@tangle-network/agent-bench 0.11.2 → 0.13.0

package/src/quant-arena/python/vbt-worker.py

@@ -1,192 +0,0 @@
-"""QUANT-ARENA vectorbt scoring worker.
-
-Persistent process speaking JSON-lines over stdin/stdout. The TypeScript side
-(vbt-client.ts) spawns ONE worker per campaign and streams score requests to
-it; the worker replies with per-window stats plus the full-range equity curve.
-
-Protocol (one JSON object per line):
-  request  {"id": n, "op": "ping"}
-  reply    {"id": n, "ok": true, "vbt": "<version>"}
-
-  request  {"id": n, "op": "score",
-            "open_prices":  [[T x N floats]],   # fill prices (next-open model)
-            "close_prices": [[T x N floats]],   # valuation prices (close-marked equity)
-            "weights":      [[N floats] | null, ... T rows],
-                                                # decision at day t; null = no rebalance
-                                                # (JSON has no NaN — null plays that role)
-            "cost_bps": 10, "slippage_bps": 5,
-            "windows": [[start, end], ...]}     # [start, end) day-index ranges
-  reply    {"id": n, "ok": true,
-            "windows": [{"totalReturn", "maxDD", "sharpe", "trades"}, ...],
-            "full":    {same shape, over [0, T)},
-            "equity":  [T floats]}              # group value, close-marked
-  errors   {"id": n, "ok": false, "error": "<message>"}
-
-Execution model (aligned with the TS reference engine, backtest.ts):
-  - a decision at the close of day t fills at day t+1's open: the worker
-    shifts the weights matrix down one row before handing it to vectorbt;
-  - Portfolio.from_orders(size_type='targetpercent', group_by=True,
-    cash_sharing=True, call_seq='auto'), fill price = open, valuation
-    (val_price for sizing) = open — matching the TS engine's "target dollars
-    are a fraction of equity marked at the fill's open";
-  - the TS engine charges slippage as a bps FEE on traded dollars, so the
-    worker folds slippage_bps into vectorbt's `fees` and passes slippage=0
-    (vectorbt's own slippage perturbs the fill price — a different model);
-  - stats replicate backtest.ts statsForRange exactly: sample-std (ddof=1)
-    annualized Sharpe at 252 days, positive-convention max drawdown with the
-    peak reset at each window start, trades counted on fill days inside
-    (start, end).
-
-Determinism: NUMBA_NUM_THREADS=1 is pinned before import so JIT-compiled
-reductions run single-threaded; a warmup call at startup absorbs the numba
-cold-JIT cost before the first real request.
-
-License note: vectorbt is Apache-2.0 + Commons Clause. This worker is for
-internal research use (scoring candidate strategies in the lab); it is not
-sold or offered as a commercial service.
-"""
-
-from __future__ import annotations
-
-import json
-import math
-import os
-import sys
-
-os.environ.setdefault("NUMBA_NUM_THREADS", "1")
-
-import numpy as np  # noqa: E402
-import pandas as pd  # noqa: E402
-import vectorbt as vbt  # noqa: E402
-
-TRADING_DAYS_PER_YEAR = 252
-
-
-def range_stats(equity: np.ndarray, order_days: np.ndarray, start: int, end: int) -> dict:
-    """Mirror of backtest.ts statsForRange over a value curve."""
-    if start < 0 or end > equity.shape[0] or end - start < 2:
-        raise ValueError(f"bad range [{start}, {end}) over {equity.shape[0]} days")
-    eq = equity[start:end]
-    total_return = float(eq[-1] / eq[0] - 1.0)
-    peak = -math.inf
-    max_dd = 0.0
-    for value in eq:
-        if value > peak:
-            peak = value
-        dd = (peak - value) / peak
-        if dd > max_dd:
-            max_dd = dd
-    returns = eq[1:] / eq[:-1] - 1.0
-    n = returns.shape[0]
-    mean = float(returns.mean())
-    if n > 1:
-        std = float(returns.std(ddof=1))
-    else:
-        std = 0.0
-    sharpe = (mean / std) * math.sqrt(TRADING_DAYS_PER_YEAR) if std > 0 else 0.0
-    trades = int(((order_days > start) & (order_days < end)).sum())
-    return {
-        "totalReturn": total_return,
-        "maxDD": float(max_dd),
-        "sharpe": float(sharpe),
-        "trades": trades,
-    }
-
-
-def run_portfolio(req: dict) -> tuple[np.ndarray, np.ndarray]:
-    """Returns (equity curve close-marked, order fill-day indices)."""
