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
This commit is contained in:
Celes Renata
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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"""Trading window utilities for the autonomous trading engine.
Pure computation module that determines whether a given timestamp falls
within the allowed trading window (9:45 AM 3:45 PM ET on weekdays),
whether the US market is open, and when the next trading window opens.
Uses ``zoneinfo.ZoneInfo("America/New_York")`` for Eastern Time handling.
Does not check market holidays (simplified).
"""
from __future__ import annotations
from datetime import datetime, time, timedelta
from zoneinfo import ZoneInfo
# US Eastern timezone
ET = ZoneInfo("America/New_York")
# Trading window boundaries (excludes first/last 15 min of market hours)
WINDOW_OPEN = time(9, 45)
WINDOW_CLOSE = time(15, 45)
# Full US market hours
MARKET_OPEN = time(9, 30)
MARKET_CLOSE = time(16, 0)
# Weekday range: Monday=0 … Friday=4
_WEEKDAYS = range(0, 5)
def is_within_trading_window(dt: datetime) -> bool:
"""Return True if *dt* is between 9:45 AM ET and 3:45 PM ET on a weekday.
The timestamp is first converted to US/Eastern time. Weekends are
always outside the window. Market holidays are **not** checked
(simplified implementation).
"""
et_dt = dt.astimezone(ET)
if et_dt.weekday() not in _WEEKDAYS:
return False
t = et_dt.time()
return WINDOW_OPEN <= t < WINDOW_CLOSE
def next_window_open(dt: datetime) -> datetime:
"""Return the next datetime when the trading window opens (9:45 AM ET).
If *dt* is before 9:45 AM ET on a weekday the same day's open is
returned. Otherwise the next weekday's 9:45 AM ET is returned.
"""
et_dt = dt.astimezone(ET)
today_open = et_dt.replace(
hour=WINDOW_OPEN.hour,
minute=WINDOW_OPEN.minute,
second=0,
microsecond=0,
)
# If we haven't reached today's open yet and it's a weekday, return today
if et_dt < today_open and et_dt.weekday() in _WEEKDAYS:
return today_open
# Otherwise advance to the next weekday
candidate = et_dt + timedelta(days=1)
candidate = candidate.replace(
hour=WINDOW_OPEN.hour,
minute=WINDOW_OPEN.minute,
second=0,
microsecond=0,
)
while candidate.weekday() not in _WEEKDAYS:
candidate += timedelta(days=1)
return candidate
def is_market_open(dt: datetime) -> bool:
"""Return True if *dt* is during US market hours (9:30 AM 4:00 PM ET) on a weekday."""
et_dt = dt.astimezone(ET)
if et_dt.weekday() not in _WEEKDAYS:
return False
t = et_dt.time()
return MARKET_OPEN <= t < MARKET_CLOSE