first version

2026-06-07 21:01:40 +00:00
parent ee7167accf
commit f19bab1100
79 changed files with 10355 additions and 145 deletions
@@ -0,0 +1,311 @@
+package domain
+
+import (
+	"fmt"
+	"strings"
+	"time"
+
+	"github.com/shopspring/decimal"
+)
+
+type Mode string
+
+const (
+	ModeBacktest     Mode = "backtest"
+	ModePaper        Mode = "paper"
+	ModeSandbox      Mode = "sandbox"
+	ModeLiveReadonly Mode = "live_readonly"
+	ModeLiveTrade    Mode = "live_trade"
+)
+
+func ParseMode(raw string) (Mode, error) {
+	mode := Mode(strings.TrimSpace(raw))
+	switch mode {
+	case ModeBacktest, ModePaper, ModeSandbox, ModeLiveReadonly, ModeLiveTrade:
+		return mode, nil
+	default:
+		return "", fmt.Errorf("unsupported app mode %q", raw)
+	}
+}
+
+func (m Mode) AllowsBrokerOrders() bool {
+	return m == ModeSandbox || m == ModeLiveTrade
+}
+
+func (m *Mode) UnmarshalText(text []byte) error {
+	mode, err := ParseMode(string(text))
+	if err != nil {
+		return err
+	}
+	*m = mode
+	return nil
+}
+
+type Side string
+
+const (
+	SideBuy  Side = "BUY"
+	SideSell Side = "SELL"
+)
+
+type OrderType string
+
+const (
+	OrderTypeLimit OrderType = "LIMIT"
+)
+
+type OrderStatus string
+
+const (
+	OrderStatusNew             OrderStatus = "NEW"
+	OrderStatusSent            OrderStatus = "SENT"
+	OrderStatusPartiallyFilled OrderStatus = "PARTIALLY_FILLED"
+	OrderStatusFilled          OrderStatus = "FILLED"
+	OrderStatusCancelled       OrderStatus = "CANCELLED"
+	OrderStatusRejected        OrderStatus = "REJECTED"
+	OrderStatusExpired         OrderStatus = "EXPIRED"
+	OrderStatusFailed          OrderStatus = "FAILED"
+)
+
+type SignalDecision string
+
+const (
+	DecisionEnter  SignalDecision = "ENTER"
+	DecisionSkip   SignalDecision = "SKIP"
+	DecisionReject SignalDecision = "REJECT"
+)
+
+type PositionStatus string
+
+const (
+	PositionNoPosition           PositionStatus = "NO_POSITION"
+	PositionEntrySignalled       PositionStatus = "ENTRY_SIGNALLED"
+	PositionEntryOrderSent       PositionStatus = "ENTRY_ORDER_SENT"
+	PositionEntryPartiallyFilled PositionStatus = "ENTRY_PARTIALLY_FILLED"
+	PositionEntryFilled          PositionStatus = "ENTRY_FILLED"
+	PositionHoldingOvernight     PositionStatus = "HOLDING_OVERNIGHT"
+	PositionExitOrderSent        PositionStatus = "EXIT_ORDER_SENT"
+	PositionExitPartiallyFilled  PositionStatus = "EXIT_PARTIALLY_FILLED"
+	PositionExitFilled           PositionStatus = "EXIT_FILLED"
+	PositionExitFailed           PositionStatus = "EXIT_FAILED"
+	PositionQuarantine           PositionStatus = "QUARANTINE"
+)
+
+type SystemState string
+
+const (
+	StateInit               SystemState = "INIT"
+	StateSyncInstruments    SystemState = "SYNC_INSTRUMENTS"
+	StateSyncMarketData     SystemState = "SYNC_MARKET_DATA"
+	StateGenerateSignals    SystemState = "GENERATE_SIGNALS"
+	StateWaitEntryWindow    SystemState = "WAIT_ENTRY_WINDOW"
+	StatePlaceEntryOrders   SystemState = "PLACE_ENTRY_ORDERS"
+	StateMonitorEntryOrders SystemState = "MONITOR_ENTRY_ORDERS"
+	StateHoldOvernight      SystemState = "HOLD_OVERNIGHT"
+	StateWaitExitWindow     SystemState = "WAIT_EXIT_WINDOW"
+	StatePlaceExitOrders    SystemState = "PLACE_EXIT_ORDERS"
+	StateMonitorExitOrders  SystemState = "MONITOR_EXIT_ORDERS"
+	StateReconcile          SystemState = "RECONCILE"
+	StateReport             SystemState = "REPORT"
+	StateSleep              SystemState = "SLEEP"
+	StateHalted             SystemState = "HALTED"
+)
+
+type Severity string
+
+const (
+	SeverityInfo     Severity = "INFO"
+	SeverityWarn     Severity = "WARN"
+	SeverityAlert    Severity = "ALERT"
+	SeverityCritical Severity = "CRITICAL"
+)
+
+type TradingStatus string
+
+const (
+	TradingStatusNormal  TradingStatus = "NORMAL_TRADING"
+	TradingStatusClosed  TradingStatus = "CLOSED"
+	TradingStatusUnknown TradingStatus = "UNKNOWN"
+)
+
+type Instrument struct {
+	InstrumentUID                string
+	Figi                         string
+	Ticker                       string
+	ClassCode                    string
+	Name                         string
+	Lot                          int64
+	MinPriceIncrement            decimal.Decimal
+	Currency                     string
+	Enabled                      bool
