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CREATE TABLE IF NOT EXISTS schema_meta (
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meta_key VARCHAR(64) PRIMARY KEY,
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meta_value VARCHAR(255) NOT NULL,
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updated_at DATETIME(3) NOT NULL DEFAULT CURRENT_TIMESTAMP(3) ON UPDATE CURRENT_TIMESTAMP(3)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS instruments (
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instrument_uid VARCHAR(128) PRIMARY KEY,
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figi VARCHAR(64),
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ticker VARCHAR(32) NOT NULL,
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class_code VARCHAR(32) NOT NULL DEFAULT 'TQTF',
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name VARCHAR(255) NOT NULL DEFAULT '',
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lot BIGINT NOT NULL DEFAULT 1,
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min_price_increment DECIMAL(20,8) NOT NULL DEFAULT 0,
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currency VARCHAR(8) NOT NULL DEFAULT 'RUB',
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enabled TINYINT(1) NOT NULL DEFAULT 1,
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fund_type VARCHAR(64) NOT NULL DEFAULT '',
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expected_commission_bps_per_side DECIMAL(12,4) NOT NULL DEFAULT 0,
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free_order_limit_per_day INT NOT NULL DEFAULT 0 COMMENT '0 means no configured free-order cap',
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quarantine TINYINT(1) NOT NULL DEFAULT 0,
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quarantine_reason TEXT,
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exclude_reason TEXT,
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updated_at DATETIME(3) NOT NULL DEFAULT CURRENT_TIMESTAMP(3) ON UPDATE CURRENT_TIMESTAMP(3),
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UNIQUE KEY ux_instruments_ticker_class (ticker, class_code)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS candles_daily (
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instrument_uid VARCHAR(128) NOT NULL,
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trade_date DATE NOT NULL,
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open DECIMAL(20,8) NOT NULL,
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high DECIMAL(20,8) NOT NULL,
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low DECIMAL(20,8) NOT NULL,
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close DECIMAL(20,8) NOT NULL,
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volume_lots DECIMAL(20,8) NOT NULL DEFAULT 0,
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source VARCHAR(32) NOT NULL,
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loaded_at DATETIME(3) NOT NULL,
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PRIMARY KEY (instrument_uid, trade_date),
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CONSTRAINT fk_candles_daily_instrument FOREIGN KEY (instrument_uid) REFERENCES instruments(instrument_uid) ON UPDATE CASCADE
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS candles_minute (
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instrument_uid VARCHAR(128) NOT NULL,
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ts DATETIME(3) NOT NULL,
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open DECIMAL(20,8) NOT NULL,
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high DECIMAL(20,8) NOT NULL,
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low DECIMAL(20,8) NOT NULL,
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close DECIMAL(20,8) NOT NULL,
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volume_lots DECIMAL(20,8) NOT NULL DEFAULT 0,
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source VARCHAR(32) NOT NULL,
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loaded_at DATETIME(3) NOT NULL,
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PRIMARY KEY (instrument_uid, ts),
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CONSTRAINT fk_candles_minute_instrument FOREIGN KEY (instrument_uid) REFERENCES instruments(instrument_uid) ON UPDATE CASCADE
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS features (
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instrument_uid VARCHAR(128) NOT NULL,
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trade_date DATE NOT NULL,
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r_on DECIMAL(20,10) NOT NULL DEFAULT 0,
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r_day DECIMAL(20,10) NOT NULL DEFAULT 0,
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mu_on_60 DECIMAL(20,10) NOT NULL DEFAULT 0,
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mu_on_252 DECIMAL(20,10) NOT NULL DEFAULT 0,
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sigma_on_60 DECIMAL(20,10) NOT NULL DEFAULT 0,
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tstat_on_60 DECIMAL(20,10) NOT NULL DEFAULT 0,
