Datasets:
Tasks:
Tabular Classification
Formats:
parquet
Languages:
English
Size:
< 1K
Tags:
economics
quantitative-finance
causal-inference
macroeconomics
housing-economics
market-microstructure
License:
| """Immutable input-manifest contract for the frozen M8 trade study. | |
| The verifier intentionally inspects only JSON metadata, exact file hashes, and | |
| Parquet footers/schemas. It never materializes normalized trade rows. Economic | |
| row-level validation belongs to the acquisition/quality stage whose immutable | |
| reports and findings are bound here. | |
| """ | |
| from __future__ import annotations | |
| import hashlib | |
| import json | |
| import os | |
| import re | |
| import struct | |
| import tempfile | |
| from collections.abc import Mapping, Sequence | |
| from dataclasses import dataclass | |
| from datetime import UTC, datetime | |
| from datetime import date as Date | |
| from decimal import Decimal, InvalidOperation | |
| from pathlib import Path | |
| from types import MappingProxyType | |
| from typing import Any, cast | |
| from urllib.parse import parse_qsl, urlparse | |
| from zipfile import BadZipFile, ZipFile | |
| import pyarrow as pa # type: ignore[import-untyped] | |
| import pyarrow.parquet as pq # type: ignore[import-untyped] | |
| from microstructure.data.schemas import SCHEMA_VERSION, get_schema | |
| from microstructure.m8_config import M8PeriodRole, M8StudyConfig | |
| from microstructure.provenance import sha256_file | |
| M8_INPUT_MANIFEST_VERSION = "1.2.0" | |
| _STORAGE_MANIFEST_VERSION = "1.0.0" | |
| _DIGEST = re.compile(r"[0-9a-f]{64}") | |
| _UTC_TIMESTAMP = re.compile( | |
| r"(?P<second>\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2})" | |
| r"(?:\.(?P<fraction>\d{1,9}))?(?:Z|\+00:00)" | |
| ) | |
| _MAX_JSON_BYTES = 8 * 1024 * 1024 | |
| _MAX_SYMBOL_METADATA_BYTES = 1 * 1024 * 1024 | |
| _MAX_ARCHIVE_CHECKSUM_BYTES = 4_096 | |
| _MAX_ZIP_DIRECTORY_BYTES = 256 * 1_024 | |
| _MAX_ZIP_TAIL_BYTES = 22 + 65_535 | |
| _NS_PER_DAY = 86_400 * 1_000_000_000 | |
| _EPOCH = datetime(1970, 1, 1, tzinfo=UTC) | |
| _ZIP_CENTRAL_SIGNATURE = b"PK\x01\x02" | |
| _ZIP_CENTRAL_STRUCT = struct.Struct("<4s6H3L5H2L") | |
| _ZIP_EOCD_SIGNATURE = b"PK\x05\x06" | |
| _ZIP_EOCD_STRUCT = struct.Struct("<4s4H2LH") | |
| _ZIP64_EXTRA_FIELD_ID = 0x0001 | |
| _ZIP16_SENTINEL = 0xFFFF | |
| _ZIP32_SENTINEL = 0xFFFFFFFF | |
| _TOP_KEYS = frozenset( | |
| { | |
| "manifest_version", | |
| "artifact_kind", | |
| "config", | |
| "study", | |
| "symbol_metadata", | |
| "total_symbol_metadata_bytes", | |
| "total_raw_zip_bytes", | |
| "entries", | |
| } | |
| ) | |
| _CONFIG_KEYS = frozenset({"semantic_sha256", "source_sha256", "protocol_version"}) | |
| _STUDY_KEYS = frozenset({"name", "evidence_tier", "source", "symbols", "periods"}) | |
| _STUDY_PERIOD_KEYS = frozenset({"date", "role"}) | |
| _SYMBOL_METADATA_KEYS = frozenset( | |
| { | |
| "symbol", | |
| "status", | |
| "tick_size", | |
| "lot_size", | |
| "observed_ts_ns", | |
| "raw_path", | |
| "raw_sha256", | |
| "raw_bytes", | |
| "source_uri", | |
| "source_manifest_path", | |
| "source_manifest_sha256", | |
| "source_manifest_bytes", | |
| } | |
| ) | |
| _ARCHIVE_CHECKSUM_KEYS = frozenset( | |
| { | |
| "path", | |
| "sha256", | |
| "bytes", | |
| "source_uri", | |
| "source_manifest_path", | |
| "source_manifest_sha256", | |
| "source_manifest_bytes", | |
| } | |
| ) | |
| _ENTRY_KEYS = frozenset( | |
| { | |
| "symbol", | |
| "date", | |
| "role", | |
| "complete", | |
| "requested_range_ns", | |
| "rows", | |
| "trade_id_range", | |
| "observed_range_ns", | |
| "scales", | |
| "raw", | |
| "normalized", | |
| "quality", | |
| } | |
| ) | |
| _RANGE_KEYS = frozenset({"start", "end_exclusive"}) | |
| _OBSERVED_KEYS = frozenset({"start", "end_inclusive"}) | |
| _TRADE_ID_KEYS = frozenset({"first", "last", "contiguous_count"}) | |
| _SCALE_KEYS = frozenset({"tick_size", "lot_size"}) | |
| _CHECKSUM_KEYS = frozenset({"algorithm", "value"}) | |
| _RAW_KEYS = frozenset( | |
| { | |
| "zip_path", | |
| "zip_sha256", | |
| "zip_bytes", | |
| "uncompressed_bytes", | |
| "source_uri", | |
| "source_manifest_path", | |
| "source_manifest_sha256", | |
| "source_manifest_bytes", | |
| "checksum", | |
| } | |
| ) | |
| _NORMALIZED_KEYS = frozenset( | |
| { | |
| "dataset_manifest_path", | |
| "dataset_manifest_sha256", | |
| "dataset_manifest_bytes", | |
| "rows", | |
| "parts", | |
| } | |
| ) | |
| _PART_KEYS = frozenset( | |
| { | |
| "data_path", | |
| "data_sha256", | |
| "data_bytes", | |
| "sidecar_path", | |
| "sidecar_sha256", | |
| "sidecar_bytes", | |
| "rows", | |
| "write_ordinal", | |
| "observed_range_ns", | |
| } | |
| ) | |
| _QUALITY_KEYS = frozenset( | |
| { | |
| "report_path", | |
| "report_sha256", | |
| "report_bytes", | |
| "findings_path", | |
| "findings_sha256", | |
| "findings_bytes", | |
| "errors", | |
| "warnings", | |
| } | |
| ) | |
| _RAW_SIDECAR_KEYS = frozenset( | |
| { | |
| "manifest_version", | |
| "artifact_kind", | |
| "source", | |
| "source_uri", | |
| "downloaded_at_utc", | |
| "requested_range_ns", | |
| "checksum", | |
| "upstream_checksum_sha256", | |
| "bytes", | |
| "path", | |
| "response_headers", | |
| } | |
| ) | |
| _DATASET_KEYS = frozenset( | |
| { | |
| "manifest_version", | |
| "dataset", | |
| "schema_version", | |
| "source", | |
| "source_uri", | |
| "downloaded_at_utc", | |
| "requested_range_ns", | |
| "artifacts", | |
| "rows", | |
| } | |
| ) | |
| _DATASET_PART_KEYS = frozenset( | |
| { | |
| "data_path", | |
| "manifest_path", | |
| "data_sha256", | |
| "manifest_sha256", | |
| "rows", | |
| "write_ordinal", | |
| "observed_range_ns", | |
| } | |
| ) | |
| _PART_SIDECAR_KEYS = frozenset( | |
| { | |
| "manifest_version", | |
| "artifact_kind", | |
| "dataset", | |
| "schema_name", | |
| "schema_version", | |
| "venue", | |
| "symbol", | |
| "partition_date", | |
| "write_ordinal", | |
| "source", | |
| "source_uri", | |
| "downloaded_at_utc", | |
| "requested_range_ns", | |
| "observed_range_ns", | |
| "source_checksum_sha256", | |
| "checksum", | |
| "rows", | |
| "bytes", | |
| "path", | |
| "transformations", | |
| } | |
| ) | |
| class M8ManifestError(RuntimeError): | |
| """Raised when M8 input evidence is missing, unsafe, or inconsistent.""" | |
| class M8NormalizedPart: | |
| data_path: Path | |
| data_sha256: str | |
| data_bytes: int | |
| sidecar_path: Path | |
| sidecar_sha256: str | |
| sidecar_bytes: int | |
| rows: int | |
| write_ordinal: int | |
| observed_start_ns: int | |
| observed_end_inclusive_ns: int | |
| class M8SymbolMetadata: | |
| symbol: str | |
| status: str | |
| tick_size: Decimal | |
| lot_size: Decimal | |
| observed_ts_ns: int | |
| raw_path: Path | |
| raw_sha256: str | |
| raw_bytes: int | |
| source_uri: str | |
| source_manifest_path: Path | |
| source_manifest_sha256: str | |
| source_manifest_bytes: int | |
| class M8ArchiveEntry: | |
| symbol: str | |
| date: Date | |
| role: M8PeriodRole | |
| complete: bool | |
| rows: int | |
| first_trade_id: int | |
| last_trade_id: int | |
| observed_start_ns: int | |
| observed_end_inclusive_ns: int | |
| tick_size: Decimal | |
| lot_size: Decimal | |
| raw_zip_path: Path | |
| raw_zip_sha256: str | |
| raw_zip_bytes: int | |
| raw_uncompressed_bytes: int | |
| raw_source_uri: str | |
| raw_source_manifest_path: Path | |
| raw_source_manifest_sha256: str | |
| raw_source_manifest_bytes: int | |
| raw_checksum_path: Path | |
| raw_checksum_sha256: str | |
| raw_checksum_bytes: int | |
| raw_checksum_source_uri: str | |
| raw_checksum_source_manifest_path: Path | |
| raw_checksum_source_manifest_sha256: str | |
| raw_checksum_source_manifest_bytes: int | |
| normalized_dataset_manifest_path: Path | |
| normalized_dataset_manifest_sha256: str | |
| normalized_dataset_manifest_bytes: int | |
| normalized_parts: tuple[M8NormalizedPart, ...] | |
| quality_report_path: Path | |
| quality_report_sha256: str | |
| quality_report_bytes: int | |
| quality_findings_path: Path | |
| quality_findings_sha256: str | |
| quality_findings_bytes: int | |
| quality_errors: int | |
| quality_warnings: int | |
| class M8InputManifest: | |
| root: Path | |
| path: Path | |
| sha256: str | |
| config_sha256: str | |
| config_source_sha256: str | |
| protocol_version: str | |
| symbol_metadata: tuple[M8SymbolMetadata, ...] | |
| entries: tuple[M8ArchiveEntry, ...] | |
| def metadata_for(self, symbol: str) -> M8SymbolMetadata: | |
| for metadata in self.symbol_metadata: | |
| if metadata.symbol == symbol: | |
| return metadata | |
| raise KeyError(f"no verified M8 symbol metadata for {symbol}") | |
| def ordered_part_paths(self) -> Mapping[tuple[str, str], tuple[Path, ...]]: | |
| """Return verified Parquet paths keyed in frozen period/symbol order.""" | |
| paths = { | |
| (entry.symbol, entry.date.isoformat()): tuple( | |
| part.data_path for part in entry.normalized_parts | |
| ) | |
| for entry in self.entries | |
| } | |
| return MappingProxyType(paths) | |
| def part_paths_for(self, symbol: str, date: Date | str) -> tuple[Path, ...]: | |
| date_text = date.isoformat() if isinstance(date, Date) else date | |
| try: | |
| return self.ordered_part_paths[(symbol, date_text)] | |
| except KeyError as exc: | |
| raise KeyError(f"no verified M8 parts for {symbol}/{date_text}") from exc | |
| def _day_bounds_ns(day: Date) -> tuple[int, int]: | |
| start = datetime(day.year, day.month, day.day, tzinfo=UTC) | |
| delta = start - _EPOCH | |
| start_ns = (delta.days * 86_400 + delta.seconds) * 1_000_000_000 | |
| return start_ns, start_ns + _NS_PER_DAY | |
| def _object(value: object, label: str) -> Mapping[str, Any]: | |
| if not isinstance(value, Mapping): | |
| raise M8ManifestError(f"{label} must be a JSON object") | |
| if not all(isinstance(key, str) for key in value): | |