+	FundType                     string
+	ExpectedCommissionBpsPerSide decimal.Decimal
+	FreeOrderLimitPerDay         int
+	Quarantine                   bool
+	QuarantineReason             string
+	ExcludeReason                string
+	UpdatedAt                    time.Time
+}
+
+func (i Instrument) MetadataValid() bool {
+	return i.InstrumentUID != "" &&
+		!strings.HasPrefix(i.InstrumentUID, "PENDING:") &&
+		i.Lot > 0 &&
+		i.MinPriceIncrement.IsPositive() &&
+		strings.EqualFold(i.Currency, "RUB")
+}
+
+type Candle struct {
+	InstrumentUID string
+	TradeDate     time.Time
+	Open          decimal.Decimal
+	High          decimal.Decimal
+	Low           decimal.Decimal
+	Close         decimal.Decimal
+	VolumeLots    decimal.Decimal
+	Source        string
+	LoadedAt      time.Time
+}
+
+type FeatureSet struct {
+	InstrumentUID       string
+	TradeDate           time.Time
+	ROn                 decimal.Decimal
+	RDay                decimal.Decimal
+	MuOn60              decimal.Decimal
+	MuOn252             decimal.Decimal
+	SigmaOn60           decimal.Decimal
+	TStatOn60           decimal.Decimal
+	WinOn60             decimal.Decimal
+	EWMAOn              decimal.Decimal
+	SpreadBps           decimal.Decimal
+	HalfSpreadBps       decimal.Decimal
+	TickBps             decimal.Decimal
+	ADV20               decimal.Decimal
+	ExpectedCostBps     decimal.Decimal
+	NetEdgeBps          decimal.Decimal
+	EntryIntervalVolume decimal.Decimal
+	ExitIntervalVolume  decimal.Decimal
+	CalculatedAt        time.Time
+}
+
+type Signal struct {
+	ID             int64
+	TradeDate      time.Time
+	InstrumentUID  string
+	Decision       SignalDecision
+	Score          decimal.Decimal
+	NetEdgeBps     decimal.Decimal
+	TargetNotional decimal.Decimal
+	TargetLots     int64
+	RejectReason   string
+	ContextJSON    string
+	CreatedAt      time.Time
+}
+
+type Order struct {
+	ClientOrderID string
+	BrokerOrderID string
+	AccountIDHash string
+	InstrumentUID string
+	TradeDate     time.Time
+	Side          Side
+	OrderType     OrderType
+	LimitPrice    decimal.Decimal
+	QuantityLots  int64
+	FilledLots    int64
+	AvgFillPrice  decimal.Decimal
+	Status        OrderStatus
+	Commission    decimal.Decimal
+	AttemptNo     int
+	RawStateJSON  string
+	CreatedAt     time.Time
+	UpdatedAt     time.Time
+}
+
+type Position struct {
+	ID              int64
+	AccountIDHash   string
+	InstrumentUID   string
+	OpenTradeDate   time.Time
+	Lots            int64
+	Lot             int64
+	ExitFilledLots  int64
+	AvgBuyPrice     decimal.Decimal
+	AvgSellPrice    decimal.Decimal
+	Status          PositionStatus
+	GrossPnL        decimal.Decimal
+	NetPnL          decimal.Decimal
+	CommissionTotal decimal.Decimal
+	RealizedEdgeBps decimal.Decimal
+	OpenedAt        *time.Time
+	ClosedAt        *time.Time
+	UpdatedAt       time.Time
+}
+
+type RiskEvent struct {
+	ID            int64
+	TS            time.Time
+	Severity      Severity
+	EventType     string
+	InstrumentUID string
+	Message       string
+	ContextJSON   string
+}
+
+type Holding struct {
+	InstrumentUID string
+	QuantityLots  int64
+	AveragePrice  decimal.Decimal
+	MarketValue   decimal.Decimal
+}
+
+type Portfolio struct {
+	Equity    decimal.Decimal
+	Cash      decimal.Decimal
+	Holdings  []Holding
+	CheckedAt time.Time
+}
+
+type OrderBookLevel struct {
+	Price        decimal.Decimal
+	QuantityLots int64
+}
+
+type OrderBook struct {
+	InstrumentUID string
+	Bids          []OrderBookLevel
+	Asks          []OrderBookLevel
+	Time          time.Time
+	ReceivedAt    time.Time
+}
+
+func (o OrderBook) BestBid() (decimal.Decimal, bool) {
+	if len(o.Bids) == 0 {
+		return decimal.Zero, false
+	}
+	return o.Bids[0].Price, true
+}
+
+func (o OrderBook) BestAsk() (decimal.Decimal, bool) {
+	if len(o.Asks) == 0 {
+		return decimal.Zero, false
+	}
+	return o.Asks[0].Price, true
+}
+
+type Operation struct {
+	ID            string
+	InstrumentUID string
+	Type          string
+	Payment       decimal.Decimal
+	Commission    decimal.Decimal
+	ExecutedAt    time.Time
+}
+
+type ReconciliationDiff struct {
+	Kind          string
+	InstrumentUID string
+	Message       string
+	Critical      bool
+}