Factor Mining

skills/factor_mining is the Agent collaboration and research-governance boundary for market-panel factor mining. It owns versioned research objects, abstract ports, and this role/task protocol. It does not implement factor math, IC / turnover / cost statistics, static leakage checks, backtests, platform SDKs, or strategy-domain logic.

Generator roles may create arbitrary Python factor implementations in the appropriate strategies/<domain>/mined_factors/ package. A FactorSpec points to the generated callable by importable module/name; factor execution is not restricted to skills.compute.indicators. Generated functions may reuse skills.compute, pandas/numpy, or implement completely new formulas.

Dependency direction

factor_mining -> compute / analyze / store / report
analyze -> backtest
skills/* must never import strategies/*

Adapters that implement ports live on the factor_mining side and call outward. compute, analyze, store, and report must not depend on a Controller or Agent runtime.

Public Python API

from skills.factor_mining import (
    ResearchBrief,
    FactorSpec,
    FactorComputeRequest,
    FactorExecutionResult,
    FactorExecutionAdapter,
    DataManagerArtifactStore,
    EvaluationRequest,
    EvaluationReport,
    ReviewReport,
    PoolDecision,
    AgentTaskView,
    TaskLease,
    AgentTaskResult,
    ResearchDecision,
    FreezeManifest,
    OOSAuthorization,
    OOSAttempt,
    OOSResult,
    FactorExecutionPort,
    AnalyzePort,
    ArtifactStorePort,
    ReportPort,
    ResearchController,
    CommandRequest,
    ResearchRunStatus,
    CandidateStatus,
)

Phase 01 freezes contracts and ports. Phase 02 adds deterministic adapters under skills.factor_mining.adapters that implement FactorExecutionPort and ArtifactStorePort against skills.compute / skills.store without changing the Phase 01 envelope names. Phase 03 adds AnalyzeAdapter, a thin mapper over skills.analyze.AnalyzeFacade that implements AnalyzePort and translates analyze-native findings/metrics into EvaluationReport / MetricFact / RuleCheck / EvidenceRef without changing Phase 01 shapes or FailureCode members. Phase 04 adds ResearchController plus pure state / budget / policies / isolation / snapshots modules: explicit commands, optimistic versions, idempotency, atomic budget leases, sealed fail-closed task views, append-only hash-chained events, and Human Gate-1 → FreezeManifest. Phase 06 adds a narrow trusted path: authorize_oos → complete_oos → record_gate2_approval → promote / reject_run. The Controller derives the one-shot key from frozen run/candidate/manifest/sealed-split lineage, writes a sealed append-only started attempt before calling either port, and never retries that key after a crash or terminal failure. OOS request construction is an injected trusted factory and must exact-bind the manifest; callers cannot supply split, threshold, compute, or evaluation settings. OOS results, attempt ledgers, Gate-2 approvals, and release knowledge are sealed reference closures: they never become task inputs, generator/reviewer context, or revision inputs. The manifest freezes the trusted evaluation protocol_id independently from the Analyze engine version and records each threshold's official Analyze fact and comparison operator (rank_ic_ir, coverage_worst, or group_turnover_mean). OOS evidence and native artifacts remain separate typed reference collections. ResearchController.build_release_report_request(...) is the separate trusted ReportPort hand-off: it closes over the Brief, FactorSpec, manifest, authorization, optional OOSResult/evidence, both approvals, attempt ledger, and terminal knowledge refs, without serializing panel values into a task or log.

Schema migration 1.4.0

Version 1.4.0 is a deliberate breaking contract upgrade; there are no legacy imports, compatibility wrappers, or permissive replay fallbacks. It adds exact request lineage to EvaluationReport, parent/input-hash hand-off bindings to the task protocol, independently frozen evaluation_protocol_id and canonical oos_metric_selectors to FreezeManifest, content-addressed OOSAttempt, and separate evidence/artifact collections on OOSResult. Persisted pre-1.4.0 objects and event chains must be migrated explicitly outside the Controller or continued as a new versioned run; runtime replay fails closed on the old shape.

