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| 4c59a0e4cb |
@@ -0,0 +1,20 @@
|
|||||||
|
# EditorConfig is awesome: https://editorconfig.org
|
||||||
|
|
||||||
|
# top-most EditorConfig file
|
||||||
|
root = true
|
||||||
|
|
||||||
|
# Unix-style newlines with a newline ending every file
|
||||||
|
[*]
|
||||||
|
end_of_line = lf
|
||||||
|
insert_final_newline = true
|
||||||
|
|
||||||
|
# Matches multiple files with brace expansion notation
|
||||||
|
# Set default charset
|
||||||
|
[*.{js,py}]
|
||||||
|
charset = utf-8
|
||||||
|
|
||||||
|
# 4 space indentation
|
||||||
|
[*.py]
|
||||||
|
indent_style = space
|
||||||
|
indent_size = 4
|
||||||
|
max_line_length = 120
|
||||||
@@ -1,6 +1,11 @@
|
|||||||
APP_ENV=dev
|
APP_ENV=dev
|
||||||
APP_HOST=0.0.0.0
|
APP_HOST=0.0.0.0
|
||||||
APP_PORT=8000
|
APP_PORT=8000
|
||||||
|
PG_HOST=192.168.88.35
|
||||||
|
PG_PORT=5432
|
||||||
|
PG_DATABASE=arbitrade
|
||||||
|
PG_USER=arbitrade
|
||||||
|
PG_PASSWORD=arbitrade
|
||||||
LOG_LEVEL=INFO
|
LOG_LEVEL=INFO
|
||||||
LOG_JSON=true
|
LOG_JSON=true
|
||||||
ALERTS_ENABLED=true
|
ALERTS_ENABLED=true
|
||||||
|
|||||||
+1
-1
@@ -36,9 +36,9 @@ build/
|
|||||||
dist/
|
dist/
|
||||||
|
|
||||||
# Local database / runtime data
|
# Local database / runtime data
|
||||||
data/*.duckdb
|
|
||||||
data/*.duckdb.wal
|
data/*.duckdb.wal
|
||||||
data/*.duckdb.tmp
|
data/*.duckdb.tmp
|
||||||
|
data/arbitrade.duckdb
|
||||||
logs/
|
logs/
|
||||||
ops/performance/latest_profile.json
|
ops/performance/latest_profile.json
|
||||||
|
|
||||||
|
|||||||
@@ -6,11 +6,10 @@ Current stack:
|
|||||||
|
|
||||||
- Python 3.12+
|
- Python 3.12+
|
||||||
- FastAPI + HTMX/Jinja2
|
- FastAPI + HTMX/Jinja2
|
||||||
- DuckDB for dev/test/prod
|
- PostgreSQL for all environments (via asyncpg)
|
||||||
- Native Kraken WebSocket planned for market-data hot path
|
- Native Kraken WebSocket planned for market-data hot path
|
||||||
- Gitea Actions + Gitea container registry
|
- Gitea Actions + Gitea container registry
|
||||||
|
|
||||||
Project plan lives in [PLAN.md](PLAN.md).
|
|
||||||
Task checklist lives in [.github/instructions/TODO.md](.github/instructions/TODO.md).
|
Task checklist lives in [.github/instructions/TODO.md](.github/instructions/TODO.md).
|
||||||
Coolify deployment runbooks live in [docs/DEPLOYMENT.md](docs/DEPLOYMENT.md).
|
Coolify deployment runbooks live in [docs/DEPLOYMENT.md](docs/DEPLOYMENT.md).
