Field Definitions and Constants

Market data field definitions and constants.

This module provides standardized field name constants and enums to ensure type safety and prevent magic strings throughout the codebase.

class CalculatedMetric(*values)

Bases: StrEnum

Calculated metrics that are derived from base fields.

These metrics are computed by the system and added to the dataset after the initial data load.

LOG_RETURNS = 'c_log_returns'

RETURNS = 'c_returns'

VOLATILITY = 'c_volatility'

class DataPipelineKeys

Bases: object

Keys used in data pipeline result dictionaries.

Centralise string constants so callers never rely on magic strings when accessing DataPipelineResult fields.

PORTFOLIO_ENTITY

Key for the portfolio entity object.

Type:

str

PORTFOLIO_DF

Key for the portfolio DataFrame.

Type:

str

START_DATE_BACKTEST

Key for the backtest start date.

Type:

str

MARKET_DATA_BUNDLE

Key for the market data bundle.

Type:

str

DATA_DICT

Key for the data dictionary.

Type:

str

BENCHMARK

Key for the benchmark table.

Type:

str

PORTFOLIO_DICT

Key for the portfolio weights dictionary.

Type:

str

EQUIVALENCE_DICT

Key for the field equivalence mapping.

Type:

str

BENCHMARK = 'benchmark'

DATA_DICT = 'data_dict'

EQUIVALENCE_DICT = 'equivalence_dict'

MARKET_DATA_BUNDLE = 'market_data_bundle'

PORTFOLIO_DF = 'portfolio_df'

PORTFOLIO_DICT = 'portfolio_dict'

PORTFOLIO_ENTITY = 'portfolio_entity'

START_DATE_BACKTEST = 'start_date_backtest'

class RegisterKeys

Bases: object

Keys used in register dictionaries.

Centralise string constants for accessing register-related results produced by the engine.

REGISTER_DF

Key for the main register DataFrame.

Type:

str

COMMISSION_DF

Key for the commissions DataFrame.

Type:

str

SHARES_DF

Key for the shares DataFrame.

Type:

str

DAILY_WEIGHTS

Key for the daily weights table.

Type:

str

ORDERS_DF

Key for the orders DataFrame.

Type:

str

FINAL_TOTAL_PORTFOLIO_VALUE

Key for the final portfolio value.

Type:

str

TOTAL_COMMISSIONS

Key for total commissions paid.

Type:

str

YEARS

Key for the number of years in the backtest.

Type:

str

PORTFOLIO_STATS

Key for portfolio statistics.

Type:

str

BENCHMARK_STATS

Key for benchmark statistics.

Type:

str

BENCHMARK_STATS = 'benchmark_stats'

COMMISSION_DF = 'Commission_df'

DAILY_WEIGHTS = 'Daily_Weights'

FINAL_TOTAL_PORTFOLIO_VALUE = 'final_total_portfolio_value'

ORDERS_DF = 'orders_df'

PORTFOLIO_STATS = 'portfolio_stats'

REGISTER_DF = 'Register_df'

SHARES_DF = 'Shares_df'

TOTAL_COMMISSIONS = 'Total_commissions'

YEARS = 'years'

class StandardField(*values)

Bases: StrEnum

Standard field names used internally by the engine.

These are the canonical field names that the system uses for all operations. All input data is mapped to these standard field names.

PRICE

Price column used for asset valuation and return calculation.

DATE

Column containing the trading dates.

DATE = 'date_column'

PRICE = 'price_column'

classmethod get_all_fields() → list[StandardField]

Return all required standard fields including date.

classmethod get_numeric_fields() → list[StandardField]

Return all numeric standard fields (exclude date).

classmethod values() → list[str]

Return all field enum values as plain strings.