feat: wire up stop levels, circuit breaker daily loss, profit-taking, real portfolio/decisions/history endpoints
This commit is contained in:
Celes Renata
+79
-4
@@ -363,11 +363,60 @@ async def set_capital(body: CapitalRequest) -> dict[str, Any]:
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async def list_decisions(
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ticker: Optional[str] = None,
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decision: Optional[str] = None,
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is_micro_trade: Optional[bool] = None,
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limit: int = Query(default=50, le=200),
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offset: int = 0,
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) -> list[dict[str, Any]]:
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"""Return recent trading decisions (placeholder — paginated)."""
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return []
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"""Return recent trading decisions from the database."""
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if engine is None or engine.pool is None:
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return []
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conditions = ["1=1"]
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params: list[Any] = []
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idx = 1
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if ticker:
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conditions.append(f"ticker = ${idx}")
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params.append(ticker.upper())
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idx += 1
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if decision:
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conditions.append(f"decision = ${idx}")
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params.append(decision)
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idx += 1
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if is_micro_trade is not None:
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conditions.append(f"is_micro_trade = ${idx}")
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params.append(is_micro_trade)
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idx += 1
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where = " AND ".join(conditions)
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params.extend([limit, offset])
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try:
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rows = await engine.pool.fetch(
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f"SELECT id, recommendation_id, decision, skip_reason, ticker, "
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f"computed_position_size, computed_share_quantity, "
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f"risk_tier_at_decision, portfolio_heat_at_decision, "
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f"active_pool_at_decision, reserve_pool_at_decision, "
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f"circuit_breaker_status, is_micro_trade, created_at "
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f"FROM trading_decisions WHERE {where} "
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f"ORDER BY created_at DESC LIMIT ${idx} OFFSET ${idx + 1}",
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*params,
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)
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from decimal import Decimal as _Dec
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result = []
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for r in rows:
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d = dict(r)
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for k, v in d.items():
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if isinstance(v, _Dec):
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d[k] = float(v)
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elif isinstance(v, datetime):
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d[k] = v.isoformat()
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elif hasattr(v, '__str__') and not isinstance(v, (str, int, float, bool, type(None))):
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d[k] = str(v)
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result.append(d)
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return result
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except Exception:
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return []
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# ---------------------------------------------------------------------------
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@@ -401,8 +450,34 @@ async def current_metrics() -> dict[str, Any]:
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async def metrics_history(
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limit: int = Query(default=30, le=365),
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) -> list[dict[str, Any]]:
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"""Return historical daily snapshots (placeholder)."""
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return []
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"""Return historical daily portfolio snapshots."""
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if engine is None or engine.pool is None:
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return []
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try:
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rows = await engine.pool.fetch(
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"SELECT id, snapshot_date, portfolio_value, active_pool, reserve_pool, "
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"daily_return, cumulative_return, unrealized_pnl, realized_pnl, "
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"win_count, loss_count, win_rate, sharpe_ratio, max_drawdown, "
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"current_drawdown_pct, portfolio_heat, risk_tier, created_at "
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"FROM portfolio_snapshots ORDER BY snapshot_date DESC LIMIT $1",
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limit,
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)
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from decimal import Decimal as _Dec
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result = []
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for r in rows:
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d = dict(r)
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for k, v in d.items():
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if isinstance(v, _Dec):
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d[k] = float(v)
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elif isinstance(v, datetime):
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d[k] = v.isoformat()
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elif hasattr(v, '__str__') and not isinstance(v, (str, int, float, bool, type(None))):
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d[k] = str(v)
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result.append(d)
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return result
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except Exception:
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return []
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# ---------------------------------------------------------------------------
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@@ -786,6 +786,33 @@ class TradingEngine:
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self.portfolio_state.active_pool if self.portfolio_state else 0,
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)
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# Create stop-loss levels for the new position
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if self.pool is not None:
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try:
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price = rec.get("current_price", 0.0)
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atr_est = price * 0.02 # 2% ATR estimate
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tier = self._active_risk_tier
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sl_price = price * (1 - 0.02 * tier.stop_loss_atr_multiplier)
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tp_price = price * (1 + 0.02 * tier.stop_loss_atr_multiplier * tier.reward_risk_ratio)
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await self.pool.execute(
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"INSERT INTO position_stop_levels "
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"(ticker, entry_price, stop_loss_price, take_profit_price, "
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"trailing_stop_active, atr_value, atr_multiplier, "
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"reward_risk_ratio, signal_confidence, is_micro_trade, active) "
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"VALUES ($1, $2, $3, $4, FALSE, $5, $6, $7, $8, FALSE, TRUE) "
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"ON CONFLICT (ticker) WHERE active = TRUE DO UPDATE SET "
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"entry_price = EXCLUDED.entry_price, "
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"stop_loss_price = EXCLUDED.stop_loss_price, "
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"take_profit_price = EXCLUDED.take_profit_price, "
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"updated_at = NOW()",
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decision.ticker, price, sl_price, tp_price,
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atr_est, tier.stop_loss_atr_multiplier,
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tier.reward_risk_ratio,
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rec.get("confidence", 0.8),
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)
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except Exception:
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logger.debug("Could not create stop levels for %s", decision.ticker)
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# Persist decision
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await self._persist_decision(decision)
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@@ -955,6 +982,18 @@ class TradingEngine:
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except Exception:
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logger.debug("Could not refresh correlation matrix")
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# Profit-taking: sell positions that have exceeded the take-profit threshold
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try:
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await self._check_profit_taking()
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except Exception:
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logger.debug("Could not run profit-taking check")
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# Circuit breaker: check daily loss threshold
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try:
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await self._check_circuit_breaker_daily_loss()
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except Exception:
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logger.debug("Could not run circuit breaker daily loss check")
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except asyncio.CancelledError:
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break
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except Exception:
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@@ -1588,6 +1627,137 @@ class TradingEngine:
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logger.debug("Could not load stop levels — table may not exist")
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return {}
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async def _check_circuit_breaker_daily_loss(self) -> None:
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"""Check if daily unrealized loss exceeds the circuit breaker threshold.
