Portfolio_Risk_Management/quantcore/cli.py

"""Command-line interface: ``quantcore <command>``.

    quantcore setup      [--offline] [--max-per-region N]   build the universe once (candidates,
                                                             metadata, full price + FX history)
    quantcore reselect                                       re-run only the selection step
    quantcore clean                                          re-apply price cleaning to stored data
    quantcore update     [--full]                            fetch the newest prices / FX
    quantcore snapshot   [--name NAME]                       freeze the data for reproducible demos
    quantcore status                                         what the store holds, cuOpt health
    quantcore risk       SYMBOL [SYMBOL ...] [--horizon week] [--freq daily] [--window 200] [--lam 0.94]
    quantcore performance SYMBOL [SYMBOL ...] [--freq weekly]
    quantcore optimize   [--cash 1e6] [--cvar-limit 50000] [--confidence 0.95] [--horizon week] ...
    quantcore serve      [--host 127.0.0.1] [--port 5001]    run the HTTP API (+ the test bench at /ui/)

These commands run the services in this process and need the data directory locally. To drive a
*running* service over HTTP instead -- from any machine, without the data -- use ``quantcore-api``
(:mod:`quantcore.apicli`), whose ``selftest`` also checks a deployment endpoint by endpoint.
"""

from __future__ import annotations

import argparse
import json
import logging
import sys

import pandas as pd

from quantcore.config import Settings, get_settings

log = logging.getLogger("quantcore.cli")


def _settings(args) -> Settings:
    s = get_settings()
    if getattr(args, "data_dir", None):
        s = s.model_copy(update={"data_dir": args.data_dir})
    if getattr(args, "cuopt_url", None):
        s = s.model_copy(update={"cuopt_url": args.cuopt_url})
    return s


def cmd_setup(args) -> int:
    from quantcore.universe.setup_service import SetupService

    report = SetupService(_settings(args)).run(allow_web=not args.offline, max_per_region=args.max_per_region)
    print(json.dumps(report.as_dict(), indent=2, default=str))
    return 0


def cmd_reselect(args) -> int:
    from quantcore.universe.setup_service import SetupService

    report = SetupService(_settings(args)).rebuild_selection()
    print(json.dumps(report.as_dict(), indent=2, default=str))
    return 0


def cmd_update(args) -> int:
    from quantcore.data.download_service import DataDownloadService

    report = DataDownloadService(_settings(args)).update(full=args.full)
    print(json.dumps(report.as_dict(), indent=2, default=str))
    return 0


def cmd_clean(args) -> int:
    from quantcore.data.download_service import DataDownloadService

    report = DataDownloadService(_settings(args)).clean()
    print(json.dumps(report.as_dict(), indent=2, default=str))
    return 0


def cmd_snapshot(args) -> int:
    from quantcore.data.store import DataStore

    path = DataStore(_settings(args)).create_snapshot(args.name)
    print(path)
    return 0


def cmd_status(args) -> int:
    from quantcore.data.store import DataStore
    from quantcore.optimization.solvers import CuOptSolver

    s = _settings(args)
    out = {"store": DataStore(s).status(), "cuopt": CuOptSolver(s).health(), "cuopt_url": s.cuopt_url}
    print(json.dumps(out, indent=2, default=str))
    return 0


def cmd_risk(args) -> int:
    from quantcore.data.market_data import MarketDataService
    from quantcore.measurement.risk import RiskService

    md = MarketDataService(_settings(args), snapshot=args.snapshot)
    table = RiskService(md).asset_risk(args.symbols, freq=args.freq, window=args.window, lam=args.lam,
                                       horizon=args.horizon, currency=args.currency)
    with pd.option_context("display.width", 200, "display.max_columns", 30):
        print(table.round(5).T)
    return 0


def cmd_performance(args) -> int:
    from quantcore.data.market_data import MarketDataService
    from quantcore.measurement.performance import PerformanceService

