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Capstone Engineering Data Dictionary and Historical Template

This page retains the two-asset, USD/share, share, and second-level constructed-engineering fields, together with the historical general template. The French research plan uses the monthly-return dictionary; current status and the separate purposes of the two configs are described in the README. This reader package does not distribute French research-market data. Each field must be defined independently; a template must not be presented as an observation.

Field Type / unit Primary key / frequency Economic meaning event_time available_at revision_time Missingness / cleaning Source / version

Base entities include permanent security ID, exchange, currency, quotes, corporate actions, financial-statement versions, historical constituents, factors, orders, fills, positions, and cash. The specific fields depend on available data. A label with label_end later than the training cutoff cannot enter that fit.

Engineering Foundation Data Dictionary Appendix

Status: A9-B constructed teaching-data baseline (CONSTRUCTED_TEACHING_DATA v1.0.0). No real externally downloaded data or live-market observations.

Field Type / unit Primary key / frequency Economic meaning event_time available_at revision_time Missingness / cleaning Source / version
asset / security_id string (symbol) composite primary key Permanent asset identifier (AssetA, AssetB) - - - Must not be null or duplicated A9-B constructed standard v1.0.0
prior_price float (USD/share) cross-sectional observation / single period Reference price before momentum calculation 2026-08-31T16:00Z (prior_event_time) 2026-09-01T16:00Z 2026-09-01T16:00Z Must be finite and positive (>0>0) A9-B constructed quotes v1.0.0
prior_event_time ISO8601 UTC prior timestamp Time the prior price observation was produced 2026-08-31T16:00Z 2026-09-01T16:00Z 2026-09-01T16:00Z Must be strictly earlier than event_time Constructed metadata v1.0.0
current_price float (USD/share) cross-sectional observation / single period Current reference price for the decision 2026-09-01T16:00Z 2026-09-01T16:00Z 2026-09-01T16:00Z Must be finite and positive (>0>0) A9-B constructed quotes v1.0.0
event_time ISO8601 UTC time the fact occurred Price-matching/fill time observation itself synchronous 2026-09-01T16:00Z Must be timezone-aware UTC Constructed metadata v1.0.0
available_at ISO8601 UTC data-availability time Time the external system could access the data - 2026-09-01T16:00Z 2026-09-01T16:00Z Must satisfy available_at≤signal_time\texttt{available\_at}\le\texttt{signal\_time} Constructed metadata v1.0.0
ingested_at ISO8601 UTC system-ingestion time Time the local system ingested the data - 2026-09-01T16:00Z 2026-09-01T16:00Z Must satisfy ingested_at≤signal_time\texttt{ingested\_at}\le\texttt{signal\_time} Constructed metadata v1.0.0
as_of ISO8601 UTC cross-sectional reference time Time the observation is effective - 2026-09-01T16:00Z 2026-09-01T16:00Z Must satisfy as_of≤signal_time\texttt{as\_of}\le\texttt{signal\_time}; staleness ≤3600 s\le 3600\,\mathrm{s} Constructed metadata v1.0.0
revision_time ISO8601 UTC revision-effective time Time of the latest revision of the observation - 2026-09-01T16:00Z 2026-09-01T16:00Z Must satisfy revision_time≤signal_time\texttt{revision\_time}\le\texttt{signal\_time} Constructed metadata v1.0.0
momentum float (dimensionless scalar) calculated measure One-period return momentum (Pt−Pt−1)/Pt−1(P_t-P_{t-1})/P_{t-1} 2026-09-01T16:05Z 2026-09-01T16:05Z - Must be finite Derived strategy feature v1.0.0
target_quantity float (share) target portfolio holding Target rebalance quantities (A: 10, B: 20) 2026-09-01T16:05Z 2026-09-01T16:05Z - Must be nonnegative Strategy target configuration v1.0.0
trade_time ISO8601 UTC matching time Discrete simulated fill time next day 09:00Z / 09:01Z next day - Must satisfy trade_time>signal_time\texttt{trade\_time}>\texttt{signal\_time} Simulator matching data v1.0.0
mid_price float (USD/share) simulated fill reference Mid-price at the matching time next day 09:00Z / 09:01Z next day - Must be finite and positive (>0>0) Simulator quotes v1.0.0
fill_price float (USD/share) execution price Execution price including half-spread (Pmid+ΔP_{\mathrm{mid}}+\Delta) trade_time trade_time - Spread is embedded; do not charge it twice Ledger fill history v1.0.0
commission float (USD) explicit fee amount Trading commission (10 bps of notional) trade_time trade_time - Must be nonnegative (≥0\ge 0) Ledger fill history v1.0.0
mark_time ISO8601 UTC valuation/settlement time Terminal mark-to-market time 2026-09-02T16:00Z 2026-09-02T16:00Z - Must satisfy mark_time≥trade_time\texttt{mark\_time}\ge\texttt{trade\_time} Simulator valuation mark v1.0.0
mark_price float (USD/share) terminal valuation price Terminal mark-to-market price (A: 102, B: 49) 2026-09-02T16:00Z 2026-09-02T16:00Z - Must be finite and positive (>0>0) Simulator valuation mark v1.0.0
cash float (USD) account cash balance Portfolio liquidity cash continuously marked real time - Balance-sheet reconciliation closes; ending value 7995.998 Single-period event cash ledger v1.0.0
nav float (USD) net asset value NAV (cash + marked holdings) continuously marked real time - Ending value 9995.998, net PnL −4.002-4.002 Single-period event NAV ledger v1.0.0

R2 support domain and units

fixed_quantities in the config must be finite, positive share quantities; a non-positive signal target is 0 share. There is no lot-size validation. Execution and marks must contain exactly the same asset set as observations. General stress simple returns must be finite and ≥−1\ge -1; positive shocks are allowed. Positive raw prices do not guarantee that a ratio-derived feature will be finite, so check momentum after calculation. Reconciliation uses an absolute tolerance of 10−6 USD10^{-6}\,\mathrm{USD}; share checks use share units separately and must not reuse a USD tolerance.

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