Celes Renata
369 lines
14 KiB
SQL
369 lines
14 KiB
SQL
-- Autonomous Trading Engine
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-- Adds tables for trading engine configuration, reserve pool management,
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-- risk tier history, circuit breakers, trading decisions, stop levels,
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-- portfolio snapshots, backtesting, tax lots, earnings calendar,
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-- correlation matrix cache, and notifications.
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-- ============================================================
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-- Trading Engine Configuration
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-- ============================================================
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CREATE TABLE trading_engine_config (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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enabled BOOLEAN NOT NULL DEFAULT FALSE,
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paused BOOLEAN NOT NULL DEFAULT FALSE,
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risk_tier VARCHAR(20) NOT NULL DEFAULT 'moderate',
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reserve_siphon_pct FLOAT NOT NULL DEFAULT 0.20,
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polling_interval_seconds INTEGER NOT NULL DEFAULT 60,
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gradual_entry_tranches INTEGER NOT NULL DEFAULT 3,
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gradual_entry_threshold_dollars FLOAT NOT NULL DEFAULT 30.0,
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gradual_entry_interval_minutes INTEGER NOT NULL DEFAULT 15,
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trading_window_start_minutes INTEGER NOT NULL DEFAULT 15,
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trading_window_end_minutes INTEGER NOT NULL DEFAULT 15,
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max_open_positions INTEGER NOT NULL DEFAULT 10,
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circuit_breaker_daily_loss_pct FLOAT NOT NULL DEFAULT 0.05,
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circuit_breaker_single_position_loss_pct FLOAT NOT NULL DEFAULT 0.15,
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circuit_breaker_ticker_cooldown_hours INTEGER NOT NULL DEFAULT 48,
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circuit_breaker_volatility_pause_hours INTEGER NOT NULL DEFAULT 2,
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circuit_breaker_stop_loss_hits_threshold INTEGER NOT NULL DEFAULT 3,
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circuit_breaker_stop_loss_window_minutes INTEGER NOT NULL DEFAULT 30,
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active_pool_minimum FLOAT NOT NULL DEFAULT 100.0,
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emergency_drawdown_threshold_pct FLOAT NOT NULL DEFAULT 0.40,
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reserve_high_water_pct FLOAT NOT NULL DEFAULT 0.30,
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absolute_position_cap FLOAT NOT NULL DEFAULT 50.0,
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correlation_reduction_threshold FLOAT NOT NULL DEFAULT 0.5,
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correlation_rejection_threshold FLOAT NOT NULL DEFAULT 0.8,
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earnings_pre_window_days INTEGER NOT NULL DEFAULT 3,
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earnings_post_cooldown_days INTEGER NOT NULL DEFAULT 1,
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micro_trading_enabled BOOLEAN NOT NULL DEFAULT FALSE,
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micro_trading_interval_seconds INTEGER NOT NULL DEFAULT 300,
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micro_trading_allocation_cap_pct FLOAT NOT NULL DEFAULT 0.03,
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micro_trading_max_daily INTEGER NOT NULL DEFAULT 10,
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micro_trading_max_hold_minutes INTEGER NOT NULL DEFAULT 120,
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notification_sms_enabled BOOLEAN NOT NULL DEFAULT FALSE,
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notification_email_enabled BOOLEAN NOT NULL DEFAULT FALSE,
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notification_phone_number VARCHAR(20),
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notification_email_recipient VARCHAR(200),
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notification_sns_topic_arn VARCHAR(300),
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notification_rate_limit_sms_per_hour INTEGER NOT NULL DEFAULT 10,
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notification_rate_limit_email_per_hour INTEGER NOT NULL DEFAULT 20,
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notification_daily_summary_time TIME NOT NULL DEFAULT '16:30',
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
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);
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-- ============================================================
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-- Reserve Pool Ledger
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-- ============================================================
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CREATE TABLE reserve_pool_ledger (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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amount FLOAT NOT NULL,
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balance_after FLOAT NOT NULL,
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trigger_type VARCHAR(30) NOT NULL,
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reference_id UUID,
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notes TEXT,
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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CONSTRAINT chk_trigger_type CHECK (
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trigger_type IN ('profit_siphon', 'emergency_liquidation', 'manual_adjustment', 'initial')
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)
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);
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CREATE INDEX idx_reserve_pool_ledger_created ON reserve_pool_ledger(created_at DESC);
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-- ============================================================
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-- Risk Tier History
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-- ============================================================
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CREATE TABLE risk_tier_history (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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previous_tier VARCHAR(20) NOT NULL,
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new_tier VARCHAR(20) NOT NULL,
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trigger_source VARCHAR(30) NOT NULL,
