diff --git a/docs/dolt-sec-a3-design.md b/docs/dolt-sec-a3-design.md new file mode 100644 index 0000000..f7913f7 --- /dev/null +++ b/docs/dolt-sec-a3-design.md @@ -0,0 +1,188 @@ +# A3 design — SEC fundamentals importer + +Status: **design pass, 2026-07-22 — awaiting sign-off on two plan deviations +(fetch strategy, snapshot mapping).** Not yet implemented. Companion to +`docs/dolt-integration-plan.md` (workstream A, phase A3). Grounded in live SEC +data probes (Apple CIK 0000320193, company_tickers, submissions, daily-index). + +## Objective (unchanged from the plan) + +Populate `fundamental_snapshots` (CIK-keyed, one immutable row per accession) +and `tickers.cik/sic/sic_description` from SEC data, as a `SourceImporter` +plugging into the A1 framework. Shadow only (A3): nothing reads snapshots until +A4; `fundamental_data` is untouched until the A5 parity gate. All new metrics +are display-only. + +## What the SEC data actually looks like (probed, not assumed) + +`data.sec.gov/api/xbrl/companyfacts/CIK##########.json` — one JSON per **issuer +(CIK)** aggregating every period across every filing. Shape: +`facts.us-gaap..units.[] = {start, end, val, fy, fp, form, filed, accn, frame}`. + +Ground-truth findings that drive the design: + +1. **`fp` is only `Q1|Q2|Q3|FY` — there is no `Q4`.** Q4 must be derived. +2. **`fy`/`fp` are the *filing's* fiscal context, not each fact's period.** Proven: + Apple's FY2019 10-K carries a discrete Q3-FY2018 revenue fact + (`start 2018-07-01, end 2018-09-29, val 62.9B`) tagged `fp=FY` — it's a + comparative. **Period identity lives in `(start, end)` + the filing's + `reportDate`, never in `fp/fy`.** Selecting values by `fp` would silently mix + comparatives into the wrong period. +3. SEC provides **both** discrete 3-month facts **and** YTD-cumulative facts + (Apple Q2 FY26: YTD `254,940` over 6mo *and* discrete `111,184` over 3mo; + `143,756 + 111,184 = 254,940`). This confirms the stored-YTD schema: store + cumulative YTD per filing, derive discretes/Q4/TTM at read time. +4. Instant facts (`dei:EntityCommonStockSharesOutstanding`) end on the **cover + date** (2026-04-17), which differs from `period_end` (2026-03-28) → the + `shares_outstanding_date` column added in migration 026. +5. **No conditional-GET support:** the companyfacts endpoint returns no `ETag` + and no `Last-Modified`. AAPL's file is 3.75 MB. So ~505 unconditional fetches + ≈ 0.5–1.5 GB *per run* — the plan's "conditional HTTP no-op" is impossible on + this endpoint. This is the fact that decides the fetch strategy (below). +6. `submissions/CIK##########.json` supplies `sic`, `sicDescription`, + `fiscalYearEnd` (e.g. `0926`), and per-accession `reportDate` + + `acceptanceDateTime` — the keys for period selection and `accepted_at`. +7. `company_tickers.json` uses **dash** tickers (`BRK-B`, `BRK-A`) and maps + `GOOGL`/`GOOG` to the **same** `cik_str` (1652044). The ticker→CIK join reuses + the earnings importer's `normalise_symbol` (dot→dash), so both sides match. + +## Decision 1 (needs sign-off) — fetch strategy: EDGAR daily-index driven + +**Plan said** bulk `companyfacts.zip` + ETag no-op. **Reality:** the data.sec.gov +endpoints expose no validators, and the bulk zip is multi-GB and changes ~daily +(all of EDGAR), so ETag would rarely match → near-daily multi-GB download to get +505 issuers. Per-CIK *conditional* fetch is impossible (finding 5). Per-CIK +*unconditional* is 0.5–1.5 GB every night. + +**Recommended:** drive off the **EDGAR daily-index** (`daily-index/YYYY/QTRn/ +form.YYYYMMDD.idx` — fixed-width Form/Company/CIK/Date/accession, ~3300 rows/day, +confirmed). Each run: + +- `detect_revision` → the latest available daily-index date. If it equals the + last processed date, **`no_op`** (framework's model works cleanly again). +- `stage` → for each index date since the last