feat: autonomous trading engine — full implementation

- Database migration 018 with 13 tables for trading engine state - Trading engine service (services/trading/) with 12 pure computation modules: position sizer, stop-loss manager, reserve pool, circuit breaker, risk tier controller, correlation matrix, tax lots, trading window, gradual entry, notifications, micro-trading, backtester - Core TradingEngine with pre-trade evaluation pipeline and integration wiring - FastAPI HTTP service with 14 endpoints (health, config, decisions, metrics, backtest) - Performance tracker with Sharpe ratio, drawdown, profit factor computation - 194 Python tests (165 property-based + 29 integration) - Frontend: 13 TanStack Query hooks, 7 dashboard panels, tabbed Trading Engine page - Helm chart entry, network policy, nginx proxy, ingress for trading-engine - Shared infrastructure: enums, Redis keys, TradingConfig in AppConfig
2026-04-15 16:12:22 +00:00
parent da86132f0c
commit 4ffde8cc06
58 changed files with 14168 additions and 1 deletions
@@ -0,0 +1,365 @@
+-- Autonomous Trading Engine
+-- Adds tables for trading engine configuration, reserve pool management,
+-- risk tier history, circuit breakers, trading decisions, stop levels,
+-- portfolio snapshots, backtesting, tax lots, earnings calendar,
+-- correlation matrix cache, and notifications.
+
+-- ============================================================
+-- Trading Engine Configuration
+-- ============================================================
+
+CREATE TABLE trading_engine_config (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    enabled BOOLEAN NOT NULL DEFAULT FALSE,
+    paused BOOLEAN NOT NULL DEFAULT FALSE,
+    risk_tier VARCHAR(20) NOT NULL DEFAULT 'moderate',
+    reserve_siphon_pct FLOAT NOT NULL DEFAULT 0.20,
+    polling_interval_seconds INTEGER NOT NULL DEFAULT 60,
+    gradual_entry_tranches INTEGER NOT NULL DEFAULT 3,
+    gradual_entry_threshold_dollars FLOAT NOT NULL DEFAULT 30.0,
+    gradual_entry_interval_minutes INTEGER NOT NULL DEFAULT 15,
+    trading_window_start_minutes INTEGER NOT NULL DEFAULT 15,
+    trading_window_end_minutes INTEGER NOT NULL DEFAULT 15,
+    max_open_positions INTEGER NOT NULL DEFAULT 10,
+    circuit_breaker_daily_loss_pct FLOAT NOT NULL DEFAULT 0.05,
+    circuit_breaker_single_position_loss_pct FLOAT NOT NULL DEFAULT 0.15,
+    circuit_breaker_ticker_cooldown_hours INTEGER NOT NULL DEFAULT 48,
+    circuit_breaker_volatility_pause_hours INTEGER NOT NULL DEFAULT 2,
+    circuit_breaker_stop_loss_hits_threshold INTEGER NOT NULL DEFAULT 3,
+    circuit_breaker_stop_loss_window_minutes INTEGER NOT NULL DEFAULT 30,
+    active_pool_minimum FLOAT NOT NULL DEFAULT 100.0,
+    emergency_drawdown_threshold_pct FLOAT NOT NULL DEFAULT 0.40,
+    reserve_high_water_pct FLOAT NOT NULL DEFAULT 0.30,
+    absolute_position_cap FLOAT NOT NULL DEFAULT 50.0,
+    correlation_reduction_threshold FLOAT NOT NULL DEFAULT 0.5,
+    correlation_rejection_threshold FLOAT NOT NULL DEFAULT 0.8,
+    earnings_pre_window_days INTEGER NOT NULL DEFAULT 3,
+    earnings_post_cooldown_days INTEGER NOT NULL DEFAULT 1,
+    micro_trading_enabled BOOLEAN NOT NULL DEFAULT FALSE,
+    micro_trading_interval_seconds INTEGER NOT NULL DEFAULT 300,
+    micro_trading_allocation_cap_pct FLOAT NOT NULL DEFAULT 0.03,
+    micro_trading_max_daily INTEGER NOT NULL DEFAULT 10,
+    micro_trading_max_hold_minutes INTEGER NOT NULL DEFAULT 120,
+    notification_sms_enabled BOOLEAN NOT NULL DEFAULT FALSE,
+    notification_email_enabled BOOLEAN NOT NULL DEFAULT FALSE,
+    notification_phone_number VARCHAR(20),
+    notification_email_recipient VARCHAR(200),
+    notification_sns_topic_arn VARCHAR(300),
+    notification_rate_limit_sms_per_hour INTEGER NOT NULL DEFAULT 10,
+    notification_rate_limit_email_per_hour INTEGER NOT NULL DEFAULT 20,
