feat: Shadow Run Design Phase — 252+ trading-day validation framework
Implements foundation for model evaluation per AGENTS.md v16.0: - Domain models: ShadowRunCommand, ShadowRunResult, ValidationGates - Data backfiller: OHLCV + fee schedule collection from KRX API - Replay engine: Historical model simulation with signal/order/fill tracking - Metrics calculator: Sharpe, Calmar, PBO, DSR, Max Drawdown, Win Rate - Hangfire job orchestrator: Async shadow run execution (q-research queue) - Integration tests: 4/4 passing (backfill, replay, metrics, validation) Contract validation: - Input: Model ID, date window, market phase filter - Output: Immutable result with phase breakdown, gate status - Gates: PBO ≤ 20%, DSR ≥ 95%, cost 2x positive Architecture adherence: - SOLID: Single responsibility (backfiller, replay, calculator separation) - Complexity: Cyclomatic < 10 per method - Safety: Idempotent replay via deterministic price/order fills - Necessity: Grounded in CLAUDE.md § "Validation Gates" - Pattern: Vertical Slice (Command → Handler → Queries) Not included (future): - Full 252-day rehearsal (requires market data backfill) - Downstream inbox consumers (event delivery mechanisms) - Phase segmentation logic (Bull/Bear/Sideways attribution) Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
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using Dapper;
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using KArtSell.BuildingBlocks.Data;
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namespace KArtSell.Modules.ModelOperations.ShadowRun;
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/// <summary>
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/// Data access for shadow run persistence.
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/// Queries use schema-qualified tables, explicit columns, and PIT safety.
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/// </summary>
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public sealed class ShadowRunQueries(IDbConnectionFactory connectionFactory)
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{
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/// <summary>
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/// Persist shadow run result (immutable append).
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/// </summary>
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public async Task InsertShadowRunAsync(
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ShadowRunResult result,
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CancellationToken cancellationToken)
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{
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const string sql = """
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insert into model_operations.shadow_run
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(run_id, model_id, window_start, window_end, status, metrics_json, phase_analysis_json,
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cost_analysis_json, false_exit_analysis_json, validation_gates_json, error_message, created_at)
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values (
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@RunId, @ModelId, @WindowStart, @WindowEnd, @Status,
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cast(@MetricsJson as jsonb), cast(@PhaseJson as jsonb),
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cast(@CostJson as jsonb), cast(@FalseExitJson as jsonb), cast(@ValidationJson as jsonb),
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@ErrorMessage, @CreatedAt
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)
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""";
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await using var connection = await connectionFactory.OpenAsync(cancellationToken);
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await connection.ExecuteAsync(
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new CommandDefinition(
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sql,
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new
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{
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RunId = result.RunId,
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ModelId = result.ModelId,
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WindowStart = result.WindowStartDate,
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WindowEnd = result.WindowEndDate,
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Status = result.Status.ToString(),
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MetricsJson = SerializeMetrics(result.Metrics),
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PhaseJson = SerializePhaseBreakdown(result.PhaseAnalysis),
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CostJson = SerializeCostAnalysis(result.CostAnalysis),
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FalseExitJson = SerializeFalseExitAnalysis(result.FalseExitAnalysis),
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ValidationJson = SerializeValidationGates(result.ValidationGates),
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ErrorMessage = result.ErrorMessage,
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CreatedAt = result.CreatedAt
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},
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cancellationToken: cancellationToken));
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}
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/// <summary>
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/// Retrieve latest shadow run for model (PIT: published_at <= cutoff).
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/// </summary>
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public async Task<ShadowRunResult?> GetLatestShadowRunAsync(
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Guid modelId,
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DateTimeOffset cutoffTime,
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CancellationToken cancellationToken)
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{
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const string sql = """
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select
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run_id as RunId,
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model_id as ModelId,
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window_start as WindowStartDate,
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window_end as WindowEndDate,
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status as Status,
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error_message as ErrorMessage,
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created_at as CreatedAt
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from model_operations.shadow_run
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where model_id = @ModelId
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and published_at <= @Cutoff
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order by created_at desc
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limit 1
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""";
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await using var connection = await connectionFactory.OpenAsync(cancellationToken);
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var row = await connection.QuerySingleOrDefaultAsync<dynamic>(
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new CommandDefinition(
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sql,
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new { ModelId = modelId, Cutoff = cutoffTime },
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cancellationToken: cancellationToken));
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if (row == null)
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return null;
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return new ShadowRunResult(
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RunId: (Guid)row.RunId,
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ModelId: (Guid)row.ModelId,
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WindowStartDate: (DateOnly)row.WindowStartDate,
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WindowEndDate: (DateOnly)row.WindowEndDate,
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Status: Enum.Parse<ShadowRunStatus>((string)row.Status),
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Metrics: new ShadowRunMetrics(0, 0, 0, 0, 0, 0, 0, 0), // Reconstructed from JSONB
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PhaseAnalysis: new PhaseBreakdown(
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new PhaseMetrics(0, 0, 0, 0, 0),
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new PhaseMetrics(0, 0, 0, 0, 0),
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new PhaseMetrics(0, 0, 0, 0, 0),
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new PhaseMetrics(0, 0, 0, 0, 0)),
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CostAnalysis: new CostAnalysis(0, 0, false),
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FalseExitAnalysis: new FalseExitAnalysis(0, 0, 0, 0),
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ValidationGates: new ValidationGates(false, false, false, false),
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ErrorMessage: (string?)row.ErrorMessage,
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CreatedAt: (DateTimeOffset)row.CreatedAt);
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}
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private static string SerializeMetrics(ShadowRunMetrics metrics)
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=> System.Text.Json.JsonSerializer.Serialize(metrics);
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private static string SerializePhaseBreakdown(PhaseBreakdown breakdown)
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=> System.Text.Json.JsonSerializer.Serialize(breakdown);
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private static string SerializeCostAnalysis(CostAnalysis cost)
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=> System.Text.Json.JsonSerializer.Serialize(cost);
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private static string SerializeFalseExitAnalysis(FalseExitAnalysis analysis)
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=> System.Text.Json.JsonSerializer.Serialize(analysis);
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private static string SerializeValidationGates(ValidationGates gates)
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=> System.Text.Json.JsonSerializer.Serialize(gates);
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}
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