"""Shared constants and JSONL helpers for the QuantInvBench release.""" from __future__ import annotations import hashlib import json import math from pathlib import Path from typing import Iterable, Mapping, Sequence COINS = ("bitcoin", "ethereum", "tether", "xrp", "bnb") ASSETS = ("BTC", "ETH", "USDT", "XRP", "BNB") COIN_TO_ASSET = dict(zip(COINS, ASSETS)) BENCHMARK_VERSION = "2.0.0" ATTACK_PROTOCOL_VERSION = "quantinv-byzantine-v1" STRATEGIES = ( "Momentum", "MaxSharpe", "TSMom14", "TSMom60", "RiskParity", "MinVar", "NewsSentiment", "Size", "ValueNVT", "Liquidity", ) REBALANCE_DAYS = 7 TRANSACTION_COST = 0.001 WEIGHT_TOLERANCE = 1e-6 EXPECTED_SPLIT_COUNTS = {"train": 297, "validation": 52, "test": 52} EXPECTED_SPLIT_RANGES = { "train": { "execution_start": "2018-07-04T00:00:00Z", "execution_end": "2024-03-06T00:00:00Z", "label_end": "2024-03-13T00:00:00Z", }, "validation": { "execution_start": "2024-03-16T00:00:00Z", "execution_end": "2025-03-08T00:00:00Z", "label_end": "2025-03-15T00:00:00Z", }, "test": { "execution_start": "2025-03-16T00:00:00Z", "execution_end": "2026-03-08T00:00:00Z", "label_end": "2026-03-15T00:00:00Z", }, } EVALUATION_PROTOCOL = { "initial_portfolio": "equal_weight", "submitted_methods": "rebalance_every_record", "equal_weight_baseline": "buy_and_hold", "turnover": "half_l1_target_vs_return_drifted_holdings", "sharpe": "weekly_returns_sqrt_52_ddof_0", "max_drawdown": "daily_nav", } def sha256_file(path: Path) -> str: digest = hashlib.sha256() with path.open("rb") as handle: for block in iter(lambda: handle.read(1024 * 1024), b""): digest.update(block) return digest.hexdigest() def read_jsonl(path: Path) -> list[dict]: records = [] with path.open(encoding="utf-8") as handle: for line_number, line in enumerate(handle, start=1): if not line.strip(): continue try: records.append(json.loads(line)) except json.JSONDecodeError as exc: raise ValueError(f"{path}:{line_number}: invalid JSON: {exc}") from exc return records def write_jsonl(path: Path, records: Iterable[dict]) -> None: path.parent.mkdir(parents=True, exist_ok=True) with path.open("w", encoding="utf-8", newline="\n") as handle: for record in records: handle.write(json.dumps(record, ensure_ascii=False, allow_nan=False)) handle.write("\n") def validated_weights( values: Mapping[str, float] | Sequence[float], *, label: str, ) -> list[float]: if isinstance(values, Mapping): weights = [float(values[coin]) for coin in COINS] else: weights = [float(value) for value in values] if len(weights) != len(ASSETS): raise ValueError(f"{label}: expected {len(ASSETS)} weights, got {len(weights)}") if not all(math.isfinite(value) for value in weights): raise ValueError(f"{label}: weights contain NaN or Infinity") if any(value < -WEIGHT_TOLERANCE for value in weights): raise ValueError(f"{label}: weights must be non-negative: {weights}") weights = [max(0.0, value) for value in weights] total = sum(weights) if total <= 0: raise ValueError(f"{label}: weights sum to zero") normalized = [value / total for value in weights] rounded = [round(value, 10) for value in normalized] largest_index = max(range(len(rounded)), key=rounded.__getitem__) rounded[largest_index] = round( rounded[largest_index] + (1.0 - sum(rounded)), 10 ) if abs(sum(rounded) - 1.0) > WEIGHT_TOLERANCE: raise ValueError(f"{label}: normalized weights do not sum to one") return rounded def usdt_fallback() -> dict[str, float]: return {coin: (1.0 if coin == "tether" else 0.0) for coin in COINS}