Celes Renata
43 lines
1.8 KiB
SQL
43 lines
1.8 KiB
SQL
-- View: paper_trade_scorecard
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-- Aggregates paper trading performance per symbol with win rates, PnL, and
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-- average fill quality. Filters to paper execution mode only.
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-- Requirements: 10.1, 10.2, 10.3
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-- Design ref: Section 9.2 (paper trading PnL scorecard)
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CREATE OR REPLACE VIEW lakehouse.stonks.paper_trade_scorecard AS
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SELECT
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pnl.ticker,
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pnl.broker_account,
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COUNT(DISTINCT pnl.dt) AS trading_days,
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SUM(pnl.realized_pnl) AS total_realized_pnl,
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SUM(pnl.unrealized_pnl) AS total_unrealized_pnl,
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SUM(pnl.net_pnl) AS total_net_pnl,
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SUM(pnl.fees) AS total_fees,
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AVG(pnl.net_pnl) AS avg_daily_pnl,
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-- Win rate: fraction of days with positive net PnL
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CAST(
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COUNT(CASE WHEN pnl.net_pnl > 0 THEN 1 END) AS DOUBLE
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) / NULLIF(COUNT(*), 0) AS win_rate,
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-- Worst and best single-day PnL
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MIN(pnl.net_pnl) AS worst_day_pnl,
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MAX(pnl.net_pnl) AS best_day_pnl,
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-- Order counts from trade_orders
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COUNT(DISTINCT o.order_id) AS total_orders,
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COUNT(DISTINCT CASE WHEN o.status = 'filled' THEN o.order_id END)
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AS filled_orders,
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MIN(pnl.dt) AS first_trade_date,
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MAX(pnl.dt) AS last_trade_date
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FROM
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lakehouse.stonks.pnl_daily pnl
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LEFT JOIN
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lakehouse.stonks.trade_orders o
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ON pnl.ticker = o.ticker
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AND pnl.broker_account = o.broker_account
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AND pnl.dt = o.dt
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AND o.execution_mode = 'paper'
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WHERE
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pnl.execution_mode = 'paper'
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GROUP BY
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pnl.ticker,
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pnl.broker_account;
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