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trigger_metrics JSONB NOT NULL DEFAULT '{}',
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
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);
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CREATE INDEX idx_risk_tier_history_created ON risk_tier_history(created_at DESC);
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-- ============================================================
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-- Circuit Breaker Events
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-- ============================================================
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CREATE TABLE circuit_breaker_events (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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trigger_type VARCHAR(30) NOT NULL,
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threshold_value FLOAT,
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actual_value FLOAT,
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ticker VARCHAR(20),
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cooldown_expires TIMESTAMPTZ,
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resolved_at TIMESTAMPTZ,
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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CONSTRAINT chk_cb_trigger_type CHECK (
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trigger_type IN ('daily_loss', 'single_position', 'volatility', 'manual')
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)
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);
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CREATE INDEX idx_circuit_breaker_events_active ON circuit_breaker_events(created_at DESC)
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WHERE resolved_at IS NULL;
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-- ============================================================
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-- Trading Decisions
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-- ============================================================
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CREATE TABLE trading_decisions (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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recommendation_id UUID REFERENCES recommendations(id),
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decision VARCHAR(10) NOT NULL,
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skip_reason TEXT,
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ticker VARCHAR(20) NOT NULL,
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computed_position_size FLOAT,
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computed_share_quantity INTEGER,
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risk_tier_at_decision VARCHAR(20) NOT NULL,
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portfolio_heat_at_decision FLOAT,
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active_pool_at_decision FLOAT,
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reserve_pool_at_decision FLOAT,
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circuit_breaker_status VARCHAR(20) NOT NULL DEFAULT 'inactive',
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correlation_check_result JSONB DEFAULT '{}',
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sector_exposure_check_result JSONB DEFAULT '{}',
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earnings_proximity_flag BOOLEAN NOT NULL DEFAULT FALSE,
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is_micro_trade BOOLEAN NOT NULL DEFAULT FALSE,
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decision_trace JSONB NOT NULL DEFAULT '{}',
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
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);
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CREATE INDEX idx_trading_decisions_ticker ON trading_decisions(ticker, created_at DESC);
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CREATE INDEX idx_trading_decisions_rec ON trading_decisions(recommendation_id);
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CREATE INDEX idx_trading_decisions_decision ON trading_decisions(decision, created_at DESC);
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-- ============================================================
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-- Position Stop Levels
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-- ============================================================
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CREATE TABLE position_stop_levels (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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ticker VARCHAR(20) NOT NULL,
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entry_price FLOAT NOT NULL,
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stop_loss_price FLOAT NOT NULL,
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take_profit_price FLOAT NOT NULL,
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trailing_stop_active BOOLEAN NOT NULL DEFAULT FALSE,
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atr_value FLOAT NOT NULL,
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atr_multiplier FLOAT NOT NULL,
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reward_risk_ratio FLOAT NOT NULL,
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signal_confidence FLOAT,
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is_micro_trade BOOLEAN NOT NULL DEFAULT FALSE,
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active BOOLEAN NOT NULL DEFAULT TRUE,
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
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);
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CREATE INDEX idx_position_stop_levels_ticker ON position_stop_levels(ticker) WHERE active = TRUE;
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-- ============================================================
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-- Portfolio Snapshots
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-- ============================================================
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CREATE TABLE portfolio_snapshots (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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snapshot_date DATE NOT NULL UNIQUE,
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portfolio_value FLOAT NOT NULL,
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active_pool FLOAT NOT NULL,
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reserve_pool FLOAT NOT NULL,
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daily_return FLOAT,
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cumulative_return FLOAT,
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unrealized_pnl FLOAT,
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realized_pnl FLOAT,
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win_count INTEGER NOT NULL DEFAULT 0,
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loss_count INTEGER NOT NULL DEFAULT 0,
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win_rate FLOAT,
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sharpe_ratio FLOAT,
