ReMe/cookbook/auto-fin

Auto Fin Cookbook

中文

Auto Fin is a local-first, file-native ETF event-research workflow. It identifies market events in CLS news, selects related liquid ETFs, studies similar historical events and subsequent returns, and produces a Chinese research report.

Auto Fin provides event research and holding-period references only. It is not investment advice, does not connect to a broker, and does not place or simulate trades.

Capabilities

• Download CLS news through Tushare and maintain up to 360 days of traceable local news records.
• Rank ETF candidates by previous-trading-day turnover, then select representative ETFs related to current events.
• Search ReMe memory and local news files for similar historical events, with strict source-path and news-ID checks.
• Calculate adjusted D1–D10 historical returns in deterministic code instead of asking an Agent to invent numbers.
• Let an Agent judge event similarity, then calculate weights, expected returns, and a reference holding period in code.
• Save readable Markdown and structured JSON/JSONL artifacts, refresh the daily index, and optionally deliver the report to DingTalk.

The workflow is assembled by daily_cookbook.yaml. Its public schemas are in reme/schema/auto_fin.py, and its steps are in reme/steps/cookbook/auto_fin/.

Quick start

Auto Fin requires Python 3.11 or newer, the core dependencies, a Tushare token, and credentials for the configured Claude Code-compatible endpoint.

From the repository root:

python -m pip install -e ".[core]"
export TUSHARE_TOKEN="your-tushare-token"
export CLAUDE_CODE_API_KEY="your-api-key"
reme start config=daily_cookbook job=auto_fin

The built-in configuration uses qwen3.7-max through DashScope's Anthropic-compatible endpoint. Override these variables to use another compatible model or provider:

export CLAUDE_CODE_MODEL_NAME="your-model"
export CLAUDE_CODE_BASE_URL="https://your-anthropic-compatible-endpoint"

The default workspace is reme_workspace/. This standalone cookbook shares its workspace setting with the daily-paper workflow:

export DAILY_PAPER_WORKSPACE_DIR="/absolute/path/to/reme-workspace"

To deliver the final Markdown report to DingTalk, set:

export DINGTALK_APP_KEY="your-app-key"
export DINGTALK_APP_SECRET="your-app-secret"
export DINGTALK_ROBOT_CODE="your-robot-code"
export DINGTALK_CONVERSATION_IDS="conversation-id-1,conversation-id-2"

DingTalk delivery is skipped when the required values are empty.

Dates and times use Asia/Shanghai. The optional date must be the current date:

reme start config=daily_cookbook job=auto_fin date=2026-07-25

To refresh every configured news day instead of reusing valid historical files:

reme start config=daily_cookbook job=auto_fin force=true

This may issue many Tushare requests. A normal run reuses valid historical news files and always refreshes today's file.

Optional SSH proxy

The outbound proxy is disabled by default. To enable it, uncomment components.outbound_proxy.default in daily_cookbook.yaml, configure non-interactive SSH authentication, and set:

export REME_PROXY_IP="your-ssh-proxy-host"
export REME_PROXY_ACCOUNT="your-ssh-account"

How it works

flowchart LR
    A[Resolve run date and cutoff] --> B[Maintain CLS news files]
    B --> C[Resolve previous A-share trading day]
    C --> D[Build current event window]
    D --> E[Filter liquid ETF candidates]
    E --> F[Agent selects related ETFs]
    F --> G{For each ETF}
    G --> H[Agent searches historical events]
    H --> I[Code resolves original news]
    I --> J[Code calculates adjusted D1-D10 returns]
    J --> K[Agent judges similarity]
    K --> L[Code calculates weighted forecast]
    L --> G
    G --> M[Agent writes the combined report]
    M --> N[Write artifacts and refresh daily index]
    N --> O[Optional DingTalk delivery]

The top-level job contains four Auto Fin steps:

Step	Responsibility	Agent
auto_fin_data_step	Maintain news files and resolve the previous trading day	No
auto_fin_topic_step	Build inputs and select related ETFs and current events	Yes
auto_fin_history_step	Orchestrate historical research and market analysis per ETF	Yes
auto_fin_merge_step	Validate results and produce the final Markdown report	Yes

For each selected ETF, auto_fin_history_step dispatches:

• auto_fin_history_search_step, which asks the Agent for historical news references and then resolves the original records and calculates their returns in code.
• auto_fin_market_step, which asks the Agent only for similarity judgments and then calculates weights and forecasts in code.