| raise M8ManifestError(f"{label} contains a non-string key") | |
| return cast(Mapping[str, Any], value) | |
| def _array(value: object, label: str) -> list[Any]: | |
| if not isinstance(value, list): | |
| raise M8ManifestError(f"{label} must be a JSON array") | |
| return value | |
| def _text(value: object, label: str) -> str: | |
| if type(value) is not str: | |
| raise M8ManifestError(f"{label} must be a string") | |
| return value | |
| def _integer(value: object, label: str, *, minimum: int | None = None) -> int: | |
| if type(value) is not int: | |
| raise M8ManifestError(f"{label} must be an integer") | |
| result = value | |
| if minimum is not None and result < minimum: | |
| raise M8ManifestError(f"{label} must be at least {minimum}") | |
| return result | |
| def _boolean(value: object, label: str) -> bool: | |
| if type(value) is not bool: | |
| raise M8ManifestError(f"{label} must be a boolean") | |
| return value | |
| def _digest(value: object, label: str) -> str: | |
| digest = _text(value, label) | |
| if _DIGEST.fullmatch(digest) is None: | |
| raise M8ManifestError(f"{label} must be a lowercase SHA-256 digest") | |
| return digest | |
| def _decimal(value: object, label: str) -> Decimal: | |
| raw = _text(value, label) | |
| try: | |
| result = Decimal(raw) | |
| except InvalidOperation as exc: | |
| raise M8ManifestError(f"{label} must be a decimal string") from exc | |
| if not result.is_finite() or result <= 0: | |
| raise M8ManifestError(f"{label} must be finite and positive") | |
| return result | |
| def _exact_keys(value: Mapping[str, Any], expected: frozenset[str], label: str) -> None: | |
| observed = frozenset(value) | |
| missing = sorted(expected - observed) | |
| extra = sorted(observed - expected) | |
| if missing or extra: | |
| details: list[str] = [] | |
| if missing: | |
| details.append("missing=" + ",".join(missing)) | |
| if extra: | |
| details.append("extra=" + ",".join(extra)) | |
| raise M8ManifestError(f"{label} keys are invalid ({'; '.join(details)})") | |
| def _parse_date(value: object, label: str) -> Date: | |
| raw = _text(value, label) | |
| try: | |
| parsed = Date.fromisoformat(raw) | |
| except ValueError as exc: | |
| raise M8ManifestError(f"{label} must be an ISO UTC date") from exc | |
| if parsed.isoformat() != raw: | |
| raise M8ManifestError(f"{label} must use canonical YYYY-MM-DD form") | |
| return parsed | |
| def _parse_role(value: object, label: str) -> M8PeriodRole: | |
| raw = _text(value, label) | |
| allowed = {"train", "validation", "primary_test", "replication_test"} | |
| if raw not in allowed: | |
| raise M8ManifestError(f"{label} has an unsupported role: {raw!r}") | |
| return cast(M8PeriodRole, raw) | |
| def _utc_ns_from_iso(value: object, label: str) -> int: | |
| raw = _text(value, label) | |
| matched = _UTC_TIMESTAMP.fullmatch(raw) | |
| if matched is None: | |
| raise M8ManifestError( | |
| f"{label} must be an ISO-8601 UTC timestamp with at most nanosecond precision" | |
| ) | |
| try: | |
| second = datetime.strptime(matched.group("second"), "%Y-%m-%dT%H:%M:%S").replace(tzinfo=UTC) | |
| except ValueError as exc: | |
| raise M8ManifestError(f"{label} is not a valid UTC timestamp") from exc | |
| fraction = (matched.group("fraction") or "").ljust(9, "0") | |
| delta = second - _EPOCH | |
| return (delta.days * 86_400 + delta.seconds) * 1_000_000_000 + int(fraction or "0") | |
| def _read_json_object(path: Path, label: str) -> Mapping[str, Any]: | |
| try: | |
| size = path.stat().st_size | |
| except OSError as exc: | |
| raise M8ManifestError(f"cannot stat {label} at {path}: {exc}") from exc | |
| if size > _MAX_JSON_BYTES: | |
| raise M8ManifestError(f"{label} exceeds the {_MAX_JSON_BYTES}-byte JSON limit") | |
| def reject_duplicates(pairs: list[tuple[str, Any]]) -> dict[str, Any]: | |
| result: dict[str, Any] = {} | |
| for key, value in pairs: | |
| if key in result: | |
| raise M8ManifestError(f"{label} contains duplicate JSON key {key!r}") | |
| result[key] = value | |
| return result | |
| try: | |
| with path.open(encoding="utf-8") as handle: | |
| parsed = json.load(handle, object_pairs_hook=reject_duplicates) | |
| except M8ManifestError: | |
| raise | |
| except (OSError, UnicodeDecodeError, json.JSONDecodeError) as exc: | |
| raise M8ManifestError(f"cannot parse {label} at {path}: {exc}") from exc | |
| return _object(parsed, label) | |
| def _resolve_contained_file(root: Path, value: str | Path, label: str) -> Path: | |
| declared = Path(value) | |
| candidate = declared if declared.is_absolute() else root / declared | |
| resolved_root = root.resolve() | |
| resolved = candidate.resolve() | |
| if not resolved.is_relative_to(resolved_root): | |
| raise M8ManifestError(f"{label} escapes the M8 input root: {declared}") | |
| if not resolved.is_file(): | |
| raise M8ManifestError(f"missing {label}: {resolved}") | |
| return resolved | |
| def _declared_file(root: Path, value: object, label: str) -> Path: | |
| raw = _text(value, label) | |
| if Path(raw).is_absolute(): | |
| raise M8ManifestError(f"{label} must be relative to the M8 input root") | |
| return _resolve_contained_file(root, raw, label) | |
| def _relative_file(root: Path, value: Path, label: str) -> str: | |
| resolved = _resolve_contained_file(root, value, label) | |
| return resolved.relative_to(root.resolve()).as_posix() | |
| def _verify_file(path: Path, sha256: str, byte_count: int, label: str) -> None: | |
| if path.stat().st_size != byte_count: | |
| raise M8ManifestError(f"{label} byte count does not match") | |
| observed = sha256_file(path) | |
| if observed != sha256: | |
| raise M8ManifestError(f"{label} SHA-256 mismatch: expected {sha256}, observed {observed}") | |
| def _range(value: object, label: str) -> tuple[int, int]: | |
| raw = _object(value, label) | |
| _exact_keys(raw, _RANGE_KEYS, label) | |
| start = _integer(raw["start"], f"{label}.start") | |
| end = _integer(raw["end_exclusive"], f"{label}.end_exclusive") | |
| if end <= start: | |
| raise M8ManifestError(f"{label} must be non-empty") | |
| return start, end | |
| def _observed_range(value: object, label: str) -> tuple[int, int]: | |
| raw = _object(value, label) | |
| _exact_keys(raw, _OBSERVED_KEYS, label) | |
| start = _integer(raw["start"], f"{label}.start") | |
| end = _integer(raw["end_inclusive"], f"{label}.end_inclusive") | |
| if end < start: | |
| raise M8ManifestError(f"{label} ends before it starts") | |
| return start, end | |
| def _verify_day_range(observed: tuple[int, int], day_range: tuple[int, int], label: str) -> None: | |
| if observed[0] < day_range[0] or observed[1] >= day_range[1]: | |
| raise M8ManifestError(f"{label} falls outside its declared UTC day") | |
| def _expected_entry_order(config: M8StudyConfig) -> tuple[tuple[str, Date, M8PeriodRole], ...]: | |
| return tuple( | |
| (symbol, period.date, period.role) | |
| for period in config.periods | |
| for symbol in config.study.symbols | |
| ) | |
| def _ordered_symbol_metadata( | |
| config: M8StudyConfig, values: Sequence[M8SymbolMetadata] | |
| ) -> tuple[M8SymbolMetadata, ...]: | |
| expected_symbols = config.study.symbols | |
| observed: dict[str, M8SymbolMetadata] = {} | |
| for metadata in values: | |
| if metadata.symbol in observed: | |
| raise M8ManifestError(f"duplicate M8 symbol metadata for {metadata.symbol}") | |
| if metadata.symbol not in expected_symbols: | |
| raise M8ManifestError(f"extra M8 symbol metadata for {metadata.symbol}") | |
| observed[metadata.symbol] = metadata | |
| missing = [symbol for symbol in expected_symbols if symbol not in observed] | |
| if missing: | |
| raise M8ManifestError("missing M8 symbol metadata: " + ", ".join(missing)) | |
| if len(observed) != 2: | |
| raise M8ManifestError("the frozen M8 study requires exactly two symbol metadata entries") | |
| return tuple(observed[symbol] for symbol in expected_symbols) | |
| def _ordered_entries( | |
| config: M8StudyConfig, entries: Sequence[M8ArchiveEntry] | |
| ) -> tuple[M8ArchiveEntry, ...]: | |
| expected = _expected_entry_order(config) | |
| expected_keys = {(symbol, day): role for symbol, day, role in expected} | |
| observed: dict[tuple[str, Date], M8ArchiveEntry] = {} | |
| for entry in entries: | |
| key = (entry.symbol, entry.date) | |
| if key in observed: | |
| raise M8ManifestError( | |
| f"duplicate M8 archive entry for {entry.symbol}/{entry.date.isoformat()}" | |
| ) | |
| expected_role = expected_keys.get(key) | |
| if expected_role is None: | |
| raise M8ManifestError( | |
| f"extra M8 archive entry for {entry.symbol}/{entry.date.isoformat()}" | |
| ) | |
| if entry.role != expected_role: | |
| raise M8ManifestError( | |
| f"role mismatch for {entry.symbol}/{entry.date.isoformat()}: " | |
| f"expected {expected_role}, observed {entry.role}" | |
| ) | |
| observed[key] = entry | |
| missing = [ | |
| f"{symbol}/{day.isoformat()}" | |
| for symbol, day, _role in expected | |
| if (symbol, day) not in observed | |
| ] | |
| if missing: | |
| raise M8ManifestError("missing M8 archive entries: " + ", ".join(missing)) | |
| if len(observed) != 8: | |
| raise M8ManifestError("the frozen M8 study requires exactly eight symbol/date entries") | |
| return tuple(observed[(symbol, day)] for symbol, day, _role in expected) | |
| def _symbol_metadata_payload(root: Path, metadata: M8SymbolMetadata) -> dict[str, object]: | |
| return { | |
| "symbol": metadata.symbol, | |
| "status": metadata.status, | |
| "tick_size": format(metadata.tick_size, "f"), | |
| "lot_size": format(metadata.lot_size, "f"), | |
| "observed_ts_ns": metadata.observed_ts_ns, | |
| "raw_path": _relative_file(root, metadata.raw_path, "exchangeInfo raw body"), | |
| "raw_sha256": metadata.raw_sha256, | |
| "raw_bytes": metadata.raw_bytes, | |
| "source_uri": metadata.source_uri, | |
| "source_manifest_path": _relative_file( | |
| root, | |
