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 +1,338 @@
+package mysql
+
+import (
+	"database/sql"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+)
+
+type candleRow struct {
+	InstrumentUID string          `db:"instrument_uid"`
+	TradeDate     time.Time       `db:"trade_date"`
+	Open          decimal.Decimal `db:"open"`
+	High          decimal.Decimal `db:"high"`
+	Low           decimal.Decimal `db:"low"`
+	Close         decimal.Decimal `db:"close"`
+	VolumeLots    decimal.Decimal `db:"volume_lots"`
+	Source        string          `db:"source"`
+	LoadedAt      time.Time       `db:"loaded_at"`
+}
+
+func candleRowFromDomain(candle domain.Candle) candleRow {
+	return candleRow{
+		InstrumentUID: candle.InstrumentUID,
+		TradeDate:     dateOnly(candle.TradeDate),
+		Open:          candle.Open,
+		High:          candle.High,
+		Low:           candle.Low,
+		Close:         candle.Close,
+		VolumeLots:    candle.VolumeLots,
+		Source:        candle.Source,
+		LoadedAt:      candle.LoadedAt,
+	}
+}
+
+func (r candleRow) domain() domain.Candle {
+	return domain.Candle{
+		InstrumentUID: r.InstrumentUID,
+		TradeDate:     r.TradeDate,
+		Open:          r.Open,
+		High:          r.High,
+		Low:           r.Low,
+		Close:         r.Close,
+		VolumeLots:    r.VolumeLots,
+		Source:        r.Source,
+		LoadedAt:      r.LoadedAt,
+	}
+}
+
+type featureRow struct {
+	InstrumentUID       string          `db:"instrument_uid"`
+	TradeDate           time.Time       `db:"trade_date"`
+	ROn                 decimal.Decimal `db:"r_on"`
+	RDay                decimal.Decimal `db:"r_day"`
+	MuOn60              decimal.Decimal `db:"mu_on_60"`
+	MuOn252             decimal.Decimal `db:"mu_on_252"`
+	SigmaOn60           decimal.Decimal `db:"sigma_on_60"`
+	TStatOn60           decimal.Decimal `db:"tstat_on_60"`
+	WinOn60             decimal.Decimal `db:"win_on_60"`
+	EWMAOn              decimal.Decimal `db:"ewma_on"`
+	SpreadBps           decimal.Decimal `db:"spread_bps"`
+	HalfSpreadBps       decimal.Decimal `db:"half_spread_bps"`
+	TickBps             decimal.Decimal `db:"tick_bps"`
+	ADV20               decimal.Decimal `db:"adv_20"`
+	ExpectedCostBps     decimal.Decimal `db:"expected_cost_bps"`
+	NetEdgeBps          decimal.Decimal `db:"net_edge_bps"`
+	EntryIntervalVolume decimal.Decimal `db:"entry_interval_volume"`
+	ExitIntervalVolume  decimal.Decimal `db:"exit_interval_volume"`
+	CalculatedAt        time.Time       `db:"calculated_at"`
+}
+
+func featureRowFromDomain(feature domain.FeatureSet) featureRow {
+	return featureRow{
+		InstrumentUID:       feature.InstrumentUID,
+		TradeDate:           dateOnly(feature.TradeDate),
+		ROn:                 feature.ROn,
+		RDay:                feature.RDay,
+		MuOn60:              feature.MuOn60,
+		MuOn252:             feature.MuOn252,
+		SigmaOn60:           feature.SigmaOn60,
+		TStatOn60:           feature.TStatOn60,
+		WinOn60:             feature.WinOn60,
+		EWMAOn:              feature.EWMAOn,
+		SpreadBps:           feature.SpreadBps,
+		HalfSpreadBps:       feature.HalfSpreadBps,
+		TickBps:             feature.TickBps,
+		ADV20:               feature.ADV20,
+		ExpectedCostBps:     feature.ExpectedCostBps,
+		NetEdgeBps:          feature.NetEdgeBps,
+		EntryIntervalVolume: feature.EntryIntervalVolume,
+		ExitIntervalVolume:  feature.ExitIntervalVolume,
+		CalculatedAt:        feature.CalculatedAt,
+	}
+}
+
+func (r featureRow) domain() domain.FeatureSet {
+	return domain.FeatureSet{
+		InstrumentUID:       r.InstrumentUID,
+		TradeDate:           r.TradeDate,
+		ROn:                 r.ROn,
+		RDay:                r.RDay,
+		MuOn60:              r.MuOn60,
+		MuOn252:             r.MuOn252,
+		SigmaOn60:           r.SigmaOn60,
+		TStatOn60:           r.TStatOn60,
+		WinOn60:             r.WinOn60,
+		EWMAOn:              r.EWMAOn,
+		SpreadBps:           r.SpreadBps,
+		HalfSpreadBps:       r.HalfSpreadBps,