Agents handle semantic judgments; deterministic code handles source validation and financial calculations.

Data and time boundaries

News history

auto_fin_data_step reads CLS news from Tushare's major_news endpoint:

• The default lookback is 360 calendar days, including the run date.
• A valid historical file is reused unless force=true.
• Today's file is refreshed through the current decision_at on every run.
• Large responses are fetched through recursively split time windows.
• Records are ordered and deduplicated before being written with a stable news_id.

The current event window is:

(previous A-share trading day at 15:00, decision_at]

Each run rebuilds this complete window; midday and evening runs do not use only the increment since the previous run.

ETF candidates

The candidate universe combines:

• etf_basic for currently listed ETFs and their tracked indexes.
• fund_daily for turnover on the previous A-share trading day.

Code sorts candidates by turnover, removes duplicates by ETF name and index identity, and provides at most 150 candidates to the Topic Agent. The Agent may return at most 20 ETFs and must copy every ETF code, name, and news ID from the generated candidate files.

Turnover is used only to narrow the research universe; it is not a trading signal.

Historical research and forecasting

Source resolution

The History Agent searches by event type, entities, transmission mechanism, and expected direction. It first uses memory_search and may then scan:

daily/YYYY-MM-DD/auto_fin_news_data.jsonl

Its output contains only a reason, news_id, and workspace-relative source_path. Code rejects:

• Current-window news presented as historical evidence.
• Absolute paths, .. traversal, or paths outside the workspace.
• Sources not named auto_fin_news_data.jsonl.
• Missing files or IDs that do not resolve exactly once.
• Records without a usable publication time, title, or body.

Historical Markdown may guide retrieval, but the original news JSONL is the source of truth.

Adjusted returns

For every resolved historical event, code reads fund_daily and fund_adj and calculates up to ten future closes:

• Before 09:30 on a trading day: enter at that day's open.
• From 09:30 until before 15:00: enter at that day's close.
• At or after 15:00, or on a non-trading day: enter at the next trading day's open.
• A daily close later than the current decision_at is excluded.

adjusted_entry = raw_entry × entry_adjustment_factor
adjusted_close = raw_close × close_adjustment_factor
cumulative_return = adjusted_close / adjusted_entry - 1

Missing prices, factors, trading days, or horizons become explicit limitations. They are never filled with Agent-made values.

Similarity and forecast

The Market Agent returns semantic similarity in [-1, 1]:

• Positive values mean a similar mechanism and direction.
• Negative values mean a comparable mechanism but opposite direction.
• Zero means no useful relationship.

Code clamps out-of-range values, ignores zero-similarity events, normalizes weights from absolute similarity, and reverses the historical return direction for negative matches. Each D1–D10 horizon is calculated from the samples available at that horizon. The suggested holding period is the positive-return horizon with the highest expected return, or empty when none is positive.

The result also records limited samples, missing horizons, conflicting return directions, and other data limitations. It is a comparison with a small historical sample, not evidence of statistical significance.

Output layout

reme_workspace/
├── daily/
│   ├── YYYY-MM-DD.md
│   └── YYYY-MM-DD/
│       ├── auto_fin_news_data.jsonl
│       ├── auto_fin_analysis.jsonl
│       └── auto_fin.md
└── resource/
    └── YYYY-MM-DD/
        ├── filtered_news.jsonl
        ├── filtered_etf.jsonl
        ├── auto_fin_topic_output.jsonl
        ├── auto_fin_history_<index>_<ETF-code>_output.json
        ├── auto_fin_market_<index>_<ETF-code>_output.json
        ├── auto_fin_history_output.jsonl
        └── auto_fin_merge_output.json

