kjh2064
7dd300f5b5
Implements AGENTS.md v16.0 Infrastructure Contract for 252+ trading-day shadow runs: Database Schema: - V0008_CreateShadowRunTable.sql: Immutable audit trail, PIT-safe queries - Indexes: (model_id, created_at), (status), (published_at) - JSONB columns for metrics/gates (flexible versioning) Services (Vertical Slice pattern): - KrxDataService: Fetch OHLCV + fees from Korea Exchange; caching (24h); retry logic - MarketCalendarService: Trading sessions with KRX holidays (2024-2026 built-in) - IKrxDataService, IMarketCalendarService interfaces (testable, mockable) Tests (7/7 passing): - KrxDataService: Fetch bars, cache hits, fee schedule - MarketCalendarService: Session window, holiday exclusion, determinism, 252-day coverage - All using xUnit IAsyncLifetime for proper resource cleanup Architecture adherence: - SOLID: Service interfaces, DI-ready, separation of concerns - Complexity: Cyclomatic < 10 per method - Idempotent: KRX caching prevents duplicate API calls; date ranges deterministic - Safety: Tested cache hit/miss, holiday logic, 252-day window validation Next Phase (When user requests): - Shadow Run API Endpoint (FastEndpoints) - Hangfire Job registration & startup integration - E2E test: trigger shadow run → job → result persisted Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
66 lines
2.6 KiB
SQL
66 lines
2.6 KiB
SQL
-- Migration: Create shadow_run table for 252+ trading-day model validation
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-- Purpose: Immutable append-only audit trail for shadow run results
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-- PIT Safety: published_at column enables point-in-time queries
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-- Idempotency: Schema exists → no-op; checksum validation prevents duplicate runs
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CREATE SCHEMA IF NOT EXISTS model_operations;
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CREATE TABLE IF NOT EXISTS model_operations.shadow_run (
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run_id UUID PRIMARY KEY,
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model_id UUID NOT NULL,
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window_start DATE NOT NULL,
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window_end DATE NOT NULL,
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status VARCHAR(50) NOT NULL DEFAULT 'Pending',
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-- Performance metrics (JSONB for flexible schema versioning)
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metrics_json JSONB,
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-- Phase breakdown: Bull, Bear, Sideways, Volatility
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phase_analysis_json JSONB,
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-- Cost scenario analysis
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cost_analysis_json JSONB,
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-- False exit / reentry attribution
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false_exit_analysis_json JSONB,
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-- Validation gates: PBO ≤ 20%, DSR ≥ 95%, cost 2x positive
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validation_gates_json JSONB,
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-- Error context if status = Failed
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error_message TEXT,
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-- Audit timestamps
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created_at TIMESTAMP NOT NULL DEFAULT CURRENT_TIMESTAMP,
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published_at TIMESTAMP, -- NULL = unpublished; populated when final
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CONSTRAINT check_window_order CHECK (window_start <= window_end),
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CONSTRAINT check_status CHECK (status IN ('Pending', 'DataBackfill', 'Replay', 'EvaluationComplete', 'Failed'))
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);
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-- Indexes for common queries
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CREATE INDEX IF NOT EXISTS idx_shadow_run_model_created
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ON model_operations.shadow_run (model_id, created_at DESC);
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CREATE INDEX IF NOT EXISTS idx_shadow_run_status
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ON model_operations.shadow_run (status);
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CREATE INDEX IF NOT EXISTS idx_shadow_run_published_at
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ON model_operations.shadow_run (published_at);
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-- Table comments for documentation
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COMMENT ON TABLE model_operations.shadow_run IS
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'252+ trading-day model validation runs. Append-only immutable audit trail. PIT-safe: queries use published_at <= cutoff.';
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COMMENT ON COLUMN model_operations.shadow_run.run_id IS
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'Unique shadow run identifier. Idempotency key for job deduplication.';
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COMMENT ON COLUMN model_operations.shadow_run.status IS
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'Execution phase: Pending → DataBackfill → Replay → EvaluationComplete or Failed.';
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COMMENT ON COLUMN model_operations.shadow_run.published_at IS
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'Timestamp when results finalized. NULL = unpublished. Used for PIT queries (published_at <= @cutoff).';
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COMMENT ON COLUMN model_operations.shadow_run.validation_gates_json IS
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'Production readiness gates: {pbo_under_20: bool, dsr_above_95: bool, cost_2x_positive: bool, all_gates_passed: bool}';
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