Ports

Port	Caller	Responsibility
FactorExecutionPort	Controller	Execute a compute-compatible FactorSpec
AnalyzePort	Controller	preflight / evaluate / compare_to_pool
ArtifactStorePort	Controller	Persist research artifacts under caller namespace
ReportPort	Release/report flow	Render reports from formal refs and facts

Phase 04 controller

ResearchController.handle(CommandRequest) is the only mutation entrypoint. It orchestrates AnalyzePort.preflight → FactorExecutionPort.execute → AnalyzePort.evaluate → AnalyzePort.compare_to_pool and fail-fast rejects on hard failures. It does not compute IC/robustness/backtests. State lives in namespaced snapshot cache + append-only controller_event artifacts (hash chain is authoritative). Concurrent commands CAS on expected next-version slots via put_if_absent; port-bearing commands claim started/idempotency before external calls and persist RecoveryRequired without auto-recompute. DataManagerArtifactStore.put_if_absent / envelope_hash provide cross-process append-only semantics. Sealed capability is judged from trusted store meta plus namespace/hash checks; Gate-1 requires an injected verifier. Replay is fail-closed: each command's complete input/output-ref lists must exact-match its reconstructed state transition. Controller replay additionally revalidates task-authorized refs and re-derives Gate-1 / FreezeManifest authority from trusted storage, so recomputing an event-chain hash cannot authorize a fresh ref, lease, approval, or manifest. Budget reserve/settle/release is atomic per command; duplicate (run_id, aggregate_id, idempotency_key) replays the prior result without re-calling ports.

Phase 02 / 03 adapters

Adapter	Port	Notes
FactorExecutionAdapter	FactorExecutionPort	Requires an injected ArtifactStorePort. Normalizes two-level panels, resolves any importable Python function_ref or structured expression, fingerprints the referenced implementation, runs Factor(..., dropna=False), applies lag, restores index semantics, then persists values/mask and returns real ArtifactRefs
DataManagerArtifactStore	ArtifactStorePort	JSON artifacts under data/factors/<namespace>/artifacts/ with path-traversal guards; optional wide pivots via public DataManager.factor_filename / save_factor
AnalyzeAdapter	AnalyzePort	Requires injected ResolveProtocol(protocol_id) -> ProtocolSnapshot (no guessed defaults). Validates brief/factor/execution identity and protocol↔brief/spec consistency. Calls AnalyzeFacade; maps native findings to Phase 01 checks via a table-driven FailureCode map. Evidence hashes are recomputed from Phase01-visible fields; native extras need injected persist_artifact or surface as ADAPTER_MAPPING_LOSS. Skipped cascade findings never mask the root hard failure.

skills.compute.wrappers.Factor never writes artifacts. The execution adapter does write through the configured store when producing a successful FactorExecutionResult. Successful results carry first-class brief_ref, data_version, split_id, and immutable values_content_hash / valid_mask_content_hash (canonical series_to_payload digests) inside the envelope identity. Failed results set those content hashes to None. Compute/store adapters must not statically depend on a particular strategies module or import skills.analyze; the formula resolver dynamically imports the caller-selected FunctionRef. The analyze mapping adapter may import skills.analyze only. Phase 02 supports missing_policy=keep_nan, output_dtype=float64, and index_restore_policy=restore_original_names_and_order only.

AnalyzeAdapter.preflight runs before Phase 02 execution and uses the official build_prefix_recompute_capability(factor=spec) compile path (no execution yet). Evaluate additionally passes the verified execution for fingerprint exact-match. Pool members are TypedPoolMember(execution, values) — values content must exact-match execution.values_content_hash; execution.brief_ref must exact-equal request.brief_ref (all ObjectRef fields); provenance must exact-include execution.brief_ref and execution.factor_ref (not type placeholders). Pool factor_ref may differ from the candidate factor. compare_to_pool also rehashes candidate load_series values against execution.values_content_hash before calling the facade.

Trust boundary. Production resolvers (resolve_brief / resolve_factor / resolve_execution) and artifact loaders are trusted ports. ArtifactRef content hashes must be validated by a store-backed loader. In-process malicious reflection is outside the security boundary; private capability issuers only prevent public-API misuse.

