feat: Implement Alpha list and metrics enhancements
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- Added new metrics fields: sub_universe_sharpe, robust_universe_sharpe, two_year_sharpe, prod_correlation, pnl, check_type, and neutralization to the Alpha model. - Updated snapshot_columns function to derive new metrics and check types from platform snapshots. - Enhanced API to include failed checks and check types in responses. - Created migration script to backfill existing Alpha records with new metrics and check types. - Updated frontend components to display new metrics and allow editing of custom tags. - Improved filtering and sorting capabilities for new metrics in the Alpha list. - Added tests for new functionality including checks classification and metrics filtering.
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yuxuanhui
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"""Alpha list filtering, snapshot extraction, local tags and historical migration."""
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import csv
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import io
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from pathlib import Path
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import pytest
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import sqlalchemy as sa
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from alembic import command
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from alembic.config import Config
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from cryptography.fernet import Fernet
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from app.alphas import snapshot_columns, upsert_alpha
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from tests.conftest import alpha
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PREFIX = "/api/v1/alphas"
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def checks(failures):
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return [
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{"name": name, "result": "FAIL" if index < failures else "PASS", "value": value}
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for index, (name, value) in enumerate(
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[
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("LOW_SUB_UNIVERSE_SHARPE", 0),
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("LOW_ROBUST_UNIVERSE_SHARPE", 1.2),
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("LOW_2Y_SHARPE", 2.3),
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("PROD_CORRELATION", 0),
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]
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)
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]
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@pytest.mark.parametrize(
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"data, expected",
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[
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([], "PENDING"),
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(None, "PENDING"),
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([None], "PENDING"),
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([{}], "PENDING"),
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([{"name": "LOW_SHARPE", "result": "WARNING"}], "PENDING"),
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([{"name": "LOW_SHARPE", "result": "PASS"}], "PRE_CHECK"),
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([{"name": "PROD_CORRELATION", "result": "PENDING"}], "PENDING"),
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(checks(0), "PASS"),
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(checks(1), "FAIL_1"),
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(checks(2), "FAIL_2"),
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(checks(3), "FAIL_2"),
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],
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)
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def test_check_classification_never_promotes_unknown_results(data, expected):
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assert snapshot_columns({}, {}, data)["check_type"] == expected
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async def test_checks_filter_before_pagination_and_share_export_scope(app, logged_in):
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async with app.state.sessions.begin() as db:
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for count in range(4):
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await upsert_alpha(db, alpha(f"failed{count}", **{"is": {"pnl": 0, "checks": checks(count)}}))
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await upsert_alpha(db, alpha("unknown", **{"is": {}}))
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for check_type, expected in [
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("FAIL_1", ["failed1"]),
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("FAIL_2", ["failed2", "failed3"]),
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("PASS", ["failed0"]),
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("PENDING", ["unknown"]),
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]:
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response = await logged_in.get(
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PREFIX, params={"check_type": check_type, "sort": "id", "direction": "asc"}
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)
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assert response.status_code == 200
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assert [row["id"] for row in response.json()["items"]] == expected
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query = "check_type=FAIL_2&submission=UNSUBMITTED®ion=USA&limit=1&offset=1&sort=id&direction=asc"
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page = (await logged_in.get(f"{PREFIX}?{query}")).json()
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assert page["total"] == 2 and [a["id"] for a in page["items"]] == ["failed3"]
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row = page["items"][0]
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assert row["failed_checks"] == ["LOW_SUB_UNIVERSE_SHARPE", "LOW_ROBUST_UNIVERSE_SHARPE", "LOW_2Y_SHARPE"]
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assert row["prod_correlation"] == row["sub_universe_sharpe"] == row["pnl"] == 0
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exported = await logged_in.get(f"{PREFIX}/export?{query}")
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rows = list(csv.DictReader(io.StringIO(exported.text.lstrip("\ufeff"))))
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assert [r["id"] for r in rows] == ["failed2", "failed3"]
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assert rows[0]["check_type"] == "FAIL_2" and rows[0]["pnl"] == "0.0"
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assert rows[0]["failed_checks"] == "LOW_SUB_UNIVERSE_SHARPE;LOW_ROBUST_UNIVERSE_SHARPE"
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assert (await logged_in.get(f"{PREFIX}?check_type=FAIL_GT_2")).status_code == 422
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async def test_extended_metrics_filter_sort_missing_values_and_snapshot_refresh(app, logged_in):
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fields = ["sub_universe_sharpe", "robust_universe_sharpe", "two_year_sharpe", "prod_correlation", "pnl"]
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async with app.state.sessions.begin() as db:
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for name, value in [("zero", 0), ("positive", 2), ("negative", -1)]:
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sample_checks = [{**c, "value": value} for c in checks(0)]
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await upsert_alpha(
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db,
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alpha(
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name,
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settings={"neutralization": "INDUSTRY"},
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**{"is": {"pnl": value, "checks": sample_checks}},
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),
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)
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await upsert_alpha(db, alpha("missing", **{"is": {}}))
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for field in fields:
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result = (await logged_in.get(PREFIX, params={"sort": field, "direction": "asc"})).json()
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assert [r["id"] for r in result["items"]] == ["negative", "zero", "positive", "missing"]
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result = (
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await logged_in.get(
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PREFIX, params={f"{field}_min": 0, f"{field}_max": 0, "neutralization": "INDUSTRY"}
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)
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).json()
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assert [r["id"] for r in result["items"]] == ["zero"]
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assert (await logged_in.get(PREFIX, params={f"{field}_min": 2, f"{field}_max": 1})).status_code == 422
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async with app.state.sessions.begin() as db:
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await upsert_alpha(db, alpha("zero", settings={}, **{"is": {}}))