|
||||||
|
|
||||||
@@ -22,7 +21,7 @@ Bootstrap complete for foundation layer:
|
|||||||
- typed settings and env loading
|
- typed settings and env loading
|
||||||
- structured logging
|
- structured logging
|
||||||
- encrypted secret helpers
|
- encrypted secret helpers
|
||||||
- DuckDB connection + base schema
|
- PostgreSQL connection + full schema migration
|
||||||
- FastAPI app with health endpoint
|
- FastAPI app with health endpoint
|
||||||
- Gitea Actions CI scaffold
|
- Gitea Actions CI scaffold
|
||||||
- Docker / docker-compose scaffold
|
- Docker / docker-compose scaffold
|
||||||
@@ -152,7 +151,11 @@ APP_HOST=0.0.0.0
|
|||||||
APP_PORT=9090
|
APP_PORT=9090
|
||||||
LOG_LEVEL=INFO
|
LOG_LEVEL=INFO
|
||||||
LOG_JSON=true
|
LOG_JSON=true
|
||||||
DUCKDB_PATH=./data/arbitrade.duckdb
|
PG_HOST=192.168.88.35
|
||||||
|
PG_PORT=5432
|
||||||
|
PG_DATABASE=arbitrade
|
||||||
|
PG_USER=arbitrade
|
||||||
|
PG_PASSWORD=arbitrade
|
||||||
FERNET_KEY=
|
FERNET_KEY=
|
||||||
KRAKEN_API_KEY=
|
KRAKEN_API_KEY=
|
||||||
KRAKEN_API_SECRET=
|
KRAKEN_API_SECRET=
|
||||||
@@ -182,15 +185,19 @@ Health endpoints:
|
|||||||
|
|
||||||
## Database
|
## Database
|
||||||
|
|
||||||
DuckDB used everywhere: local dev, tests, production.
|
PostgreSQL used everywhere: local dev, tests, production.
|
||||||
|
|
||||||
Default database file:
|
Default connection:
|
||||||
|
|
||||||
```text
|
```text
|
||||||
./data/arbitrade.duckdb
|
PG_HOST=192.168.88.35
|
||||||
|
PG_PORT=5432
|
||||||
|
PG_DATABASE=arbitrade
|
||||||
|
PG_USER=arbitrade
|
||||||
|
PG_PASSWORD=arbitrade
|
||||||
```
|
```
|
||||||
|
|
||||||
Schema bootstrap runs automatically on app startup.
|
Schema bootstrap runs automatically on app startup via `PgStore.migrate()`.
|
||||||
|
|
||||||
Current tables:
|
Current tables:
|
||||||
|
|
||||||
@@ -220,7 +227,7 @@ DELETE FROM audit_events
|
|||||||
WHERE occurred_at < NOW() - INTERVAL 30 DAY;
|
WHERE occurred_at < NOW() - INTERVAL 30 DAY;
|
||||||
```
|
```
|
||||||
|
|
||||||
- Back up archive files and the main DuckDB file together.
|
- Back up archive files and the PostgreSQL database together.
|
||||||
- For production, run archive + backup as scheduled maintenance (cron/task scheduler).
|
- For production, run archive + backup as scheduled maintenance (cron/task scheduler).
|
||||||
|
|
||||||
## Quality Checks
|
## Quality Checks
|
||||||
@@ -342,7 +349,7 @@ Add a persistent volume in Coolify:
|
|||||||
|
|
||||||
- Mount Path: `/app/data`
|
- Mount Path: `/app/data`
|
||||||
|
|
||||||
This preserves DuckDB and other runtime artifacts across restarts/redeploys.
|
This preserves PostgreSQL data and other runtime artifacts across restarts/redeploys.
