The owner's modularity/monitoring ask: rate each pipeline component so what's earning (and what's cutting) is visible instead of inferred. Everything derives from the existing event stream — no pipeline changes. - research/attribution.py: compute_attribution(days) -> per-day per-stage metrics: DISCOVERY (symbols found + precision = fraction that ever go ready), SIGNALS (ready split EARLY-vs-LATE against the confirmation window — the only +EV ones), GATES (risk_rule histogram: what each gate cut), EXECUTION (submissions vs cancels = fill efficiency), OUTCOMES (realized P&L, win rate, per-close detail). CLI: python -m research.attribution. All queries filter the native timestamp column first (payload casts on the 676k-row events table time out). - api/main.py: GET /api/attribution?days=N. - dashboard.html: "Component Attribution" panel, lazy-loads on open, per-day table with gate-histogram hover. - momentum_cli board header: live pulse line — today's early/late signal split + top gate cuts (two tiny date-scoped queries). Verified live: CLI scorecard over 7 days, endpoint returns real ratings (e.g. 2026-07-02: discovery 45%, early 38%, fill 39%, win 50%, P&L +$29), board renders the pulse line. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
158 lines
7.0 KiB
Python
158 lines
7.0 KiB
Python
"""Per-component performance attribution — rate each pipeline stage from the event stream.
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The owner's modularity ask: "isolate or add monitoring to specific components to rate or
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increase performance." Every stage already emits events (event-sourced architecture), so this
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derives a per-stage scorecard without touching the pipeline:
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DISCOVERY — symbols found/day, and what fraction ever produced a ready signal (precision)
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SIGNALS — ready signals/day, split EARLY (within the confirmation window) vs LATE
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GATES — what each entry gate cut (risk_rule_triggered histogram by rule_type)
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EXECUTION — approvals -> broker submissions -> fills; backout rate (entry efficiency)
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OUTCOMES — realized P&L, win rate, avg win/loss, trades/day (the only stage that pays)
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CLI: python -m research.attribution [--days 14]
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API: api/main.py serves compute_attribution() at /api/attribution for the dashboard.
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All queries filter on the native `timestamp` column first (payload_json casts on the full
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676k-row events table time out — learned the hard way)."""
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import argparse
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import os
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from datetime import date, timedelta
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from urllib.parse import urlparse
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import psycopg2
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try: # optional; .env for CLI use
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from dotenv import load_dotenv
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load_dotenv(os.path.join(os.path.dirname(__file__), "..", ".env"))
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except Exception: # noqa: BLE001
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pass
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CONFIRM_MINUTE_DEFAULT = 15 # mirror TRADING_ENTRY_CONFIRM_BY_MINUTE for the early/late split
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def _connect():
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u = urlparse(os.environ["DATABASE_URL"])
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return psycopg2.connect(host=u.hostname, port=u.port, user=u.username,
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password=u.password, dbname=u.path.lstrip("/"))
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def compute_attribution(days: int = 14, confirm_minute: int | None = None) -> dict:
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"""Per-day, per-stage metrics for the last `days` calendar days. Pure read."""
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confirm_minute = confirm_minute or int(
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os.getenv("TRADING_ENTRY_CONFIRM_BY_MINUTE", str(CONFIRM_MINUTE_DEFAULT)))
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since = (date.today() - timedelta(days=days)).isoformat()
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out: dict = {"since": since, "confirm_minute": confirm_minute, "days": {}}
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cx = _connect()
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cur = cx.cursor()
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def day_of(ts):
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return str(ts)[:10]
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def bump(d, stage, key, n=1):
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out["days"].setdefault(d, {}).setdefault(stage, {})
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out["days"][d][stage][key] = out["days"][d][stage].get(key, 0) + n
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# DISCOVERY + SIGNALS + EXECUTION counts (cheap: event_type + timestamp only)
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cur.execute(
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"""SELECT event_type, timestamp FROM public.events
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WHERE timestamp >= %s AND event_type IN
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('symbol_discovered','signal_ready','order_approval_requested',
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'order_approved','order_submitted','order_cancelled','order_rejected')""",
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(since,))
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for et, ts in cur.fetchall():
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bump(day_of(ts), "counts", et)
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# SIGNALS early/late split (uses event wall-clock vs the 09:30 open)
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cur.execute("SELECT timestamp FROM public.events WHERE timestamp >= %s AND event_type='signal_ready'",
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(since,))
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for (ts,) in cur.fetchall():
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minute = (ts.hour - 9) * 60 + ts.minute - 30
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bump(day_of(ts), "signals", "early" if 0 <= minute <= confirm_minute else "late")
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# GATES histogram (needs payload rule_type; scoped by type+time so it stays fast)
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cur.execute(
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"""SELECT timestamp, payload_json::jsonb->>'rule_type' FROM public.events
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WHERE timestamp >= %s AND event_type='risk_rule_triggered'""", (since,))
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for ts, rule in cur.fetchall():
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bump(day_of(ts), "gates", rule or "?")