processed one, parse the form + index, keep rows where `form ∈ {10-K, 10-Q, 10-K/A, 10-Q/A}` **and** CIK ∈ + tracked set, then fetch `companyfacts/CIK.json` for **only those few issuers** + and extract their newly-reported period(s). Most nights this is a handful of + issuers → near-zero transfer, respectful of SEC fair-access. +- **First run (backfill)** has no last-processed date: fetch companyfacts for all + tracked CIKs once (~1 GB one-time) to seed history, then go incremental. + +Why this over the alternatives: transfer scales with *filings*, not with all of +EDGAR or with the universe size every night; it restores the revision/no_op +model; and it's the lightest load on SEC. Cost: daily-index parsing + date +bookkeeping (store last-processed index date in `data_import_runs` / +settings). **This deviates from the plan's "bulk zip" — requesting sign-off.** + +## Decision 2 (needs sign-off) — snapshot mapping: primary-period, YTD, immutable + +One `fundamental_snapshots` row per accession, representing the filing's +**primary current period only** (not its comparatives): + +- **Select the primary period by `end == submissions.reportDate[accn]`** (finding + 2), *not* by `fp/fy`. `fiscal_period` label comes from the filing's own `fp` + (a 10-Q's own `fp` matches its current quarter; a 10-K → `FY`); + `fiscal_year`/`period_start`/`period_end` from the selected facts + submissions. +- **Duration facts → cumulative YTD.** For each concept, pick the duration fact + with `accn == thisFiling`, `end == reportDate`, and `start ≈ fiscal-year start` + (derived from `fiscalYearEnd`), sanity-checked by span length (Q1≈3mo, Q2≈6mo, + Q3≈9mo, FY≈12mo). **If the YTD fact is absent, store null — never a discrete + masquerading as cumulative** (that would poison read-time differencing). +- **Balance-sheet instants → at `end == reportDate`.** `shares_outstanding` is + the exception: take `dei:EntityCommonStockSharesOutstanding` for that accession + and store *its own* `end` in `shares_outstanding_date` (cover date ≠ period_end). +- **Amendments:** a real `10-K/A` / `10-Q/A` is a new accession → a new immutable + row for the same `(cik, fy, fp)`; readers pick the newest valid `accepted_at`. +- **Out of scope (stated, not silent):** restatements that appear *only* as + comparatives inside a later normal filing are **not** captured — only a real + amendment updates a prior period. This narrows the plan's "newest accepted_at + per period" to amendment-driven updates; a deliberate KISS boundary. + +## Read-time derivation (constrains the importer; built in A4) + +From the per-accession YTD rows, all at read time (newest `accepted_at` per +period), following the schema decision already in the plan: + +- discrete quarter = YTD(Qn) − YTD(Qn−1); **Q4 = FY − YTD(Q3)**. +- TTM = sum of the trailing four discrete quarters (e.g. TTM@Q2 = FY(prev) + + YTD(Q2) − YTD(Q2 prev year)). +- YoY = period vs same period a year earlier. +- **Hard rule the importer must enable: any missing period in a run → the derived + value is `null`, never a partial number.** So the importer must aim for + complete consecutive quarter runs per issuer and report gaps. + +## Metric tag catalog (prioritized us-gaap tags + fallbacks) + +Tagging is inconsistent across issuers (the plan's known risk). Each metric +resolves through an ordered tag list; first present wins; unit-checked. + +| Snapshot field | Primary tag | Fallbacks | Unit | +|---|---|---|---| +| revenue | `RevenueFromContractWithCustomerExcludingAssessedTax` | `Revenues`, `SalesRevenueNet` | USD | +| net_income | `NetIncomeLoss` | — | USD | +| operating_income | `OperatingIncomeLoss` | — | USD | +| diluted_eps | `EarningsPerShareDiluted` | — | USD/shares | +| cfo | `NetCashProvidedByUsedInOperatingActivities` | `...ContinuingOperations` | USD | +| capex | `PaymentsToAcquirePropertyPlantAndEquipment` | `PaymentsToAcquireProductiveAssets` | USD | +| depreciation_amortization | `DepreciationDepletionAndAmortization` | `DepreciationAmortizationAndAccretionNet`, `DepreciationAndAmortization` | USD | +| cash_and_st_investments | `CashAndCashEquivalentsAtCarryingValue` (+ ST inv) | ST inv: `ShortTermInvestments`, `MarketableSecuritiesCurrent` | USD | +| total_debt | `LongTermDebtNoncurrent` + `LongTermDebtCurrent` | `LongTermDebt`; +`CommercialPaper`/`ShortTermBorrowings` if present | USD | +| shares_outstanding | `dei:EntityCommonStockSharesOutstanding` | — | shares | + +EBITDA (for net-debt/EBITDA) is derived at read time = operating_income + D&A. +Concepts absent for an issuer → that field is null (display-only; no synthesis). +The exact tag lists live as named constants, tunable without touching logic. + +## Fiscal-period identity + +`fiscalYearEnd` (MMDD from submissions) anchors the fiscal-year start for YTD +span checks and Q4 derivation. Non-calendar fiscal years (Apple's Sept) are +handled because we key on `(start, end)` + `reportDate`, not calendar quarters. +`fiscal_year`/`fiscal_period` are stored from the filing's own `fy`/`fp` for its +primary period (safe — a filing's own context is correct for its current period). + +## CIK resolution & tickers backfill + +- From `company_tickers.json`: `normalise_symbol(ticker) → cik_str`. Set + `tickers.cik` for each tracked ticker (multi-class share one CIK). +- From `submissions/CIK.json`: `sic`, `sicDescription` → `tickers.sic/sic_description`. +- Refreshed by the SEC job; a newly added ticker self-resolves on its next run + (until then its snapshots are absent → metrics null, per the plan). + +## SourceImporter mapping (source = `sec_facts`) + +- `detect_revision` → latest daily-index date (or `backfill` sentinel on first run). +- `stage` → resolve tracked CIKs; (incremental) parse indices since last date → + tracked filers → fetch their companyfacts → build per-accession snapshot rows; + (backfill) fetch all tracked companyfacts. In-memory staged set (KISS, per A1). +- `validate` (fail-closed) → tracked-universe **coverage floor** (issuers with ≥1 + snapshot); **unit/period sanity** (YTD spans within tolerance; EPS in USD/shares); + **no duplicate accession**; **filings skipped for missing period identity are + counted in `validation_json`** (carry-forward from A1 review); an unexpected + companyfacts shape (missing `facts`/`units`) stops promotion. +- `promote` → upsert snapshot rows keyed by unique `accession`, stamped + `import_run_id`; refresh `tickers.cik/sic/sic_description`. Non-destructive + (append-only accessions) — no future-row deletion like earnings. + +## SEC fair-access (operational, per the plan's non-negotiable) + +Identifying `User-Agent` with contact email on every request; well under 10 req/s +with spacing; exponential backoff on 429; **403 → alert and stop, never +retry-loop**. New config: `sec_user_agent`, `sec_request_spacing_seconds`, +`sec_max_retries`. Keep only the last ~2 fetched artifacts on disk for debugging +(reproducibility is the normalized Postgres rows, per the plan). + +## Explicitly out of scope for A3 + +- `fundamental_data` cutover (A5 parity gate) — snapshots only in A3. +- The read-time derivation, API object, and panel (A4). +- Comparative-only restatements (Decision 2). +- Point-in-time backtest enforcement (`accepted_at` stored, not yet enforced). + +## Open questions for sign-off + +1. **Decision 1** (daily-index fetch vs the plan's bulk zip) — approve the deviation? +2. **Decision 2** (primary-period-only; comparative restatements out of scope) — approve? +3. Backfill depth: seed **full** available history per issuer on first run, or cap + at N years (e.g. 5, matching `ohlcv_history_days`)? Full history is cheap to + store and powers the quarter tape / YoY.