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
138 lines
4.2 KiB
Python
138 lines
4.2 KiB
Python
"""Micro-trading module for the autonomous trading engine.
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Pure computation module for micro-trade evaluation logic. Handles
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allocation caps, daily limits, auto-close decisions, and constraint
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checking. Actual signal fetching and order submission are deferred
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to the engine integration layer.
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"""
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from __future__ import annotations
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from dataclasses import dataclass
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# ---------------------------------------------------------------------------
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# Configuration
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# ---------------------------------------------------------------------------
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@dataclass
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class MicroTradeConfig:
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"""Configuration for the micro-trading module."""
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enabled: bool = False
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allocation_cap_pct: float = 0.03
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max_daily: int = 10
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max_hold_minutes: int = 120
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stop_loss_atr_multiplier: float = 1.0
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reward_risk_ratio: float = 1.5
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# ---------------------------------------------------------------------------
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# Micro-trading module (pure computation)
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# ---------------------------------------------------------------------------
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class MicroTradingModule:
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"""Pure-computation micro-trading evaluator.
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All methods are side-effect-free. The engine integration layer is
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responsible for fetching signals, submitting orders, and persisting
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state.
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"""
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def should_evaluate(
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self,
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config: MicroTradeConfig,
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daily_count: int,
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) -> bool:
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"""Check whether micro-trade evaluation should proceed.
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Args:
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config: Current micro-trade configuration.
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daily_count: Number of micro-trades already executed today.
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Returns:
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``True`` if micro-trading is enabled and the daily limit
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has not been reached.
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"""
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if not config.enabled:
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return False
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return daily_count < config.max_daily
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def compute_allocation_cap(
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self,
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config: MicroTradeConfig,
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active_pool: float,
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) -> float:
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"""Compute the maximum dollar allocation for a single micro-trade.
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Args:
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config: Current micro-trade configuration.
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active_pool: Current active pool value.
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Returns:
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Maximum dollar amount for a micro-trade.
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"""
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return config.allocation_cap_pct * active_pool
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def should_auto_close(
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self,
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config: MicroTradeConfig,
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hold_minutes: float,
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) -> bool:
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"""Determine whether a micro-trade should be auto-closed.
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Args:
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config: Current micro-trade configuration.
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hold_minutes: How long the position has been held, in minutes.
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Returns:
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``True`` when the hold duration exceeds the configured maximum.
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"""
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return hold_minutes > config.max_hold_minutes
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def check_constraints(
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self,
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config: MicroTradeConfig,
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daily_count: int,
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is_within_window: bool,
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circuit_breaker_active: bool,
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portfolio_heat_pct: float,
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max_heat: float,
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) -> tuple[bool, str]:
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"""Check all constraints for a micro-trade.
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Evaluates trading window, circuit breakers, portfolio heat,
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daily limit, and enabled state.
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Args:
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config: Current micro-trade configuration.
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daily_count: Number of micro-trades already executed today.
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is_within_window: Whether the current time is within the
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trading window.
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circuit_breaker_active: Whether any circuit breaker is active.
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portfolio_heat_pct: Current portfolio heat as a fraction
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(e.g. 0.15 for 15%).
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max_heat: Maximum allowed portfolio heat fraction.
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Returns:
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Tuple of ``(allowed, reason)``. When ``allowed`` is ``False``,
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``reason`` describes which constraint was violated.
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"""
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if not config.enabled:
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return False, "micro_trading_disabled"
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if circuit_breaker_active:
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return False, "circuit_breaker_active"
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if not is_within_window:
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return False, "outside_trading_window"
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if daily_count >= config.max_daily:
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return False, "daily_limit_reached"
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if max_heat > 0 and portfolio_heat_pct >= max_heat:
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return False, "portfolio_heat_exceeded"
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return True, "ok"
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