82dc622544
Bracket stop-loss/take-profit legs fill at Alpaca without passing through the executor, so those closes (and their P&L) were invisible locally. - broker: add get_order(nested) + list_orders to BaseBroker/AlpacaBroker (+ SimulatedBroker); BrokerOrder carries child legs - Trade gains broker_order_id (migration f6a7b8c9d0e1); executor stamps the entry order id - new api_gateway trade-reconcile loop: books a closing SELL + realized P&L when a bracket leg fills (idempotent on the leg order id), syncs PENDING->terminal status, logs drift; runs alongside portfolio_sync [ci skip] Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
138 lines
5.4 KiB
Python
138 lines
5.4 KiB
Python
"""Trading domain models: Strategy, Signal, Trade, Position, StrategyWeightHistory."""
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import enum
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import uuid
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from sqlalchemy import Boolean, Float, ForeignKey, String, Text
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from sqlalchemy.dialects.postgresql import JSON, UUID
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from sqlalchemy.orm import Mapped, mapped_column, relationship
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from shared.models.base import Base, TimestampMixin
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# ---------------------------------------------------------------------------
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# Enums
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# ---------------------------------------------------------------------------
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class TradeSide(str, enum.Enum):
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BUY = "BUY"
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SELL = "SELL"
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class TradeStatus(str, enum.Enum):
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PENDING = "PENDING"
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FILLED = "FILLED"
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CANCELLED = "CANCELLED"
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REJECTED = "REJECTED"
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class SignalDirection(str, enum.Enum):
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LONG = "LONG"
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SHORT = "SHORT"
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NEUTRAL = "NEUTRAL"
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# ---------------------------------------------------------------------------
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# Models
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# ---------------------------------------------------------------------------
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class Strategy(TimestampMixin, Base):
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__tablename__ = "strategies"
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id: Mapped[uuid.UUID] = mapped_column(
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UUID(as_uuid=True), primary_key=True, default=uuid.uuid4
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)
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name: Mapped[str] = mapped_column(String(255), unique=True, nullable=False)
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description: Mapped[str | None] = mapped_column(Text, nullable=True)
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current_weight: Mapped[float] = mapped_column(Float, nullable=False, default=0.333)
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active: Mapped[bool] = mapped_column(Boolean, default=True, nullable=False)
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# Relationships
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trades: Mapped[list["Trade"]] = relationship(back_populates="strategy")
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signals: Mapped[list["Signal"]] = relationship(back_populates="strategy", foreign_keys="Signal.strategy_id", viewonly=True)
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weight_history: Mapped[list["StrategyWeightHistory"]] = relationship(back_populates="strategy")
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class Signal(TimestampMixin, Base):
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__tablename__ = "signals"
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id: Mapped[uuid.UUID] = mapped_column(
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UUID(as_uuid=True), primary_key=True, default=uuid.uuid4
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)
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ticker: Mapped[str] = mapped_column(String(20), nullable=False, index=True)
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direction: Mapped[SignalDirection] = mapped_column(nullable=False)
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strength: Mapped[float] = mapped_column(Float, nullable=False)
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strategy_sources: Mapped[dict | None] = mapped_column(JSON, nullable=True)
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sentiment_score: Mapped[float | None] = mapped_column(Float, nullable=True)
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acted_on: Mapped[bool] = mapped_column(Boolean, default=False, nullable=False)
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strategy_id: Mapped[uuid.UUID | None] = mapped_column(
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UUID(as_uuid=True), ForeignKey("strategies.id"), nullable=True
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)
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# Relationships
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strategy: Mapped[Strategy | None] = relationship(back_populates="signals", foreign_keys=[strategy_id])
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trades: Mapped[list["Trade"]] = relationship(back_populates="signal")
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class Trade(TimestampMixin, Base):
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__tablename__ = "trades"
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id: Mapped[uuid.UUID] = mapped_column(
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UUID(as_uuid=True), primary_key=True, default=uuid.uuid4
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)
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ticker: Mapped[str] = mapped_column(String(20), nullable=False, index=True)
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side: Mapped[TradeSide] = mapped_column(nullable=False)
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qty: Mapped[float] = mapped_column(Float, nullable=False)
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price: Mapped[float] = mapped_column(Float, nullable=False)
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timestamp: Mapped[str | None] = mapped_column(String, nullable=True)
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strategy_id: Mapped[uuid.UUID | None] = mapped_column(
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UUID(as_uuid=True), ForeignKey("strategies.id"), nullable=True
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)
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signal_id: Mapped[uuid.UUID | None] = mapped_column(
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UUID(as_uuid=True), ForeignKey("signals.id"), nullable=True
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)
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status: Mapped[TradeStatus] = mapped_column(nullable=False, default=TradeStatus.PENDING)
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pnl: Mapped[float | None] = mapped_column(Float, nullable=True)
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broker_order_id: Mapped[str | None] = mapped_column(String(64), nullable=True, index=True)
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# Relationships
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strategy: Mapped[Strategy | None] = relationship(back_populates="trades")
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signal: Mapped[Signal | None] = relationship(back_populates="trades")
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outcome: Mapped["TradeOutcome | None"] = relationship(
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"TradeOutcome", back_populates="trade", uselist=False
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)
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class Position(TimestampMixin, Base):
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__tablename__ = "positions"
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id: Mapped[uuid.UUID] = mapped_column(
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UUID(as_uuid=True), primary_key=True, default=uuid.uuid4
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)
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ticker: Mapped[str] = mapped_column(String(20), unique=True, nullable=False)
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qty: Mapped[float] = mapped_column(Float, nullable=False)
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avg_entry: Mapped[float] = mapped_column(Float, nullable=False)
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unrealized_pnl: Mapped[float | None] = mapped_column(Float, nullable=True)
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stop_loss: Mapped[float | None] = mapped_column(Float, nullable=True)
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take_profit: Mapped[float | None] = mapped_column(Float, nullable=True)
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class StrategyWeightHistory(TimestampMixin, Base):
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__tablename__ = "strategy_weight_history"
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id: Mapped[uuid.UUID] = mapped_column(
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UUID(as_uuid=True), primary_key=True, default=uuid.uuid4
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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"), nullable=False
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)
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old_weight: Mapped[float] = mapped_column(Float, nullable=False)
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new_weight: Mapped[float] = mapped_column(Float, nullable=False)
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reason: Mapped[str | None] = mapped_column(String(500), nullable=True)
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# Relationships
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strategy: Mapped[Strategy] = relationship(back_populates="weight_history")
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# Avoid circular import — TradeOutcome is defined in learning.py
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from shared.models.learning import TradeOutcome # noqa: E402, F401
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