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detail = (await logged_in.get(f"{PREFIX}/zero")).json()
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assert all(detail[field] is None for field in fields)
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assert detail["neutralization"] is None and detail["check_type"] == "PENDING"
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malformed = snapshot_columns({}, {"pnl": "nan"}, [{**c, "value": True} for c in checks(0)])
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assert all(malformed[field] is None for field in fields)
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async def test_ppac_tags_partial_edit_bulk_filter_and_sync_preservation(app, logged_in):
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async with app.state.sessions.begin() as db:
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for name in ("ppac", "other"):
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await upsert_alpha(db, alpha(name, **{"is": {"checks": checks(1)}}))
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assert (
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await logged_in.patch(
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f"{PREFIX}/ppac/research",
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json={
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"version": 1,
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"note": "等活动轮到再提交",
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"state": "candidate",
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"favorite": True,
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},
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)
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).status_code == 200
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assert (
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await logged_in.patch(
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f"{PREFIX}/ppac/research",
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json={
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"version": 2,
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"tags": [" PPAC ", "PPAC", "待活动提交"],
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},
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)
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).status_code == 200
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assert (
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await logged_in.patch(f"{PREFIX}/ppac/research", json={"version": 2, "tags": []})
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).status_code == 409
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async with app.state.sessions.begin() as db:
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await upsert_alpha(db, alpha("ppac", **{"is": {"checks": checks(2)}}))
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result = (await logged_in.get(f"{PREFIX}?tag=PPAC&check_type=FAIL_2")).json()
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assert result["total"] == 1
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research = result["items"][0]["research"]
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assert (
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research["note"] == "等活动轮到再提交" and research["favorite"] and research["state"] == "candidate"
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)
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assert research["tags"] == ["PPAC", "待活动提交"] and research["version"] == 3
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assert "PPAC" in (await logged_in.get(f"{PREFIX}/facets")).json()["tags"]
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assert (
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await logged_in.patch(
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f"{PREFIX}/research/bulk",
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json={
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"alpha_ids": ["ppac", "other"],
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"versions": {"ppac": 3, "other": 1},
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"add_tags": ["活动候选"],
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"remove_tags": ["待活动提交"],
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},
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)
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).status_code == 200
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assert (await logged_in.get(f"{PREFIX}?tag=活动候选")).json()["total"] == 2
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assert (await logged_in.get(f"{PREFIX}?tag=待活动提交")).json()["total"] == 0
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def test_migration_backfills_multiple_batches_and_preserves_research(tmp_path, monkeypatch):
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path = tmp_path / "migration.db"
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monkeypatch.setenv("DATABASE_URL", f"sqlite+aiosqlite:///{path}")
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monkeypatch.setenv("ADMIN_PASSWORD", "migration-test-only")
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monkeypatch.setenv("ENCRYPTION_KEY", Fernet.generate_key().decode())
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monkeypatch.setenv("WQ_EMAIL", "")
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monkeypatch.setenv("WQ_PASSWORD", "")
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root = Path(__file__).resolve().parents[1]
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config = Config(str(root / "alembic.ini"))
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config.set_main_option("script_location", str(root / "migrations"))
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command.upgrade(config, "0010")
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engine = sa.create_engine(f"sqlite:///{path}")
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metadata = sa.MetaData()
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alphas = sa.Table("alphas", metadata, autoload_with=engine)
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research = sa.Table("research", metadata, autoload_with=engine)
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from app.models import now
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with engine.begin() as db:
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db.execute(
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alphas.insert(),
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[
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{
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"id": f"old{i:04}",
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"hidden": False,
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"settings": {"neutralization": "INDUSTRY"},
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"is_metrics": {"pnl": 0},
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"os_metrics": {},
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"checks": checks(i % 4),
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"synced_at": now(),
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"raw": {},
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}
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for i in range(503)
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],
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)
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db.execute(
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research.insert(),
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{
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"alpha_id": "old0000",
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"note": "keep",
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"tags": ["PPAC"],
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"favorite": True,
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"state": "candidate",
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"version": 7,
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"updated_at": now(),
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},
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)
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for _ in range(2):
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command.upgrade(config, "head")
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command.check(config)
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alphas = sa.Table("alphas", sa.MetaData(), autoload_with=engine)
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with engine.connect() as db:
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rows = db.execute(sa.select(alphas).order_by(alphas.c.id)).mappings().all()
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assert len(rows) == 503
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for i, row in enumerate(rows):
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expected = snapshot_columns(row["settings"], row["is_metrics"], checks(i % 4))
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assert {key: row[key] for key in expected} == expected
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record = db.execute(sa.select(research)).mappings().one()
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assert record["tags"] == ["PPAC"] and record["note"] == "keep" and record["version"] == 7
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command.downgrade(config, "0010")
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engine.dispose()
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