valentineus/overnight-trading-bot
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fifth version

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This commit is contained in:
Valentin Popov
2026-06-08 09:03:37 +00:00
parent b9efa98758
commit 2d57c4ff1f
26 changed files with 896 additions and 159 deletions
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internal/repository/mysql/repository.go
+51 -7
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@@ -13,6 +13,7 @@ import (
"overnight-trading-bot/internal/domain"
"overnight-trading-bot/internal/repository"
"overnight-trading-bot/internal/risk"
)
var _ repository.Repository = (*Repository)(nil)
@@ -224,13 +225,13 @@ ON DUPLICATE KEY UPDATE
func (r *Repository) mergeFeatures(ctx context.Context, oldInstrumentUID, newInstrumentUID string) error {
_, err := r.execer().ExecContext(ctx, `
INSERT INTO features (
instrument_uid, trade_date, r_on, r_day, mu_on_60, mu_on_252, sigma_on_60,
instrument_uid, trade_date, r_on, r_day, mu_on_60, mu_on_252, sigma_on_60, q05_on_60_abs,
tstat_on_60, win_on_60, ewma_on, spread_bps, half_spread_bps, tick_bps,
adv_20, expected_cost_bps, net_edge_bps, entry_interval_volume,
exit_interval_volume, calculated_at
)
SELECT
?, trade_date, r_on, r_day, mu_on_60, mu_on_252, sigma_on_60,
?, trade_date, r_on, r_day, mu_on_60, mu_on_252, sigma_on_60, q05_on_60_abs,
tstat_on_60, win_on_60, ewma_on, spread_bps, half_spread_bps, tick_bps,
adv_20, expected_cost_bps, net_edge_bps, entry_interval_volume,
exit_interval_volume, calculated_at
@@ -238,7 +239,7 @@ FROM features WHERE instrument_uid=?
ON DUPLICATE KEY UPDATE
r_on=VALUES(r_on), r_day=VALUES(r_day), mu_on_60=VALUES(mu_on_60),
mu_on_252=VALUES(mu_on_252), sigma_on_60=VALUES(sigma_on_60),
tstat_on_60=VALUES(tstat_on_60), win_on_60=VALUES(win_on_60),
q05_on_60_abs=VALUES(q05_on_60_abs), tstat_on_60=VALUES(tstat_on_60), win_on_60=VALUES(win_on_60),
ewma_on=VALUES(ewma_on), spread_bps=VALUES(spread_bps),
half_spread_bps=VALUES(half_spread_bps), tick_bps=VALUES(tick_bps),
adv_20=VALUES(adv_20), expected_cost_bps=VALUES(expected_cost_bps),
@@ -385,19 +386,19 @@ func (r *Repository) UpsertFeature(ctx context.Context, feature domain.FeatureSe
}
_, err := sqlx.NamedExecContext(ctx, r.execer(), `
INSERT INTO features (
instrument_uid, trade_date, r_on, r_day, mu_on_60, mu_on_252, sigma_on_60,
instrument_uid, trade_date, r_on, r_day, mu_on_60, mu_on_252, sigma_on_60, q05_on_60_abs,
tstat_on_60, win_on_60, ewma_on, spread_bps, half_spread_bps, tick_bps,
adv_20, expected_cost_bps, net_edge_bps, entry_interval_volume,
exit_interval_volume, calculated_at
) VALUES (
:instrument_uid, :trade_date, :r_on, :r_day, :mu_on_60, :mu_on_252, :sigma_on_60,
:instrument_uid, :trade_date, :r_on, :r_day, :mu_on_60, :mu_on_252, :sigma_on_60, :q05_on_60_abs,
:tstat_on_60, :win_on_60, :ewma_on, :spread_bps, :half_spread_bps, :tick_bps,
:adv_20, :expected_cost_bps, :net_edge_bps, :entry_interval_volume,
:exit_interval_volume, :calculated_at
) ON DUPLICATE KEY UPDATE
r_on=VALUES(r_on), r_day=VALUES(r_day), mu_on_60=VALUES(mu_on_60),
mu_on_252=VALUES(mu_on_252), sigma_on_60=VALUES(sigma_on_60),
tstat_on_60=VALUES(tstat_on_60), win_on_60=VALUES(win_on_60),
q05_on_60_abs=VALUES(q05_on_60_abs), tstat_on_60=VALUES(tstat_on_60), win_on_60=VALUES(win_on_60),
ewma_on=VALUES(ewma_on), spread_bps=VALUES(spread_bps),
half_spread_bps=VALUES(half_spread_bps), tick_bps=VALUES(tick_bps),
adv_20=VALUES(adv_20), expected_cost_bps=VALUES(expected_cost_bps),
@@ -453,7 +454,9 @@ func (r *Repository) UpsertOrder(ctx context.Context, order domain.Order) error
if order.CreatedAt.IsZero() {
order.CreatedAt = now
}
order.UpdatedAt = now
if order.UpdatedAt.IsZero() {
order.UpdatedAt = now
}
if order.RawStateJSON == "" {
order.RawStateJSON = "{}"
}
@@ -596,6 +599,47 @@ ON DUPLICATE KEY UPDATE orders_sent=orders_sent+VALUES(orders_sent)`, dateOnly(t
return err
}
func (r *Repository) ReserveFreeOrders(ctx context.Context, tradeDate time.Time, instrumentUID string, delta int, limit int) error {
if delta <= 0 {
return nil
}
if limit <= 0 {
return r.IncrementFreeOrders(ctx, tradeDate, instrumentUID, delta)
}
return r.RunInTx(ctx, func(ctx context.Context, repo repository.Repository) error {
txRepo, ok := repo.(*Repository)
if !ok {
return errors.New("unexpected repository implementation")
}
return txRepo.reserveFreeOrdersLocked(ctx, tradeDate, instrumentUID, delta, limit)
})
}
func (r *Repository) reserveFreeOrdersLocked(ctx context.Context, tradeDate time.Time, instrumentUID string, delta int, limit int) error {
tradeDay := dateOnly(tradeDate)
if _, err := r.execer().ExecContext(ctx, `
INSERT IGNORE INTO free_order_counters (trade_date, instrument_uid, orders_sent)
VALUES (?, ?, 0)`, tradeDay, instrumentUID); err != nil {
return err
}
var sent int
if err := r.getContext(ctx, &sent, `
SELECT orders_sent FROM free_order_counters
WHERE trade_date=? AND instrument_uid=?
FOR UPDATE`, tradeDay, instrumentUID); err != nil {
return err
}
remaining := limit - sent
if remaining < delta {
return fmt.Errorf("%w: %s remaining=%d needed=%d", risk.ErrFreeOrderBudget, instrumentUID, remaining, delta)
}
_, err := r.execer().ExecContext(ctx, `
UPDATE free_order_counters
SET orders_sent=orders_sent+?
WHERE trade_date=? AND instrument_uid=?`, delta, tradeDay, instrumentUID)
return err
}
func (r *Repository) GetSystemState(ctx context.Context) (domain.SystemState, bool, string, error) {
var row struct {
State string `db:"state"`