+		TickBps:             r.TickBps,
+		ADV20:               r.ADV20,
+		ExpectedCostBps:     r.ExpectedCostBps,
+		NetEdgeBps:          r.NetEdgeBps,
+		EntryIntervalVolume: r.EntryIntervalVolume,
+		ExitIntervalVolume:  r.ExitIntervalVolume,
+		CalculatedAt:        r.CalculatedAt,
+	}
+}
+
+type signalRow struct {
+	ID             int64           `db:"id"`
+	TradeDate      time.Time       `db:"trade_date"`
+	InstrumentUID  string          `db:"instrument_uid"`
+	Decision       string          `db:"decision"`
+	Score          decimal.Decimal `db:"score"`
+	NetEdgeBps     decimal.Decimal `db:"net_edge_bps"`
+	TargetNotional decimal.Decimal `db:"target_notional"`
+	TargetLots     int64           `db:"target_lots"`
+	RejectReason   sql.NullString  `db:"reject_reason"`
+	ContextJSON    sql.NullString  `db:"context_json"`
+	CreatedAt      time.Time       `db:"created_at"`
+}
+
+func signalRowFromDomain(signal domain.Signal) signalRow {
+	return signalRow{
+		ID:             signal.ID,
+		TradeDate:      dateOnly(signal.TradeDate),
+		InstrumentUID:  signal.InstrumentUID,
+		Decision:       string(signal.Decision),
+		Score:          signal.Score,
+		NetEdgeBps:     signal.NetEdgeBps,
+		TargetNotional: signal.TargetNotional,
+		TargetLots:     signal.TargetLots,
+		RejectReason:   sql.NullString{String: signal.RejectReason, Valid: signal.RejectReason != ""},
+		ContextJSON:    sql.NullString{String: signal.ContextJSON, Valid: signal.ContextJSON != ""},
+		CreatedAt:      signal.CreatedAt,
+	}
+}
+
+func (r signalRow) domain() domain.Signal {
+	return domain.Signal{
+		ID:             r.ID,
+		TradeDate:      r.TradeDate,
+		InstrumentUID:  r.InstrumentUID,
+		Decision:       domain.SignalDecision(r.Decision),
+		Score:          r.Score,
+		NetEdgeBps:     r.NetEdgeBps,
+		TargetNotional: r.TargetNotional,
+		TargetLots:     r.TargetLots,
+		RejectReason:   r.RejectReason.String,
+		ContextJSON:    r.ContextJSON.String,
+		CreatedAt:      r.CreatedAt,
+	}
+}
+
+type orderRow struct {
+	ClientOrderID string          `db:"client_order_id"`
+	BrokerOrderID sql.NullString  `db:"broker_order_id"`
+	AccountIDHash string          `db:"account_id_hash"`
+	InstrumentUID string          `db:"instrument_uid"`
+	TradeDate     time.Time       `db:"trade_date"`
+	Side          string          `db:"side"`
+	OrderType     string          `db:"order_type"`
+	LimitPrice    decimal.Decimal `db:"limit_price"`
+	QuantityLots  int64           `db:"quantity_lots"`
+	FilledLots    int64           `db:"filled_lots"`
+	AvgFillPrice  decimal.Decimal `db:"avg_fill_price"`
+	Status        string          `db:"status"`
+	Commission    decimal.Decimal `db:"commission"`
+	AttemptNo     int             `db:"attempt_no"`
+	RawStateJSON  sql.NullString  `db:"raw_state_json"`
+	CreatedAt     time.Time       `db:"created_at"`
+	UpdatedAt     time.Time       `db:"updated_at"`
+}
+
+func orderRowFromDomain(order domain.Order) orderRow {
+	return orderRow{
+		ClientOrderID: order.ClientOrderID,
+		BrokerOrderID: sql.NullString{
+			String: order.BrokerOrderID,
+			Valid:  order.BrokerOrderID != "",
+		},
+		AccountIDHash: order.AccountIDHash,
+		InstrumentUID: order.InstrumentUID,
+		TradeDate:     dateOnly(order.TradeDate),
+		Side:          string(order.Side),
+		OrderType:     string(order.OrderType),
+		LimitPrice:    order.LimitPrice,
+		QuantityLots:  order.QuantityLots,
+		FilledLots:    order.FilledLots,
+		AvgFillPrice:  order.AvgFillPrice,
+		Status:        string(order.Status),
+		Commission:    order.Commission,
+		AttemptNo:     order.AttemptNo,
+		RawStateJSON: sql.NullString{
+			String: order.RawStateJSON,
+			Valid:  order.RawStateJSON != "",
+		},
+		CreatedAt: order.CreatedAt,
+		UpdatedAt: order.UpdatedAt,
+	}
+}
+
+func (r orderRow) domain() domain.Order {
+	return domain.Order{
+		ClientOrderID: r.ClientOrderID,
+		BrokerOrderID: r.BrokerOrderID.String,
+		AccountIDHash: r.AccountIDHash,
