Files
fidc-backtest-engine/docs/evidence/native-daily-factor-replays-20260907/native-pit-intraday-20260907.json
T

468 lines
18 KiB
JSON

{
"schemaVersion": "fidc-backtest-benchmark/v5",
"label": "native-pit-intraday",
"generatedAtUnixSeconds": 1788790043,
"requestSha256": "9dd420ae606878b90ff660fcd4efe520e04a237ec758ed974b87b6d9a72cab73",
"requestOrigin": {
"kind": "request_file"
},
"baseline": null,
"baselineComparable": true,
"baselineComparison": null,
"bundleRefresh": null,
"baseUrl": "http://127.0.0.1:8081",
"runs": [
{
"slot": 0,
"cacheClass": "restart_or_cold",
"runId": "btr_1788790021780_1150210_0",
"status": "succeeded",
"queueWaitSeconds": 0.0,
"executionSeconds": 8.994,
"totalSeconds": 8.994,
"runnerSeconds": 7.904,
"bundleValidationSeconds": 0.166,
"sourceEpochSeconds": 0.0,
"strategyContractSeconds": 0.001,
"terminalCalendarSeconds": 0.0,
"riskFreeRateSeconds": 0.031,
"riskFreeRateCacheHit": false,
"engineSeconds": 0.012,
"dataSeconds": 7.662,
"resultSeconds": 0.03,
"unattributedSeconds": 0.0,
"canonicalSeconds": 0.001,
"resultFinalization": {
"canonicalSeconds": 0.001,
"processEventStoreSeconds": 0.001,
"storePublishSeconds": 0.027,
"summarySeconds": 0.0
},
"dataPreparationTimings": {
"adjustmentValidationSeconds": 0.0,
"availableStockStDates": 0,
"benchmarkFetchSeconds": 0.344,
"candidatePlanBasePanelSeconds": 0.006,
"candidatePlanSelectionSeconds": 0.004,
"corporateActionSeconds": 0.605,
"datasetConstructSeconds": 0.0,
"externalFetchSeconds": 0.344,
"historyDateSeconds": 0.0,
"instrumentIndexBuildSeconds": 0.0,
"instrumentMetadataSeconds": 0.016,
"loopSeconds": 0.0,
"marketIndexBuildSeconds": 0.001,
"quotePlanSeconds": 0.935,
"riskSnapshotSeconds": 0.0,
"sourceQuerySeconds": 5.752,
"stockStLookupSeconds": 0.0,
"supplementalExecutionFetchSeconds": 0.0,
"totalSeconds": 7.659
},
"finalizationSeconds": 1.089,
"finalizationTimings": {
"artifactVerificationSeconds": 0.0,
"cacheRegistrationSeconds": 0.0,
"postgresClientAcquireSeconds": 0.216,
"postgresPersistSeconds": 0.872,
"preTerminalUpdateSeconds": 1.089,
"schemaCheckSeconds": 0.0,
"timingSource": "fidc-backtest-service-monotonic"
},
"totalReturn": 0.011211658838299776,
"tradeCount": 104,
"riskDecisionCount": 11,
"resultStoreDigest": "5ed069a1f5999542e6da78b10797aa21aabe71e13dd79649cd11157cbc57d3b4",
"canonicalResultDigest": "5c8a110cc6f285b9d569e818a0472a8b5c76f14df853a1c2c42d1b5222c39b3a",
"terminalAudit": {
"cashReceivableCount": 0,
"cashReceivableTotalAmount": 0.0,
"earliestDeferredCashDate": null,
"futuresOpenOrderCount": 0,
"lastExecutionDate": "2025-09-12",
"omittedOpenOrderCount": 0,
"openOrderSamples": [],
"pendingCashFlowCount": 0,
"pendingCashFlowNetAmount": 0.0,
"status": "clean",
"stockOpenOrderCount": 0
},
"terminalAuditVerified": true,
"terminalAuditSha256": "5836794e260aa2cfd1a06d4568ae6577a37c9cbe09ec0f00995121ea5b2522d9",
"implementation": {
"buildManifestSha256": "fb4f7ac191c8ab8d8d39fc48014f84ce01d4c0731ffe986e7d5cb0107a3e5539",