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win_on_60 DECIMAL(20,10) NOT NULL DEFAULT 0,
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ewma_on DECIMAL(20,10) NOT NULL DEFAULT 0,
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spread_bps DECIMAL(12,4) NOT NULL DEFAULT 0,
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half_spread_bps DECIMAL(12,4) NOT NULL DEFAULT 0,
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tick_bps DECIMAL(12,4) NOT NULL DEFAULT 0,
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adv_20 DECIMAL(20,8) NOT NULL DEFAULT 0,
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expected_cost_bps DECIMAL(12,4) NOT NULL DEFAULT 0,
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net_edge_bps DECIMAL(12,4) NOT NULL DEFAULT 0,
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entry_interval_volume DECIMAL(20,8) NOT NULL DEFAULT 0,
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exit_interval_volume DECIMAL(20,8) NOT NULL DEFAULT 0,
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calculated_at DATETIME(3) NOT NULL,
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PRIMARY KEY (instrument_uid, trade_date),
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CONSTRAINT fk_features_instrument FOREIGN KEY (instrument_uid) REFERENCES instruments(instrument_uid) ON UPDATE CASCADE
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS signals (
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id BIGINT UNSIGNED NOT NULL AUTO_INCREMENT PRIMARY KEY,
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trade_date DATE NOT NULL,
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instrument_uid VARCHAR(128) NOT NULL,
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decision ENUM('ENTER','SKIP','REJECT') NOT NULL,
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score DECIMAL(20,10) NOT NULL DEFAULT 0,
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net_edge_bps DECIMAL(12,4) NOT NULL DEFAULT 0,
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target_notional DECIMAL(20,8) NOT NULL DEFAULT 0,
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target_lots BIGINT NOT NULL DEFAULT 0,
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reject_reason VARCHAR(128),
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context_json JSON,
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created_at DATETIME(3) NOT NULL,
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UNIQUE KEY ux_signals_date_instr (trade_date, instrument_uid),
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CONSTRAINT fk_signals_instrument FOREIGN KEY (instrument_uid) REFERENCES instruments(instrument_uid) ON UPDATE CASCADE
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS orders (
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client_order_id VARCHAR(128) PRIMARY KEY,
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broker_order_id VARCHAR(128),
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account_id_hash VARCHAR(128) NOT NULL,
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instrument_uid VARCHAR(128) NOT NULL,
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trade_date DATE NOT NULL,
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side ENUM('BUY','SELL') NOT NULL,
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order_type ENUM('LIMIT') NOT NULL,
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limit_price DECIMAL(20,8) NOT NULL DEFAULT 0,
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quantity_lots BIGINT NOT NULL,
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filled_lots BIGINT NOT NULL DEFAULT 0,
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avg_fill_price DECIMAL(20,8) NOT NULL DEFAULT 0,
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status ENUM('NEW','SENT','PARTIALLY_FILLED','FILLED','CANCELLED','REJECTED','EXPIRED','FAILED') NOT NULL,
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commission DECIMAL(20,8) NOT NULL DEFAULT 0,
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attempt_no INT NOT NULL DEFAULT 1,
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raw_state_json JSON,
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created_at DATETIME(3) NOT NULL,
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updated_at DATETIME(3) NOT NULL,
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UNIQUE KEY ux_orders_broker_order_id (broker_order_id),
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KEY ix_orders_active (account_id_hash, status),
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CONSTRAINT fk_orders_instrument FOREIGN KEY (instrument_uid) REFERENCES instruments(instrument_uid) ON UPDATE CASCADE
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS positions (
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id BIGINT UNSIGNED NOT NULL AUTO_INCREMENT PRIMARY KEY,
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account_id_hash VARCHAR(128) NOT NULL,
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instrument_uid VARCHAR(128) NOT NULL,
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open_trade_date DATE NOT NULL,