+		InstrumentUID: r.InstrumentUID,
+		TradeDate:     r.TradeDate,
+		Side:          domain.Side(r.Side),
+		OrderType:     domain.OrderType(r.OrderType),
+		LimitPrice:    r.LimitPrice,
+		QuantityLots:  r.QuantityLots,
+		FilledLots:    r.FilledLots,
+		AvgFillPrice:  r.AvgFillPrice,
+		Status:        domain.OrderStatus(r.Status),
+		Commission:    r.Commission,
+		AttemptNo:     r.AttemptNo,
+		RawStateJSON:  r.RawStateJSON.String,
+		CreatedAt:     r.CreatedAt,
+		UpdatedAt:     r.UpdatedAt,
+	}
+}
+
+type positionRow struct {
+	ID              int64           `db:"id"`
+	AccountIDHash   string          `db:"account_id_hash"`
+	InstrumentUID   string          `db:"instrument_uid"`
+	OpenTradeDate   time.Time       `db:"open_trade_date"`
+	Lots            int64           `db:"lots"`
+	Lot             int64           `db:"lot_size"`
+	ExitFilledLots  int64           `db:"exit_filled_lots"`
+	AvgBuyPrice     decimal.Decimal `db:"avg_buy_price"`
+	AvgSellPrice    decimal.Decimal `db:"avg_sell_price"`
+	Status          string          `db:"status"`
+	GrossPnL        decimal.Decimal `db:"gross_pnl"`
+	NetPnL          decimal.Decimal `db:"net_pnl"`
+	CommissionTotal decimal.Decimal `db:"commission_total"`
+	RealizedEdgeBps decimal.Decimal `db:"realized_edge_bps"`
+	OpenedAt        sql.NullTime    `db:"opened_at"`
+	ClosedAt        sql.NullTime    `db:"closed_at"`
+	UpdatedAt       time.Time       `db:"updated_at"`
+}
+
+func positionRowFromDomain(position domain.Position) positionRow {
+	lot := position.Lot
+	if lot <= 0 {
+		lot = 1
+	}
+	return positionRow{
+		ID:              position.ID,
+		AccountIDHash:   position.AccountIDHash,
+		InstrumentUID:   position.InstrumentUID,
+		OpenTradeDate:   dateOnly(position.OpenTradeDate),
+		Lots:            position.Lots,
+		Lot:             lot,
+		ExitFilledLots:  position.ExitFilledLots,
+		AvgBuyPrice:     position.AvgBuyPrice,
+		AvgSellPrice:    position.AvgSellPrice,
+		Status:          string(position.Status),
+		GrossPnL:        position.GrossPnL,
+		NetPnL:          position.NetPnL,
+		CommissionTotal: position.CommissionTotal,
+		RealizedEdgeBps: position.RealizedEdgeBps,
+		OpenedAt:        nullableTime(position.OpenedAt),
+		ClosedAt:        nullableTime(position.ClosedAt),
+		UpdatedAt:       position.UpdatedAt,
+	}
+}
+
+func (r positionRow) domain() domain.Position {
+	return domain.Position{
+		ID:              r.ID,
+		AccountIDHash:   r.AccountIDHash,
+		InstrumentUID:   r.InstrumentUID,
+		OpenTradeDate:   r.OpenTradeDate,
+		Lots:            r.Lots,
+		Lot:             r.Lot,
+		ExitFilledLots:  r.ExitFilledLots,
+		AvgBuyPrice:     r.AvgBuyPrice,
+		AvgSellPrice:    r.AvgSellPrice,
+		Status:          domain.PositionStatus(r.Status),
+		GrossPnL:        r.GrossPnL,
+		NetPnL:          r.NetPnL,
+		CommissionTotal: r.CommissionTotal,
+		RealizedEdgeBps: r.RealizedEdgeBps,
+		OpenedAt:        timePtr(r.OpenedAt),
+		ClosedAt:        timePtr(r.ClosedAt),
+		UpdatedAt:       r.UpdatedAt,
+	}
+}
+
+type riskEventRow struct {
+	TS            time.Time      `db:"ts"`
+	Severity      string         `db:"severity"`
+	EventType     string         `db:"event_type"`
+	InstrumentUID sql.NullString `db:"instrument_uid"`
+	Message       string         `db:"message"`
+	ContextJSON   string         `db:"raw_context_json"`
+}
+
+func riskEventRowFromDomain(event domain.RiskEvent) riskEventRow {
+	return riskEventRow{
+		TS:            event.TS,
+		Severity:      string(event.Severity),
+		EventType:     event.EventType,
+		InstrumentUID: sql.NullString{String: event.InstrumentUID, Valid: event.InstrumentUID != ""},
+		Message:       event.Message,
+		ContextJSON:   event.ContextJSON,
+	}
+}
+
+func nullableTime(t *time.Time) sql.NullTime {
+	if t == nil {
+		return sql.NullTime{}
+	}
+	return sql.NullTime{Time: *t, Valid: true}
+}
+
+func timePtr(t sql.NullTime) *time.Time {
+	if !t.Valid {
+		return nil
+	}
+	return &t.Time
+}