Contract invariants

• Every versioned object carries schema_version, content hash semantics, and explicit caller namespace.
• EvaluationReport stores deterministic MetricFact / RuleCheck / failure only. Agent rationale and accept/reject decisions live in ReviewReport, PoolDecision, and ResearchDecision.
• FactorSpec formulas are an unrestricted importable Python function_ref or a structured expression plus JSON params. Generated Python source belongs in strategies/ and is referenced by module/name instead of embedded text.
• Role fields are ordinary role_id strings. Python must not copy the role catalog below as an enum, registry, or platform whitelist.

Cross-platform capability protocol

Product names in README / AGENTS.md are compatibility declarations and examples, not a runtime whitelist. This file selects behavior by capability only:

1. Native sub-agent: create isolated role contexts, dispatch, wait, collect.
2. Equivalent isolated tasks: independent input/output contexts with the same structured contracts.
3. Sequential single-agent fallback: run roles in order while rebuilding the minimal authorized context for each role and keeping generation separate from review.

Do not encode vendor tool names, vendor parameters, SDKs, or if platform branches in Python or in this protocol. Default: sub-agents do not recursively spawn further agents. Sealed OOS data and results never enter generation, review, or debate contexts. All modes must return the same contracts and record role_id, parent task, input versions/hashes, output refs, and status.

Phase 05 host execution protocol

The host main agent is the Supervisor. It reads the role blocks below and first discovers only these semantic capabilities: isolated-context creation, parallel dispatch, wait/collect, and cancellation. Select exactly one mode:

1. Native sub-agent mode when isolated contexts, parallel dispatch, and wait/collect are all available.
2. Equivalent isolated-task mode when isolated contexts and collection are available but native dispatch semantics are not.
3. Sequential fallback otherwise, rebuilding the same minimum authorized view before each role step.

This is capability discovery, not an instruction to implement an agent runtime inside Python. In every mode, preserve the SKILL declaration order for stable task ids, collection order, audit keys, and summaries; completion timing must never affect candidate ordering, budget use, or the resulting contracts.

For an active Brief, hand the four FactorSpec roles logically independent Brief projections. The host may execute them concurrently only after the Controller has issued their leases. Every submitted result must exact-match its Controller-issued task view: task/run/parent/role ids, expected output type, input-ref hashes, and a budget consumption no greater than the lease. The Controller and trusted store remain the authority for state transition, idempotency, object existence, and content-hash verification.

After deterministic evaluation, the two ReviewReport roles receive the same formal FactorSpec/EvaluationReport snapshot but never each other's draft. The PoolDecision role begins only after both independent reviews return accepted formal results. A failed, timed-out, cancelled, or duplicate return is reported through the corresponding Controller command; it never triggers a second lease or direct state write. A child task must not delegate or recursively spawn.

Do not debate a hard safety, leakage, data-availability, or threshold failure. For a high-value conflict only, reuse the original involved roles and follow Claim → Evidence → Objection → Falsification Test → Response → Decision. There are at most two rounds and at most one revision. A revision is a new candidate that consumes the Controller lease and completes the full preflight → compute → evaluate → independent-review path before synthesis.

Shared task template envelope

Every spawned task must include:

• goal
• immutable input refs and content hashes
• budget lease
• required checks
• forbidden actions
• exactly one expected output contract / schema version

Every structured return must include envelope ids, status, one structured output or failure, evidence/artifact refs, budget consumption, and handoff target. When a Generator creates Python source, the structured output remains the FactorSpec; the generated module/test files are source artifacts referenced by the spec's function_ref and reported in the task's artifact refs.

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Roles

This section is the only authoritative catalog of the eight logical roles.