"builtAt": "2026-09-07T22:06:18+08:00",
"engineCommit": "1b78186c4e37273c64c1f9e208c2e47021ee4fff",
"identitySha256": "14e7ff10848d64ffcec232dea8cff23a032702301b81ae036bb0b26b4b0b5e33",
"runnerBinarySha256": "7cddebf9ab5cbbd5d6f9bd5c7bf006c3895ee26967d23d80dc86b47c50fb761d",
"schemaVersion": "fidc-backtest-implementation/v1",
"serviceBinarySha256": "f09d121d73c34ad3cd5e2e0c24b0bdaf1974309c9ec3b93229cfb824b1e9f11a",
"serviceCommit": "c80a38b91a398fd713f1f1faaa19a581ea85efad",
"status": "verified"
},
"implementationVerified": true,
"implementationIdentitySha256": "14e7ff10848d64ffcec232dea8cff23a032702301b81ae036bb0b26b4b0b5e33",
"artifactManifest": {
"canonicalResult": {
"algorithm": "sha256",
"ordering": "engine_fact_order_v2",
"schemaVersion": "fidc-canonical-backtest-result/v2",
"sections": {
"accountEvents": {
"rowCount": 104,
"sha256": "ea6bbbd55df3da0692dfd712f88ef6f8af510ada318641ede71884f5c5d14e7e"
},
"equityFacts": {
"rowCount": 5,
"sha256": "96004e235e4603c0a7d1a5629a2f0d2b364258d562e1d397cdd6925718a7d060"
},
"fillEvents": {
"rowCount": 104,
"sha256": "2c37f626b7de014f5638dc8edf33f3ca8d23126ab2e62f26f01fbcb33e8c4e48"
},
"holdingSnapshots": {
"rowCount": 112,
"sha256": "50abab8a304d2e2a7de344538aff604c8bf96ef00283330d107916cc2e234f67"
},
"orderEvents": {
"rowCount": 108,
"sha256": "f327f21151a5d7dbe53d2dcde9202be699f9672f758373eeb9c67985ca3826f5"
},
"riskAudits": {
"rowCount": 11,
"sha256": "428a8d7395b54ec5a9523eb745d5007c64b9d9867615e870d95ea9ea176f536e"
}
},
"sha256": "5c8a110cc6f285b9d569e818a0472a8b5c76f14df853a1c2c42d1b5222c39b3a",
"totalRows": 444
},
"processEventStore": {
"bytes": 44302,
"identitySha256": "1444075abea626e8d7d1b8c9c9cda984a2a687ff2b9465db5648e0f4525130e7",
"manifestBytes": 461,
"manifestSha256": "b43a818096d09648b809a46d12ad9eae39638d57ea52f7696906359036a80c52",
"schemaVersion": "fidc-backtest-process-event-manifest/v1",
"sections": {
"processEvents": {
"blockCount": 1,
"bytes": 43841,
"rowCount": 370,
"sha256": "8edb6dad95777e3eef5946acbbdfc4b9125df34a79ac716d8c3ff7835b552bf6"
}
},
"sha256": "661d84b7b430ac25fb5c959df8e7fb309133784d85a7524375cd803e29e52094",
"totalEvents": 370
},
"resultStore": {
"bytes": 148006,
"identitySha256": "484b7a4a8d5cc77c6222ce01f2fe452c890995a476579f209d1d4ac43885d60a",
"manifestBytes": 2999,
"manifestSha256": "a0a7072f176db79d781846cc124d2e4794c5084c48c525876863751f709c4e7f",
"schemaVersion": "fidc-backtest-fact-manifest/v1",
"sections": {
"accountEvents": {
"blockCount": 1,
"bytes": 13313,
"rowCount": 104,
"sha256": "ab2f936c9072f80d58487b62a6f64553d279582ddfe6af0299afe20447e83424"
},
"equityFacts": {
"blockCount": 1,
"bytes": 11009,
"rowCount": 5,
"sha256": "c40650f5b27cfff873194572ffe28a5412fe77730fe75492c7b5a575f8f5caae"
},
"fillEvents": {
"blockCount": 1,
"bytes": 40541,
"rowCount": 104,
"sha256": "80a3f1d3a9c23db7dec2dc70f029280c0844370be6d87703cd396a234068f708"
},
"holdingSnapshots": {
