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
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+"""Core data models for the autonomous trading engine.
+
+Defines dataclasses for risk tier configuration, portfolio state,
+trading decisions, position sizing results, stop levels, and
+performance metrics used across all trading engine components.
+"""
+
+from __future__ import annotations
+
+from dataclasses import dataclass, field
+from datetime import datetime, timedelta
+
+# ---------------------------------------------------------------------------
+# Risk Tier Configuration
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class RiskTierConfig:
+    """Parameters for a named risk tier (conservative/moderate/aggressive)."""
+
+    name: str
+    min_confidence: float
+    max_position_pct: float
+    stop_loss_atr_multiplier: float
+    reward_risk_ratio: float
+    max_sector_pct: float
+    max_portfolio_heat: float
+
+
+RISK_TIER_DEFAULTS: dict[str, RiskTierConfig] = {
+    "conservative": RiskTierConfig(
+        name="conservative",
+        min_confidence=0.75,
+        max_position_pct=0.05,
+        stop_loss_atr_multiplier=1.5,
+        reward_risk_ratio=2.0,
+        max_sector_pct=0.20,
+        max_portfolio_heat=0.10,
+    ),
+    "moderate": RiskTierConfig(
+        name="moderate",
+        min_confidence=0.55,
+        max_position_pct=0.10,
+        stop_loss_atr_multiplier=2.0,
+        reward_risk_ratio=1.5,
+        max_sector_pct=0.30,
+        max_portfolio_heat=0.20,
+    ),
+    "aggressive": RiskTierConfig(
+        name="aggressive",
+        min_confidence=0.40,
+        max_position_pct=0.15,
+        stop_loss_atr_multiplier=2.5,
+        reward_risk_ratio=1.2,
+        max_sector_pct=0.40,
+        max_portfolio_heat=0.30,
+    ),
+}
+
+
+# ---------------------------------------------------------------------------
+# Portfolio State
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class PortfolioState:
+    """Snapshot of the current portfolio used for decision-making."""
+
+    positions: list = field(default_factory=list)
+    total_value: float = 0.0
+    cash: float = 0.0
+    active_pool: float = 0.0
+    reserve_pool: float = 0.0
+    sector_exposure: dict[str, float] = field(default_factory=dict)
+    portfolio_heat: float = 0.0
+    open_position_count: int = 0
+
+
+# ---------------------------------------------------------------------------
+# Trading Decision
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class TradingDecision:
+    """Record of a trading decision (act or skip), persisted for audit trail."""
+
+    id: str
+    recommendation_id: str | None
+    decision: str
+    skip_reason: str | None
+    ticker: str
+    computed_position_size: float | None
+    computed_share_quantity: int | None
+    risk_tier_at_decision: str
+    portfolio_heat_at_decision: float | None
+    active_pool_at_decision: float | None
+    reserve_pool_at_decision: float | None
+    circuit_breaker_status: str
+    correlation_check_result: dict = field(default_factory=dict)
+    sector_exposure_check_result: dict = field(default_factory=dict)
+    earnings_proximity_flag: bool = False
+    is_micro_trade: bool = False
+    decision_trace: dict = field(default_factory=dict)
+    created_at: datetime = field(default_factory=datetime.utcnow)
+
+
+# ---------------------------------------------------------------------------
+# Position Sizing
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class PositionSizeResult:
+    """Output of the position sizer computation."""
+
+    dollar_amount: float
+    share_quantity: int
+    allocation_pct: float
+    adjustments: list[str] = field(default_factory=list)
+    rejected: bool = False
+    rejection_reason: str = ""
+
+
+# ---------------------------------------------------------------------------
+# Stop-Loss / Take-Profit Levels
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class StopLevels:
+    """Current stop-loss and take-profit levels for an open position."""
+
+    stop_loss_price: float
+    take_profit_price: float
+    trailing_stop_active: bool
+    atr_value: float
+    atr_multiplier: float
+    reward_risk_ratio: float
+    last_updated: datetime = field(default_factory=datetime.utcnow)
+
+
+# ---------------------------------------------------------------------------
+# Open / Closed Positions
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class OpenPosition:
+    """Representation of a currently held position."""
+
+    ticker: str
+    quantity: int
+    entry_price: float
+    current_price: float
+    unrealized_pnl: float
+    market_value: float
+    sector: str
+    stop_loss_price: float
+    take_profit_price: float
+    signal_confidence: float
+    is_micro_trade: bool = False
+
+
+@dataclass
+class ClosedTrade:
+    """Record of a completed (closed) trade."""
+
+    ticker: str
+    entry_price: float
+    exit_price: float
+    quantity: int
+    pnl: float
+    pnl_pct: float
+    hold_duration: timedelta
+    recommendation_id: str | None = None
+    is_micro_trade: bool = False
+
+
+# ---------------------------------------------------------------------------
+# Performance Metrics
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class PerformanceMetrics:
+    """Portfolio-wide performance metrics computed periodically."""
+
+    total_portfolio_value: float
+    active_pool: float
+    reserve_pool: float
+    unrealized_pnl: float
+    realized_pnl: float
+    daily_pnl: float
+    win_count: int
+    loss_count: int
+    win_rate: float
+    avg_win: float
+    avg_loss: float
+    profit_factor: float
+    sharpe_ratio: float
+    max_drawdown: float
+    current_drawdown_pct: float
+    portfolio_heat: float
+    computed_at: datetime = field(default_factory=datetime.utcnow)
+
+
+# ---------------------------------------------------------------------------
+# Circuit Breaker
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class CircuitBreakerState:
+    """Current state of the circuit breaker safety mechanism."""
+
+    active: bool = False
+    trigger_type: str | None = None
+    triggered_at: datetime | None = None
+    cooldown_expires: datetime | None = None
+    ticker_cooldowns: dict[str, datetime] = field(default_factory=dict)
+
+
+# ---------------------------------------------------------------------------
+# Reserve Pool
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class ReservePoolState:
+    """Current state of the reserve pool."""
+
+    balance: float = 0.0
+    total_deposits: float = 0.0
+    total_withdrawals: float = 0.0
+    last_updated: datetime = field(default_factory=datetime.utcnow)
+
+
+# ---------------------------------------------------------------------------
+# Stop Trigger
+# ---------------------------------------------------------------------------
+
+
+@dataclass
+class StopTrigger:
+    """A triggered stop-loss or take-profit event for a position."""
+
+    ticker: str
+    trigger_type: str  # "stop_loss" or "take_profit"
+    current_price: float
+    trigger_price: float