    s = _settings(args)
    md = MarketDataService(s, snapshot=args.snapshot)
    table = PerformanceService(md, s.risk_free_rate).asset_performance(args.symbols, freq=args.freq,
                                                                       currency=args.currency, start=args.start)
    with pd.option_context("display.width", 200, "display.max_columns", 30):
        print(table.round(4).T)
    return 0


def cmd_optimize(args) -> int:
    from quantcore.data.market_data import MarketDataService
    from quantcore.optimization.service import OptimizationRequest, OptimizationService

    s = _settings(args)
    md = MarketDataService(s, snapshot=args.snapshot)
    kwargs = {}
    if args.request:
        kwargs = json.loads(open(args.request).read())
    kwargs.setdefault("cash", args.cash)
    kwargs.setdefault("horizon", args.horizon)
    kwargs.setdefault("confidence", args.confidence)
    if args.cvar_limit is not None:
        kwargs["cvar_limit"] = args.cvar_limit
    if args.symbols:
        kwargs["symbols"] = args.symbols
    kwargs.setdefault("max_assets", args.max_assets)
    kwargs.setdefault("scenario_model", args.scenario_model)
    if args.n_scenarios is not None:
        kwargs.setdefault("n_scenarios", args.n_scenarios)
    kwargs.setdefault("sampling", args.sampling)
    kwargs.setdefault("importance_sampling", args.importance_sampling)
    kwargs.setdefault("row_generation", args.row_generation)
    kwargs.setdefault("solver", args.solver)
    if args.holdings:
        kwargs["holdings"] = json.loads(args.holdings)
        kwargs["mode"] = "rebalance"
    req = OptimizationRequest(**kwargs)
    res = OptimizationService(s, md).optimize(req)
    if args.json:
        print(json.dumps(res.as_dict(), indent=2, default=str))
    else:
        print(f"status={res.status} solver={res.solver} reproducible={res.reproducibility} scenarios={res.scenario_hash} "
              f"key={res.scenario_key['id'] if res.scenario_key else None} "
              f"wealth={res.wealth:,.0f} invested={res.invested:,.0f} cash_end={res.cash_end:,.0f} cost={res.total_cost:,.0f}")
        print(f"E[P&L]={res.expected_pnl:,.0f} ({res.expected_return:.3%}) VaR={res.var:,.0f} CVaR={res.cvar:,.0f} "
              f"limit={res.cvar_limit} @ {res.confidence:.0%} over {res.horizon} ({res.horizon_periods} periods)")
        if res.positions:
            df = pd.DataFrame(res.positions)[["symbol", "name", "sector", "price", "shares", "trade", "value", "weight"]]
            with pd.option_context("display.width", 200, "display.max_rows", 500):
                print(df.round(3).to_string(index=False))
        print("sectors:", {k: round(v, 3) for k, v in res.sector_exposure.items()})
        print("timings:", res.timings, "warnings:", res.warnings)
    return 0 if res.status in ("Optimal", "FeasibleFound") else 2


def cmd_serve(args) -> int:
    import uvicorn

    s = _settings(args)
    uvicorn.run("quantcore.api.app:app", host=args.host or s.api_host, port=args.port or s.api_port, reload=False)
    return 0


def build_parser() -> argparse.ArgumentParser:
    p = argparse.ArgumentParser(prog="quantcore", description=__doc__, formatter_class=argparse.RawDescriptionHelpFormatter)
    p.add_argument("--data-dir", help="override QUANTCORE_DATA_DIR")
    p.add_argument("--cuopt-url", help="override QUANTCORE_CUOPT_URL")
    sub = p.add_subparsers(dest="command", required=True)

    sp = sub.add_parser("setup", help="build the universe and download all history (run once)")
    sp.add_argument("--offline", action="store_true", help="use the static candidate lists shipped with the package")
    sp.add_argument("--max-per-region", type=int, default=None, help="limit candidates per region (testing)")
    sp.set_defaults(func=cmd_setup)