"blockCount": 1,
"bytes": 51338,
"rowCount": 112,
"sha256": "7684244dc8e7788f777309169be61b14fcb532abdd89fe93f0a7f2980a615ba9"
},
"orderEvents": {
"blockCount": 1,
"bytes": 25768,
"rowCount": 108,
"sha256": "31ff15d2cf79b1eb9c333d19d8fb400c9c5a52c36b0f662330ec39aa9d0f805c"
},
"riskAudits": {
"blockCount": 1,
"bytes": 3038,
"rowCount": 11,
"sha256": "5a7269219a21cf14c23d788a6a96ddf1d1ddf0ef1e3b57a8db4ae4b1da789aff"
}
},
"sha256": "5ed069a1f5999542e6da78b10797aa21aabe71e13dd79649cd11157cbc57d3b4",
"totalEvents": 444
},
"schemaVersion": "fidc-backtest-artifacts/v4"
}
},
{
"slot": 1,
"cacheClass": "process_hot",
"runId": "btr_1788790036494_1150210_1",
"status": "succeeded",
"queueWaitSeconds": 0.0,
"executionSeconds": 0.596,
"totalSeconds": 0.596,
"runnerSeconds": 0.026,
"bundleValidationSeconds": 0.0,
"sourceEpochSeconds": 0.0,
"strategyContractSeconds": 0.003,
"terminalCalendarSeconds": 0.0,
"riskFreeRateSeconds": 0.0,
"riskFreeRateCacheHit": true,
"engineSeconds": 0.012,
"dataSeconds": 0.007,
"resultSeconds": 0.002,
"unattributedSeconds": 0.0,
"canonicalSeconds": 0.001,
"resultFinalization": {
"canonicalSeconds": 0.001,
"processEventStoreSeconds": 0.001,
"storePublishSeconds": 0.0,
"summarySeconds": 0.0
},
"dataPreparationTimings": {
"adjustmentValidationSeconds": 0.0,
"availableStockStDates": 0,
"benchmarkFetchSeconds": 0.0,
"candidatePlanBasePanelSeconds": 0.0,
"candidatePlanSelectionSeconds": 0.0,
"corporateActionSeconds": 0.0,
"datasetConstructSeconds": 0.0,
"externalFetchSeconds": 0.0,
"historyDateSeconds": 0.0,
"instrumentIndexBuildSeconds": 0.0,
"instrumentMetadataSeconds": 0.0,
"loopSeconds": 0.0,
"marketIndexBuildSeconds": 0.0,
"quotePlanSeconds": 0.0,
"riskSnapshotSeconds": 0.0,
"sourceQuerySeconds": 0.0,
"stockStLookupSeconds": 0.0,
"supplementalExecutionFetchSeconds": 0.0,
"totalSeconds": 0.006
},
"finalizationSeconds": 0.569,
"finalizationTimings": {
"artifactVerificationSeconds": 0.001,
"cacheRegistrationSeconds": 0.0,
"postgresClientAcquireSeconds": 0.27,
"postgresPersistSeconds": 0.298,
"preTerminalUpdateSeconds": 0.569,
"schemaCheckSeconds": 0.0,
"timingSource": "fidc-backtest-service-monotonic"
},
"totalReturn": 0.011211658838299776,
"tradeCount": 104,
"riskDecisionCount": 11,
"resultStoreDigest": "5ed069a1f5999542e6da78b10797aa21aabe71e13dd79649cd11157cbc57d3b4",
"canonicalResultDigest": "5c8a110cc6f285b9d569e818a0472a8b5c76f14df853a1c2c42d1b5222c39b3a",
"terminalAudit": {
"cashReceivableCount": 0,
"cashReceivableTotalAmount": 0.0,
"earliestDeferredCashDate": null,
"futuresOpenOrderCount": 0,
"lastExecutionDate": "2025-09-12",
"omittedOpenOrderCount": 0,
"openOrderSamples": [],
"pendingCashFlowCount": 0,
"pendingCashFlowNetAmount": 0.0,
"status": "clean",
"stockOpenOrderCount": 0
},
"terminalAuditVerified": true,
"terminalAuditSha256": "5836794e260aa2cfd1a06d4568ae6577a37c9cbe09ec0f00995121ea5b2522d9",
"implementation": {