|
||||||
|
|
||||||
### 5) Configure environment variables
|
### 5) Configure environment variables
|
||||||
|
|
||||||
@@ -351,7 +358,11 @@ Add runtime environment variables in Coolify (UI: Environment Variables):
|
|||||||
- `APP_ENV=prod`
|
- `APP_ENV=prod`
|
||||||
- `APP_HOST=0.0.0.0`
|
- `APP_HOST=0.0.0.0`
|
||||||
- `APP_PORT=9090`
|
- `APP_PORT=9090`
|
||||||
- `DUCKDB_PATH=/app/data/arbitrade.duckdb`
|
- `PG_HOST=postgres`
|
||||||
|
`PG_PORT=5432`
|
||||||
|
`PG_DATABASE=arbitrade`
|
||||||
|
`PG_USER=arbitrade`
|
||||||
|
`PG_PASSWORD=arbitrade`
|
||||||
- `LOG_LEVEL=INFO`
|
- `LOG_LEVEL=INFO`
|
||||||
- `LOG_JSON=true`
|
- `LOG_JSON=true`
|
||||||
- `KRAKEN_API_KEY=...`
|
- `KRAKEN_API_KEY=...`
|
||||||
|
|||||||
+13
-13
@@ -7,16 +7,16 @@ This guide provides two supported deployment paths for Arbitrade on Coolify:
|
|||||||
|
|
||||||
Reference docs:
|
Reference docs:
|
||||||
|
|
||||||
- Coolify Applications: https://coolify.io/docs/applications
|
- [Coolify Applications](https://coolify.io/docs/applications)
|
||||||
- Coolify Build Packs: https://coolify.io/docs/applications/build-packs
|
- [Coolify Build Packs](https://coolify.io/docs/applications/build-packs)
|
||||||
- Coolify Dockerfile Build Pack: https://coolify.io/docs/applications/build-packs/dockerfile
|
- [Coolify Dockerfile Build Pack](https://coolify.io/docs/applications/build-packs/dockerfile)
|
||||||
- Coolify Nixpacks Build Pack: https://coolify.io/docs/applications/build-packs/nixpacks
|
- [Coolify Nixpacks Build Pack](https://coolify.io/docs/applications/build-packs/nixpacks)
|
||||||
- Coolify CI/CD (Git providers): https://coolify.io/docs/applications/ci-cd
|
- [Coolify CI/CD (Git providers)](https://coolify.io/docs/applications/ci-cd)
|
||||||
- Coolify Gitea integration: https://coolify.io/docs/applications/ci-cd/gitea/integration
|
- [Coolify Gitea integration](https://coolify.io/docs/applications/ci-cd/gitea/integration)
|
||||||
- Coolify environment variables: https://coolify.io/docs/knowledge-base/environment-variables
|
- [Coolify environment variables](https://coolify.io/docs/knowledge-base/environment-variables)
|
||||||
- Coolify persistent storage: https://coolify.io/docs/knowledge-base/persistent-storage
|
- [Coolify persistent storage](https://coolify.io/docs/knowledge-base/persistent-storage)
|
||||||
- Coolify health checks: https://coolify.io/docs/knowledge-base/health-checks
|
- [Coolify health checks](https://coolify.io/docs/knowledge-base/health-checks)
|
||||||
- Coolify Docker registry credentials: https://coolify.io/docs/knowledge-base/docker/registry
|
- [Coolify Docker registry credentials](https://coolify.io/docs/knowledge-base/docker/registry)
|
||||||
|
|
||||||
## Common Runtime Configuration
|
## Common Runtime Configuration
|
||||||
|
|
||||||
@@ -32,14 +32,14 @@ Use these values in both deployment modes.
|
|||||||
|
|
||||||
- Add a persistent volume
|
- Add a persistent volume
|
||||||
- Mount path: `/app/data`
|
- Mount path: `/app/data`
|
||||||
- Set DB path to: `DUCKDB_PATH=/app/data/arbitrade.duckdb`
|
- Set PG connection: `PG_HOST=postgres`, `PG_PORT=5432`, `PG_DATABASE=arbitrade`, `PG_USER=arbitrade`, `PG_PASSWORD=arbitrade`
|
||||||
|
|
||||||
### Required environment variables
|
### Required environment variables
|
||||||
|
|
||||||
- `APP_ENV=prod`
|
- `APP_ENV=prod`
|
||||||
- `APP_HOST=0.0.0.0`
|
- `APP_HOST=0.0.0.0`
|
||||||
- `APP_PORT=9090`
|
- `APP_PORT=9090`
|
||||||
- `DUCKDB_PATH=/app/data/arbitrade.duckdb`
|
- `PG_DATABASE=arbitrade`
|
||||||
- `LOG_LEVEL=INFO`
|
- `LOG_LEVEL=INFO`
|
||||||
- `LOG_JSON=true`
|
- `LOG_JSON=true`
|
||||||
- `KRAKEN_API_KEY=<set-in-coolify-secret>`
|
- `KRAKEN_API_KEY=<set-in-coolify-secret>`
|
||||||
@@ -135,7 +135,7 @@ Update flow for new releases:
|
|||||||
- Ensure the deployed image/wheel includes package templates under `arbitrade/web/templates/*`.