    sub.add_parser("reselect", help="re-run only the universe selection on stored data").set_defaults(func=cmd_reselect)

    up = sub.add_parser("update", help="fetch the newest prices and FX rates")
    up.add_argument("--full", action="store_true", help="re-download the complete history")
    up.set_defaults(func=cmd_update)

    sub.add_parser("clean", help="re-apply the price cleaning to the stored history").set_defaults(func=cmd_clean)

    sn = sub.add_parser("snapshot", help="freeze universe/prices/fx under snapshots/<name>")
    sn.add_argument("--name", default=None)
    sn.set_defaults(func=cmd_snapshot)

    sub.add_parser("status", help="store status and cuOpt health").set_defaults(func=cmd_status)

    rk = sub.add_parser("risk", help="per-asset volatility, VaR and CVaR")
    rk.add_argument("symbols", nargs="+")
    rk.add_argument("--freq", default="daily", choices=["daily", "weekly", "monthly"])
    rk.add_argument("--horizon", default="day")
    rk.add_argument("--window", type=int, default=200)
    rk.add_argument("--lam", type=float, default=0.94)
    rk.add_argument("--currency", default="base", choices=["base", "local"])
    rk.add_argument("--snapshot", default=None)
    rk.set_defaults(func=cmd_risk)

    pf = sub.add_parser("performance", help="per-asset performance statistics")
    pf.add_argument("symbols", nargs="+")
    pf.add_argument("--freq", default="daily", choices=["daily", "weekly", "monthly"])
    pf.add_argument("--currency", default="base", choices=["base", "local"])
    pf.add_argument("--start", default=None)
    pf.add_argument("--snapshot", default=None)
    pf.set_defaults(func=cmd_performance)

    op = sub.add_parser("optimize", help="mean-CVaR MILP optimisation")
    op.add_argument("--request", help="JSON file with an OptimizationRequest (fields override the flags)")
    op.add_argument("--cash", type=float, default=1_000_000.0)
    op.add_argument("--holdings", help='JSON dict {"NESN.SW": 100, ...} -> rebalancing mode')
    op.add_argument("--symbols", nargs="*", default=None)
    op.add_argument("--max-assets", type=int, default=100)
    op.add_argument("--horizon", default="week")
    op.add_argument("--confidence", type=float, default=0.95)
    op.add_argument("--cvar-limit", type=float, default=None, help="max CVaR in CHF over the horizon")
    op.add_argument("--scenario-model", default="empirical", choices=["gbm", "empirical", "gaussian_exact"])
    op.add_argument("--n-scenarios", type=int, default=None,
                    help="default: 16 per candidate within [4096, 16384]; rounded up to a power of two")
    op.add_argument("--sampling", default="sobol", choices=["sobol", "mc", "antithetic", "lhs", "balanced"])
    from quantcore.optimization.service import IMPORTANCE_SAMPLING_MODES  # lazy, like every command's

    op.add_argument("--importance-sampling", default="auto",
                    choices=list(IMPORTANCE_SAMPLING_MODES),
                    help="'market': tilt towards the tail of the cap-weighted portfolio; "
                         "'adaptive': towards a first-pass solution")
    op.add_argument("--row-generation", default="auto", choices=["auto", "on", "off"])
    op.add_argument("--solver", default="auto", choices=["auto", "cuopt", "highs"])
    op.add_argument("--snapshot", default=None)
    op.add_argument("--json", action="store_true", help="print the full result as JSON")
    op.set_defaults(func=cmd_optimize)

    sv = sub.add_parser("serve", help="run the HTTP API and the browser test bench (/ui/)")
    sv.add_argument("--host", default=None)
    sv.add_argument("--port", type=int, default=None)
    sv.set_defaults(func=cmd_serve)
    return p


def main(argv: list[str] | None = None) -> int:
    args = build_parser().parse_args(argv)
    return args.func(args)


if __name__ == "__main__":
    sys.exit(main())