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 ( $>0$ )	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 ( $>0$ )	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 $\texttt{available\_at}\le\texttt{signal\_time}$	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 $\texttt{ingested\_at}\le\texttt{signal\_time}$	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 $\texttt{as\_of}\le\texttt{signal\_time}$ ; staleness $\le 3600\,\mathrm{s}$	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 $\texttt{revision\_time}\le\texttt{signal\_time}$	Constructed metadata v1.0.0
`momentum`	float (dimensionless scalar)	calculated measure	One-period return momentum $(P_t-P_{t-1})/P_{t-1}$	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 $\texttt{trade\_time}>\texttt{signal\_time}$	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 ( $>0$ )	Simulator quotes v1.0.0
`fill_price`	float (USD/share)	execution price	Execution price including half-spread ( $P_{\mathrm{mid}}+\Delta$ )	`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 ( $\ge 0$ )	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 $\texttt{mark\_time}\ge\texttt{trade\_time}$	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 ( $>0$ )	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 $-4.002$	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 $\ge -1$ ; 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 $10^{-6}\,\mathrm{USD}$ ; share checks use share units separately and must not reuse a USD tolerance.