|
- Ensure the deployed image/wheel includes package templates under `arbitrade/web/templates/*`.
|
||||||
- If you build from source, do not remove packaged template files under `src/arbitrade/web/templates`.
|
- If you build from source, do not remove packaged template files under `src/arbitrade/web/templates`.
|
||||||
- DB resets after deploy:
|
- DB resets after deploy:
|
||||||
- Confirm persistent mount exists at `/app/data` and `DUCKDB_PATH` points there.
|
- Confirm PostgreSQL is reachable at `PG_HOST`.
|
||||||
- Registry pull fails:
|
- Registry pull fails:
|
||||||
- Re-check Docker registry credentials in Coolify.
|
- Re-check Docker registry credentials in Coolify.
|
||||||
- App starts but unavailable externally:
|
- App starts but unavailable externally:
|
||||||
|
|||||||
+18
-15
@@ -8,7 +8,7 @@ Primary goals:
|
|||||||
|
|
||||||
- Detect and execute triangular opportunities on Kraken with fee/slippage-aware math.
|
- Detect and execute triangular opportunities on Kraken with fee/slippage-aware math.
|
||||||
- Keep hot-path latency low with incremental order-book updates and event-driven scoring.
|
- Keep hot-path latency low with incremental order-book updates and event-driven scoring.
|
||||||
- Persist operational data in DuckDB for dev, test, and prod.
|
- Persist operational data in PostgreSQL for all environments.
|
||||||
- Provide operator controls, audit trail, and alerting through a server-rendered dashboard.
|
- Provide operator controls, audit trail, and alerting through a server-rendered dashboard.
|
||||||
- Support backtesting, parameter sweeps, and deferred experimental strategy work behind feature flags.
|
- Support backtesting, parameter sweeps, and deferred experimental strategy work behind feature flags.
|
||||||
|
|
||||||
@@ -17,7 +17,7 @@ Primary goals:
|
|||||||
- Python 3.12+ runtime.
|
- Python 3.12+ runtime.
|
||||||
- Native Kraken WebSocket on the hot path.
|
- Native Kraken WebSocket on the hot path.
|
||||||
- HTMX + Jinja2 UI, no SPA build step.
|
- HTMX + Jinja2 UI, no SPA build step.
|
||||||
- DuckDB everywhere.
|
- PostgreSQL everywhere.
|
||||||
- Self-hosted Gitea Actions CI and Gitea registry.
|
- Self-hosted Gitea Actions CI and Gitea registry.
|
||||||
- Windows development support.
|
- Windows development support.
|
||||||
- Secrets must stay out of the repository.
|
- Secrets must stay out of the repository.
|
||||||
@@ -32,7 +32,7 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
|
|
||||||
- Kraken REST + WebSocket provide market data and execution.
|
- Kraken REST + WebSocket provide market data and execution.
|
||||||
- FastAPI serves HTML fragments, JSON endpoints, and SSE streams.
|
- FastAPI serves HTML fragments, JSON endpoints, and SSE streams.
|
||||||
- DuckDB stores trades, opportunities, snapshots, audit events, and runtime state.
|
- PostgreSQL stores trades, opportunities, snapshots, audit events, and runtime state.
|
||||||
- Coolify can deploy the published image using environment variables and persistent storage.
|
- Coolify can deploy the published image using environment variables and persistent storage.
|
||||||
|
|
||||||
## 4. Solution Strategy
|
## 4. Solution Strategy
|
||||||
@@ -53,9 +53,9 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
- `detection/` - triangular graph and incremental detector.
|
- `detection/` - triangular graph and incremental detector.
|
||||||
- `risk/` - pre-trade and trade-limit guards.
|
- `risk/` - pre-trade and trade-limit guards.
|
||||||
- `execution/` - multi-leg trade sequencing.
|
- `execution/` - multi-leg trade sequencing.
|
||||||
- `backtesting/` - replay engine, parameter sweep, experiment scaffolds.
