4915f1bae4
2 new endpoints: - POST /portfolio/cluster - t-SNE + KMeans clustering by return similarity. Maps stocks to 2D coordinates with cluster labels. - POST /portfolio/similar - find most/least similar stocks by return correlation against a target symbol. Implementation: - sklearn TSNE (method=exact) + KMeans with auto n_clusters - Jitter handling for identical returns edge case - 33 new tests (17 service unit + 16 route integration) - All 503 tests passing
97 lines
3.2 KiB
Python
97 lines
3.2 KiB
Python
"""Routes for portfolio optimization (HRP, correlation, risk parity)."""
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from fastapi import APIRouter, HTTPException
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from pydantic import BaseModel, Field
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from models import ApiResponse
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from route_utils import safe
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import portfolio_service
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router = APIRouter(prefix="/api/v1/portfolio")
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class PortfolioOptimizeRequest(BaseModel):
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symbols: list[str] = Field(..., min_length=1, max_length=50)
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days: int = Field(default=365, ge=1, le=3650)
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@router.post("/optimize", response_model=ApiResponse)
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@safe
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async def portfolio_optimize(request: PortfolioOptimizeRequest):
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"""Compute HRP optimal weights for a list of symbols."""
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try:
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result = await portfolio_service.optimize_hrp(
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request.symbols, days=request.days
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)
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except ValueError as exc:
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raise HTTPException(status_code=400, detail=str(exc))
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return ApiResponse(data=result)
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@router.post("/correlation", response_model=ApiResponse)
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@safe
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async def portfolio_correlation(request: PortfolioOptimizeRequest):
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"""Compute correlation matrix for a list of symbols."""
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try:
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result = await portfolio_service.compute_correlation(
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request.symbols, days=request.days
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)
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except ValueError as exc:
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raise HTTPException(status_code=400, detail=str(exc))
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return ApiResponse(data=result)
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@router.post("/risk-parity", response_model=ApiResponse)
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@safe
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async def portfolio_risk_parity(request: PortfolioOptimizeRequest):
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"""Compute equal risk contribution weights for a list of symbols."""
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try:
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result = await portfolio_service.compute_risk_parity(
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request.symbols, days=request.days
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)
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except ValueError as exc:
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raise HTTPException(status_code=400, detail=str(exc))
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return ApiResponse(data=result)
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class ClusterRequest(BaseModel):
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symbols: list[str] = Field(..., min_length=3, max_length=50)
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days: int = Field(default=180, ge=30, le=3650)
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n_clusters: int | None = Field(default=None, ge=2, le=20)
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class SimilarRequest(BaseModel):
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symbol: str = Field(..., min_length=1, max_length=20)
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universe: list[str] = Field(..., min_length=2, max_length=50)
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days: int = Field(default=180, ge=30, le=3650)
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top_n: int = Field(default=5, ge=1, le=20)
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@router.post("/cluster", response_model=ApiResponse)
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@safe
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async def portfolio_cluster(request: ClusterRequest):
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"""Cluster stocks by return similarity using t-SNE + KMeans."""
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try:
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result = await portfolio_service.cluster_stocks(
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request.symbols, days=request.days, n_clusters=request.n_clusters
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)
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except ValueError as exc:
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raise HTTPException(status_code=400, detail=str(exc))
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return ApiResponse(data=result)
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@router.post("/similar", response_model=ApiResponse)
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@safe
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async def portfolio_similar(request: SimilarRequest):
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"""Find stocks most/least similar to a target by return correlation."""
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try:
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result = await portfolio_service.find_similar_stocks(
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request.symbol,
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request.universe,
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days=request.days,
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top_n=request.top_n,
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)
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except ValueError as exc:
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raise HTTPException(status_code=400, detail=str(exc))
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return ApiResponse(data=result)
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