feat(analytics): score the eleven minute factors on the 14:51 VWAP exec-to-exec return

qt/cli.py

@@ -206,6 +206,7 @@ def _cmd_run_phase_i5d_intraday_groups(args: argparse.Namespace) -> int:
 def _cmd_run_eval_jump_amount_corr(args: argparse.Namespace) -> int:
     """Run the two real jump-amount-corr factor evaluations (cache-only) + reports."""
     from qt.eval_jump_amount_corr import run_eval_jump_amount_corr
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_jump_amount_corr(args.config)
@@ -225,12 +226,14 @@ def _cmd_run_eval_jump_amount_corr(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_minute_ideal_amplitude(args: argparse.Namespace) -> int:
     """Run the two real minute-ideal-amplitude factor evaluations (cache-only) + reports."""
     from qt.eval_minute_ideal_amplitude import run_eval_minute_ideal_amplitude
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_minute_ideal_amplitude(args.config)
@@ -250,12 +253,14 @@ def _cmd_run_eval_minute_ideal_amplitude(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_amp_marginal_anomaly_vol(args: argparse.Namespace) -> int:
     """Run the two real amp-marginal-anomaly-vol factor evaluations (cache-only) + reports."""
     from qt.eval_amp_marginal_anomaly_vol import run_eval_amp_marginal_anomaly_vol
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_amp_marginal_anomaly_vol(args.config)
@@ -275,12 +280,14 @@ def _cmd_run_eval_amp_marginal_anomaly_vol(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_volume_peak_count(args: argparse.Namespace) -> int:
     """Run the two real volume-peak-count factor evaluations (cache-only) + reports."""
     from qt.eval_volume_peak_count import run_eval_volume_peak_count
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_volume_peak_count(args.config)
@@ -300,12 +307,14 @@ def _cmd_run_eval_volume_peak_count(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_intraday_amp_cut(args: argparse.Namespace) -> int:
     """Run the two real intraday-amp-cut factor evaluations (cache-only) + reports."""
     from qt.eval_intraday_amp_cut import run_eval_intraday_amp_cut
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_intraday_amp_cut(args.config)
@@ -325,12 +334,14 @@ def _cmd_run_eval_intraday_amp_cut(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_peak_interval_kurtosis(args: argparse.Namespace) -> int:
     """Run the two real peak-interval-kurtosis evaluations (cache-only) + reports."""
     from qt.eval_peak_interval_kurtosis import run_eval_peak_interval_kurtosis
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_peak_interval_kurtosis(args.config)
@@ -350,12 +361,14 @@ def _cmd_run_eval_peak_interval_kurtosis(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_valley_relative_vwap(args: argparse.Namespace) -> int:
     """Run the two real valley-relative-VWAP evaluations (cache-only) + reports."""
     from qt.eval_valley_relative_vwap import run_eval_valley_relative_vwap
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_valley_relative_vwap(args.config)
@@ -375,6 +388,7 @@ def _cmd_run_eval_valley_relative_vwap(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
@@ -398,6 +412,7 @@ def _fmt_metric(value: object, spec: str = ".4f") -> str:
 def _cmd_run_eval_ridge_minute_return(args: argparse.Namespace) -> int:
     """Run the two real ridge-minute-return evaluations (cache-only) + reports."""
     from qt.eval_ridge_minute_return import run_eval_ridge_minute_return
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_ridge_minute_return(args.config)
@@ -433,12 +448,14 @@ def _cmd_run_eval_ridge_minute_return(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_peak_ridge_amount_ratio(args: argparse.Namespace) -> int:
     """Run the two real peak/ridge amount-ratio evaluations (cache-only) + reports."""
     from qt.eval_peak_ridge_amount_ratio import run_eval_peak_ridge_amount_ratio
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_peak_ridge_amount_ratio(args.config)
@@ -477,12 +494,14 @@ def _cmd_run_eval_peak_ridge_amount_ratio(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_valley_price_quantile(args: argparse.Namespace) -> int:
     """Run the two real valley-price-quantile evaluations (cache-only) + reports."""
     from qt.eval_valley_price_quantile import run_eval_valley_price_quantile
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_valley_price_quantile(args.config)
@@ -527,12 +546,14 @@ def _cmd_run_eval_valley_price_quantile(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 
 def _cmd_run_eval_valley_ridge_vwap_ratio(args: argparse.Namespace) -> int:
     """Run the two real valley/ridge VWAP-ratio evaluations (cache-only) + reports."""
     from qt.eval_valley_ridge_vwap_ratio import run_eval_valley_ridge_vwap_ratio
+    from qt.exec_basis_eval import format_exec_basis_line
 