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lots BIGINT NOT NULL,
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avg_buy_price DECIMAL(20,8) NOT NULL DEFAULT 0,
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avg_sell_price DECIMAL(20,8) NOT NULL DEFAULT 0,
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status ENUM('NO_POSITION','ENTRY_SIGNALLED','ENTRY_ORDER_SENT','ENTRY_PARTIALLY_FILLED','ENTRY_FILLED','HOLDING_OVERNIGHT','EXIT_ORDER_SENT','EXIT_PARTIALLY_FILLED','EXIT_FILLED','EXIT_FAILED','QUARANTINE') NOT NULL,
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gross_pnl DECIMAL(20,8) NOT NULL DEFAULT 0,
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net_pnl DECIMAL(20,8) NOT NULL DEFAULT 0,
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commission_total DECIMAL(20,8) NOT NULL DEFAULT 0,
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realized_edge_bps DECIMAL(12,4) NOT NULL DEFAULT 0,
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opened_at DATETIME(3),
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closed_at DATETIME(3),
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updated_at DATETIME(3) NOT NULL,
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KEY ix_positions_open (account_id_hash, status),
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CONSTRAINT fk_positions_instrument FOREIGN KEY (instrument_uid) REFERENCES instruments(instrument_uid) ON UPDATE CASCADE
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS risk_events (
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id BIGINT UNSIGNED NOT NULL AUTO_INCREMENT PRIMARY KEY,
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ts DATETIME(3) NOT NULL,
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severity ENUM('INFO','WARN','ALERT','CRITICAL') NOT NULL,
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event_type VARCHAR(128) NOT NULL,
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instrument_uid VARCHAR(128),
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message TEXT NOT NULL,
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raw_context_json JSON,
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KEY ix_risk_events_ts (ts)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS free_order_counters (
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trade_date DATE NOT NULL,
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instrument_uid VARCHAR(128) NOT NULL,
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orders_sent INT NOT NULL DEFAULT 0,
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updated_at DATETIME(3) NOT NULL DEFAULT CURRENT_TIMESTAMP(3) ON UPDATE CURRENT_TIMESTAMP(3),
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PRIMARY KEY (trade_date, instrument_uid),
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CONSTRAINT fk_free_orders_instrument FOREIGN KEY (instrument_uid) REFERENCES instruments(instrument_uid) ON UPDATE CASCADE
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS system_state (
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id TINYINT NOT NULL PRIMARY KEY,
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state ENUM('INIT','SYNC_INSTRUMENTS','SYNC_MARKET_DATA','GENERATE_SIGNALS','WAIT_ENTRY_WINDOW','PLACE_ENTRY_ORDERS','MONITOR_ENTRY_ORDERS','HOLD_OVERNIGHT','WAIT_EXIT_WINDOW','PLACE_EXIT_ORDERS','MONITOR_EXIT_ORDERS','RECONCILE','REPORT','SLEEP','HALTED') NOT NULL,
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mode ENUM('backtest','paper','sandbox','live_readonly','live_trade') NOT NULL,
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halted TINYINT(1) NOT NULL DEFAULT 0,
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halt_reason TEXT,
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last_heartbeat DATETIME(3) NOT NULL,
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context_json JSON
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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CREATE TABLE IF NOT EXISTS reconciliations (
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id BIGINT UNSIGNED NOT NULL AUTO_INCREMENT PRIMARY KEY,
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ts DATETIME(3) NOT NULL,
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has_diff TINYINT(1) NOT NULL,
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diff_json JSON,
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KEY ix_reconciliations_ts (ts)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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INSERT INTO schema_meta(meta_key, meta_value) VALUES ('schema_version', '0001')
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ON DUPLICATE KEY UPDATE meta_value=VALUES(meta_value);
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INSERT INTO system_state(id, state, mode, halted, last_heartbeat, context_json)
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VALUES (1, 'INIT', 'paper', 0, UTC_TIMESTAMP(3), JSON_OBJECT())
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ON DUPLICATE KEY UPDATE id=id;
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