feat: add Tushare Qlib data bridge

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2026-07-26 13:41:24 +08:00
parent 48c5f64bbd
commit e5911ca454
15 changed files with 1804 additions and 8 deletions
+2 -1
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@@ -5,7 +5,7 @@
| Path | Intended use | Runtime / prerequisite | Current verified fact | Missing release evidence |
| --- | --- | --- | --- | --- |
| Local synthetic execution | 确定性事件回测、ledger/replay | Python ≥3.10,无账号 | 标准库套件最近记录为 211 tests、OK、3 skipsmoke + exact manifest verifier 可运行 | synthetic 不代表真实市场/收益 |
| Local synthetic execution | 确定性事件回测、ledger/replay | Python ≥3.10,无账号 | 标准库套件最近记录为 216 tests、OK、6 skipsmoke + exact manifest verifier 可运行 | synthetic 不代表真实市场/收益 |
| Local synthetic research | PIT/features/walk-forward/Ridge/risk/cost/target | Python ≥3.10,无账号 | research smoke + manifest verifier 可运行 | Ridge 未冻结部署,未做授权长样本 OOS |
| JQData ingestion | 授权数据到 canonical immutable snapshot | `jqdatasdk==1.9.8` + 授权账号 | fake-provider 测试覆盖 raw/factor/pre-close/limits/paused/PIT `is_st`/membership、24:00 完整收盘约束和语义 verifier | 尚未登录真实账号保存快照、许可与 lineage |
| Snapshot local backtest | PIT membership 的 provider-data 本地回测 | semantic verifier 通过的 snapshot | `snapshot-backtest` 复用 production decision path,输出普通 run manifest | 尚无授权真实 snapshot;仍是本地 fill model |
@@ -19,6 +19,7 @@
| XtTrader read-only shadow | 账户绑定 target-diff 与 broker observation | MiniQMT/QMT、账户查询权限、既有本地 HMAC key | HMAC 账户绑定 + authenticated evidence envelope、decision/observation semantic replay、资产/持仓/委托/成交恒等式、fail-closed exact verifier 与 fake broker 合同 | HMAC 不是 broker attestation;仍缺官方 query 失败/空结果合同、callback/restart、20 日真实 shadownot live-ready |
| Qlib native momentum | signal/model research | CPython 3.12 + exactly `pyqlib==0.9.7` | 真实本地 fixture 成功,24 signal;保存 signal/report hash、表边界和重算 portfolio 指标 | synthetic 两股票;无真实数据/OOS,无 L3/L4 parity |
| Qlib Alpha158/LightGBM | model fit + Recorder workflow | 同上 + LightGBM/MLflow stack | 真实 fixture 完成 model/Recorder;读取 portfolio report,保存表 hash、边界、重算指标与 artifact path | synthetic 两股票性能无意义;真实 provider/OOS 和冻结模型缺失 |
| Tushare local → Qlib | completed Parquet 的只读盘点、不可变 provider 与本地研究 smoke | 同上 + `pyarrow==24.0.0`;本地镜像 | 93 个 completed 文件全部通过 size/SHA/row-countv4 provider verifier 成功;同一动量命令连续两次 evidence JSON 逐 byte 相同 | `daily` 仅完成约 8.2%,缺复权、真实 benchmark、PIT 成分/ST/停牌/涨跌停;`production_ready=false` |
| Mock parity exporter | JoinQuant/QMT wrapper 的 L2—L4 合同回归 | Python ≥3.10 | `mock_contract_only``real_platform_pass=false``gate_credit=[]` | 不计 G9;必须换成真实平台导出 |
G1—G10 当前都未通过。JoinQuant hosted smoke 与 Qlib fixture smoke 是真实