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Factor Factory

quant-lab Factor Factory turns reusable gold/feature_value rows into versioned factors, tests them against delayed forward labels, and publishes a daily review queue.

It is read-only research infrastructure. It does not generate live orders, cancel orders, amend orders, write exchange state, or change V5/V7 execution.

Production heavy computation is dispatched through the signed NAS Research Compute Plane described in FACTOR_FACTORY_NAS_RESEARCH_PLANE.md. The local CLI is fail-closed unless an operator explicitly sets QUANT_LAB_LOCAL_FACTOR_FACTORY_ENABLED=1 for a maintenance or parity run.

Data Flow

silver/market_bar
  -> gold/feature_value
  -> gold/factor_definition
  -> gold/factor_value
  -> gold/factor_evidence
  -> gold/factor_candidate
  -> gold/factor_correlation_daily
  -> expert pack / web readers

Datasets

gold/factor_definition

Versioned factor metadata:

  • factor_id
  • factor_name
  • factor_family
  • factor_version
  • feature_set
  • feature_version
  • input_features_json
  • template
  • params_json
  • expression_json
  • expression_hash
  • status
  • lookback_bars
  • availability_lag_bars
  • warmup_bars
  • required_bars
  • causal
  • normalization
  • owner
  • enabled

gold/factor_value

Computed factor values:

  • ts remains the historical event key for backward compatibility.
  • event_time is the closed bar timestamp described by the factor value.
  • available_time is when the factor value may be consumed by a strategy.
  • raw_value
  • normalized_value
  • rank_value
  • value
  • factor_status
  • expression_hash
  • data_version
  • calculated_at
  • is_valid
  • invalid_reason
  • quality_flags_json

Values are computed only from existing gold/feature_value rows. Cross-sectional normalization is grouped by factor_id + factor_version + timeframe + ts.

gold/factor_evidence

Per-factor validation metrics:

  • IC / Rank IC
  • IC and Rank IC t-stat
  • top and bottom quantile return
  • long-only after-cost mean bps
  • long-short after-cost mean bps
  • turnover proxy
  • max drawdown
  • edge/cost ratio
  • decision

Decision values:

  • KILL
  • RESEARCH
  • KEEP_SHADOW
  • PAPER_READY

PAPER_READY means paper-review candidate only. It is not live eligibility.

gold/factor_candidate

Daily review queue. Every row has manual_review_required=true; the factory never directly promotes a factor into live execution.

gold/factor_correlation_daily

Pairwise factor correlation table for redundancy control. High correlation should be manually reviewed before paper promotion.

CLI

qlab publish-features \
  --lake-root /var/lib/quant-lab/lake \
  --feature-set core \
  --feature-version v0.1 \
  --timeframe 1H

qlab build-factor-factory \
  --lake-root /var/lib/quant-lab/lake \
  --date auto \
  --feature-set core \
  --feature-version v0.1 \
  --factor-version v0.1 \
  --timeframe 1H \
  --horizon-bars 4,8,24,72 \
  --decision-delay-bars 1 \
  --min-samples 100 \
  --top-quantile 0.2 \
  --cost-quantile p75 \
  --apply

qlab factor-factory-health \
  --lake-root /var/lib/quant-lab/lake

The production request path is qlab request-factor-factory; it seals a signed full-history Snapshot and does not compute or publish Factor Gold locally.

Anti-Leakage Rules

  • Factors consume only previously published feature_value.
  • feature_value itself is computed from closed market_bar.
  • Every factor definition is fail-fast causal: causal=false is rejected.
  • Every factor value separates event_time from available_time.
  • Forward labels use decision_delay_bars >= 1.
  • Validation joins factor timestamp to label feature_ts.
  • decision_ts must be after feature_ts.
  • label_ts must be after decision_ts.

First Default Factors

  • core.close_return_24
  • core.short_reversal_1
  • core.volume_zscore_24
  • core.range_bps
  • core.close_position_in_range
  • core.liquidity_proxy
  • core.momentum_vol_adjusted_24
  • core.volume_momentum_4
  • core.range_vol_ratio
  • core.range_close_location
  • core.liquidity_adjusted_momentum_24
  • core.mean_reversion_vol_adjusted_4

The ordinary local registry defaults to the curated factors. The signed PARITY_FULL NAS compatibility plan explicitly includes sorted auto.single.<feature_name> factors to preserve the audited pre-migration semantics; that choice is recorded in the plan and cannot be expanded by NAS.