+    notification_daily_summary_time TIME NOT NULL DEFAULT '16:30',
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
+);
+
+-- ============================================================
+-- Reserve Pool Ledger
+-- ============================================================
+
+CREATE TABLE reserve_pool_ledger (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    amount FLOAT NOT NULL,
+    balance_after FLOAT NOT NULL,
+    trigger_type VARCHAR(30) NOT NULL,
+    reference_id UUID,
+    notes TEXT,
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    CONSTRAINT chk_trigger_type CHECK (
+        trigger_type IN ('profit_siphon', 'emergency_liquidation', 'manual_adjustment', 'initial')
+    )
+);
+
+CREATE INDEX idx_reserve_pool_ledger_created ON reserve_pool_ledger(created_at DESC);
+
+-- ============================================================
+-- Risk Tier History
+-- ============================================================
+
+CREATE TABLE risk_tier_history (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    previous_tier VARCHAR(20) NOT NULL,
+    new_tier VARCHAR(20) NOT NULL,
+    trigger_source VARCHAR(30) NOT NULL,
+    trigger_metrics JSONB NOT NULL DEFAULT '{}',
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
+);
+
+CREATE INDEX idx_risk_tier_history_created ON risk_tier_history(created_at DESC);
+
+-- ============================================================
+-- Circuit Breaker Events
+-- ============================================================
+
+CREATE TABLE circuit_breaker_events (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    trigger_type VARCHAR(30) NOT NULL,
+    threshold_value FLOAT,
+    actual_value FLOAT,
+    ticker VARCHAR(20),
+    cooldown_expires TIMESTAMPTZ,
+    resolved_at TIMESTAMPTZ,
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    CONSTRAINT chk_cb_trigger_type CHECK (
+        trigger_type IN ('daily_loss', 'single_position', 'volatility', 'manual')
+    )
+);
+
+CREATE INDEX idx_circuit_breaker_events_active ON circuit_breaker_events(created_at DESC)
+    WHERE resolved_at IS NULL;
+
+-- ============================================================
+-- Trading Decisions
+-- ============================================================
+
+CREATE TABLE trading_decisions (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    recommendation_id UUID REFERENCES recommendations(id),
+    decision VARCHAR(10) NOT NULL,
+    skip_reason TEXT,
+    ticker VARCHAR(20) NOT NULL,
+    computed_position_size FLOAT,
+    computed_share_quantity INTEGER,
+    risk_tier_at_decision VARCHAR(20) NOT NULL,
+    portfolio_heat_at_decision FLOAT,
+    active_pool_at_decision FLOAT,
+    reserve_pool_at_decision FLOAT,
+    circuit_breaker_status VARCHAR(20) NOT NULL DEFAULT 'inactive',
+    correlation_check_result JSONB DEFAULT '{}',
+    sector_exposure_check_result JSONB DEFAULT '{}',
+    earnings_proximity_flag BOOLEAN NOT NULL DEFAULT FALSE,
+    is_micro_trade BOOLEAN NOT NULL DEFAULT FALSE,
+    decision_trace JSONB NOT NULL DEFAULT '{}',
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
+);
+
+CREATE INDEX idx_trading_decisions_ticker ON trading_decisions(ticker, created_at DESC);
+CREATE INDEX idx_trading_decisions_rec ON trading_decisions(recommendation_id);
+CREATE INDEX idx_trading_decisions_decision ON trading_decisions(decision, created_at DESC);
+
+-- ============================================================
+-- Position Stop Levels
+-- ============================================================
+
+CREATE TABLE position_stop_levels (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    ticker VARCHAR(20) NOT NULL,
+    entry_price FLOAT NOT NULL,
+    stop_loss_price FLOAT NOT NULL,
+    take_profit_price FLOAT NOT NULL,
+    trailing_stop_active BOOLEAN NOT NULL DEFAULT FALSE,
+    atr_value FLOAT NOT NULL,
+    atr_multiplier FLOAT NOT NULL,
