58 lines
2.1 KiB
Python
58 lines
2.1 KiB
Python
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"""TimescaleDB hypertable models: MarketData, PortfolioSnapshot, StrategyMetric."""
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import uuid
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from datetime import datetime
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from sqlalchemy import DateTime, Float, ForeignKey, Integer, String
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from sqlalchemy.dialects.postgresql import UUID
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from sqlalchemy.orm import Mapped, mapped_column
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from shared.models.base import Base
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class MarketData(Base):
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"""OHLCV bars — intended as a TimescaleDB hypertable partitioned by timestamp."""
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__tablename__ = "market_data"
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timestamp: Mapped[datetime] = mapped_column(
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DateTime(timezone=True), primary_key=True
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)
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ticker: Mapped[str] = mapped_column(String(20), primary_key=True)
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open: Mapped[float] = mapped_column(Float, nullable=False)
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high: Mapped[float] = mapped_column(Float, nullable=False)
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low: Mapped[float] = mapped_column(Float, nullable=False)
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close: Mapped[float] = mapped_column(Float, nullable=False)
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volume: Mapped[float] = mapped_column(Float, nullable=False)
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class PortfolioSnapshot(Base):
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"""Periodic portfolio value snapshots — TimescaleDB hypertable."""
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__tablename__ = "portfolio_snapshots"
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timestamp: Mapped[datetime] = mapped_column(
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DateTime(timezone=True), primary_key=True
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)
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total_value: Mapped[float] = mapped_column(Float, nullable=False)
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cash: Mapped[float] = mapped_column(Float, nullable=False)
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positions_value: Mapped[float] = mapped_column(Float, nullable=False)
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daily_pnl: Mapped[float] = mapped_column(Float, nullable=False)
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class StrategyMetric(Base):
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"""Per-strategy performance over time — TimescaleDB hypertable."""
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__tablename__ = "strategy_metrics"
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timestamp: Mapped[datetime] = mapped_column(
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DateTime(timezone=True), primary_key=True
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)
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strategy_id: Mapped[uuid.UUID] = mapped_column(
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UUID(as_uuid=True), ForeignKey("strategies.id"), primary_key=True
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)
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win_rate: Mapped[float] = mapped_column(Float, nullable=False)
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total_pnl: Mapped[float] = mapped_column(Float, nullable=False)
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trade_count: Mapped[int] = mapped_column(Integer, nullable=False)
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sharpe_ratio: Mapped[float | None] = mapped_column(Float, nullable=True)
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