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If the portfolio has lost more than circuit_breaker_daily_loss_pct
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(default 5%) from its start-of-day value, activate the circuit breaker
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to halt all new trades.
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"""
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if self.pool is None or self.portfolio_state is None:
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return
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# Already active — nothing to do
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if self._cb_state.active:
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return
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try:
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# Get total unrealized P&L from positions
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row = await self.pool.fetchrow(
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"SELECT COALESCE(SUM(unrealized_pnl), 0) AS total_pnl FROM positions WHERE quantity > 0"
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)
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total_pnl = float(row["total_pnl"]) if row else 0.0
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total_value = self.portfolio_state.total_value
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if total_value <= 0:
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return
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daily_loss_pct = abs(min(0, total_pnl)) / total_value
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# Check against threshold (default 5%)
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threshold = getattr(self.config, 'circuit_breaker_daily_loss_pct', 0.05) or 0.05
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if isinstance(threshold, str):
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threshold = float(threshold)
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if daily_loss_pct >= threshold:
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# Activate circuit breaker
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now = datetime.now(tz=timezone.utc)
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cooldown_hours = getattr(self.config, 'circuit_breaker_volatility_pause_hours', 2) or 2
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cooldown_expires = now + timedelta(hours=int(cooldown_hours))
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self._cb_state = CircuitBreakerState(
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active=True,
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trigger_type="daily_loss_limit",
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triggered_at=now,
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cooldown_expires=cooldown_expires,
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)
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# Persist to DB
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try:
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await self.pool.execute(
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"INSERT INTO circuit_breaker_events "
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"(trigger_type, triggered_at, cooldown_expires, trigger_data) "
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"VALUES ($1, $2, $3, $4)",
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"daily_loss_limit",
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now,
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cooldown_expires,
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json.dumps({
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"daily_loss_pct": round(daily_loss_pct, 4),
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"threshold": threshold,
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"total_pnl": round(total_pnl, 2),
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"total_value": round(total_value, 2),
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}),
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)
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except Exception:
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logger.debug("Could not persist circuit breaker event")
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logger.warning(
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"CIRCUIT BREAKER ACTIVATED: daily loss %.1f%% exceeds %.1f%% threshold "
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"(P&L=$%.2f, value=$%.2f). Trading halted until %s",
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daily_loss_pct * 100, threshold * 100,
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total_pnl, total_value, cooldown_expires.isoformat(),
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)
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# Create alert
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self.create_alert(
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"circuit_breaker_activated",
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f"Daily loss {daily_loss_pct:.1%} exceeded {threshold:.1%} threshold. "
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f"Trading halted until {cooldown_expires.strftime('%H:%M ET')}.",
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)
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except Exception:
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logger.debug("Could not check circuit breaker daily loss")
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async def _check_profit_taking(self) -> None:
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"""Check positions for profit-taking opportunities.
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Sells positions that have gained more than the take-profit threshold
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defined by the risk tier's reward_risk_ratio. For moderate tier with
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2.0 ATR stop and 1.5 reward/risk, that's roughly a 3% gain target.
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Also sells positions that have gained > 10% regardless of tier
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(absolute profit cap to lock in gains).
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"""
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if self.pool is None:
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return
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try:
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rows = await self.pool.fetch(
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"SELECT ticker, quantity, avg_entry_price, current_price, unrealized_pnl "
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"FROM positions WHERE quantity > 0"
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)
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except Exception:
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return
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for row in rows:
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ticker = row["ticker"]
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qty = int(row["quantity"])
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entry = float(row["avg_entry_price"])
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current = float(row["current_price"] or 0)
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if entry <= 0 or current <= 0 or qty <= 0:
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continue
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gain_pct = (current - entry) / entry
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# Absolute profit cap: sell if gain > 10%
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# Or tier-based: reward_risk_ratio * stop_loss_atr_multiplier * ~2% base ATR
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tier_target = self._active_risk_tier.reward_risk_ratio * self._active_risk_tier.stop_loss_atr_multiplier * 0.02
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should_sell = gain_pct >= 0.10 or gain_pct >= tier_target
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if should_sell:
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logger.info(
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"Profit-taking: %s gained %.1f%% (target=%.1f%%) — selling %d shares",
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ticker, gain_pct * 100, max(10.0, tier_target * 100), qty,
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)
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await self._submit_sell_order(ticker, qty, f"profit_taking_{gain_pct:.1%}")
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# Update portfolio state
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if self.portfolio_state:
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self.portfolio_state.open_position_count = max(
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0, self.portfolio_state.open_position_count - 1
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)
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self.portfolio_state.active_pool += current * qty
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async def _submit_sell_order(
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self, ticker: str, quantity: int, reason: str
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) -> None:
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