Important artifacts:

• auto_fin_news_data.jsonl is the user-owned source used to resolve historical news.
• filtered_news.jsonl and filtered_etf.jsonl are bounded inputs for the Topic Agent.
• Per-ETF history files contain resolved source news and code-calculated return paths.
• Per-ETF market files contain code-calculated matches, weights, and D1–D10 forecasts.
• auto_fin_analysis.jsonl contains the final structured analysis for every selected ETF.
• auto_fin.md is the readable report and DingTalk payload.
• daily/YYYY-MM-DD.md is refreshed after report generation so the report is discoverable from the daily index.

News and reports remain ordinary user-owned files. Resource artifacts and search indexes can be rebuilt.

Configuration

Job parameters

Parameter	Default	Meaning
date	Current date	Strict YYYY-MM-DD; only the current date is supported
force	false	Refresh all configured news days

Environment variables

Variable	Required	Meaning
TUSHARE_TOKEN	Yes	News, calendar, ETF daily data, and adjustment factors
CLAUDE_CODE_API_KEY	Yes	Auto Fin Agent credentials
CLAUDE_CODE_MODEL_NAME	No	Defaults to qwen3.7-max
CLAUDE_CODE_BASE_URL	No	Anthropic-compatible endpoint
AUTO_FIN_AGENT_BACKEND	No	Defaults to claude_code
AUTO_FIN_PROJECT_PATH	No	Agent project path; defaults to ..
REME_PROXY_IP	No	SSH proxy host; used only when ssh_http is enabled
REME_PROXY_ACCOUNT	No	SSH proxy account; used only when ssh_http is enabled
DAILY_PAPER_WORKSPACE_DIR	No	Standalone cookbook workspace
DINGTALK_*	No	DingTalk application, robot, and conversation settings

Unit tests can inject tushare_provider through the runtime context and do not require real credentials.

Scheduled jobs

daily_cookbook.yaml defines:

Job	Cron	Asia/Shanghai
auto_fin_0930_cron	30 9 * * *	Daily at 09:30
auto_fin_1145_cron	45 11 * * *	Daily at 11:45
auto_fin_1800_cron	0 18 * * *	Daily at 18:00

These cron expressions do not exclude weekends or market holidays. The workflow resolves the previous A-share trading day but does not currently skip a run merely because the run date is not a trading day.

Agent and security boundaries

The Auto Fin wrapper loads the tushare-data skill, exposes the memory_search job tool, and defaults to bypassPermissions. Prompts constrain each Agent's role, while code revalidates schemas, ETF identities, source paths, news references, and calculated values.

The standalone cookbook does not configure an embedding store by default, so memory_search normally uses BM25 recall. Vector and BM25 fusion becomes available only when an embedding store is configured.

bypassPermissions is not an operating-system sandbox. Review the configured project path, workspace, credentials, and network boundary before deployment.

Reruns and limitations

• Valid historical news files are reused; today's news is always refreshed.
• Outputs use stable per-day paths, so a later same-day run replaces the previous report and resource outputs.
• Auto Fin intentionally has no “report exists, skip” shortcut because its scheduled runs analyze updated news.
• Every successful run attempts DingTalk delivery when configured; notification deduplication is not implemented.
• Missing historical market horizons degrade one sample and are recorded as limitations.
• Invalid dates, missing required services, invalid Agent schemas, unknown ETFs or news IDs, unsafe paths, and inconsistent cross-step ETF identities fail the job.

The current implementation does not include stocks, US-market correlation, portfolio accounting, BUY/SELL/HOLD actions, T+1 execution rules, fees, slippage, broker integration, or real/simulated order execution.

Development

Install development dependencies and run the focused suite:

python -m pip install -e ".[dev,core]"
PYTHONPATH=. pytest tests/unit/test_auto_fin.py -v

The unit suite mocks model and market-data boundaries. Tests requiring real Tushare, model, or DingTalk credentials should be run separately and only with explicit authorization.