Release: dev → main

.gitignore

@@ -166,3 +166,7 @@ examples/tutorial/backtest_results
 examples/tutorial/resources
 examples/**/resources/
 .data_cache/
+
+# Investing Algorithm Framework backtest bundles
+*.iafbt
+iaf-storage-demo/

docs/design/bundle-format-v2.md

@@ -0,0 +1,241 @@
+# Bundle Format v2 — Public Specification
+
+**Status:** Stable. Default writer since `v8.9.0` (May 2026).
+**File extension:** `.iafbt`
+**Backwards compatibility:** v1 bundles remain readable indefinitely.
+
+This document describes the on-disk binary format produced by
+`save_bundle()` and consumed by `open_bundle()` /
+`Backtest.open()`. Third-party tools (e.g. the Finterion upload CLI
+and ingestion pipeline) can rely on this contract.
+
+---
+
+## Why v2
+
+v1 stored the entire `Backtest.to_dict()` graph as a single
+zstd-compressed MessagePack document. That was already efficient for
+small backtests, but two structural problems became visible at scale
+(thousands of bundles per user):
+
+1. **Heavy time series stored as JSON-ish lists of `(float,
+   ISO-string)` tuples** — the strings dominate the on-disk size for
+   long-running backtests (e.g. 10y daily ≈ 2,500 entries × 8 series).
+   ISO-8601 strings are ~25 bytes each; an `int64` epoch-ms is 8 bytes
+   and Parquet's columnar dictionary compression collapses repeated
+   timestamps further.
+
+2. **No way to distinguish vector from event backtests** in the
+   on-disk envelope, even though they're produced by separate engines
+   with subtly different semantics. Reports and analyses had to
+   guess from filename or metadata.
+
+v2 fixes both without breaking v1.
+
+---
+
+## Outer envelope (unchanged from v1)
+
+```
++-----------+-----------+--------------------------------+
+| 4 bytes   | 4 bytes   |  N bytes                       |
+| "IAFB"    | uint32 LE | zstd(level=7, msgpack(doc))    |
++-----------+-----------+--------------------------------+
+  magic       version     compressed body
+```
+
+The 4-byte little-endian uint32 holds the format version (1 or 2).
+The body is always zstd-compressed MessagePack with `use_bin_type=True`.
+
+Readers MUST reject any version > the highest they support, and SHOULD
+inspect the magic before attempting to decompress.
+
+---
+
+## v2 document structure
+
+```python
+{
+    "format_version": 2,
+    "engine_type": "vector" | "event" | None,
+
+    # Engine-agnostic top-level fields (carry across both engines)
+    "algorithm_id": str,
+    "metadata": dict,
+    "risk_free_rate": float | None,
+    "strategy_ids": list,
+    "parameters": dict,
+    "tag": str | None,
+    "backtest_permutation_tests": list | None,
+
+    # Exactly ONE of these pairs is populated based on engine_type:
+    "vector_runs":    [run_dict, ...],   # if engine_type == "vector"
+    "vector_metrics": summary_dict,       # if engine_type == "vector"
+
+    "event_runs":     [run_dict, ...],   # if engine_type == "event"
+    "event_metrics":  summary_dict,       # if engine_type == "event"
+
+    # Fallback for legacy / unknown-engine bundles:
+    "backtest_runs":    [run_dict, ...],  # if engine_type is None
+    "backtest_summary": summary_dict,      # if engine_type is None
+
+    # Optional: embedded heavy-series Parquet blobs
+    "blobs": {
+        "runs/<idx>/metrics/<field>.parquet": bytes,
+        ...
+    },
+
+    # Optional: OHLCV manifest (unchanged from v1)
+    "ohlcv": {
+        "store_dir": str,                  # relative to bundle file
+        "manifest": {key: relative_path},
+    },
+}
+```
+
+### Engine routing
+
+| `engine_type` | Runs key      | Summary key       |
+| ------------- | ------------- | ----------------- |
+| `"vector"`    | `vector_runs` | `vector_metrics`  |
+| `"event"`     | `event_runs`  | `event_metrics`   |
+| `None`        | `backtest_runs` | `backtest_summary` |
+
+A bundle holds exactly **one** engine's results. Mixing engines in a
+single bundle is not supported in v2 — produce two bundles and store
+them in the same directory.
+
+### Metric blob extraction
+
+Eight `BacktestMetrics` fields are extracted from each run's
+`backtest_metrics` dict and replaced with a `{"@blob": "<key>"}`
+reference; the actual Parquet bytes go into the top-level `blobs` map.
+
+The eight fields are all `List[Tuple[float, datetime|date]]`:
+
+- `equity_curve`
+- `drawdown_series`
+- `cumulative_return_series`
+- `rolling_sharpe_ratio`
+- `monthly_returns`
+- `yearly_returns`
+- `twr_equity_curve`
+- `twr_drawdown_series`
+
+Each blob is a 2-column Parquet file (zstd compression level 5):
+
+| Column | Type   | Semantics                                  |
+| ------ | ------ | ------------------------------------------ |
+| `ts`   | int64  | UTC epoch milliseconds                     |
