Celes Renata
4ffde8cc06
- 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
113 lines
3.8 KiB
Python
113 lines
3.8 KiB
Python
"""Reserve Pool Controller — pure computation module.
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Manages the untouchable cash reserve that grows from realized profits.
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All methods are pure computations; persistence is handled by the caller.
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"""
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from __future__ import annotations
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from services.trading.models import ReservePoolState # noqa: F401 — re-export for convenience
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class ReservePoolController:
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"""Compute reserve-pool operations without touching the database.
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Parameters
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----------
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siphon_pct:
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Fraction of realized profit transferred to the reserve on each
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profitable position close (default 20 %).
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high_water_pct:
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When the reserve exceeds this fraction of total portfolio value
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the risk-tier controller should consider upgrading (default 30 %).
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"""
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def __init__(
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self,
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siphon_pct: float = 0.20,
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high_water_pct: float = 0.30,
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) -> None:
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self.siphon_pct = siphon_pct
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self.high_water_pct = high_water_pct
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# ------------------------------------------------------------------
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# Profit siphoning
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# ------------------------------------------------------------------
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def siphon_profit(
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self,
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realized_profit: float,
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current_balance: float,
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) -> tuple[float, float]:
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"""Compute the amount to transfer into the reserve pool.
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Only positive profits are siphoned.
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Returns
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-------
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(transfer_amount, new_balance)
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*transfer_amount* is ``realized_profit * siphon_pct`` when
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the profit is positive, otherwise ``0.0``.
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*new_balance* is ``current_balance + transfer_amount``.
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"""
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if realized_profit <= 0:
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return 0.0, current_balance
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transfer = realized_profit * self.siphon_pct
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return transfer, current_balance + transfer
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# ------------------------------------------------------------------
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# Emergency liquidation
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# ------------------------------------------------------------------
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def emergency_liquidate(self, current_balance: float) -> float:
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"""Return the full reserve balance to be released into the active pool.
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The caller is responsible for zeroing the persisted balance and
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recording the ledger entry.
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Returns
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-------
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float
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The amount to release (equal to *current_balance*).
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"""
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return current_balance
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# ------------------------------------------------------------------
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# Active pool computation
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# ------------------------------------------------------------------
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def compute_active_pool(
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self,
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total_portfolio_value: float,
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reserve_balance: float,
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) -> float:
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"""Active Pool = total portfolio value − reserve balance."""
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return total_portfolio_value - reserve_balance
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# ------------------------------------------------------------------
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# High-water mark detection
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# ------------------------------------------------------------------
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def is_high_water(
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self,
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reserve_balance: float,
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total_portfolio_value: float,
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) -> bool:
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"""Return ``True`` when the reserve exceeds *high_water_pct* of total portfolio."""
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if total_portfolio_value <= 0:
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return False
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return reserve_balance > self.high_water_pct * total_portfolio_value
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# ------------------------------------------------------------------
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# Emergency liquidation trigger check
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# ------------------------------------------------------------------
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def should_emergency_liquidate(
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self,
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current_drawdown_pct: float,
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emergency_threshold_pct: float,
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) -> bool:
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"""Return ``True`` when drawdown exceeds the emergency threshold."""
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return current_drawdown_pct > emergency_threshold_pct
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