|
- `backtesting/` - replay engine, parameter sweep, experiment scaffolds. See [backtesting.md](backtesting.md).
|
||||||
- `strategy/` - experimental strategy modules such as stat-arb.
|
- `strategy/` - experimental strategy modules such as stat-arb.
|
||||||
- `storage/` - DuckDB schema and repositories.
|
- `storage/` - PostgreSQL schema and repositories.
|
||||||
- `alerting/` - multi-channel notifications.
|
- `alerting/` - multi-channel notifications.
|
||||||
- `runtime/` - startup recovery and graceful shutdown.
|
- `runtime/` - startup recovery and graceful shutdown.
|
||||||
|
|
||||||
@@ -64,7 +64,7 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
- `fastapi`, `uvicorn`, `jinja2`, `htmx`-driven templates.
|
- `fastapi`, `uvicorn`, `jinja2`, `htmx`-driven templates.
|
||||||
- `orjson` for low-alloc parsing.
|
- `orjson` for low-alloc parsing.
|
||||||
- `sortedcontainers` for book state.
|
- `sortedcontainers` for book state.
|
||||||
- `duckdb` for persistence and analytics.
|
- `asyncpg` for PostgreSQL persistence.
|
||||||
- `pydantic` / `pydantic-settings` for typed configuration.
|
- `pydantic` / `pydantic-settings` for typed configuration.
|
||||||
- `cryptography` / keyring for secret handling.
|
- `cryptography` / keyring for secret handling.
|
||||||
|
|
||||||
@@ -77,7 +77,7 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
3. Incremental detector scores impacted cycles.
|
3. Incremental detector scores impacted cycles.
|
||||||
4. Risk manager validates the opportunity.
|
4. Risk manager validates the opportunity.
|
||||||
5. Execution sequencer places legs if approved.
|
5. Execution sequencer places legs if approved.
|
||||||
6. Trades and snapshots persist to DuckDB.
|
6. Trades and snapshots persist to PostgreSQL.
|
||||||
7. Dashboard and alerts reflect state changes.
|
7. Dashboard and alerts reflect state changes.
|
||||||
|
|
||||||
### 6.2 Dashboard Control Flow
|
### 6.2 Dashboard Control Flow
|
||||||
@@ -89,11 +89,14 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
|
|
||||||
### 6.3 Backtesting Flow
|
### 6.3 Backtesting Flow
|
||||||
|
|
||||||
1. User selects JSONL replay file and run parameters.
|
See [backtesting.md](backtesting.md) for full design and implementation details.
|
||||||
2. Replay engine loads ordered book events.
|
|
||||||
3. Detector, risk, and execution logic run in simulation mode.
|
1. User picks currency pairs (from config/pairings page, or all enabled).
|
||||||
4. Report is stored in memory for recent UI display.
|
2. User sets starting balances (required), time range (required), min profit threshold (required).
|
||||||
5. Parameter sweeps split data into train/test windows, rank results, and flag overfit.
|
3. Fee profile defaults to "api (from Kraken)"; slippage (4.0 bps) and execution latency (20 ms) are optional with sensible defaults.
|
||||||
|
4. Job is queued via `POST /dashboard/backtesting/run`.
|
||||||
|
5. Backend loads events from `market_snapshots` table, builds triangular cycles, runs replay engine.
|
||||||
|
6. Report stored in `backtest_jobs` table, visible in recent jobs list.
|
||||||
|
|
||||||
## 7. Deployment View
|
## 7. Deployment View
|
||||||
|
|
||||||
@@ -112,7 +115,7 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
|
|
||||||
- Deploy from the published image.
|
- Deploy from the published image.
|
||||||
- Configure runtime via environment variables.
|
- Configure runtime via environment variables.
|
||||||
- Mount persistent storage at `/app/data` for DuckDB.
|
- Connect to PostgreSQL at configured `PG_HOST`.
|
||||||
|
|
||||||
## 8. Cross-Cutting Concepts
|
## 8. Cross-Cutting Concepts
|
||||||
|
|
||||||
@@ -126,7 +129,7 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
## 9. Architecture Decisions
|
## 9. Architecture Decisions
|
||||||
|
|
||||||
- Native Kraken WS instead of a generic exchange abstraction on the hot path.