     try:
         result = run_eval_valley_ridge_vwap_ratio(args.config)
@@ -555,6 +576,7 @@ def _cmd_run_eval_valley_ridge_vwap_ratio(args: argparse.Namespace) -> int:
         f"dashboards: {result.reports.no_book_dashboard} | "
         f"{result.reports.with_book_dashboard}"
     )
+    print(format_exec_basis_line(result.exec_basis))
     return 0
 
 

qt/eval_amp_marginal_anomaly_vol.py

@@ -59,6 +59,7 @@
 from factors.compute.intraday_derived import AmpMarginalAnomalyVolFactor
 from factors.spec import FactorSpec
 from qt.config import RootConfig, load_config
+from qt.exec_basis_eval import ExecBasisEvaluation, run_exec_basis_evaluation
 from qt.pipeline import (
     _build_cache,
     _build_universe,
@@ -360,6 +361,7 @@ class AmpAnomalyVolEvalResult:
     no_book_metrics: dict
     with_book_metrics: dict
     reports: _RunReports
+    exec_basis: ExecBasisEvaluation
     log_path: Path
     elapsed: float
 
@@ -452,6 +454,22 @@ def run_eval_amp_marginal_anomaly_vol(config_path: str) -> AmpAnomalyVolEvalResu
         report_dir=Path(cfg.output.report_dir),
     )
 
+    # Second evaluation basis (task card §2.3): the SAME factor values scored on
+    # the 14:51 VWAP exec-to-exec return instead of close-to-close. The reports
+    # above are the close_to_close control and are left untouched.
+    exec_basis = run_exec_basis_evaluation(
+        factor_series,
+        spec,
+        eval_cfg,
+        book_processed,
+        cfg=cfg,
+        panel=panel,
+        symbols=symbols,
+        logger=logger,
+        report_dir=Path(cfg.output.report_dir),
+        stem=_REPORT_STEM,
+    )
+
     no_book_metrics = extract_metrics(reports.no_book)
     with_book_metrics = extract_metrics(reports.with_book)
     logger.info(
@@ -472,6 +490,7 @@ def run_eval_amp_marginal_anomaly_vol(config_path: str) -> AmpAnomalyVolEvalResu
         no_book_metrics=no_book_metrics,
         with_book_metrics=with_book_metrics,
         reports=reports,
+        exec_basis=exec_basis,
         log_path=log_path,
         elapsed=time.monotonic() - started,
     )

qt/eval_intraday_amp_cut.py

@@ -70,6 +70,7 @@
 from factors.compute.intraday_derived import IntradayAmpCutFactor
 from factors.spec import FactorSpec
 from qt.config import RootConfig, load_config
+from qt.exec_basis_eval import ExecBasisEvaluation, run_exec_basis_evaluation
 from qt.pipeline import (
     _build_cache,
     _build_universe,
@@ -381,6 +382,7 @@ class AmpCutEvalResult:
     no_book_metrics: dict
     with_book_metrics: dict
     reports: _RunReports
+    exec_basis: ExecBasisEvaluation
     log_path: Path
     elapsed: float
 
@@ -474,6 +476,22 @@ def run_eval_intraday_amp_cut(config_path: str) -> AmpCutEvalResult:
         report_dir=Path(cfg.output.report_dir),
     )
 