| metadata.source_manifest_path, | |
| "exchangeInfo source sidecar", | |
| ), | |
| "source_manifest_sha256": metadata.source_manifest_sha256, | |
| "source_manifest_bytes": metadata.source_manifest_bytes, | |
| } | |
| def _part_payload(root: Path, part: M8NormalizedPart) -> dict[str, object]: | |
| return { | |
| "data_path": _relative_file(root, part.data_path, "normalized Parquet part"), | |
| "data_sha256": part.data_sha256, | |
| "data_bytes": part.data_bytes, | |
| "sidecar_path": _relative_file(root, part.sidecar_path, "normalized part sidecar"), | |
| "sidecar_sha256": part.sidecar_sha256, | |
| "sidecar_bytes": part.sidecar_bytes, | |
| "rows": part.rows, | |
| "write_ordinal": part.write_ordinal, | |
| "observed_range_ns": { | |
| "start": part.observed_start_ns, | |
| "end_inclusive": part.observed_end_inclusive_ns, | |
| }, | |
| } | |
| def _entry_payload(root: Path, entry: M8ArchiveEntry) -> dict[str, object]: | |
| day_start, day_end = _day_bounds_ns(entry.date) | |
| parts = sorted(entry.normalized_parts, key=lambda item: item.write_ordinal) | |
| return { | |
| "symbol": entry.symbol, | |
| "date": entry.date.isoformat(), | |
| "role": entry.role, | |
| "complete": entry.complete, | |
| "requested_range_ns": {"start": day_start, "end_exclusive": day_end}, | |
| "rows": entry.rows, | |
| "trade_id_range": { | |
| "first": entry.first_trade_id, | |
| "last": entry.last_trade_id, | |
| "contiguous_count": entry.rows, | |
| }, | |
| "observed_range_ns": { | |
| "start": entry.observed_start_ns, | |
| "end_inclusive": entry.observed_end_inclusive_ns, | |
| }, | |
| "scales": { | |
| "tick_size": format(entry.tick_size, "f"), | |
| "lot_size": format(entry.lot_size, "f"), | |
| }, | |
| "raw": { | |
| "zip_path": _relative_file(root, entry.raw_zip_path, "raw ZIP"), | |
| "zip_sha256": entry.raw_zip_sha256, | |
| "zip_bytes": entry.raw_zip_bytes, | |
| "uncompressed_bytes": entry.raw_uncompressed_bytes, | |
| "source_uri": entry.raw_source_uri, | |
| "source_manifest_path": _relative_file( | |
| root, entry.raw_source_manifest_path, "raw source sidecar" | |
| ), | |
| "source_manifest_sha256": entry.raw_source_manifest_sha256, | |
| "source_manifest_bytes": entry.raw_source_manifest_bytes, | |
| "checksum": { | |
| "path": _relative_file( | |
| root, | |
| entry.raw_checksum_path, | |
| "official archive CHECKSUM", | |
| ), | |
| "sha256": entry.raw_checksum_sha256, | |
| "bytes": entry.raw_checksum_bytes, | |
| "source_uri": entry.raw_checksum_source_uri, | |
| "source_manifest_path": _relative_file( | |
| root, | |
| entry.raw_checksum_source_manifest_path, | |
| "official archive CHECKSUM source sidecar", | |
| ), | |
| "source_manifest_sha256": entry.raw_checksum_source_manifest_sha256, | |
| "source_manifest_bytes": entry.raw_checksum_source_manifest_bytes, | |
| }, | |
| }, | |
| "normalized": { | |
| "dataset_manifest_path": _relative_file( | |
| root, | |
| entry.normalized_dataset_manifest_path, | |
| "normalized dataset manifest", | |
| ), | |
| "dataset_manifest_sha256": entry.normalized_dataset_manifest_sha256, | |
| "dataset_manifest_bytes": entry.normalized_dataset_manifest_bytes, | |
| "rows": entry.rows, | |
| "parts": [_part_payload(root, part) for part in parts], | |
| }, | |
| "quality": { | |
| "report_path": _relative_file(root, entry.quality_report_path, "quality report"), | |
| "report_sha256": entry.quality_report_sha256, | |
| "report_bytes": entry.quality_report_bytes, | |
| "findings_path": _relative_file(root, entry.quality_findings_path, "quality findings"), | |
| "findings_sha256": entry.quality_findings_sha256, | |
| "findings_bytes": entry.quality_findings_bytes, | |
| "errors": entry.quality_errors, | |
| "warnings": entry.quality_warnings, | |
| }, | |
| } | |
| def _manifest_payload( | |
| config: M8StudyConfig, | |
| root: Path, | |
| entries: Sequence[M8ArchiveEntry], | |
| symbol_metadata: Sequence[M8SymbolMetadata], | |
| ) -> dict[str, object]: | |
| ordered = _ordered_entries(config, entries) | |
| ordered_metadata = _ordered_symbol_metadata(config, symbol_metadata) | |
| entry_payloads = [_entry_payload(root, entry) for entry in ordered] | |
| return { | |
| "manifest_version": M8_INPUT_MANIFEST_VERSION, | |
| "artifact_kind": "m8_multidate_trade_input", | |
| "config": { | |
| "semantic_sha256": config.hash, | |
| "source_sha256": config.source_sha256, | |
| "protocol_version": config.study.protocol_version, | |
| }, | |
| "study": { | |
| "name": config.study.name, | |
| "evidence_tier": config.study.evidence_tier, | |
| "source": config.study.source, | |
| "symbols": list(config.study.symbols), | |
| "periods": [ | |
| {"date": period.date.isoformat(), "role": period.role} for period in config.periods | |
| ], | |
| }, | |
| "symbol_metadata": [ | |
| _symbol_metadata_payload(root, metadata) for metadata in ordered_metadata | |
| ], | |
| "total_symbol_metadata_bytes": sum(metadata.raw_bytes for metadata in ordered_metadata), | |
| "total_raw_zip_bytes": sum(entry.raw_zip_bytes for entry in ordered), | |
| "entries": entry_payloads, | |
| } | |
| def _verify_exchange_info_uri(source_uri: str, symbol: str, label: str) -> None: | |
| try: | |
| parsed = urlparse(source_uri) | |
| port = parsed.port | |
| except ValueError as exc: | |
| raise M8ManifestError(f"{label} has an invalid network location") from exc | |
| try: | |
| query = parse_qsl( | |
| parsed.query, | |
| keep_blank_values=True, | |
| strict_parsing=True, | |
| max_num_fields=2, | |
| ) | |
| except ValueError as exc: | |
| raise M8ManifestError(f"{label} has an invalid query") from exc | |
| if ( | |
| parsed.scheme != "https" | |
| or parsed.netloc != "data-api.binance.vision" | |
| or parsed.hostname != "data-api.binance.vision" | |
| or port is not None | |
| or parsed.username is not None | |
| or parsed.password is not None | |
| or parsed.path != "/api/v3/exchangeInfo" | |
| or parsed.params | |
| or parsed.fragment | |
| or query != [("symbol", symbol)] | |
| or any(ord(character) < 0x20 or ord(character) == 0x7F for character in source_uri) | |
| ): | |
| raise M8ManifestError( | |
| f"{label} is not the exact official exchangeInfo request for {symbol}" | |
| ) | |
| def _verify_null_requested_range(value: object, label: str) -> None: | |
| requested = _object(value, label) | |
| _exact_keys(requested, _RANGE_KEYS, label) | |
| if requested["start"] is not None or requested["end_exclusive"] is not None: | |
| raise M8ManifestError(f"{label} must have null API range bounds") | |
| def _verify_exchange_info_payload( | |
| raw_path: Path, | |
| *, | |
| symbol: str, | |
| status: str, | |
| tick_size: Decimal, | |
| lot_size: Decimal, | |
| label: str, | |
| ) -> None: | |
| payload = _read_json_object(raw_path, f"{label} raw body") | |
| symbols = _array(payload.get("symbols"), f"{label} raw body symbols") | |
| if len(symbols) != 1: | |
| raise M8ManifestError(f"{label} raw body must contain exactly the requested symbol") | |
| item = _object(symbols[0], f"{label} raw body symbol") | |
| if _text(item.get("symbol"), f"{label} raw body symbol name") != symbol: | |
| raise M8ManifestError(f"{label} raw body returned a different symbol") | |
| if _text(item.get("status"), f"{label} raw body status") != status: | |
| raise M8ManifestError(f"{label} raw body status does not match") | |
| filters: dict[str, Mapping[str, Any]] = {} | |
| for index, raw_filter in enumerate(_array(item.get("filters"), f"{label} raw body filters")): | |
| filter_value = _object(raw_filter, f"{label} raw body filters[{index}]") | |
| filter_type = _text( | |
| filter_value.get("filterType"), | |
| f"{label} raw body filters[{index}].filterType", | |
| ) | |
| if filter_type in filters: | |
| raise M8ManifestError(f"{label} raw body has duplicate {filter_type} filters") | |
| filters[filter_type] = filter_value | |
| try: | |
| price_filter = filters["PRICE_FILTER"] | |
| lot_filter = filters["LOT_SIZE"] | |
| except KeyError as exc: | |
| raise M8ManifestError( | |
| f"{label} raw body lacks PRICE_FILTER or LOT_SIZE provenance" | |
| ) from exc | |
| source_tick = _decimal(price_filter.get("tickSize"), f"{label} raw PRICE_FILTER.tickSize") | |
| source_lot = _decimal(lot_filter.get("stepSize"), f"{label} raw LOT_SIZE.stepSize") | |
| if source_tick != tick_size or source_lot != lot_size: | |
| raise M8ManifestError(f"{label} declared scales do not match its raw exchangeInfo body") | |
| def _verify_symbol_metadata( | |
| root: Path, | |
| value: object, | |
| expected_symbol: str, | |
| index: int, | |
| ) -> M8SymbolMetadata: | |
| label = f"symbol_metadata[{index}]" | |
| metadata = _object(value, label) | |
| _exact_keys(metadata, _SYMBOL_METADATA_KEYS, label) | |
| symbol = _text(metadata["symbol"], f"{label}.symbol") | |
| if symbol != expected_symbol: | |
| raise M8ManifestError(f"{label} is out of frozen symbol order") | |
| status = _text(metadata["status"], f"{label}.status") | |
| if status != "TRADING": | |
| raise M8ManifestError(f"{label} must prove that {symbol} was TRADING") | |
| tick_size = _decimal(metadata["tick_size"], f"{label}.tick_size") | |
| lot_size = _decimal(metadata["lot_size"], f"{label}.lot_size") | |
| observed_ts_ns = _integer(metadata["observed_ts_ns"], f"{label}.observed_ts_ns", minimum=1) | |
| raw_path = _declared_file(root, metadata["raw_path"], f"{label} raw body") | |
| raw_sha = _digest(metadata["raw_sha256"], f"{label} raw SHA") | |
| raw_bytes = _integer(metadata["raw_bytes"], f"{label} raw bytes", minimum=1) | |
| if raw_bytes > _MAX_SYMBOL_METADATA_BYTES: | |
| raise M8ManifestError( | |
| f"{label} raw body exceeds the {_MAX_SYMBOL_METADATA_BYTES}-byte metadata limit" | |
| ) | |
| _verify_file(raw_path, raw_sha, raw_bytes, f"{label} raw body") | |
| source_uri = _text(metadata["source_uri"], f"{label}.source_uri") | |
| _verify_exchange_info_uri(source_uri, symbol, f"{label}.source_uri") | |
