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v0.1.13 - Flexible Security Mapping

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@stabilefrisur stabilefrisur released this 23 Nov 17:59
· 140 commits to master since this release

Added

  • Flexible Security Mapping for signal computation
    • default_securities field in signal catalog defining instrument-to-security defaults
    • security_mapping parameter in WorkflowConfig for custom security selection
    • --securities CLI option for runtime security overrides (e.g., cdx:cdx_hy_5y,etf:hyg)
    • workflow_custom_securities.yaml example demonstrating security mapping
    • DataRegistry helper methods: find_dataset_by_security() and load_dataset_by_security()
    • load_signal_required_data() helper in data/loaders.py for reusable data loading logic
  • Bloomberg Data Fetching enhancements
    • DataStep now downloads all securities from bloomberg_securities.json
    • Smart current-day refresh for intraday Bloomberg data updates

Changed

  • Signal Data Loading architecture
    • Security selection moved from DataStep to SignalStep
    • SignalStep maps instrument types to specific securities using defaults or overrides
    • DataStep becomes signal-agnostic, downloading all available securities
    • Signal catalog now explicitly declares default_securities for each signal
    • VIX loading skips security parameter (single instrument)
  • Documentation Updates
    • Updated copilot-instructions.md with security mapping patterns
    • Updated README.md with --securities CLI option examples
    • Updated PROJECT_STATUS.md with DataRegistry helpers
    • All documentation dates updated to November 23, 2025

Fixed

  • Signal computation now properly supports running same signal with different securities
  • Products for backtesting default to cdx_ig_5y consistently