+    # Second evaluation basis (task card §2.3): the SAME factor values scored on
+    # the 14:51 VWAP exec-to-exec return instead of close-to-close. The reports
+    # above are the close_to_close control and are left untouched.
+    exec_basis = run_exec_basis_evaluation(
+        factor_series,
+        spec,
+        eval_cfg,
+        book_processed,
+        cfg=cfg,
+        panel=panel,
+        symbols=symbols,
+        logger=logger,
+        report_dir=Path(cfg.output.report_dir),
+        stem=_REPORT_STEM,
+    )
+
     no_book_metrics = extract_metrics(reports.no_book)
     with_book_metrics = extract_metrics(reports.with_book)
     logger.info(
@@ -495,6 +513,7 @@ def run_eval_intraday_amp_cut(config_path: str) -> AmpCutEvalResult:
         no_book_metrics=no_book_metrics,
         with_book_metrics=with_book_metrics,
         reports=reports,
+        exec_basis=exec_basis,
         log_path=log_path,
         elapsed=time.monotonic() - started,
     )

qt/eval_jump_amount_corr.py

@@ -53,6 +53,7 @@
 from factors.compute.intraday_derived import JumpAmountCorrFactor
 from factors.spec import FactorSpec
 from qt.config import RootConfig, load_config
+from qt.exec_basis_eval import ExecBasisEvaluation, run_exec_basis_evaluation
 from qt.pipeline import (
     _build_cache,
     _build_universe,
@@ -346,6 +347,7 @@ class JumpEvalResult:
     no_book_metrics: dict
     with_book_metrics: dict
     reports: _RunReports
+    exec_basis: ExecBasisEvaluation
     log_path: Path
     elapsed: float
 
@@ -433,6 +435,22 @@ def run_eval_jump_amount_corr(config_path: str) -> JumpEvalResult:
         report_dir=Path(cfg.output.report_dir),
     )
 
+    # Second evaluation basis (task card §2.3): the SAME factor values scored on
+    # the 14:51 VWAP exec-to-exec return instead of close-to-close. The reports
+    # above are the close_to_close control and are left untouched.
+    exec_basis = run_exec_basis_evaluation(
+        factor_series,
+        spec,
+        eval_cfg,
+        book_processed,
+        cfg=cfg,
+        panel=panel,
+        symbols=symbols,
+        logger=logger,
+        report_dir=Path(cfg.output.report_dir),
+        stem=_REPORT_STEM,
+    )
+
     no_book_metrics = extract_metrics(reports.no_book)
     with_book_metrics = extract_metrics(reports.with_book)
     logger.info(
@@ -453,6 +471,7 @@ def run_eval_jump_amount_corr(config_path: str) -> JumpEvalResult:
         no_book_metrics=no_book_metrics,
         with_book_metrics=with_book_metrics,
         reports=reports,
+        exec_basis=exec_basis,
         log_path=log_path,
         elapsed=time.monotonic() - started,
     )

qt/eval_minute_ideal_amplitude.py

@@ -56,6 +56,7 @@
 from factors.compute.intraday_derived import MinuteIdealAmplitudeFactor
 from factors.spec import FactorSpec
 from qt.config import RootConfig, load_config
+from qt.exec_basis_eval import ExecBasisEvaluation, run_exec_basis_evaluation
 from qt.pipeline import (
     _build_cache,
     _build_universe,
@@ -354,6 +355,7 @@ class MinuteIdealAmpEvalResult:
     no_book_metrics: dict
     with_book_metrics: dict
     reports: _RunReports
+    exec_basis: ExecBasisEvaluation
     log_path: Path
     elapsed: float
 
@@ -445,6 +447,22 @@ def run_eval_minute_ideal_amplitude(config_path: str) -> MinuteIdealAmpEvalResul
         report_dir=Path(cfg.output.report_dir),
     )
 
+    # Second evaluation basis (task card §2.3): the SAME factor values scored on
+    # the 14:51 VWAP exec-to-exec return instead of close-to-close. The reports
+    # above are the close_to_close control and are left untouched.
+    exec_basis = run_exec_basis_evaluation(
+        factor_series,
+        spec,
+        eval_cfg,
+        book_processed,
+        cfg=cfg,
+        panel=panel,
+        symbols=symbols,
+        logger=logger,
+        report_dir=Path(cfg.output.report_dir),
+        stem=_REPORT_STEM,
+    )
+
     no_book_metrics = extract_metrics(reports.no_book)
     with_book_metrics = extract_metrics(reports.with_book)
     logger.info(
@@ -465,6 +483,7 @@ def run_eval_minute_ideal_amplitude(config_path: str) -> MinuteIdealAmpEvalResul
         no_book_metrics=no_book_metrics,
         with_book_metrics=with_book_metrics,
         reports=reports,
+        exec_basis=exec_basis,
         log_path=log_path,
         elapsed=time.monotonic() - started,
     )