| source_manifest_path = _declared_file( | |
| root, | |
| metadata["source_manifest_path"], | |
| f"{label} source sidecar", | |
| ) | |
| source_manifest_sha = _digest(metadata["source_manifest_sha256"], f"{label} source sidecar SHA") | |
| source_manifest_bytes = _integer( | |
| metadata["source_manifest_bytes"], | |
| f"{label} source sidecar bytes", | |
| minimum=1, | |
| ) | |
| _verify_file( | |
| source_manifest_path, | |
| source_manifest_sha, | |
| source_manifest_bytes, | |
| f"{label} source sidecar", | |
| ) | |
| if raw_path == source_manifest_path: | |
| raise M8ManifestError(f"{label} raw body and source sidecar must be distinct files") | |
| sidecar = _read_json_object(source_manifest_path, f"{label} source sidecar") | |
| _exact_keys(sidecar, _RAW_SIDECAR_KEYS, f"{label} source sidecar") | |
| expected_claims: dict[str, object] = { | |
| "manifest_version": _STORAGE_MANIFEST_VERSION, | |
| "artifact_kind": "raw_source", | |
| "source": "binance_spot_public_api", | |
| "source_uri": source_uri, | |
| "bytes": raw_bytes, | |
| "path": raw_path.name, | |
| } | |
| for key, expected in expected_claims.items(): | |
| if sidecar[key] != expected: | |
| raise M8ManifestError(f"{label} source sidecar {key} claim does not match") | |
| _verify_null_requested_range( | |
| sidecar["requested_range_ns"], f"{label} source sidecar requested range" | |
| ) | |
| checksum = _object(sidecar["checksum"], f"{label} source sidecar checksum") | |
| _exact_keys(checksum, _CHECKSUM_KEYS, f"{label} source sidecar checksum") | |
| if ( | |
| checksum["algorithm"] != "sha256" | |
| or _digest(checksum["value"], f"{label} source sidecar checksum value") != raw_sha | |
| ): | |
| raise M8ManifestError(f"{label} source sidecar checksum does not match") | |
| if sidecar["upstream_checksum_sha256"] is not None: | |
| raise M8ManifestError(f"{label} API source sidecar must not claim an upstream checksum") | |
| downloaded_ts_ns = _utc_ns_from_iso( | |
| sidecar["downloaded_at_utc"], f"{label} source sidecar download timestamp" | |
| ) | |
| if downloaded_ts_ns != observed_ts_ns: | |
| raise M8ManifestError(f"{label} observed timestamp does not match its source sidecar") | |
| response_headers = _object( | |
| sidecar["response_headers"], f"{label} source sidecar response headers" | |
| ) | |
| if not all(type(header_value) is str for header_value in response_headers.values()): | |
| raise M8ManifestError(f"{label} source sidecar response headers must be strings") | |
| _verify_exchange_info_payload( | |
| raw_path, | |
| symbol=symbol, | |
| status=status, | |
| tick_size=tick_size, | |
| lot_size=lot_size, | |
| label=label, | |
| ) | |
| return M8SymbolMetadata( | |
| symbol=symbol, | |
| status=status, | |
| tick_size=tick_size, | |
| lot_size=lot_size, | |
| observed_ts_ns=observed_ts_ns, | |
| raw_path=raw_path, | |
| raw_sha256=raw_sha, | |
| raw_bytes=raw_bytes, | |
| source_uri=source_uri, | |
| source_manifest_path=source_manifest_path, | |
| source_manifest_sha256=source_manifest_sha, | |
| source_manifest_bytes=source_manifest_bytes, | |
| ) | |
| def _verify_official_daily_uri( | |
| source_uri: str, | |
| *, | |
| symbol: str, | |
| expected_name: str, | |
| label: str, | |
| ) -> None: | |
| try: | |
| parsed_uri = urlparse(source_uri) | |
| port = parsed_uri.port | |
| except ValueError as exc: | |
| raise M8ManifestError(f"{label} has an invalid network location") from exc | |
| expected_uri_path = f"/data/spot/daily/aggTrades/{symbol}/{expected_name}" | |
| expected_uri = f"https://data.binance.vision{expected_uri_path}" | |
| if ( | |
| source_uri != expected_uri | |
| or parsed_uri.scheme != "https" | |
| or parsed_uri.netloc != "data.binance.vision" | |
| or parsed_uri.hostname != "data.binance.vision" | |
| or port is not None | |
| or parsed_uri.username is not None | |
| or parsed_uri.password is not None | |
| or parsed_uri.path != expected_uri_path | |
| or parsed_uri.params | |
| or parsed_uri.query | |
| or parsed_uri.fragment | |
| ): | |
| raise M8ManifestError(f"{label} is not the exact official daily archive URI") | |
| def _verify_official_checksum( | |
| *, | |
| entry_label: str, | |
| root: Path, | |
| value: object, | |
| symbol: str, | |
| day: Date, | |
| day_range: tuple[int, int], | |
| zip_path: Path, | |
| zip_sha256: str, | |
| archive_source_uri: str, | |
| archive_sidecar_path: Path, | |
| ) -> tuple[Path, str, int, str, Path, str, int]: | |
| label = f"{entry_label} official CHECKSUM" | |
| checksum = _object(value, label) | |
| _exact_keys(checksum, _ARCHIVE_CHECKSUM_KEYS, label) | |
| archive_name = f"{symbol}-aggTrades-{day.isoformat()}.zip" | |
| checksum_name = f"{archive_name}.CHECKSUM" | |
| checksum_path = _declared_file(root, checksum["path"], f"{label} raw body") | |
| if checksum_path.name != checksum_name: | |
| raise M8ManifestError(f"{label} filename does not match the official archive basename") | |
| checksum_sha = _digest(checksum["sha256"], f"{label} raw SHA") | |
| checksum_bytes = _integer(checksum["bytes"], f"{label} raw bytes", minimum=1) | |
| if checksum_bytes > _MAX_ARCHIVE_CHECKSUM_BYTES: | |
| raise M8ManifestError( | |
| f"{label} exceeds the {_MAX_ARCHIVE_CHECKSUM_BYTES}-byte checksum limit" | |
| ) | |
| _verify_file(checksum_path, checksum_sha, checksum_bytes, f"{label} raw body") | |
| try: | |
| checksum_body = checksum_path.read_bytes() | |
| except OSError as exc: | |
| raise M8ManifestError(f"cannot read {label} raw body: {exc}") from exc | |
| expected_line = f"{zip_sha256} {archive_name}".encode("ascii") | |
| if checksum_body not in { | |
| expected_line, | |
| expected_line + b"\n", | |
| expected_line + b"\r\n", | |
| }: | |
| raise M8ManifestError(f"{label} body must be exactly one ZIP SHA-256/basename line") | |
| source_uri = _text(checksum["source_uri"], f"{label}.source_uri") | |
| if source_uri != f"{archive_source_uri}.CHECKSUM": | |
| raise M8ManifestError(f"{label} URI is not bound to its ZIP URI") | |
| _verify_official_daily_uri( | |
| source_uri, | |
| symbol=symbol, | |
| expected_name=checksum_name, | |
| label=f"{label}.source_uri", | |
| ) | |
| sidecar_path = _declared_file( | |
| root, | |
| checksum["source_manifest_path"], | |
| f"{label} source sidecar", | |
| ) | |
| sidecar_sha = _digest(checksum["source_manifest_sha256"], f"{label} source sidecar SHA") | |
| sidecar_bytes = _integer( | |
| checksum["source_manifest_bytes"], | |
| f"{label} source sidecar bytes", | |
| minimum=1, | |
| ) | |
| _verify_file(sidecar_path, sidecar_sha, sidecar_bytes, f"{label} source sidecar") | |
| if checksum_path in {zip_path, archive_sidecar_path, sidecar_path} or sidecar_path in { | |
| zip_path, | |
| archive_sidecar_path, | |
| }: | |
| raise M8ManifestError(f"{label} evidence paths must be distinct") | |
| sidecar = _read_json_object(sidecar_path, f"{label} source sidecar") | |
| _exact_keys(sidecar, _RAW_SIDECAR_KEYS, f"{label} source sidecar") | |
| expected_claims: dict[str, object] = { | |
| "manifest_version": _STORAGE_MANIFEST_VERSION, | |
| "artifact_kind": "raw_source", | |
| "source": "binance_spot_daily_aggtrades_archive_checksum", | |
| "source_uri": source_uri, | |
| "bytes": checksum_bytes, | |
| "path": checksum_name, | |
| } | |
| for key, expected in expected_claims.items(): | |
| if sidecar[key] != expected: | |
| raise M8ManifestError(f"{label} source sidecar {key} claim does not match") | |
| if _range(sidecar["requested_range_ns"], f"{label} requested range") != day_range: | |
| raise M8ManifestError(f"{label} source sidecar does not claim the full UTC day") | |
| sidecar_checksum = _object(sidecar["checksum"], f"{label} source sidecar checksum") | |
| _exact_keys(sidecar_checksum, _CHECKSUM_KEYS, f"{label} source sidecar checksum") | |
| if ( | |
| sidecar_checksum["algorithm"] != "sha256" | |
| or _digest(sidecar_checksum["value"], f"{label} source sidecar checksum value") | |
| != checksum_sha | |
| ): | |
| raise M8ManifestError(f"{label} source sidecar checksum claim does not match") | |
| if sidecar["upstream_checksum_sha256"] is not None: | |
| raise M8ManifestError(f"{label} source sidecar must not claim an upstream checksum") | |
| if _utc_ns_from_iso(sidecar["downloaded_at_utc"], f"{label} download timestamp") < 1: | |
| raise M8ManifestError(f"{label} download timestamp must be after the Unix epoch") | |
| response_headers = _object(sidecar["response_headers"], f"{label} response headers") | |
| if not all(type(header_value) is str for header_value in response_headers.values()): | |
| raise M8ManifestError(f"{label} response headers must be strings") | |
| return ( | |
| checksum_path, | |
| checksum_sha, | |
| checksum_bytes, | |
| source_uri, | |
| sidecar_path, | |
| sidecar_sha, | |
| sidecar_bytes, | |
| ) | |
| def _verify_raw_source_sidecar( | |
| *, | |
| config: M8StudyConfig, | |
| entry_label: str, | |
| day_range: tuple[int, int], | |
| symbol: str, | |
| day: Date, | |
| zip_path: Path, | |
| zip_sha256: str, | |
| zip_bytes: int, | |
| source_uri: str, | |
| sidecar_path: Path, | |
| ) -> None: | |
| expected_name = f"{symbol}-aggTrades-{day.isoformat()}.zip" | |
| if zip_path.name != expected_name: | |
| raise M8ManifestError(f"{entry_label} raw ZIP filename is not the frozen daily archive") | |
| _verify_official_daily_uri( | |
| source_uri, | |
| symbol=symbol, | |
| expected_name=expected_name, | |
| label=f"{entry_label} source URI", | |
| ) | |
| sidecar = _read_json_object(sidecar_path, f"{entry_label} raw source sidecar") | |
| _exact_keys(sidecar, _RAW_SIDECAR_KEYS, f"{entry_label} raw source sidecar") | |
| if sidecar["manifest_version"] != _STORAGE_MANIFEST_VERSION: | |
| raise M8ManifestError(f"{entry_label} raw source sidecar version is unsupported") | |
| if sidecar["artifact_kind"] != "raw_source": | |
