feat(orchestrator): add signals.py and config.py

- Signal / FinalSignal dataclasses
- SignalMerger with weighted merge, single-track fallbacks, and cancel-out HOLD
- OrchestratorConfig with all required fields

orchestrator/config.py

@@ -0,0 +1,11 @@
+from dataclasses import dataclass, field
+
+
+@dataclass
+class OrchestratorConfig:
+    quant_backtest_path: str = "/Users/chenshaojie/Downloads/quant_backtest"
+    trading_agents_config: dict = field(default_factory=dict)
+    quant_weight_cap: float = 0.8   # quant 置信度上限
+    llm_weight_cap: float = 0.9     # llm 置信度上限
+    llm_batch_days: int = 7         # LLM 每隔几天运行一次（节省 API）
+    cache_dir: str = "orchestrator/cache"  # LLM 信号缓存目录

orchestrator/signals.py

@@ -0,0 +1,100 @@
+import logging
+from dataclasses import dataclass, field
+from datetime import datetime
+from typing import Optional
+
+logger = logging.getLogger(__name__)
+
+
+@dataclass
+class Signal:
+    ticker: str
+    direction: int        # +1 买入, -1 卖出, 0 持有
+    confidence: float     # 0.0 ~ 1.0
+    source: str           # "quant" | "llm"
+    timestamp: datetime
+    metadata: dict = field(default_factory=dict)  # 原始输出，用于调试
+
+
+@dataclass
+class FinalSignal:
+    ticker: str
+    direction: int        # sign(quant_dir×quant_conf + llm_dir×llm_conf)，sign(0)→0(HOLD)
+    confidence: float     # abs(weighted_sum) / total_conf
+    quant_signal: Optional[Signal]
+    llm_signal: Optional[Signal]
+    timestamp: datetime
+
+
+def _sign(x: float) -> int:
+    """Return +1, -1, or 0."""
+    if x > 0:
+        return 1
+    elif x < 0:
+        return -1
+    return 0
+
+
+class SignalMerger:
+    def merge(self, quant: Optional[Signal], llm: Optional[Signal]) -> FinalSignal:
+        now = datetime.utcnow()
+
+        # 两者均失败
+        if quant is None and llm is None:
+            ticker = ""
+            return FinalSignal(
+                ticker=ticker,
+                direction=0,
+                confidence=0.0,
+                quant_signal=None,
+                llm_signal=None,
+                timestamp=now,
+            )
+
+        ticker = (quant or llm).ticker  # type: ignore[union-attr]
+
+        # 只有 LLM（quant 失败）
+        if quant is None:
+            assert llm is not None
+            return FinalSignal(
+                ticker=ticker,
+                direction=llm.direction,
+                confidence=llm.confidence * 0.7,
+                quant_signal=None,
+                llm_signal=llm,
+                timestamp=now,
+            )
+
+        # 只有 Quant（llm 失败）
+        if llm is None:
+            return FinalSignal(
+                ticker=ticker,
+                direction=quant.direction,
+                confidence=quant.confidence * 0.8,
+                quant_signal=quant,
+                llm_signal=None,
+                timestamp=now,
+            )
+
+        # 两者都有：加权合并
+        weighted_sum = (
+            quant.direction * quant.confidence
+            + llm.direction * llm.confidence
+        )
+        final_direction = _sign(weighted_sum)
+        if final_direction == 0:
+            logger.info(
+                "SignalMerger: weighted_sum=0 for %s — signals cancel out, HOLD",
+                ticker,
+            )
+        total_conf = quant.confidence + llm.confidence
+        final_confidence = abs(weighted_sum) / total_conf if total_conf > 0 else 0.0
+
+        return FinalSignal(
+            ticker=ticker,
+            direction=final_direction,
+            confidence=final_confidence,
+            quant_signal=quant,
+            llm_signal=llm,
+            timestamp=now,
+        )