|
- Native Kraken WS instead of a generic exchange abstraction on the hot path.
|
||||||
- DuckDB as the single database engine.
|
- PostgreSQL as the single database engine.
|
||||||
- HTMX + Jinja2 instead of SPA frontend.
|
- HTMX + Jinja2 instead of SPA frontend.
|
||||||
- Backtesting reuses production detector/risk/execution logic.
|
- Backtesting reuses production detector/risk/execution logic.
|
||||||
- Experimental stat-arb stays behind a feature flag.
|
- Experimental stat-arb stays behind a feature flag.
|
||||||
@@ -152,5 +155,5 @@ The bot consumes Kraken market data, detects opportunities, and executes trades
|
|||||||
- WS: WebSocket.
|
- WS: WebSocket.
|
||||||
- HTMX: HTML-over-the-wire UI library.
|
- HTMX: HTML-over-the-wire UI library.
|
||||||
- SSE: Server-Sent Events.
|
- SSE: Server-Sent Events.
|
||||||
- DUCKDB: Embedded analytical database used for all environments.
|
- PGSQL: PostgreSQL database used for all environments.
|
||||||
- Stat arb: Statistical arbitrage, currently experimental and feature-flagged.
|
- Stat arb: Statistical arbitrage, currently experimental and feature-flagged.
|
||||||
|
|||||||
@@ -0,0 +1,130 @@
|
|||||||
|
# Backtesting Architecture
|
||||||
|
|
||||||
|
> Detailed design and implementation of the backtesting subsystem.
|
||||||
|
> See [`README.md`](README.md#63-backtesting-flow) for the high-level user flow.
|
||||||
|
|
||||||
|
## Data Flow
|
||||||
|
|
||||||
|
```txt
|
||||||
|
market_snapshots (DB) ─┐
|
||||||
|
├──→ load_replay_events_from_db() ──→ list[ReplayBookEvent]
|
||||||
|
JSONL file ─────────────┘
|
||||||
|
│
|
||||||
|
▼
|
||||||
|
BacktestReplayEngine.run()
|
||||||
|
│
|
||||||
|
▼
|
||||||
|
BacktestReport
|
||||||
|
│
|
||||||
|
▼
|
||||||
|
BacktestJobRepository.store_report()
|
||||||
|
```
|
||||||
|
|
||||||
|
Two event sources:
|
||||||
|
|
||||||
|
- **DB mode** (default) — loads snapshots from `market_snapshots` table. Supports symbol/time filtering.
|
||||||
|
- **File mode** — reads JSONL files from disk (legacy, used by `backtest_replay.py` script).
|
||||||
|
|
||||||
|
## Core Types
|
||||||
|
|
||||||
|
### `ReplayClock`
|
||||||
|
|
||||||
|
Timekeeper for simulation. Ensures events advance monotonically. Supports `advance_ms()` to model execution latency.
|
||||||
|
|
||||||
|
### `ReplayBookEvent`
|
||||||
|
|
||||||
|
One atomic book state at a point in time. Fields: `occurred_at`, `symbol`, `bids: tuple[BookLevel]`, `asks: tuple[BookLevel]`.