| raise M8ManifestError(f"{entry_label} raw source sidecar kind is invalid") | |
| if sidecar["source"] != config.study.source or sidecar["source_uri"] != source_uri: | |
| raise M8ManifestError(f"{entry_label} raw source sidecar lineage does not match") | |
| if _range(sidecar["requested_range_ns"], f"{entry_label} raw requested range") != day_range: | |
| raise M8ManifestError(f"{entry_label} raw source sidecar is not a complete UTC day") | |
| checksum = _object(sidecar["checksum"], f"{entry_label} raw checksum") | |
| _exact_keys(checksum, _CHECKSUM_KEYS, f"{entry_label} raw checksum") | |
| if ( | |
| checksum.get("algorithm") != "sha256" | |
| or _digest(checksum.get("value"), f"{entry_label} raw checksum value") != zip_sha256 | |
| ): | |
| raise M8ManifestError(f"{entry_label} raw source checksum claim does not match") | |
| if ( | |
| _digest( | |
| sidecar["upstream_checksum_sha256"], | |
| f"{entry_label} upstream checksum", | |
| ) | |
| != zip_sha256 | |
| ): | |
| raise M8ManifestError(f"{entry_label} official upstream checksum does not match") | |
| if _integer(sidecar["bytes"], f"{entry_label} raw sidecar bytes", minimum=1) != zip_bytes: | |
| raise M8ManifestError(f"{entry_label} raw source byte claim does not match") | |
| sidecar_filename = _text(sidecar["path"], f"{entry_label} raw sidecar path") | |
| if Path(sidecar_filename).name != sidecar_filename or sidecar_filename != expected_name: | |
| raise M8ManifestError(f"{entry_label} raw source sidecar path does not match") | |
| if _utc_ns_from_iso(sidecar["downloaded_at_utc"], f"{entry_label} download timestamp") < 1: | |
| raise M8ManifestError(f"{entry_label} download timestamp must be after the Unix epoch") | |
| response_headers = _object(sidecar["response_headers"], f"{entry_label} response headers") | |
| if not all(type(header_value) is str for header_value in response_headers.values()): | |
| raise M8ManifestError(f"{entry_label} response headers must be strings") | |
| def _verify_zip_archive( | |
| *, | |
| config: M8StudyConfig, | |
| entry_label: str, | |
| symbol: str, | |
| day: Date, | |
| zip_path: Path, | |
| uncompressed_bytes: int, | |
| ) -> None: | |
| expected_member = f"{symbol}-aggTrades-{day.isoformat()}.csv" | |
| try: | |
| _preflight_zip_central_directory( | |
| zip_path, | |
| entry_label=entry_label, | |
| expected_member=expected_member, | |
| expected_uncompressed_bytes=uncompressed_bytes, | |
| max_uncompressed_bytes=config.study.max_archive_uncompressed_bytes, | |
| ) | |
| with ZipFile(zip_path) as archive: | |
| members = archive.infolist() | |
| if len(members) != 1: | |
| raise M8ManifestError(f"{entry_label} archive must contain exactly one CSV member") | |
| member = members[0] | |
| member_path = Path(member.filename) | |
| if ( | |
| member.is_dir() | |
| or member.filename != expected_member | |
| or member_path.is_absolute() | |
| or ".." in member_path.parts | |
| ): | |
| raise M8ManifestError(f"{entry_label} archive member is not the frozen daily CSV") | |
| if member.flag_bits & 0x1: | |
| raise M8ManifestError(f"{entry_label} archive member must not be encrypted") | |
| if member.file_size != uncompressed_bytes: | |
| raise M8ManifestError( | |
| f"{entry_label} expanded-byte claim does not match ZIP metadata" | |
| ) | |
| if member.file_size > config.study.max_archive_uncompressed_bytes: | |
| raise M8ManifestError( | |
| f"{entry_label} archive exceeds the frozen expanded-byte ceiling" | |
| ) | |
| except M8ManifestError: | |
| raise | |
| except (BadZipFile, OSError, ValueError) as exc: | |
| raise M8ManifestError( | |
| f"{entry_label} raw archive is not a valid bounded ZIP: {exc}" | |
| ) from exc | |
| def _zip_extra_field_ids(extra: bytes, *, entry_label: str) -> tuple[int, ...]: | |
| """Parse bounded central-directory extra fields without opening a ZIP member.""" | |
| field_ids: list[int] = [] | |
| offset = 0 | |
| while offset < len(extra): | |
| if len(extra) - offset < 4: | |
| raise M8ManifestError( | |
| f"{entry_label} archive central-directory extra field is truncated" | |
| ) | |
| field_id, field_bytes = struct.unpack_from("<HH", extra, offset) | |
| offset += 4 | |
| if field_bytes > len(extra) - offset: | |
| raise M8ManifestError( | |
| f"{entry_label} archive central-directory extra field exceeds its bounds" | |
| ) | |
| field_ids.append(field_id) | |
| offset += field_bytes | |
| return tuple(field_ids) | |
| def _preflight_zip_central_directory( | |
| path: Path, | |
| *, | |
| entry_label: str, | |
| expected_member: str, | |
| expected_uncompressed_bytes: int, | |
| max_uncompressed_bytes: int, | |
| ) -> None: | |
| """Bound and authenticate the one-entry ZIP directory before ``ZipFile`` parses it. | |
| Only the EOCD record and the declared central-directory bytes are read. In | |
| particular, this preflight never seeks to or decompresses the CSV member. | |
| ZIP64 is deliberately unsupported because the frozen daily-archive limits | |
| fit in the classic ZIP fields and accepting ZIP64 would add an unnecessary | |
| parser surface before the economic-data boundary. | |
| """ | |
| try: | |
| size = path.stat().st_size | |
| if size < _ZIP_EOCD_STRUCT.size: | |
| raise M8ManifestError(f"{entry_label} archive is too small to contain a ZIP EOCD") | |
| tail_bytes = min(size, _MAX_ZIP_TAIL_BYTES) | |
| with path.open("rb") as source: | |
| source.seek(size - tail_bytes) | |
| tail = source.read(tail_bytes) | |
| relative_eocd = tail.rfind(_ZIP_EOCD_SIGNATURE) | |
| if relative_eocd < 0 or len(tail) - relative_eocd < _ZIP_EOCD_STRUCT.size: | |
| raise M8ManifestError(f"{entry_label} archive ZIP EOCD is missing or truncated") | |
| ( | |
| _signature, | |
| disk_number, | |
| central_disk, | |
| entries_on_disk, | |
| entries_total, | |
| central_bytes, | |
| central_offset, | |
| comment_bytes, | |
| ) = _ZIP_EOCD_STRUCT.unpack_from(tail, relative_eocd) | |
| eocd_offset = size - tail_bytes + relative_eocd | |
| if eocd_offset + _ZIP_EOCD_STRUCT.size + comment_bytes != size: | |
| raise M8ManifestError( | |
| f"{entry_label} archive ZIP EOCD has trailing or malformed bounds" | |
| ) | |
| if ( | |
| disk_number == _ZIP16_SENTINEL | |
| or central_disk == _ZIP16_SENTINEL | |
| or entries_on_disk == _ZIP16_SENTINEL | |
| or entries_total == _ZIP16_SENTINEL | |
| or central_bytes == _ZIP32_SENTINEL | |
| or central_offset == _ZIP32_SENTINEL | |
| ): | |
| raise M8ManifestError(f"{entry_label} archive ZIP64 is not permitted") | |
| if disk_number != 0 or central_disk != 0: | |
| raise M8ManifestError(f"{entry_label} archive must be a single-disk ZIP") | |
| if entries_on_disk != 1 or entries_total != 1: | |
| raise M8ManifestError( | |
| f"{entry_label} archive must contain exactly one central-directory member" | |
| ) | |
| if central_bytes < _ZIP_CENTRAL_STRUCT.size: | |
| raise M8ManifestError( | |
| f"{entry_label} archive central directory is smaller than one entry" | |
| ) | |
| if central_bytes > _MAX_ZIP_DIRECTORY_BYTES: | |
| raise M8ManifestError( | |
| f"{entry_label} archive central directory exceeds its metadata byte ceiling" | |
| ) | |
| if central_offset + central_bytes != eocd_offset: | |
| raise M8ManifestError(f"{entry_label} archive central-directory bounds are malformed") | |
| with path.open("rb") as source: | |
| source.seek(central_offset) | |
| directory = source.read(central_bytes) | |
| if len(directory) != central_bytes: | |
| raise M8ManifestError(f"{entry_label} archive central directory is truncated") | |
| ( | |
| signature, | |
| _version_made, | |
| _version_needed, | |
| flags, | |
| compression, | |
| _modified_time, | |
| _modified_date, | |
| _crc32, | |
| compressed_bytes, | |
| uncompressed_bytes, | |
| filename_bytes, | |
| extra_bytes, | |
| member_comment_bytes, | |
| member_disk, | |
| _internal_attributes, | |
| _external_attributes, | |
| local_header_offset, | |
| ) = _ZIP_CENTRAL_STRUCT.unpack_from(directory) | |
| if signature != _ZIP_CENTRAL_SIGNATURE: | |
| raise M8ManifestError(f"{entry_label} archive central-directory signature is invalid") | |
| if ( | |
| compressed_bytes == _ZIP32_SENTINEL | |
| or uncompressed_bytes == _ZIP32_SENTINEL | |
| or local_header_offset == _ZIP32_SENTINEL | |
| or member_disk == _ZIP16_SENTINEL | |
| ): | |
| raise M8ManifestError(f"{entry_label} archive ZIP64 entry is not permitted") | |
| if member_disk != 0: | |
| raise M8ManifestError(f"{entry_label} archive member starts on another disk") | |
| declared_entry_bytes = ( | |
| _ZIP_CENTRAL_STRUCT.size + filename_bytes + extra_bytes + member_comment_bytes | |
| ) | |
| if declared_entry_bytes != central_bytes: | |
| raise M8ManifestError( | |
| f"{entry_label} archive central directory does not contain exactly one entry" | |
| ) | |
| filename_start = _ZIP_CENTRAL_STRUCT.size | |
| filename_end = filename_start + filename_bytes | |
| extra_end = filename_end + extra_bytes | |
| filename = directory[filename_start:filename_end] | |
| extra = directory[filename_end:extra_end] | |
| try: | |
| decoded_filename = filename.decode("ascii") | |
| except UnicodeDecodeError as exc: | |
| raise M8ManifestError( | |
| f"{entry_label} archive central member name is not ASCII" | |
| ) from exc | |
| if decoded_filename != expected_member: | |
| raise M8ManifestError( | |
| f"{entry_label} archive central member is not the frozen daily CSV" | |
| ) | |
| if _ZIP64_EXTRA_FIELD_ID in _zip_extra_field_ids(extra, entry_label=entry_label): | |
| raise M8ManifestError(f"{entry_label} archive ZIP64 extra field is not permitted") | |
| if flags & 0x1: | |
| raise M8ManifestError(f"{entry_label} archive member must not be encrypted") | |
| if compression not in {0, 8}: | |
| raise M8ManifestError(f"{entry_label} archive member uses unsupported compression") | |
| if local_header_offset >= central_offset: | |
| raise M8ManifestError( | |
