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@@ -42,18 +42,23 @@ def snapshot_columns(settings, metrics, checks):
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check_type = "PENDING"
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else:
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check_type = "PASS" if "PROD_CORRELATION" in by_name else "PRE_CHECK"
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# /check values are freshest; submitted snapshots also expose a scalar in IS.
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prod_correlation = number(by_name.get("PROD_CORRELATION", {}).get("value"))
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if prod_correlation is None:
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prod_correlation = number(metrics.get("prodCorrelation"))
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neutralization = settings.get("neutralization")
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return {
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"check_type": check_type,
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"neutralization": neutralization if isinstance(neutralization, str) else None,
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"pnl": number(metrics.get("pnl")),
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"prod_correlation": prod_correlation,
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**{
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field: number(by_name.get(name, {}).get("value"))
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for field, name in (
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("sub_universe_sharpe", "LOW_SUB_UNIVERSE_SHARPE"),
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("robust_universe_sharpe", "LOW_ROBUST_UNIVERSE_SHARPE"),
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("two_year_sharpe", "LOW_2Y_SHARPE"),
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("prod_correlation", "PROD_CORRELATION"),
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)
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},
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}
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