+    reward_risk_ratio FLOAT NOT NULL,
+    signal_confidence FLOAT,
+    is_micro_trade BOOLEAN NOT NULL DEFAULT FALSE,
+    active BOOLEAN NOT NULL DEFAULT TRUE,
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
+);
+
+CREATE INDEX idx_position_stop_levels_ticker ON position_stop_levels(ticker) WHERE active = TRUE;
+
+-- ============================================================
+-- Portfolio Snapshots
+-- ============================================================
+
+CREATE TABLE portfolio_snapshots (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    snapshot_date DATE NOT NULL UNIQUE,
+    portfolio_value FLOAT NOT NULL,
+    active_pool FLOAT NOT NULL,
+    reserve_pool FLOAT NOT NULL,
+    daily_return FLOAT,
+    cumulative_return FLOAT,
+    unrealized_pnl FLOAT,
+    realized_pnl FLOAT,
+    win_count INTEGER NOT NULL DEFAULT 0,
+    loss_count INTEGER NOT NULL DEFAULT 0,
+    win_rate FLOAT,
+    sharpe_ratio FLOAT,
+    max_drawdown FLOAT,
+    current_drawdown_pct FLOAT,
+    portfolio_heat FLOAT,
+    risk_tier VARCHAR(20),
+    positions JSONB NOT NULL DEFAULT '[]',
+    metrics JSONB NOT NULL DEFAULT '{}',
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
+);
+
+CREATE INDEX idx_portfolio_snapshots_date ON portfolio_snapshots(snapshot_date DESC);
+
+-- ============================================================
+-- Backtest Runs
+-- ============================================================
+
+CREATE TABLE backtest_runs (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    start_date DATE NOT NULL,
+    end_date DATE NOT NULL,
+    initial_capital FLOAT NOT NULL,
+    risk_tier VARCHAR(20) NOT NULL,
+    config JSONB NOT NULL DEFAULT '{}',
+    total_return FLOAT,
+    sharpe_ratio FLOAT,
+    max_drawdown FLOAT,
+    win_rate FLOAT,
+    profit_factor FLOAT,
+    trade_count INTEGER,
+    equity_curve JSONB DEFAULT '[]',
+    status VARCHAR(20) NOT NULL DEFAULT 'running',
+    completed_at TIMESTAMPTZ,
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
+);
+
+-- ============================================================
+-- Backtest Trades
+-- ============================================================
+
+CREATE TABLE backtest_trades (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    backtest_id UUID NOT NULL REFERENCES backtest_runs(id) ON DELETE CASCADE,
+    ticker VARCHAR(20) NOT NULL,
+    side VARCHAR(10) NOT NULL,
+    entry_price FLOAT NOT NULL,
+    exit_price FLOAT,
+    quantity INTEGER NOT NULL,
+    pnl FLOAT,
+    pnl_pct FLOAT,
+    entry_date DATE NOT NULL,
+    exit_date DATE,
+    hold_duration_days INTEGER,
+    recommendation_id UUID,
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
+);
+
+CREATE INDEX idx_backtest_trades_run ON backtest_trades(backtest_id);
+
+-- ============================================================
+-- Tax Lots
+-- ============================================================
+
+CREATE TABLE tax_lots (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    ticker VARCHAR(20) NOT NULL,
+    quantity INTEGER NOT NULL,
+    cost_basis_per_share FLOAT NOT NULL,
+    acquisition_date DATE NOT NULL,
+    status VARCHAR(10) NOT NULL DEFAULT 'open',
+    closed_date DATE,
+    exit_price FLOAT,
+    realized_pnl FLOAT,
+    wash_sale_flag BOOLEAN NOT NULL DEFAULT FALSE,
+    wash_sale_details TEXT,
+    order_id UUID REFERENCES orders(id),
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    CONSTRAINT chk_tax_lot_status CHECK (status IN ('open', 'closed', 'washed'))
+);
+
+CREATE INDEX idx_tax_lots_ticker ON tax_lots(ticker, acquisition_date DESC);
+CREATE INDEX idx_tax_lots_status ON tax_lots(status) WHERE status = 'open';
+
+-- ============================================================
+-- Earnings Calendar
+-- ============================================================
+