| f"{entry_label} archive local-header offset is outside the payload region" | |
| ) | |
| if uncompressed_bytes != expected_uncompressed_bytes: | |
| raise M8ManifestError( | |
| f"{entry_label} expanded-byte claim does not match ZIP central metadata" | |
| ) | |
| if uncompressed_bytes < 1 or uncompressed_bytes > max_uncompressed_bytes: | |
| raise M8ManifestError(f"{entry_label} archive exceeds the frozen expanded-byte ceiling") | |
| except M8ManifestError: | |
| raise | |
| except (OSError, struct.error, ValueError) as exc: | |
| raise M8ManifestError( | |
| f"{entry_label} raw archive has invalid bounded ZIP metadata: {exc}" | |
| ) from exc | |
| def _verify_quality( | |
| *, | |
| entry_label: str, | |
| rows: int, | |
| quality: Mapping[str, Any], | |
| root: Path, | |
| ) -> tuple[Path, str, int, Path, str, int, int, int]: | |
| _exact_keys(quality, _QUALITY_KEYS, f"{entry_label}.quality") | |
| report_sha = _digest(quality["report_sha256"], f"{entry_label} quality report SHA") | |
| report_bytes = _integer( | |
| quality["report_bytes"], f"{entry_label} quality report bytes", minimum=1 | |
| ) | |
| report_path = _declared_file(root, quality["report_path"], f"{entry_label} quality report") | |
| _verify_file(report_path, report_sha, report_bytes, f"{entry_label} quality report") | |
| findings_sha = _digest(quality["findings_sha256"], f"{entry_label} quality findings SHA") | |
| findings_bytes = _integer( | |
| quality["findings_bytes"], f"{entry_label} quality findings bytes", minimum=0 | |
| ) | |
| findings_path = _declared_file( | |
| root, quality["findings_path"], f"{entry_label} quality findings" | |
| ) | |
| _verify_file(findings_path, findings_sha, findings_bytes, f"{entry_label} quality findings") | |
| errors = _integer(quality["errors"], f"{entry_label} quality errors", minimum=0) | |
| warnings = _integer(quality["warnings"], f"{entry_label} quality warnings", minimum=0) | |
| if errors != 0 or warnings != 0: | |
| raise M8ManifestError(f"{entry_label} has quality findings and is not complete evidence") | |
| if findings_bytes != 0: | |
| raise M8ManifestError(f"{entry_label} zero-finding JSONL must be empty") | |
| report = _read_json_object(report_path, f"{entry_label} quality report") | |
| if report.get("dataset") != "trades": | |
| raise M8ManifestError(f"{entry_label} quality report dataset is not trades") | |
| if _integer(report.get("rows_checked"), f"{entry_label} rows checked", minimum=1) != rows: | |
| raise M8ManifestError(f"{entry_label} quality report row count does not match") | |
| summary = _object(report.get("summary"), f"{entry_label} quality summary") | |
| if _integer(summary.get("errors"), f"{entry_label} report errors", minimum=0) != errors: | |
| raise M8ManifestError(f"{entry_label} quality error count does not match") | |
| if _integer(summary.get("warnings"), f"{entry_label} report warnings", minimum=0) != warnings: | |
| raise M8ManifestError(f"{entry_label} quality warning count does not match") | |
| retained = _array(report.get("findings"), f"{entry_label} retained findings") | |
| if retained: | |
| raise M8ManifestError(f"{entry_label} zero-finding quality report retained findings") | |
| if report.get("mutation_policy") != "observations were not changed or repaired": | |
| raise M8ManifestError(f"{entry_label} quality report mutation policy is invalid") | |
| return ( | |
| report_path, | |
| report_sha, | |
| report_bytes, | |
| findings_path, | |
| findings_sha, | |
| findings_bytes, | |
| errors, | |
| warnings, | |
| ) | |
| def _verify_part( | |
| *, | |
| config: M8StudyConfig, | |
| entry_label: str, | |
| part_index: int, | |
| part_value: object, | |
| dataset_artifact_value: object, | |
| root: Path, | |
| dataset_root: Path, | |
| symbol: str, | |
| day: Date, | |
| day_range: tuple[int, int], | |
| source_uri: str, | |
| raw_sha256: str, | |
| ) -> M8NormalizedPart: | |
| label = f"{entry_label} normalized part {part_index}" | |
| part = _object(part_value, label) | |
| _exact_keys(part, _PART_KEYS, label) | |
| dataset_artifact = _object(dataset_artifact_value, f"{label} dataset descriptor") | |
| _exact_keys(dataset_artifact, _DATASET_PART_KEYS, f"{label} dataset descriptor") | |
| ordinal = _integer(part["write_ordinal"], f"{label}.write_ordinal", minimum=0) | |
| if ( | |
| ordinal != part_index | |
| or _integer( | |
| dataset_artifact["write_ordinal"], | |
| f"{label} dataset write ordinal", | |
| minimum=0, | |
| ) | |
| != ordinal | |
| ): | |
| raise M8ManifestError(f"{label} write ordinals are not contiguous and ordered") | |
| rows = _integer(part["rows"], f"{label}.rows", minimum=1) | |
| if _integer(dataset_artifact["rows"], f"{label} dataset rows", minimum=1) != rows: | |
| raise M8ManifestError(f"{label} dataset row count does not match") | |
| data_sha = _digest(part["data_sha256"], f"{label} data SHA") | |
| sidecar_sha = _digest(part["sidecar_sha256"], f"{label} sidecar SHA") | |
| if _digest(dataset_artifact["data_sha256"], f"{label} dataset data SHA") != data_sha: | |
| raise M8ManifestError(f"{label} dataset data checksum does not match") | |
| if _digest(dataset_artifact["manifest_sha256"], f"{label} dataset sidecar SHA") != sidecar_sha: | |
| raise M8ManifestError(f"{label} dataset sidecar checksum does not match") | |
| data_bytes = _integer(part["data_bytes"], f"{label} data bytes", minimum=1) | |
| sidecar_bytes = _integer(part["sidecar_bytes"], f"{label} sidecar bytes", minimum=1) | |
| data_path = _declared_file(root, part["data_path"], f"{label} data") | |
| sidecar_path = _declared_file(root, part["sidecar_path"], f"{label} sidecar") | |
| nested_data_path = _declared_file( | |
| dataset_root, | |
| dataset_artifact["data_path"], | |
| f"{label} dataset data path", | |
| ) | |
| nested_sidecar_path = _declared_file( | |
| dataset_root, | |
| dataset_artifact["manifest_path"], | |
| f"{label} dataset sidecar path", | |
| ) | |
| if data_path != nested_data_path or sidecar_path != nested_sidecar_path: | |
| raise M8ManifestError(f"{label} explicit paths do not match the dataset manifest") | |
| _verify_file(data_path, data_sha, data_bytes, f"{label} data") | |
| _verify_file(sidecar_path, sidecar_sha, sidecar_bytes, f"{label} sidecar") | |
| observed = _observed_range(part["observed_range_ns"], f"{label} observed range") | |
| dataset_observed = _observed_range( | |
| dataset_artifact["observed_range_ns"], f"{label} dataset observed range" | |
| ) | |
| if observed != dataset_observed: | |
| raise M8ManifestError(f"{label} observed ranges do not match") | |
| _verify_day_range(observed, day_range, f"{label} observed range") | |
| sidecar = _read_json_object(sidecar_path, f"{label} sidecar") | |
| _exact_keys(sidecar, _PART_SIDECAR_KEYS, f"{label} sidecar") | |
| expected_claims: dict[str, object] = { | |
| "manifest_version": _STORAGE_MANIFEST_VERSION, | |
| "artifact_kind": "normalized_parquet", | |
| "dataset": "trades", | |
| "schema_name": "trades", | |
| "schema_version": SCHEMA_VERSION, | |
| "venue": "binance_spot", | |
| "symbol": symbol, | |
| "partition_date": day.isoformat(), | |
| "write_ordinal": ordinal, | |
| "source": config.study.source, | |
| "source_uri": source_uri, | |
| "source_checksum_sha256": raw_sha256, | |
| "rows": rows, | |
| "bytes": data_bytes, | |
| } | |
| for key, expected in expected_claims.items(): | |
| if sidecar[key] != expected: | |
| raise M8ManifestError(f"{label} sidecar {key} claim does not match") | |
| if _range(sidecar["requested_range_ns"], f"{label} sidecar requested range") != day_range: | |
| raise M8ManifestError(f"{label} sidecar requested range does not match") | |
| if _observed_range(sidecar["observed_range_ns"], f"{label} sidecar observed") != observed: | |
| raise M8ManifestError(f"{label} sidecar observed range does not match") | |
| checksum = _object(sidecar["checksum"], f"{label} sidecar checksum") | |
| if ( | |
| checksum.get("algorithm") != "sha256" | |
| or _digest(checksum.get("value"), f"{label} sidecar checksum value") != data_sha | |
| ): | |
| raise M8ManifestError(f"{label} sidecar data checksum does not match") | |
| expected_nested_data = _text(dataset_artifact["data_path"], f"{label} nested data path") | |
| if sidecar["path"] != expected_nested_data: | |
| raise M8ManifestError(f"{label} sidecar path claim does not match") | |
| try: | |
| parquet = pq.ParquetFile(data_path) | |
| if parquet.metadata.num_rows != rows: | |
| raise M8ManifestError(f"{label} Parquet footer row count does not match") | |
| if not parquet.schema_arrow.equals(get_schema("trades"), check_metadata=True): | |
| raise M8ManifestError(f"{label} Parquet schema is not normalized trades") | |
| except M8ManifestError: | |
| raise | |
| except (OSError, pa.ArrowException, ValueError) as exc: | |
| raise M8ManifestError(f"cannot inspect {label} Parquet footer: {exc}") from exc | |
| return M8NormalizedPart( | |
| data_path=data_path, | |
| data_sha256=data_sha, | |
| data_bytes=data_bytes, | |
| sidecar_path=sidecar_path, | |
| sidecar_sha256=sidecar_sha, | |
| sidecar_bytes=sidecar_bytes, | |
| rows=rows, | |
| write_ordinal=ordinal, | |
| observed_start_ns=observed[0], | |
| observed_end_inclusive_ns=observed[1], | |
| ) | |
| def _verify_normalized( | |
| *, | |
| config: M8StudyConfig, | |
| entry_label: str, | |
| normalized: Mapping[str, Any], | |
| root: Path, | |
| symbol: str, | |
| day: Date, | |
| day_range: tuple[int, int], | |
| entry_rows: int, | |
| entry_observed: tuple[int, int], | |
| source_uri: str, | |
| raw_sha256: str, | |
| ) -> tuple[Path, str, int, tuple[M8NormalizedPart, ...]]: | |
| _exact_keys(normalized, _NORMALIZED_KEYS, f"{entry_label}.normalized") | |
| dataset_sha = _digest( | |
| normalized["dataset_manifest_sha256"], f"{entry_label} dataset manifest SHA" | |
| ) | |
| dataset_bytes = _integer( | |
| normalized["dataset_manifest_bytes"], | |
| f"{entry_label} dataset manifest bytes", | |