"buildManifestSha256": "fb4f7ac191c8ab8d8d39fc48014f84ce01d4c0731ffe986e7d5cb0107a3e5539",
"builtAt": "2026-09-07T22:06:18+08:00",
"engineCommit": "1b78186c4e37273c64c1f9e208c2e47021ee4fff",
"identitySha256": "14e7ff10848d64ffcec232dea8cff23a032702301b81ae036bb0b26b4b0b5e33",
"runnerBinarySha256": "7cddebf9ab5cbbd5d6f9bd5c7bf006c3895ee26967d23d80dc86b47c50fb761d",
"schemaVersion": "fidc-backtest-implementation/v1",
"serviceBinarySha256": "f09d121d73c34ad3cd5e2e0c24b0bdaf1974309c9ec3b93229cfb824b1e9f11a",
"serviceCommit": "c80a38b91a398fd713f1f1faaa19a581ea85efad",
"status": "verified"
},
"implementationVerified": true,
"implementationIdentitySha256": "14e7ff10848d64ffcec232dea8cff23a032702301b81ae036bb0b26b4b0b5e33",
"artifactManifest": {
"canonicalResult": {
"algorithm": "sha256",
"ordering": "engine_fact_order_v2",
"schemaVersion": "fidc-canonical-backtest-result/v2",
"sections": {
"accountEvents": {
"rowCount": 104,
"sha256": "ea6bbbd55df3da0692dfd712f88ef6f8af510ada318641ede71884f5c5d14e7e"
},
"equityFacts": {
"rowCount": 5,
"sha256": "96004e235e4603c0a7d1a5629a2f0d2b364258d562e1d397cdd6925718a7d060"
},
"fillEvents": {
"rowCount": 104,
"sha256": "2c37f626b7de014f5638dc8edf33f3ca8d23126ab2e62f26f01fbcb33e8c4e48"
},
"holdingSnapshots": {
"rowCount": 112,
"sha256": "50abab8a304d2e2a7de344538aff604c8bf96ef00283330d107916cc2e234f67"
},
"orderEvents": {
"rowCount": 108,
"sha256": "f327f21151a5d7dbe53d2dcde9202be699f9672f758373eeb9c67985ca3826f5"
},
"riskAudits": {
"rowCount": 11,
"sha256": "428a8d7395b54ec5a9523eb745d5007c64b9d9867615e870d95ea9ea176f536e"
}
},
"sha256": "5c8a110cc6f285b9d569e818a0472a8b5c76f14df853a1c2c42d1b5222c39b3a",
"totalRows": 444
},
"processEventStore": {
"bytes": 44302,
"identitySha256": "1444075abea626e8d7d1b8c9c9cda984a2a687ff2b9465db5648e0f4525130e7",
"manifestBytes": 461,
"manifestSha256": "b43a818096d09648b809a46d12ad9eae39638d57ea52f7696906359036a80c52",
"schemaVersion": "fidc-backtest-process-event-manifest/v1",
"sections": {
"processEvents": {
"blockCount": 1,
"bytes": 43841,
"rowCount": 370,
"sha256": "8edb6dad95777e3eef5946acbbdfc4b9125df34a79ac716d8c3ff7835b552bf6"
}
},
"sha256": "661d84b7b430ac25fb5c959df8e7fb309133784d85a7524375cd803e29e52094",
"totalEvents": 370
},
"resultStore": {
"bytes": 148006,
"identitySha256": "484b7a4a8d5cc77c6222ce01f2fe452c890995a476579f209d1d4ac43885d60a",
"manifestBytes": 2999,
"manifestSha256": "a0a7072f176db79d781846cc124d2e4794c5084c48c525876863751f709c4e7f",
"schemaVersion": "fidc-backtest-fact-manifest/v1",
"sections": {
"accountEvents": {
"blockCount": 1,
"bytes": 13313,
"rowCount": 104,
"sha256": "ab2f936c9072f80d58487b62a6f64553d279582ddfe6af0299afe20447e83424"
},
"equityFacts": {
"blockCount": 1,
"bytes": 11009,
"rowCount": 5,
"sha256": "c40650f5b27cfff873194572ffe28a5412fe77730fe75492c7b5a575f8f5caae"
},
"fillEvents": {
"blockCount": 1,
"bytes": 40541,
"rowCount": 104,
"sha256": "80a3f1d3a9c23db7dec2dc70f029280c0844370be6d87703cd396a234068f708"
},