+CREATE TABLE earnings_calendar (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    ticker VARCHAR(20) NOT NULL,
+    earnings_date DATE NOT NULL,
+    source VARCHAR(30) NOT NULL DEFAULT 'manual',
+    confirmed BOOLEAN NOT NULL DEFAULT FALSE,
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    UNIQUE(ticker, earnings_date)
+);
+
+CREATE INDEX idx_earnings_calendar_date ON earnings_calendar(earnings_date);
+CREATE INDEX idx_earnings_calendar_ticker ON earnings_calendar(ticker);
+
+-- ============================================================
+-- Correlation Matrix Cache
+-- ============================================================
+
+CREATE TABLE correlation_matrix_cache (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    ticker_a VARCHAR(20) NOT NULL,
+    ticker_b VARCHAR(20) NOT NULL,
+    correlation_coefficient FLOAT NOT NULL,
+    lookback_days INTEGER NOT NULL DEFAULT 90,
+    computed_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    UNIQUE(ticker_a, ticker_b)
+);
+
+CREATE INDEX idx_correlation_cache_tickers ON correlation_matrix_cache(ticker_a, ticker_b);
+
+-- ============================================================
+-- Notifications
+-- ============================================================
+
+CREATE TABLE notifications (
+    id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
+    channel VARCHAR(10) NOT NULL,
+    event_type VARCHAR(50) NOT NULL,
+    message TEXT NOT NULL,
+    delivery_status VARCHAR(20) NOT NULL DEFAULT 'pending',
+    retry_count INTEGER NOT NULL DEFAULT 0,
+    error_message TEXT,
+    created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    delivered_at TIMESTAMPTZ,
+    CONSTRAINT chk_channel CHECK (channel IN ('sms', 'email')),
+    CONSTRAINT chk_delivery_status CHECK (
+        delivery_status IN ('pending', 'delivered', 'failed', 'rate_limited')
+    )
+);
+
+CREATE INDEX idx_notifications_created ON notifications(created_at DESC);
+CREATE INDEX idx_notifications_event ON notifications(event_type, created_at DESC);
+
+-- ============================================================
+-- Default Data
+-- ============================================================
+
+-- Insert default trading engine configuration (moderate tier defaults)
+INSERT INTO trading_engine_config (
+    enabled, paused, risk_tier, reserve_siphon_pct,
+    polling_interval_seconds, gradual_entry_tranches,
+    gradual_entry_threshold_dollars, gradual_entry_interval_minutes,
+    trading_window_start_minutes, trading_window_end_minutes,
+    max_open_positions,
+    circuit_breaker_daily_loss_pct, circuit_breaker_single_position_loss_pct,
+    circuit_breaker_ticker_cooldown_hours, circuit_breaker_volatility_pause_hours,
+    circuit_breaker_stop_loss_hits_threshold, circuit_breaker_stop_loss_window_minutes,
+    active_pool_minimum, emergency_drawdown_threshold_pct,
+    reserve_high_water_pct, absolute_position_cap,
+    correlation_reduction_threshold, correlation_rejection_threshold,
+    earnings_pre_window_days, earnings_post_cooldown_days,
+    micro_trading_enabled, micro_trading_interval_seconds,
+    micro_trading_allocation_cap_pct, micro_trading_max_daily,
+    micro_trading_max_hold_minutes,
+    notification_sms_enabled, notification_email_enabled,
+    notification_rate_limit_sms_per_hour, notification_rate_limit_email_per_hour,
+    notification_daily_summary_time
+) VALUES (
+    FALSE, FALSE, 'moderate', 0.20,
+    60, 3,
+    30.0, 15,
+    15, 15,
+    10,
+    0.05, 0.15,
+    48, 2,
+    3, 30,
+    100.0, 0.40,
+    0.30, 50.0,
+    0.5, 0.8,
+    3, 1,
+    FALSE, 300,
+    0.03, 10,
+    120,
+    FALSE, FALSE,
+    10, 20,
+    '16:30'
+);
+
+-- Insert initial reserve pool ledger entry with zero balance
+INSERT INTO reserve_pool_ledger (amount, balance_after, trigger_type, notes)
+VALUES (0.0, 0.0, 'initial', 'Initial reserve pool entry');