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max_drawdown FLOAT,
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current_drawdown_pct FLOAT,
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portfolio_heat FLOAT,
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risk_tier VARCHAR(20),
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positions JSONB NOT NULL DEFAULT '[]',
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metrics JSONB NOT NULL DEFAULT '{}',
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
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);
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CREATE INDEX idx_portfolio_snapshots_date ON portfolio_snapshots(snapshot_date DESC);
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-- ============================================================
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-- Backtest Runs
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-- ============================================================
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CREATE TABLE backtest_runs (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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start_date DATE NOT NULL,
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end_date DATE NOT NULL,
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initial_capital FLOAT NOT NULL,
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risk_tier VARCHAR(20) NOT NULL,
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config JSONB NOT NULL DEFAULT '{}',
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total_return FLOAT,
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sharpe_ratio FLOAT,
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max_drawdown FLOAT,
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win_rate FLOAT,
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profit_factor FLOAT,
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trade_count INTEGER,
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equity_curve JSONB DEFAULT '[]',
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status VARCHAR(20) NOT NULL DEFAULT 'running',
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completed_at TIMESTAMPTZ,
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
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);
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-- ============================================================
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-- Backtest Trades
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-- ============================================================
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CREATE TABLE backtest_trades (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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backtest_id UUID NOT NULL REFERENCES backtest_runs(id) ON DELETE CASCADE,
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ticker VARCHAR(20) NOT NULL,
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side VARCHAR(10) NOT NULL,
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entry_price FLOAT NOT NULL,
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exit_price FLOAT,
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quantity INTEGER NOT NULL,
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pnl FLOAT,
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pnl_pct FLOAT,
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entry_date DATE NOT NULL,
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exit_date DATE,
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hold_duration_days INTEGER,
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recommendation_id UUID,
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
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);
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CREATE INDEX idx_backtest_trades_run ON backtest_trades(backtest_id);
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-- ============================================================
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-- Tax Lots
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-- ============================================================
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CREATE TABLE tax_lots (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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ticker VARCHAR(20) NOT NULL,
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quantity INTEGER NOT NULL,
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cost_basis_per_share FLOAT NOT NULL,
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acquisition_date DATE NOT NULL,
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status VARCHAR(10) NOT NULL DEFAULT 'open',
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closed_date DATE,
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exit_price FLOAT,
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realized_pnl FLOAT,
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wash_sale_flag BOOLEAN NOT NULL DEFAULT FALSE,
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wash_sale_details TEXT,
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order_id UUID REFERENCES orders(id),
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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CONSTRAINT chk_tax_lot_status CHECK (status IN ('open', 'closed', 'washed'))
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);
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CREATE INDEX idx_tax_lots_ticker ON tax_lots(ticker, acquisition_date DESC);
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CREATE INDEX idx_tax_lots_status ON tax_lots(status) WHERE status = 'open';
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-- ============================================================
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-- Earnings Calendar
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-- ============================================================
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CREATE TABLE earnings_calendar (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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ticker VARCHAR(20) NOT NULL,
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earnings_date DATE NOT NULL,
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source VARCHAR(30) NOT NULL DEFAULT 'manual',
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confirmed BOOLEAN NOT NULL DEFAULT FALSE,
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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UNIQUE(ticker, earnings_date)
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);
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CREATE INDEX idx_earnings_calendar_date ON earnings_calendar(earnings_date);
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CREATE INDEX idx_earnings_calendar_ticker ON earnings_calendar(ticker);
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-- ============================================================
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-- Correlation Matrix Cache