Role: supervisor

role_id: supervisor
purpose: Coordinate research under a fixed Research Brief; allocate budgets; decide continue/revise/stop/freeze without replacing reviewers or inventing metrics.
spawn_when: A valid ResearchBrief is active and research coordination is required. Usually performed by the host main agent; do not spawn a second supervisor by default.
do_not_spawn_when: Sealed OOS is open; no Brief is fixed; a freeze/OOS deterministic path is already running without coordination needs.
task_template: |
  Goal: discover current agent capabilities, allocate remaining budget, and emit a ResearchDecision and/or task list.
  Inputs: ResearchBrief ref+hash; authorized candidate/status refs only.
  Must check: Brief hash validity; budget remaining; whether generation, review, synthesis, debate, or stop is appropriate.
  Forbidden: computing metrics; accepting candidates in place of reviewers; reading sealed OOS; inventing EvaluationReport facts.
  Output: ResearchDecision (and optional task list refs).
required_inputs: ResearchBrief; optional authorized candidate and report refs
allowed_tools: ArtifactStorePort read of authorized refs; Controller task-ready queries when available
forbidden_actions: metric calculation; sealed OOS access; silent standard changes; recursive role spawning unless a future protocol explicitly authorizes it
output_contract: ResearchDecision
stop_conditions: budget exhausted; stop/freeze/reject decision issued; Brief invalidated
handoff_to: Controller state; Generator/Reviewer/Synthesizer tasks as decided

Role: trend_momentum_generator

role_id: trend_momentum_generator
purpose: Propose a limited number of Trend/Momentum FactorSpec candidates with economic hypotheses.
spawn_when: ResearchBrief is fixed; trend/momentum-relevant fields are available; candidate budget remains; research is not in sealed/frozen OOS.
do_not_spawn_when: budget exhausted; required fields missing; sealed OOS stage; freeze already completed for the run.
task_template: |
  Goal: generate a finite set of FactorSpec objects in the trend/momentum family only.
  Inputs: ResearchBrief projection; authorized success/failure knowledge refs for this family.
  Must check: required fields present; generate a new Python factor when the hypothesis is not covered by existing code; function follows the Factor single-symbol input/output contract; params are JSON-serializable.
  Forbidden: other families; metric invention; sealed OOS; modifying Brief standards.
  Output: one or more FactorSpec objects within budget.
required_inputs: ResearchBrief
allowed_tools: authorized knowledge/artifact refs; workspace read/write for the assigned strategies domain and matching tests
forbidden_actions: review decisions; pool acceptance; metric calculation; sealed OOS access
output_contract: FactorSpec
stop_conditions: family budget exhausted; no new non-duplicate hypothesis; required fields unavailable
handoff_to: Controller for preflight/compute/evaluate

Role: mean_reversion_price_structure_generator

role_id: mean_reversion_price_structure_generator
purpose: Propose Mean-Reversion and Price-Structure FactorSpec candidates only.
spawn_when: ResearchBrief is fixed; relevant price-structure fields are available; candidate budget remains; not sealed/frozen OOS.
do_not_spawn_when: budget exhausted; required fields missing; sealed OOS stage.
task_template: |
  Goal: generate a finite set of FactorSpec objects in the mean-reversion/price-structure family only.
  Inputs: ResearchBrief projection; authorized family knowledge refs.
  Must check: required fields; generate a new Python factor when useful; Factor callable contract; JSON params; falsification tests listed.
  Forbidden: other families; metrics; sealed OOS; Brief mutation.
  Output: FactorSpec set within budget.
required_inputs: ResearchBrief
allowed_tools: authorized knowledge/artifact refs; workspace read/write for the assigned strategies domain and matching tests
forbidden_actions: review decisions; pool acceptance; metric calculation; sealed OOS access
output_contract: FactorSpec
stop_conditions: family budget exhausted; no new hypothesis family; fields unavailable
handoff_to: Controller for preflight/compute/evaluate

Role: volume_liquidity_generator

role_id: volume_liquidity_generator
purpose: Propose Volume/Liquidity FactorSpec candidates only.
spawn_when: ResearchBrief is fixed; volume/liquidity fields available; candidate budget remains; not sealed/frozen OOS.
do_not_spawn_when: budget exhausted; required fields missing; sealed OOS stage.
task_template: |
  Goal: generate a finite set of FactorSpec objects in the volume/liquidity family only.
  Inputs: ResearchBrief projection; authorized family knowledge refs.
  Must check: required fields; generate a new Python factor when useful; Factor callable contract; JSON params; availability/missing rules.
  Forbidden: other families; metrics; sealed OOS; Brief mutation.
  Output: FactorSpec set within budget.
required_inputs: ResearchBrief
allowed_tools: authorized knowledge/artifact refs; workspace read/write for the assigned strategies domain and matching tests
forbidden_actions: review decisions; pool acceptance; metric calculation; sealed OOS access
output_contract: FactorSpec
stop_conditions: family budget exhausted; no new hypothesis family; fields unavailable
handoff_to: Controller for preflight/compute/evaluate

