feat(dotnet): add factor computation audit service

2026-07-13 00:15:55 +09:00
parent 6f252162ef
commit 6ff40c8ea3
2 changed files with 129 additions and 0 deletions
@@ -0,0 +1,76 @@
+using System.Text.Json;
+using QuantEngine.Core.Domain;
+using QuantEngine.Core.Interfaces;
+
+namespace QuantEngine.Application.Services;
+
+public sealed record FactorComputationAudit(
+    string Ticker,
+    int StockBars,
+    int IndexBars,
+    string State,
+    DateTimeOffset ComputedAt,
+    string? SourceVersion);
+
+public sealed class FactorComputationService
+{
+    private readonly HistoryIngestionService _history;
+    private readonly string _auditRoot;
+
+    public FactorComputationService(HistoryIngestionService history)
+    {
+        _history = history;
+        _auditRoot = FindRepoTempRoot();
+    }
+
+    private static string FindRepoTempRoot()
+    {
+        var current = new DirectoryInfo(AppContext.BaseDirectory);
+        while (current != null)
+        {
+            if (Directory.Exists(Path.Combine(current.FullName, ".git")))
+            {
+                return Path.Combine(current.FullName, "Temp", "factor_audit");
+            }
+            current = current.Parent;
+        }
+
+        return Path.Combine(Directory.GetCurrentDirectory(), "Temp", "factor_audit");
+    }
+
+    private void AppendAudit(FactorComputationAudit audit)
+    {
+        Directory.CreateDirectory(_auditRoot);
+        var path = Path.Combine(_auditRoot, $"{audit.Ticker}.jsonl");
+        File.AppendAllText(path, JsonSerializer.Serialize(audit, new JsonSerializerOptions { WriteIndented = false }) + Environment.NewLine);
+    }
+
+    public FactorOutputs Compute(
+        string ticker,
+        List<PriceHistoryDailyRecord> stockBars,
+        List<PriceHistoryDailyRecord> indexBars,
+        string? sourceVersion = null)
+    {
+        var computedAt = DateTimeOffset.UtcNow;
+        var outputs = FactorCalculator.CalculateFactors(stockBars, indexBars);
+        AppendAudit(new FactorComputationAudit(ticker, stockBars.Count, indexBars.Count, "SUCCEEDED", computedAt, sourceVersion));
+        return outputs;
+    }
+
+    public async Task AppendFactorOutputsAsync(
+        string ticker,
+        string sourceVersion,
+        FactorOutputs outputs,
+        DateTimeOffset? observedAt = null)
+    {
+        var when = observedAt ?? DateTimeOffset.UtcNow;
+        await _history.AppendFactorOutputAsync("momentum_20d", sourceVersion, outputs.Momentum20D, "PASS", sourceVersion, when);
+        await _history.AppendFactorOutputAsync("momentum_60d", sourceVersion, outputs.Momentum60D, "PASS", sourceVersion, when);
+        await _history.AppendFactorOutputAsync("momentum_120d", sourceVersion, outputs.Momentum120D, "PASS", sourceVersion, when);
+        await _history.AppendFactorOutputAsync("atr_20pct", sourceVersion, outputs.Atr20Pct, "PASS", sourceVersion, when);
+        await _history.AppendFactorOutputAsync("stdev_20d", sourceVersion, outputs.StDev20D, "PASS", sourceVersion, when);
+        await _history.AppendFactorOutputAsync("beta_60d", sourceVersion, outputs.Beta60D, "PASS", sourceVersion, when);
+        await _history.AppendFactorOutputAsync("rs_20d", sourceVersion, outputs.Rs20D, "PASS", sourceVersion, when);
+        AppendAudit(new FactorComputationAudit(ticker, 0, 0, "PERSISTED", when, sourceVersion));
+    }
+}