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# OUTCOMES: realized P&L per close
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cur.execute(
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"""SELECT timestamp, payload_json::jsonb->>'realized_pnl',
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payload_json::jsonb->>'symbol'
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FROM public.events WHERE timestamp >= %s AND event_type='position_closed'""",
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(since,))
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for ts, pnl, sym in cur.fetchall():
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d = day_of(ts)
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try:
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v = float(pnl)
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except (TypeError, ValueError):
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continue
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st = out["days"].setdefault(d, {}).setdefault("outcomes", {})
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st["trades"] = st.get("trades", 0) + 1
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st["pnl"] = round(st.get("pnl", 0.0) + v, 2)
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st["wins"] = st.get("wins", 0) + (1 if v > 0 else 0)
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st.setdefault("closes", []).append({"symbol": sym, "pnl": round(v, 2)})
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cx.close()
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# stage RATINGS per day (0-100-ish, honest heuristics, documented inline)
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for d, st in out["days"].items():
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c = st.get("counts", {})
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disc = c.get("symbol_discovered", 0)
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ready = c.get("signal_ready", 0)
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subm = c.get("order_submitted", 0)
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canc = c.get("order_cancelled", 0)
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oc = st.get("outcomes", {})
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trades = oc.get("trades", 0)
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rating = {}
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# discovery precision: what fraction of discovered names produced a ready signal
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rating["discovery_precision_pct"] = round(100 * min(1.0, ready / disc), 0) if disc else None
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# signal timing: fraction of ready signals inside the tradeable window
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sg = st.get("signals", {})
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tot_sig = sg.get("early", 0) + sg.get("late", 0)
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rating["signals_early_pct"] = round(100 * sg.get("early", 0) / tot_sig, 0) if tot_sig else None
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# execution efficiency: submissions that didn't get cancelled/backed out
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rating["fill_efficiency_pct"] = round(100 * max(0, subm - canc) / subm, 0) if subm else None
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# outcomes: the ground truth
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rating["win_rate_pct"] = round(100 * oc.get("wins", 0) / trades, 0) if trades else None
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rating["pnl"] = oc.get("pnl")
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st["rating"] = rating
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return out
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def render(att: dict) -> str:
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lines = [f"=== component attribution since {att['since']} "
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f"(confirm window {att['confirm_minute']}m) ==="]
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hdr = (f"{'day':11}{'disc':>5}{'ready':>6}{'early%':>7}{'gate-cuts':>10}"
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f"{'subm':>5}{'fill%':>6}{'trades':>7}{'win%':>6}{'P&L':>9}")
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lines.append(hdr)
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lines.append("-" * len(hdr))
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for d in sorted(att["days"]):
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st = att["days"][d]
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c, r = st.get("counts", {}), st.get("rating", {})
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gates = sum(st.get("gates", {}).values())
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lines.append(
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f"{d:11}{c.get('symbol_discovered',0):>5}{c.get('signal_ready',0):>6}"
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f"{str(r.get('signals_early_pct','-')):>7}{gates:>10}"
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f"{c.get('order_submitted',0):>5}{str(r.get('fill_efficiency_pct','-')):>6}"
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f"{st.get('outcomes',{}).get('trades',0):>7}{str(r.get('win_rate_pct','-')):>6}"
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f"{('$%+.0f' % r['pnl']) if r.get('pnl') is not None else '-':>9}")
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g = st.get("gates", {})
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if g:
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lines.append(" gates: " + ", ".join(f"{k}x{v}" for k, v in
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sorted(g.items(), key=lambda x: -x[1])))
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return "\n".join(lines)
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def main() -> None:
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ap = argparse.ArgumentParser(description="per-component pipeline attribution")
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ap.add_argument("--days", type=int, default=14)
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args = ap.parse_args()
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print(render(compute_attribution(days=args.days)))
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if __name__ == "__main__":
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main()
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