Role: volatility_risk_regime_generator

role_id: volatility_risk_regime_generator
purpose: Propose Volatility/Risk/Regime FactorSpec candidates only, including regime-conditioned hypotheses.
spawn_when: ResearchBrief is fixed; volatility/risk fields available; candidate budget remains; not sealed/frozen OOS.
do_not_spawn_when: budget exhausted; required fields missing; sealed OOS stage.
task_template: |
  Goal: generate a finite set of FactorSpec objects in the volatility/risk/regime family only.
  Inputs: ResearchBrief projection; authorized family knowledge refs.
  Must check: required fields; generate a new Python factor when useful; Factor callable contract; regime applicability; falsification tests.
  Forbidden: other families; metrics; sealed OOS; Brief mutation.
  Output: FactorSpec set within budget.
required_inputs: ResearchBrief
allowed_tools: authorized knowledge/artifact refs; workspace read/write for the assigned strategies domain and matching tests
forbidden_actions: review decisions; pool acceptance; metric calculation; sealed OOS access
output_contract: FactorSpec
stop_conditions: family budget exhausted; no new hypothesis family; fields unavailable
handoff_to: Controller for preflight/compute/evaluate

Role: methodology_critic

role_id: methodology_critic
purpose: Independently review economic mechanism, overfitting risk, robustness, and propose executable falsification tests.
spawn_when: A FactorSpec has a formal EvaluationReport on authorized splits.
do_not_spawn_when: No EvaluationReport; only informal notes exist; sealed OOS context; candidate already hard-failed on safety/leakage.
task_template: |
  Goal: produce a ReviewReport using only formal EvaluationReport evidence.
  Inputs: FactorSpec ref+hash; EvaluationReport ref+hash; Brief acceptance criteria.
  Must check: mechanism plausibility; complexity vs known factors; subsample/regime fragility; multiple-testing load; propose executable falsification tests.
  Forbidden: inventing metrics; accepting/promoting candidates; sealed OOS; modifying FactorSpec in place.
  Output: ReviewReport.
required_inputs: FactorSpec; EvaluationReport
allowed_tools: AnalyzePort read-only evidence via authorized refs; ArtifactStorePort get
forbidden_actions: new metric calculation; pool acceptance; sealed OOS access; silent formula edits
output_contract: ReviewReport
stop_conditions: review complete; hard methodological failure recorded; budget/lease expired
handoff_to: Supervisor / Controller; optional debate reuse

Role: leakage_and_code_reviewer

role_id: leakage_and_code_reviewer
purpose: Independently check time boundaries, data lineage, and formula semantics; may hard-fail deterministic violations.
spawn_when: Factor formula materials and deterministic check artifacts/EvaluationReport sections are available.
do_not_spawn_when: No formula/check materials; sealed OOS context only; review already hard-failed with no new materials.
task_template: |
  Goal: produce a ReviewReport focused on leakage, lookahead, survivor bias, adjustment/missing handling, and formula-semantic mismatch.
  Inputs: FactorSpec; EvaluationReport / deterministic check evidence; Brief data rules.
  Must check: future function / bad shifts; universe survivor bias; adjustment and missing rules; cross-sectional normalization lookahead; label/feature/execution time borders; formula vs semantics.
  Forbidden: inventing metrics; debating away hard safety failures; sealed OOS; accepting candidates.
  Output: ReviewReport with explicit violation codes and evidence.
required_inputs: FactorSpec; EvaluationReport or deterministic check evidence
allowed_tools: AnalyzePort evidence refs; ArtifactStorePort get
forbidden_actions: metric invention; pool acceptance; sealed OOS access
output_contract: ReviewReport
stop_conditions: hard-fail issued; review complete; lease expired
handoff_to: Supervisor / Controller; optional debate reuse

Role: pool_synthesizer