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-- ============================================================
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CREATE TABLE correlation_matrix_cache (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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ticker_a VARCHAR(20) NOT NULL,
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ticker_b VARCHAR(20) NOT NULL,
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correlation_coefficient FLOAT NOT NULL,
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lookback_days INTEGER NOT NULL DEFAULT 90,
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computed_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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UNIQUE(ticker_a, ticker_b)
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);
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CREATE INDEX idx_correlation_cache_tickers ON correlation_matrix_cache(ticker_a, ticker_b);
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-- ============================================================
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-- Notifications
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-- ============================================================
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CREATE TABLE notifications (
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id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
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channel VARCHAR(10) NOT NULL,
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event_type VARCHAR(50) NOT NULL,
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message TEXT NOT NULL,
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delivery_status VARCHAR(20) NOT NULL DEFAULT 'pending',
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retry_count INTEGER NOT NULL DEFAULT 0,
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error_message TEXT,
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created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
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delivered_at TIMESTAMPTZ,
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CONSTRAINT chk_channel CHECK (channel IN ('sms', 'email')),
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CONSTRAINT chk_delivery_status CHECK (
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delivery_status IN ('pending', 'delivered', 'failed', 'rate_limited')
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)
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);
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CREATE INDEX idx_notifications_created ON notifications(created_at DESC);
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CREATE INDEX idx_notifications_event ON notifications(event_type, created_at DESC);
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-- ============================================================
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-- Default Data
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-- ============================================================
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-- Insert default trading engine configuration (moderate tier defaults)
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-- Use a singleton pattern: only insert if no rows exist
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INSERT INTO trading_engine_config (
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enabled, paused, risk_tier, reserve_siphon_pct,
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polling_interval_seconds, gradual_entry_tranches,
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gradual_entry_threshold_dollars, gradual_entry_interval_minutes,
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trading_window_start_minutes, trading_window_end_minutes,
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max_open_positions,
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circuit_breaker_daily_loss_pct, circuit_breaker_single_position_loss_pct,
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circuit_breaker_ticker_cooldown_hours, circuit_breaker_volatility_pause_hours,
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circuit_breaker_stop_loss_hits_threshold, circuit_breaker_stop_loss_window_minutes,
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active_pool_minimum, emergency_drawdown_threshold_pct,
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reserve_high_water_pct, absolute_position_cap,
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correlation_reduction_threshold, correlation_rejection_threshold,
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earnings_pre_window_days, earnings_post_cooldown_days,
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micro_trading_enabled, micro_trading_interval_seconds,
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micro_trading_allocation_cap_pct, micro_trading_max_daily,
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micro_trading_max_hold_minutes,
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notification_sms_enabled, notification_email_enabled,
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notification_rate_limit_sms_per_hour, notification_rate_limit_email_per_hour,
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notification_daily_summary_time
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)
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SELECT
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FALSE, FALSE, 'moderate', 0.20,
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60, 3,
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30.0, 15,
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15, 15,
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10,
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0.05, 0.15,
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48, 2,
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3, 30,
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100.0, 0.40,
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0.30, 50.0,
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0.5, 0.8,
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3, 1,
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FALSE, 300,
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0.03, 10,
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120,
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FALSE, FALSE,
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10, 20,
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'16:30'
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WHERE NOT EXISTS (SELECT 1 FROM trading_engine_config);
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-- Insert initial reserve pool ledger entry with zero balance (only if empty)
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INSERT INTO reserve_pool_ledger (amount, balance_after, trigger_type, notes)
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SELECT 0.0, 0.0, 'initial', 'Initial reserve pool entry'
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WHERE NOT EXISTS (SELECT 1 FROM reserve_pool_ledger);
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