| minimum=1, | |
| ) | |
| dataset_path = _declared_file( | |
| root, | |
| normalized["dataset_manifest_path"], | |
| f"{entry_label} normalized dataset manifest", | |
| ) | |
| _verify_file( | |
| dataset_path, | |
| dataset_sha, | |
| dataset_bytes, | |
| f"{entry_label} normalized dataset manifest", | |
| ) | |
| if dataset_path.parent.name != "_manifests": | |
| raise M8ManifestError(f"{entry_label} dataset manifest is not under _manifests") | |
| dataset_root = dataset_path.parent.parent.resolve() | |
| if not dataset_root.is_relative_to(root.resolve()): | |
| raise M8ManifestError(f"{entry_label} dataset root escapes the M8 input root") | |
| declared_rows = _integer(normalized["rows"], f"{entry_label} normalized rows", minimum=1) | |
| if declared_rows != entry_rows: | |
| raise M8ManifestError(f"{entry_label} normalized row count does not match") | |
| top_parts = _array(normalized["parts"], f"{entry_label} normalized parts") | |
| if not top_parts: | |
| raise M8ManifestError(f"{entry_label} must declare at least one normalized part") | |
| dataset = _read_json_object(dataset_path, f"{entry_label} dataset manifest") | |
| _exact_keys(dataset, _DATASET_KEYS, f"{entry_label} dataset manifest") | |
| expected_claims: dict[str, object] = { | |
| "manifest_version": _STORAGE_MANIFEST_VERSION, | |
| "dataset": "trades", | |
| "schema_version": SCHEMA_VERSION, | |
| "source": config.study.source, | |
| "source_uri": source_uri, | |
| "rows": entry_rows, | |
| } | |
| for key, expected in expected_claims.items(): | |
| if dataset[key] != expected: | |
| raise M8ManifestError(f"{entry_label} dataset manifest {key} claim does not match") | |
| if _range(dataset["requested_range_ns"], f"{entry_label} dataset requested range") != day_range: | |
| raise M8ManifestError(f"{entry_label} dataset requested range does not match") | |
| dataset_parts = _array(dataset["artifacts"], f"{entry_label} dataset artifacts") | |
| if len(dataset_parts) != len(top_parts): | |
| raise M8ManifestError(f"{entry_label} dataset part count does not match") | |
| parts = tuple( | |
| _verify_part( | |
| config=config, | |
| entry_label=entry_label, | |
| part_index=index, | |
| part_value=top_part, | |
| dataset_artifact_value=dataset_part, | |
| root=root, | |
| dataset_root=dataset_root, | |
| symbol=symbol, | |
| day=day, | |
| day_range=day_range, | |
| source_uri=source_uri, | |
| raw_sha256=raw_sha256, | |
| ) | |
| for index, (top_part, dataset_part) in enumerate(zip(top_parts, dataset_parts, strict=True)) | |
| ) | |
| if len({part.data_path for part in parts}) != len(parts): | |
| raise M8ManifestError(f"{entry_label} contains duplicate normalized part paths") | |
| if len({part.sidecar_path for part in parts}) != len(parts): | |
| raise M8ManifestError(f"{entry_label} contains duplicate normalized sidecar paths") | |
| if sum(part.rows for part in parts) != entry_rows: | |
| raise M8ManifestError(f"{entry_label} normalized part rows do not sum to entry rows") | |
| aggregate_observed = ( | |
| min(part.observed_start_ns for part in parts), | |
| max(part.observed_end_inclusive_ns for part in parts), | |
| ) | |
| if aggregate_observed != entry_observed: | |
| raise M8ManifestError(f"{entry_label} normalized part bounds do not match entry bounds") | |
| return dataset_path, dataset_sha, dataset_bytes, parts | |
| def _verify_entry( | |
| config: M8StudyConfig, | |
| root: Path, | |
| value: object, | |
| expected: tuple[str, Date, M8PeriodRole], | |
| symbol_metadata: M8SymbolMetadata, | |
| index: int, | |
| ) -> M8ArchiveEntry: | |
| label = f"entries[{index}]" | |
| entry = _object(value, label) | |
| _exact_keys(entry, _ENTRY_KEYS, label) | |
| symbol = _text(entry["symbol"], f"{label}.symbol") | |
| day = _parse_date(entry["date"], f"{label}.date") | |
| role = _parse_role(entry["role"], f"{label}.role") | |
| if (symbol, day, role) != expected: | |
| raise M8ManifestError( | |
| f"{label} is out of frozen order or has an unexpected symbol/date/role" | |
| ) | |
| if not _boolean(entry["complete"], f"{label}.complete"): | |
| raise M8ManifestError(f"{label} is not a complete full-day archive") | |
| day_range = _day_bounds_ns(day) | |
| if _range(entry["requested_range_ns"], f"{label}.requested_range_ns") != day_range: | |
| raise M8ManifestError(f"{label} does not claim the exact full UTC day") | |
| rows = _integer(entry["rows"], f"{label}.rows", minimum=1) | |
| trade_ids = _object(entry["trade_id_range"], f"{label}.trade_id_range") | |
| _exact_keys(trade_ids, _TRADE_ID_KEYS, f"{label}.trade_id_range") | |
| first_trade_id = _integer(trade_ids["first"], f"{label}.first_trade_id", minimum=0) | |
| last_trade_id = _integer(trade_ids["last"], f"{label}.last_trade_id", minimum=0) | |
| contiguous_count = _integer( | |
| trade_ids["contiguous_count"], f"{label}.contiguous_count", minimum=1 | |
| ) | |
| if contiguous_count != rows or last_trade_id - first_trade_id + 1 != rows: | |
| raise M8ManifestError(f"{label} aggregate-trade IDs are not a contiguous row count") | |
| observed = _observed_range(entry["observed_range_ns"], f"{label}.observed_range_ns") | |
| _verify_day_range(observed, day_range, f"{label} observed event bounds") | |
| scales = _object(entry["scales"], f"{label}.scales") | |
| _exact_keys(scales, _SCALE_KEYS, f"{label}.scales") | |
| tick_size = _decimal(scales["tick_size"], f"{label}.tick_size") | |
| lot_size = _decimal(scales["lot_size"], f"{label}.lot_size") | |
| if ( | |
| symbol_metadata.symbol != symbol | |
| or tick_size != symbol_metadata.tick_size | |
| or lot_size != symbol_metadata.lot_size | |
| ): | |
| raise M8ManifestError( | |
| f"{label} scales do not match verified exchangeInfo metadata for {symbol}" | |
| ) | |
| raw = _object(entry["raw"], f"{label}.raw") | |
| _exact_keys(raw, _RAW_KEYS, f"{label}.raw") | |
| raw_zip_path = _declared_file(root, raw["zip_path"], f"{label} raw ZIP") | |
| raw_zip_sha = _digest(raw["zip_sha256"], f"{label} raw ZIP SHA") | |
| raw_zip_bytes = _integer(raw["zip_bytes"], f"{label} raw ZIP bytes", minimum=1) | |
| raw_uncompressed_bytes = _integer( | |
| raw["uncompressed_bytes"], f"{label} raw expanded bytes", minimum=1 | |
| ) | |
| if raw_zip_bytes > config.study.max_archive_compressed_bytes: | |
| raise M8ManifestError(f"{label} raw ZIP exceeds the frozen compressed-byte ceiling") | |
| if raw_uncompressed_bytes > config.study.max_archive_uncompressed_bytes: | |
| raise M8ManifestError(f"{label} archive exceeds the frozen expanded-byte ceiling") | |
| _verify_file(raw_zip_path, raw_zip_sha, raw_zip_bytes, f"{label} raw ZIP") | |
| _verify_zip_archive( | |
| config=config, | |
| entry_label=label, | |
| symbol=symbol, | |
| day=day, | |
| zip_path=raw_zip_path, | |
| uncompressed_bytes=raw_uncompressed_bytes, | |
| ) | |
| source_uri = _text(raw["source_uri"], f"{label}.source_uri") | |
| raw_sidecar_path = _declared_file( | |
| root, raw["source_manifest_path"], f"{label} raw source sidecar" | |
| ) | |
| raw_sidecar_sha = _digest(raw["source_manifest_sha256"], f"{label} raw source sidecar SHA") | |
| raw_sidecar_bytes = _integer( | |
| raw["source_manifest_bytes"], f"{label} raw source sidecar bytes", minimum=1 | |
| ) | |
| _verify_file( | |
| raw_sidecar_path, | |
| raw_sidecar_sha, | |
| raw_sidecar_bytes, | |
| f"{label} raw source sidecar", | |
| ) | |
| _verify_raw_source_sidecar( | |
| config=config, | |
| entry_label=label, | |
| day_range=day_range, | |
| symbol=symbol, | |
| day=day, | |
| zip_path=raw_zip_path, | |
| zip_sha256=raw_zip_sha, | |
| zip_bytes=raw_zip_bytes, | |
| source_uri=source_uri, | |
| sidecar_path=raw_sidecar_path, | |
| ) | |
| ( | |
| raw_checksum_path, | |
| raw_checksum_sha, | |
| raw_checksum_bytes, | |
| raw_checksum_source_uri, | |
| raw_checksum_sidecar_path, | |
| raw_checksum_sidecar_sha, | |
| raw_checksum_sidecar_bytes, | |
| ) = _verify_official_checksum( | |
| entry_label=label, | |
| root=root, | |
| value=raw["checksum"], | |
| symbol=symbol, | |
| day=day, | |
| day_range=day_range, | |
| zip_path=raw_zip_path, | |
| zip_sha256=raw_zip_sha, | |
| archive_source_uri=source_uri, | |
| archive_sidecar_path=raw_sidecar_path, | |
| ) | |
| normalized = _object(entry["normalized"], f"{label}.normalized") | |
| dataset_path, dataset_sha, dataset_bytes, parts = _verify_normalized( | |
| config=config, | |
| entry_label=label, | |
| normalized=normalized, | |
| root=root, | |
| symbol=symbol, | |
| day=day, | |
| day_range=day_range, | |
| entry_rows=rows, | |
| entry_observed=observed, | |
| source_uri=source_uri, | |
| raw_sha256=raw_zip_sha, | |
| ) | |
| quality = _object(entry["quality"], f"{label}.quality") | |
| ( | |
| quality_report_path, | |
| quality_report_sha, | |
| quality_report_bytes, | |
| quality_findings_path, | |
| quality_findings_sha, | |
| quality_findings_bytes, | |
| quality_errors, | |
| quality_warnings, | |
| ) = _verify_quality(entry_label=label, rows=rows, quality=quality, root=root) | |
| return M8ArchiveEntry( | |
| symbol=symbol, | |
| date=day, | |
| role=role, | |
| complete=True, | |
| rows=rows, | |
| first_trade_id=first_trade_id, | |
| last_trade_id=last_trade_id, | |
| observed_start_ns=observed[0], | |
| observed_end_inclusive_ns=observed[1], | |
| tick_size=tick_size, | |
| lot_size=lot_size, | |
| raw_zip_path=raw_zip_path, | |
| raw_zip_sha256=raw_zip_sha, | |
| raw_zip_bytes=raw_zip_bytes, | |
| raw_uncompressed_bytes=raw_uncompressed_bytes, | |
| raw_source_uri=source_uri, | |
| raw_source_manifest_path=raw_sidecar_path, | |
| raw_source_manifest_sha256=raw_sidecar_sha, | |
| raw_source_manifest_bytes=raw_sidecar_bytes, | |
| raw_checksum_path=raw_checksum_path, | |
| raw_checksum_sha256=raw_checksum_sha, | |
| raw_checksum_bytes=raw_checksum_bytes, | |
| raw_checksum_source_uri=raw_checksum_source_uri, | |