+| `value`| float64| The metric value                           |
+
+The blob key follows the convention
+`runs/<index>/metrics/<field_name>.parquet` where `<index>` is the
+zero-based offset of the run within `vector_runs` / `event_runs` /
+`backtest_runs` and `<field_name>` is one of the eight names above.
+
+If a series has fewer than 2 entries, the writer leaves it inline
+(no blob extraction). Readers MUST handle both cases for any field.
+
+### Other fields
+
+Fields that are NOT extracted into Parquet blobs in v2:
+
+- `portfolio_snapshots`, `trades`, `orders`, `positions` — stay as
+  msgpack lists of dicts. Their schemas are unstable across model
+  changes, and msgpack is sufficient for the typical row counts.
+- All scalar metrics (`sharpe_ratio`, `max_drawdown`, etc.) — stay
+  inline. The whole point is keeping these fast to read.
+- `signals`, `signal_events`, `recorded_values`, `data_sources`,
+  `metadata` on each run — stay inline.
+
+A future v2.x revision MAY extract additional fields. Readers MUST
+treat the `blobs` map as authoritative: any key found there
+overrides the inline value (the writer is required to leave the
+inline placeholder as `{"@blob": "<key>"}` to make this unambiguous).
+
+---
+
+## Reader contract
+
+`open_bundle(path)` MUST:
+
+1. Read 8 bytes; verify magic, parse version.
+2. Decompress (zstd) and unpack (msgpack) the body.
+3. If `version == 1`: dispatch through the v1 reader (legacy
+   `{"backtest": <to_dict>}` envelope).
+4. If `version == 2`: route runs/summary based on `engine_type`,
+   resolve blob references against the `blobs` map (replacing each
+   `{"@blob": "<key>"}` with the decoded `[(value, iso_string), ...]`
+   list), and reconstruct a `Backtest` via `Backtest.from_dict`.
+5. Reject any `version > BUNDLE_FORMAT_VERSION`.
+
+### Summary-only mode
+
+`open_bundle(path, summary_only=True)` skips the Parquet decode step.
+Each blob reference is replaced with an empty list (so
+`BacktestMetrics.from_dict` doesn't choke). All scalar summary
+metrics (Sharpe, Sortino, max DD, CAGR, win-rate, …) remain fully
+populated. Use this for bulk listing / ranking pipelines that don't
+draw charts.
+
+---
+
+## Writer contract
+
+`save_bundle(backtest, path)` MUST:
+
+1. Default to `format_version = BUNDLE_FORMAT_VERSION` (currently 2).
+2. Accept `format_version=1` for explicit downgrade.
+3. Write atomically (write to `<path>.tmp`, then `os.replace`).
+4. Set `engine_type` from `backtest.engine_type`.
+5. For v2: extract the eight metric series into Parquet blobs only
+   when the source list has at least one usable `(value, datetime)`
+   pair; leave malformed or empty series inline.
+
+### OHLCV float32 quantization
+
+`save_bundle(..., float32_ohlcv=True)` downcasts float64 OHLCV
+columns to float32 before Parquet encoding. Typical reduction is ~2x
+on the OHLCV side store; backtest metrics are unaffected for
+crypto / equity time series. Off by default to preserve the v1
+exact-round-trip contract — opt in for upload / archive workflows.
+
+---
+
+## Size expectations
+
+For a 10-year daily backtest with one run, three trades per week,
+typical metric-series savings:
+
+| Item                           | v1 inline (ISO strings)| v2 Parquet blob |
+| ------------------------------ | ----------------------:| ---------------:|
+| `equity_curve` (2,500 entries) | ~120 KB                | ~25 KB          |
+| `drawdown_series` (2,500)      | ~120 KB                | ~22 KB          |
+| `monthly_returns` (120)        | ~6 KB                  | ~2 KB           |
+| 8 series total                 | ~500 KB                | ~80 KB          |
+
+Typical full-bundle size reduction for "metric-heavy" backtests
+(many runs, long horizons): **30-80%**. For "snapshot-heavy"
+backtests where `portfolio_snapshots` dominates, savings are smaller
+(snapshots aren't extracted in v2.0); a future v2.x revision will
+address this.
+
+For tiny / smoke-test backtests with <50 entries per series, v2 can
+be **slightly larger** than v1 because Parquet's per-file overhead
+(~100 bytes) exceeds the savings. This is expected and harmless.
+
+---
+
+## Versioning policy
+
+- Bumping the bundle `format_version` integer is a **breaking change
+  for readers** of older framework versions.
+- The framework will continue to read all historical versions
+  indefinitely. There is no plan to drop v1 read support.
+- Writers default to the highest version the framework knows about.
+- Additive changes within v2 (e.g. extracting more fields into
+  blobs) MUST be safe for v2 readers that don't know about the new
+  blobs — they should receive the inline value as a fallback.
+- A bundle with `format_version=2` MAY contain blob keys the reader
+  doesn't recognise. Readers MUST ignore unknown blob keys.