> 金融市场回测框架，支持FX G10货币对技术指标策略回测、ArcticDB高频tick数据本地与S3云端存储、Quandl等数据源的市场数据获取与缓存。
data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization
UC-101)Provides persistent storage for high-frequency tick market data using ArcticDB, supporting both local LMDB and S3 cloud storage backends for efficient
Triggers: arcticdb, tick data storage, time series database
UC-103)Fetches economic and financial market data from external vendors like Quandl, demonstrating how to request and cache market data with specific fields
Triggers: market data, quandl, fetch data
UC-104)Demonstrates writing and reading tick market data to/from AWS S3 cloud storage using Parquet format for efficient compression and retrieval of histori
Triggers: s3 storage, aws, parquet
For all 4 use cases, see references/USE_CASES.md.
Execute trigger: When user intent matches intent_router.uc_entries[].positive_terms AND user uses action verb (run/execute/跑/执行/backtest/fetch/collect)
| ID | Rule | On Violation |
|---|---|---|
| --- | --- | --- |
SL-01 | Execute sell orders before buy orders in every trading cycle | halt |
SL-02 | Trading signals MUST use next-bar execution (no look-ahead) | halt |
SL-03 | Entity IDs MUST follow format entity_type_exchange_code | halt |
SL-04 | DataFrame index MUST be MultiIndex (entity_id, timestamp) | halt |
SL-05 | TradingSignal MUST have EXACTLY ONE of: position_pct, order_money, order_amount | halt |
SL-06 | filter_result column semantics: True=BUY, False=SELL, None/NaN=NO ACTION | halt |
SL-07 | Transformer MUST run BEFORE Accumulator in factor pipeline | halt |
SL-08 | MACD parameters locked: fast=12, slow=26, signal=9 | halt |
Full lock definitions: references/LOCKS.md
AP-PORTFOLIO-ANALYTICS-001: Division by zero in price ratio calculations corrupts rebalancingAP-PORTFOLIO-ANALYTICS-002: Look-ahead bias from unshifted signal generation and position calculationsAP-PORTFOLIO-ANALYTICS-003: Non-positive-semidefinite covariance matrix breaks CVXPY optimizationAll 14 anti-patterns: references/ANTI_PATTERNS.md
> [QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-108. Evidence verify ratio = 32.0% and audit fail total = 18. Generated results may have uncaptured requirement gaps. Verify critical decisions against source files (LATEST.yaml / LATEST.jsonl).
| File | Contents | When to Load |
|---|---|---|
| --- | --- | --- |
| references/seed.yaml | V6+ 全量权威 (source-of-truth) | 有行为/决策争议时必读 |
| references/ANTI_PATTERNS.md | 14 条跨项目反模式 | 开始实现前 |
| references/WISDOM.md | 跨项目精华借鉴 | 架构决策时 |
| references/CONSTRAINTS.md | domain + fatal 约束 | 规则冲突时 |
| references/USE_CASES.md | 全量 KUC-* 业务场景 | 需要完整示例时 |
| references/LOCKS.md | SL-* + preconditions + hints | 生成回测/交易代码前 |
| references/COMPONENTS.md | AST 组件地图（按 module 拆分） | 查 API 时 |
Compiled by Doramagic crystal-compilation-v6.1 from finance-bp-108 blueprint at 2026-04-22T13:00:51.768652+00:00.
See human_summary.md for non-technical overview.
共 1 个版本