| raw_checksum_source_manifest_path=raw_checksum_sidecar_path, | |
| raw_checksum_source_manifest_sha256=raw_checksum_sidecar_sha, | |
| raw_checksum_source_manifest_bytes=raw_checksum_sidecar_bytes, | |
| normalized_dataset_manifest_path=dataset_path, | |
| normalized_dataset_manifest_sha256=dataset_sha, | |
| normalized_dataset_manifest_bytes=dataset_bytes, | |
| normalized_parts=parts, | |
| quality_report_path=quality_report_path, | |
| quality_report_sha256=quality_report_sha, | |
| quality_report_bytes=quality_report_bytes, | |
| quality_findings_path=quality_findings_path, | |
| quality_findings_sha256=quality_findings_sha, | |
| quality_findings_bytes=quality_findings_bytes, | |
| quality_errors=quality_errors, | |
| quality_warnings=quality_warnings, | |
| ) | |
| def _verify_payload( | |
| config: M8StudyConfig, root: Path, payload: Mapping[str, Any] | |
| ) -> tuple[tuple[M8SymbolMetadata, ...], tuple[M8ArchiveEntry, ...]]: | |
| _exact_keys(payload, _TOP_KEYS, "M8 input manifest") | |
| if payload["manifest_version"] != M8_INPUT_MANIFEST_VERSION: | |
| raise M8ManifestError("unsupported M8 input manifest version") | |
| if payload["artifact_kind"] != "m8_multidate_trade_input": | |
| raise M8ManifestError("unexpected M8 input manifest artifact kind") | |
| config_claim = _object(payload["config"], "M8 input manifest config") | |
| _exact_keys(config_claim, _CONFIG_KEYS, "M8 input manifest config") | |
| expected_config = { | |
| "semantic_sha256": config.hash, | |
| "source_sha256": config.source_sha256, | |
| "protocol_version": config.study.protocol_version, | |
| } | |
| if dict(config_claim) != expected_config: | |
| raise M8ManifestError("M8 input manifest is bound to a different frozen configuration") | |
| study = _object(payload["study"], "M8 input manifest study") | |
| _exact_keys(study, _STUDY_KEYS, "M8 input manifest study") | |
| expected_periods = [ | |
| {"date": period.date.isoformat(), "role": period.role} for period in config.periods | |
| ] | |
| observed_periods = _array(study["periods"], "M8 input manifest study periods") | |
| for index, raw_period in enumerate(observed_periods): | |
| period = _object(raw_period, f"M8 input manifest study periods[{index}]") | |
| _exact_keys(period, _STUDY_PERIOD_KEYS, f"M8 input manifest study periods[{index}]") | |
| expected_study: dict[str, object] = { | |
| "name": config.study.name, | |
| "evidence_tier": config.study.evidence_tier, | |
| "source": config.study.source, | |
| "symbols": list(config.study.symbols), | |
| "periods": expected_periods, | |
| } | |
| if dict(study) != expected_study: | |
| raise M8ManifestError("M8 input manifest study scope differs from the frozen protocol") | |
| raw_symbol_metadata = _array(payload["symbol_metadata"], "M8 input manifest symbol metadata") | |
| if len(raw_symbol_metadata) != len(config.study.symbols) or len(raw_symbol_metadata) != 2: | |
| raise M8ManifestError("M8 input manifest must contain exactly two symbol metadata entries") | |
| symbol_metadata = tuple( | |
| _verify_symbol_metadata(root, value, expected_symbol, index) | |
| for index, (value, expected_symbol) in enumerate( | |
| zip(raw_symbol_metadata, config.study.symbols, strict=True) | |
| ) | |
| ) | |
| if len({metadata.symbol for metadata in symbol_metadata}) != len(symbol_metadata): | |
| raise M8ManifestError("M8 input manifest contains duplicate symbol metadata") | |
| if len({metadata.raw_path for metadata in symbol_metadata}) != len(symbol_metadata): | |
| raise M8ManifestError("M8 input manifest reuses an exchangeInfo raw body") | |
| if len({metadata.source_manifest_path for metadata in symbol_metadata}) != len(symbol_metadata): | |
| raise M8ManifestError("M8 input manifest reuses an exchangeInfo source sidecar") | |
| total_symbol_metadata_bytes = _integer( | |
| payload["total_symbol_metadata_bytes"], | |
| "M8 total symbol metadata bytes", | |
| minimum=1, | |
| ) | |
| observed_metadata_total = sum(metadata.raw_bytes for metadata in symbol_metadata) | |
| if total_symbol_metadata_bytes != observed_metadata_total: | |
| raise M8ManifestError("M8 total symbol metadata byte claim does not match") | |
| if total_symbol_metadata_bytes > len(symbol_metadata) * _MAX_SYMBOL_METADATA_BYTES: | |
| raise M8ManifestError("M8 symbol metadata exceeds its bounded total byte ceiling") | |
| metadata_by_symbol = {metadata.symbol: metadata for metadata in symbol_metadata} | |
| raw_entries = _array(payload["entries"], "M8 input manifest entries") | |
| expected_order = _expected_entry_order(config) | |
| if len(raw_entries) != len(expected_order) or len(raw_entries) != 8: | |
| raise M8ManifestError("M8 input manifest must contain exactly eight entries") | |
| entries = tuple( | |
| _verify_entry( | |
| config, | |
| root, | |
| value, | |
| expected, | |
| metadata_by_symbol[expected[0]], | |
| index, | |
| ) | |
| for index, (value, expected) in enumerate(zip(raw_entries, expected_order, strict=True)) | |
| ) | |
| if len({(entry.symbol, entry.date) for entry in entries}) != len(entries): | |
| raise M8ManifestError("M8 input manifest contains duplicate symbol/date entries") | |
| total_raw_zip_bytes = _integer( | |
| payload["total_raw_zip_bytes"], "M8 total raw ZIP bytes", minimum=1 | |
| ) | |
| observed_total = sum(entry.raw_zip_bytes for entry in entries) | |
| if total_raw_zip_bytes != observed_total: | |
| raise M8ManifestError("M8 total raw ZIP byte claim does not match its entries") | |
| if total_raw_zip_bytes > config.study.max_total_download_bytes: | |
| raise M8ManifestError("M8 raw archives exceed the frozen total-download ceiling") | |
| return symbol_metadata, entries | |
| def _encoded_manifest(payload: Mapping[str, Any]) -> bytes: | |
| return ( | |
| json.dumps(payload, indent=2, sort_keys=True, allow_nan=False, ensure_ascii=False) + "\n" | |
| ).encode("utf-8") | |
| def write_m8_input_manifest( | |
| config: M8StudyConfig, | |
| root: str | Path, | |
| entries: Sequence[M8ArchiveEntry], | |
| symbol_metadata: Sequence[M8SymbolMetadata], | |
| *, | |
| output_dir: str | Path | None = None, | |
| ) -> M8InputManifest: | |
| """Validate and atomically publish one deterministic content-addressed manifest.""" | |
| input_root = Path(root).resolve() | |
| if not input_root.is_dir(): | |
| raise M8ManifestError(f"M8 input root does not exist: {input_root}") | |
| payload = _manifest_payload(config, input_root, entries, symbol_metadata) | |
| _verify_payload(config, input_root, payload) | |
| encoded = _encoded_manifest(payload) | |
| digest = hashlib.sha256(encoded).hexdigest() | |
| directory = ( | |
| (input_root / "_manifests").resolve() | |
| if output_dir is None | |
| else ( | |
| Path(output_dir) if Path(output_dir).is_absolute() else input_root / output_dir | |
| ).resolve() | |
| ) | |
| if not directory.is_relative_to(input_root): | |
| raise M8ManifestError("M8 manifest output directory escapes the input root") | |
| directory.mkdir(parents=True, exist_ok=True) | |
| destination = directory / f"m8-input.manifest-{digest[:20]}.json" | |
| if destination.exists(): | |
| if destination.read_bytes() != encoded: | |
| raise M8ManifestError(f"immutable M8 manifest collision at {destination}") | |
| else: | |
| descriptor, temporary_name = tempfile.mkstemp( | |
| dir=directory, | |
| prefix=f".{destination.name}.", | |
| suffix=".tmp", | |
| ) | |
| temporary = Path(temporary_name) | |
| try: | |
| with os.fdopen(descriptor, "wb") as handle: | |
| handle.write(encoded) | |
| handle.flush() | |
| os.fsync(handle.fileno()) | |
| os.replace(temporary, destination) | |
| except BaseException: | |
| temporary.unlink(missing_ok=True) | |
| raise | |
| return read_m8_input_manifest( | |
| config, | |
| input_root, | |
| destination, | |
| manifest_sha256=digest, | |
| ) | |
| def read_m8_input_manifest( | |
| config: M8StudyConfig, | |
| root: str | Path, | |
| manifest_path: str | Path, | |
| *, | |
| manifest_sha256: str, | |
| ) -> M8InputManifest: | |
| """Read and fully verify a manifest and every declared evidence artifact.""" | |
| input_root = Path(root).resolve() | |
| if not input_root.is_dir(): | |
| raise M8ManifestError(f"M8 input root does not exist: {input_root}") | |
| expected_sha = _digest(manifest_sha256, "M8 input manifest SHA") | |
| path = _resolve_contained_file(input_root, Path(manifest_path), "M8 input manifest") | |
| observed_sha = sha256_file(path) | |
| if observed_sha != expected_sha: | |
| raise M8ManifestError( | |
| f"M8 input manifest SHA-256 mismatch: expected {expected_sha}, observed {observed_sha}" | |
| ) | |
| expected_name = f"m8-input.manifest-{expected_sha[:20]}.json" | |
| if path.name != expected_name: | |
| raise M8ManifestError("M8 input manifest filename is not content-addressed") | |
| payload = _read_json_object(path, "M8 input manifest") | |
| symbol_metadata, entries = _verify_payload(config, input_root, payload) | |
| return M8InputManifest( | |
| root=input_root, | |
| path=path, | |
| sha256=expected_sha, | |
| config_sha256=config.hash, | |
| config_source_sha256=config.source_sha256, | |
| protocol_version=config.study.protocol_version, | |
| symbol_metadata=symbol_metadata, | |
| entries=entries, | |
| ) | |
| def verify_m8_input_manifest( | |
| config: M8StudyConfig, | |
| root: str | Path, | |
| manifest_path: str | Path, | |
| *, | |
| manifest_sha256: str, | |
| ) -> M8InputManifest: | |
| """Alias with an explicit verification name for CLI/pipeline call sites.""" | |
| return read_m8_input_manifest( | |
| config, | |
| root, | |
| manifest_path, | |
| manifest_sha256=manifest_sha256, | |
| ) | |
| __all__ = [ | |
| "M8_INPUT_MANIFEST_VERSION", | |
| "M8ArchiveEntry", | |
| "M8InputManifest", | |
| "M8ManifestError", | |
| "M8NormalizedPart", | |
| "M8SymbolMetadata", | |
| "read_m8_input_manifest", | |
| "verify_m8_input_manifest", | |
| "write_m8_input_manifest", | |
| ] | |