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feat: generate verified executable targets from whole-account Barra optimization - #37
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PureSaber
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October 14, 2026 16:10
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Wire whole-account optimizer results into the exact simulated execution account. The risk bridge now carries full benchmark weights, tracking-error limits, PIT X/F/D snapshots and active factor/industry bounds. Existing default exposure definitions are retained.
Protocol v2 converts mature non-overlapping IC signals or frozen timestamped forecasts into horizon returns. Continuous targets use the strategy budget, known holdings and trade limits; deterministic lot repair requotes the shared exact commission/stamp/slippage rules, checks cash and risk after fees, and publishes only verified quantities. One 30-second deadline covers solving and repair. Classified failures are retained without publishing a replacement strategy. Results include continuous/integer/actual positions, solver/model versions, risk and cost diagnostics.
Validation: complete suite reached 283 passed with 85.22% coverage and one new adapter regression; the Series-compatible adapter fix and all five factor/forecast checks then passed. Both IC and provided-forecast end-to-end replays passed, including standard/v2 ledger validation, exact nonnegative cash and board lots. Existing minimum-commission partial-fill and retry tests passed. Ruff passed. Dependencies are the pinned protocol, optimizer, risk and research PRs.
This branch also inherits the pre-existing ETF daily-loop baseline commits captured before this implementation. Review the dependency stack before merging; no live trading, frozen account change or model promotion is performed by this PR.