"holdingSnapshots": {
"blockCount": 1,
"bytes": 51338,
"rowCount": 112,
"sha256": "7684244dc8e7788f777309169be61b14fcb532abdd89fe93f0a7f2980a615ba9"
},
"orderEvents": {
"blockCount": 1,
"bytes": 25768,
"rowCount": 108,
"sha256": "31ff15d2cf79b1eb9c333d19d8fb400c9c5a52c36b0f662330ec39aa9d0f805c"
},
"riskAudits": {
"blockCount": 1,
"bytes": 3038,
"rowCount": 11,
"sha256": "5a7269219a21cf14c23d788a6a96ddf1d1ddf0ef1e3b57a8db4ae4b1da789aff"
}
},
"sha256": "5ed069a1f5999542e6da78b10797aa21aabe71e13dd79649cd11157cbc57d3b4",
"totalEvents": 444
},
"schemaVersion": "fidc-backtest-artifacts/v4"
}
}
],
"summary": {
"resultConsistent": true,
"resultStoreDigest": "5ed069a1f5999542e6da78b10797aa21aabe71e13dd79649cd11157cbc57d3b4",
"canonicalResultDigest": "5c8a110cc6f285b9d569e818a0472a8b5c76f14df853a1c2c42d1b5222c39b3a",
"totalReturn": 0.011211658838299776,
"tradeCount": 104,
"terminalAudit": {
"cashReceivableCount": 0,
"cashReceivableTotalAmount": 0.0,
"earliestDeferredCashDate": null,
"futuresOpenOrderCount": 0,
"lastExecutionDate": "2025-09-12",
"omittedOpenOrderCount": 0,
"openOrderSamples": [],
"pendingCashFlowCount": 0,
"pendingCashFlowNetAmount": 0.0,
"status": "clean",
"stockOpenOrderCount": 0
},
"terminalAuditSha256": "5836794e260aa2cfd1a06d4568ae6577a37c9cbe09ec0f00995121ea5b2522d9",
"implementation": {
"buildManifestSha256": "fb4f7ac191c8ab8d8d39fc48014f84ce01d4c0731ffe986e7d5cb0107a3e5539",
"builtAt": "2026-09-07T22:06:18+08:00",
"engineCommit": "1b78186c4e37273c64c1f9e208c2e47021ee4fff",
"identitySha256": "14e7ff10848d64ffcec232dea8cff23a032702301b81ae036bb0b26b4b0b5e33",
"runnerBinarySha256": "7cddebf9ab5cbbd5d6f9bd5c7bf006c3895ee26967d23d80dc86b47c50fb761d",
"schemaVersion": "fidc-backtest-implementation/v1",
"serviceBinarySha256": "f09d121d73c34ad3cd5e2e0c24b0bdaf1974309c9ec3b93229cfb824b1e9f11a",
"serviceCommit": "c80a38b91a398fd713f1f1faaa19a581ea85efad",
"status": "verified"
},
"implementationIdentitySha256": "14e7ff10848d64ffcec232dea8cff23a032702301b81ae036bb0b26b4b0b5e33",
"restartOrCold": {
"queueWaitSeconds": 0.0,
"executionSeconds": 8.994,
"totalSeconds": 8.994,
"runnerSeconds": 7.904,
"bundleValidationSeconds": 0.166,
"sourceEpochSeconds": 0.0,
"strategyContractSeconds": 0.001,
"terminalCalendarSeconds": 0.0,
"riskFreeRateSeconds": 0.031,
"riskFreeRateCacheHit": false,
"engineSeconds": 0.012,
"dataSeconds": 7.662,
"resultSeconds": 0.03,
"unattributedSeconds": 0.0,
"canonicalSeconds": 0.001,
"finalizationSeconds": 1.089
},
"processHotMedian": {
"queueWaitSeconds": 0.0,
"executionSeconds": 0.596,
"totalSeconds": 0.596,
"runnerSeconds": 0.026,
"bundleValidationSeconds": 0.0,
"sourceEpochSeconds": 0.0,
"strategyContractSeconds": 0.003,
"terminalCalendarSeconds": 0.0,
"riskFreeRateSeconds": 0.0,
"riskFreeRateCacheHit": true,
"engineSeconds": 0.012,
"dataSeconds": 0.007,
"resultSeconds": 0.002,
"unattributedSeconds": 0.0,
"canonicalSeconds": 0.001,
"finalizationSeconds": 0.569
}
}
}