:26 +08:00
Justin Gu 0e74752701 fix(web): validate market/category input — support lowercase, reject invalid with 400 
Root cause: _market_from_str/_market/_category in routers used bare
MarketEnum[key]/Market[key] without .upper() or try/except, so
lowercase or invalid values (sz, ZZZ) threw uncaught KeyError → 500.

Fix: extract shared convert.py with market_from_str/category_from_str
that do .upper() + ValueError on invalid input.  All 4 routers updated.
4 regression tests added for case-insensitive and invalid input.
 2026-06-12 03:26:29 +08:00
Justin Gu 9d7a9161f7 fix(web): remove TYPE_CHECKING guard for AsyncTdxClient in deps.py 
The typing.cast(AsyncTdxClient, ...) evaluated AsyncTdxClient at
runtime, but the import was gated behind TYPE_CHECKING, causing
NameError in production.  Direct import is safe here — web module
already depends on easy_tdx core.
 2026-06-12 03:21:39 +08:00
Justin Gu 54dd65ed85 feat(web): add Web API docs to README, bump version to 1.10.0 2026-06-12 03:10:01 +08:00
Justin Gu eb8a7a5675 feat(web): add FastAPI app factory, all routers, CLI serve command, and tests 
- App factory with lifespan management and CORS middleware
- Market router: security list, quotes, market stat, fund-flow
- Bars router: kline, index kline, minute, transaction
- Finance router: xdxr, finance, company info, financial records
- Block router: block file parsing
- Chanlun router: POST /chanlun/analyze
- Realtime router: WebSocket /ws/realtime/{symbol}
- CLI: easy-tdx serve command
- 16 unit tests, all passing offline (no network)
 2026-06-12 03:08:12 +08:00
Justin Gu 9dc70566a5 feat(web): add Pydantic schemas and error handling 2026-06-12 03:02:04 +08:00
Justin Gu 7f44ba1d06 feat(web): scaffold web API module with [web] optional dependency 2026-06-12 03:00:49 +08:00
GitHubandClaude Opus 4.8 fd03e2a334 fix: ruff format compliance for CI 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-11 22:56:23 +08:00
GitHubandClaude Opus 4.8 e290ea3f21 feat: add board N-day change ranking (v1.9.10) 
- Add get_board_change_ranking() to MacClient and AsyncMacClient
- Add 'board-change-ranking' CLI command (--type/--date/--days/--top/--asc)
- Calculate N-day price change from board index K-lines directly
- Default to listing all boards; --top N to truncate
- 12 unit tests covering calculation, edges, sorting

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-11 17:40:51 +08:00
Justin Gu 786c7e3619 fix: remove unused type: ignore comments for mypy strict 2026-06-11 04:30:39 +08:00
Justin Gu c25570eb86 fix: mypy strict — type annotate co_filename in _get_strategy_file 2026-06-11 04:27:54 +08:00
Justin Gu c9ed57e66d fix: parallel scan pickle bug — pass strategy file path instead of class to child processes 2026-06-11 04:24:09 +08:00