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 +1,148 @@
+package features
+
+import (
+	"context"
+	"fmt"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/repository"
+	"overnight-trading-bot/internal/timeutil"
+)
+
+type PipelineConfig struct {
+	RollingShort           int
+	RollingLong            int
+	EWMALambda             float64
+	RiskBufferBps          decimal.Decimal
+	EntrySlippageBps       decimal.Decimal
+	ExitSlippageBps        decimal.Decimal
+	CommissionRoundtripBps decimal.Decimal
+	EntryWindow            timeutil.Window
+	ExitWindow             timeutil.Window
+	Location               *time.Location
+}
+
+type Pipeline struct {
+	repo repository.Repository
+	cfg  PipelineConfig
+}
+
+func NewPipeline(repo repository.Repository, cfg PipelineConfig) Pipeline {
+	return Pipeline{repo: repo, cfg: cfg}
+}
+
+func (p Pipeline) Recompute(ctx context.Context, instrument domain.Instrument, tradeDate time.Time, spread SpreadResult) (domain.FeatureSet, error) {
+	from := tradeDate.AddDate(0, 0, -p.cfg.RollingLong-5)
+	candles, err := p.repo.ListDailyCandles(ctx, instrument.InstrumentUID, from, tradeDate)
+	if err != nil {
+		return domain.FeatureSet{}, err
+	}
+	entryVolume, err := p.intervalVolume(ctx, instrument, tradeDate, p.cfg.EntryWindow)
+	if err != nil {
+		return domain.FeatureSet{}, err
+	}
+	exitVolume, err := p.intervalVolume(ctx, instrument, tradeDate.AddDate(0, 0, 1), p.cfg.ExitWindow)
+	if err != nil {
+		return domain.FeatureSet{}, err
+	}
+	feature, err := Compute(instrument, candles, tradeDate, spread, p.cfg, entryVolume, exitVolume)
+	if err != nil {
+		return domain.FeatureSet{}, err
+	}
+	if err := p.repo.UpsertFeature(ctx, feature); err != nil {
+		return domain.FeatureSet{}, err
+	}
+	return feature, nil
+}
+
+func (p Pipeline) intervalVolume(ctx context.Context, instrument domain.Instrument, date time.Time, window timeutil.Window) (decimal.Decimal, error) {
+	if window.Start.Duration == 0 && window.End.Duration == 0 {
+		return decimal.Zero, nil
+	}
+	loc := p.cfg.Location
+	if loc == nil {
+		loc = time.UTC
+	}
+	from := window.Start.On(date, loc).UTC()
+	to := window.End.On(date, loc).UTC()
+	candles, err := p.repo.ListMinuteCandles(ctx, instrument.InstrumentUID, from, to)
+	if err != nil {
+		return decimal.Zero, err
+	}
+	return IntervalVolume(candles, instrument.Lot), nil
+}
+
+func Compute(instrument domain.Instrument, candles []domain.Candle, tradeDate time.Time, spread SpreadResult, cfg PipelineConfig, entryVolume, exitVolume decimal.Decimal) (domain.FeatureSet, error) {
+	if len(candles) < 2 {
+		return domain.FeatureSet{}, fmt.Errorf("need at least 2 candles, got %d", len(candles))
+	}
+	var overnight []float64
+	var lastROn decimal.Decimal
+	var lastRDay decimal.Decimal
+	for i := 1; i < len(candles); i++ {
+		rOn, err := OvernightReturn(candles[i].Open, candles[i-1].Close)
+		if err != nil {
+			return domain.FeatureSet{}, err
+		}
+		rDay, err := IntradayReturn(candles[i].Close, candles[i].Open)
+		if err != nil {
+			return domain.FeatureSet{}, err
+		}
+		onFloat, _ := rOn.Float64()
+		overnight = append(overnight, onFloat)
+		lastROn = rOn
+		lastRDay = rDay
+	}
+	short := Rolling(overnight, cfg.RollingShort, cfg.EWMALambda)
+	long := Rolling(overnight, cfg.RollingLong, cfg.EWMALambda)
+	adv := ADV(candles, instrument.Lot, 20)
+	rawEdgeBps := decimal.NewFromFloat(short.Mean).Mul(decimal.NewFromInt(10_000))
+	if !entryVolume.IsPositive() {
+		entryVolume = adv
+	}
+	if !exitVolume.IsPositive() {
+		exitVolume = adv
+	}
+	instrumentCommission := instrument.ExpectedCommissionBpsPerSide.Mul(decimal.NewFromInt(2))
+	expectedCost := spread.SpreadBps.
+		Add(cfg.EntrySlippageBps).
+		Add(cfg.ExitSlippageBps).
+		Add(cfg.CommissionRoundtripBps).
+		Add(instrumentCommission).
+		Add(cfg.RiskBufferBps)
+	return domain.FeatureSet{
+		InstrumentUID:       instrument.InstrumentUID,
+		TradeDate:           tradeDate,
+		ROn:                 lastROn,
+		RDay:                lastRDay,
+		MuOn60:              decimal.NewFromFloat(short.Mean),
+		MuOn252:             decimal.NewFromFloat(long.Mean),
+		SigmaOn60:           decimal.NewFromFloat(short.StdDev),
+		TStatOn60:           decimal.NewFromFloat(short.TStat),
+		WinOn60:             decimal.NewFromFloat(short.WinRate),
+		EWMAOn:              decimal.NewFromFloat(short.EWMA),
+		SpreadBps:           spread.SpreadBps,
+		HalfSpreadBps:       spread.HalfSpreadBps,
+		TickBps:             spread.TickBps,
+		ADV20:               adv,
+		ExpectedCostBps:     expectedCost,
+		NetEdgeBps:          rawEdgeBps.Sub(expectedCost),
+		EntryIntervalVolume: entryVolume,
+		ExitIntervalVolume:  exitVolume,
+		CalculatedAt:        time.Now().UTC(),
+	}, nil
+}
+
+func IntervalVolume(candles []domain.Candle, lot int64) decimal.Decimal {
+	if lot <= 0 {
+		return decimal.Zero
+	}
+	total := decimal.Zero
+	for _, candle := range candles {
+		total = total.Add(candle.VolumeLots.Mul(decimal.NewFromInt(lot)).Mul(candle.Close))
+	}
+	return total
+}