-    opens = np.asarray(req["open_prices"], dtype=np.float64)
-    closes = np.asarray(req["close_prices"], dtype=np.float64)
-    if opens.shape != closes.shape or opens.ndim != 2:
-        raise ValueError(f"price shape mismatch: open {opens.shape} vs close {closes.shape}")
-    T, N = opens.shape
-    weights_rows = req["weights"]
-    if len(weights_rows) != T:
-        raise ValueError(f"weights has {len(weights_rows)} rows for {T} days")
-
-    # Decision at close of t -> order row t+1, filled at t+1's open.
-    size = np.full((T, N), np.nan)
-    for t, row in enumerate(weights_rows):
-        if row is None:
-            continue
-        if t + 1 >= T:
-            continue  # a decision on the final bar can never fill
-        if len(row) != N:
-            raise ValueError(f"decision at t={t} has {len(row)} weights for {N} assets")
-        size[t + 1] = row
-
-    fee_rate = (float(req["cost_bps"]) + float(req["slippage_bps"])) / 10_000.0
-    columns = [f"A{k}" for k in range(N)]
-    close_df = pd.DataFrame(closes, columns=columns)
-    open_df = pd.DataFrame(opens, columns=columns)
-    size_df = pd.DataFrame(size, columns=columns)
-
-    pf = vbt.Portfolio.from_orders(
-        close=close_df,
-        size=size_df,
-        price=open_df,
-        val_price=open_df,
-        size_type="targetpercent",
-        group_by=True,
-        cash_sharing=True,
-        call_seq="auto",
-        fees=fee_rate,
-        slippage=0.0,
-        init_cash=1.0,
-        freq="1D",
-    )
-    equity = np.asarray(pf.value().values, dtype=np.float64)
-    order_days = np.asarray(pf.orders.records["idx"], dtype=np.int64)
-    return equity, order_days
-
-
-def score(req: dict) -> dict:
-    equity, order_days = run_portfolio(req)
-    T = equity.shape[0]
-    windows = [range_stats(equity, order_days, int(w[0]), int(w[1])) for w in req["windows"]]
-    return {
-        "windows": windows,
-        "full": range_stats(equity, order_days, 0, T),
-        "equity": [float(v) for v in equity],
-    }
-
-
-def warmup() -> None:
-    req = {
-        "open_prices": [[100.0, 50.0]] * 8,
-        "close_prices": [[101.0, 49.5]] * 8,
-        "weights": [None, [0.5, 0.4], None, None, [0.2, 0.1], None, None, None],
-        "cost_bps": 10,
-        "slippage_bps": 5,
-        "windows": [[0, 8]],
-    }
-    score(req)
-
-
-def main() -> None:
-    warmup()
-    sys.stdout.write(json.dumps({"ready": True, "vbt": vbt.__version__}) + "\n")
-    sys.stdout.flush()
-    for line in sys.stdin:
-        line = line.strip()
-        if not line:
-            continue
-        rid = None
-        try:
-            req = json.loads(line)
-            rid = req.get("id")
-            op = req.get("op")
-            if op == "ping":
-                reply = {"id": rid, "ok": True, "vbt": vbt.__version__}
-            elif op == "score":
-                reply = {"id": rid, "ok": True, **score(req)}
-            else:
-                reply = {"id": rid, "ok": False, "error": f"unknown op {op!r}"}
-        except Exception as exc:  # fail per-request, keep serving
-            reply = {"id": rid, "ok": False, "error": f"{type(exc).__name__}: {exc}"}
-        sys.stdout.write(json.dumps(reply) + "\n")
-        sys.stdout.flush()
-
-
-if __name__ == "__main__":
-    main()