|
||||||
|
|
||||||
|
### `BacktestConfig`
|
||||||
|
|
||||||
|
| Field | Default | Description |
|
||||||
|
| ------------------------ | -------- | ----------------------------------------------------- |
|
||||||
|
| `fee_rate` | `0.0` | 0.0 → API-sourced fee from `kraken_account_snapshots` |
|
||||||
|
| `min_profit_threshold` | `0.0005` | Minimum net profit to attempt trade |
|
||||||
|
| `trade_capital` | `100.0` | Capital allocated per trade |
|
||||||
|
| `quote_asset` | `"USD"` | Base currency for P&L |
|
||||||
|
| `slippage_bps` | `4.0` | Simulated slippage in basis points |
|
||||||
|
| `execution_latency_ms` | `20.0` | Simulated latency per leg |
|
||||||
|
| `max_depth_levels` | `10` | Order book depth for detection |
|
||||||
|
| `max_concurrent_trades` | `1` | Max simultaneous trades |
|
||||||
|
| `min_order_size_by_pair` | `None` | Per-pair min order size overrides |
|
||||||
|
|
||||||
|
### `BacktestReport`
|
||||||
|
|
||||||
|
| Field | Type | Description |
|
||||||
|
| -------------------------------- | -------------- | ---------------------------------- |
|
||||||
|
| `started_at` / `finished_at` | datetime | Simulation window |
|
||||||
|
| `processed_events` | int | Events consumed |
|
||||||
|
| `opportunities_seen` | int | Detected opportunities |
|
||||||
|
| `trades_executed` | int | Successful trades |
|
||||||
|
| `win_rate` | float or None | Fraction of profitable trades |
|
||||||
|
| `fill_rate` | float or None | Average fill ratio |
|
||||||
|
| `realized_pnl_usd` | float | Net P&L after slippage |
|
||||||
|
| `max_drawdown_usd` | float | Peak-to-trough equity drop |
|
||||||
|
| `miss_reasons` | dict[str, int] | Counters for skipped opportunities |
|
||||||
|
| `execution_latency_p50/95/99_ms` | float or None | Latency percentiles |
|
||||||
|
|
||||||
|
## Simulation Client
|
||||||
|
|
||||||
|
`_SimulatedRestClient` replaces the real Kraken REST client during backtesting.
|
||||||
|
|
||||||
|
- **Slippage model:** `fill_ratio = max(0.85, 1.0 - (slippage_bps / 10000.0) * 8.0)`
|
||||||
|
- **Latency model:** Clock advances by `execution_latency_ms` before each simulated fill
|
||||||
|
- Orders always fill (status = `"closed"`) at the modeled ratio
|
||||||
|
|
||||||
|
## Job Worker
|
||||||
|
|
||||||
|
`backtest_worker` is an `asyncio.Task` started in `create_app()` lifespan:
|
||||||
|
|
||||||
|
```python
|
||||||
|
backtest_task = asyncio.create_task(
|
||||||
|
backtest_worker(backtest_queue, db),
|
||||||
|
name="backtest_worker",
|
||||||
|
)
|
||||||
|
```
|
||||||
|
|
||||||
|
Workflow per job:
|
||||||
|
|
||||||
|
1. Dequeue `(job_id, config_dict)` from `asyncio.Queue`
|
||||||
|
2. Update status → `"running"` in `backtest_jobs` table
|
||||||
|
3. Load events (DB or file)
|
||||||
|
4. Build currency graph → triangular cycles
|
||||||
|
5. Instantiate `BacktestReplayEngine` → `engine.run()`
|
||||||
|
6. Store report → update status → `"completed"` (or `"failed"` on exception)
|
||||||
|
|
||||||
|
## Sweep Pipeline
|
||||||
|
|
||||||
|
`run_parameter_search` performs grid search over backtest parameters:
|
||||||
|
|
||||||
|
1. **Split** events into train/test windows by time ratio
|
||||||
|
2. **Build grid** — cartesian product of `theta_values × trade_capital_values × pair_universes × staleness_threshold_values`
|
||||||
|
3. **For each parameter set:**
|
||||||
|
- Filter events to pair universe + apply staleness gate
|
||||||
|
- Build cycles restricted to pair universe
|
||||||
|
- Run engine on train window → `train_report`
|
||||||
|
- Run engine on test window → `test_report`
|
||||||
|
- Score = `realized_pnl + win_rate_bonus + fill_rate_bonus - max_drawdown`
|
||||||
|
- Compute generalization gap = `|train_score - test_score| / max(train_score, test_score)`
|
||||||
|
4. **Evaluate promotion:**
|
||||||
|
- `PromotionCriteria` checks: min test P&L, min win rate ≥ 0.5, min fill rate ≥ 0.9, max drawdown ≤ $25, generalization gap ≤ 0.5
|
||||||
|
- Results passing all criteria are flagged `promotion_ready`
|
||||||
|
|
||||||
|
## UI
|
||||||
|
|
||||||
|
> See `backtesting.html` → `partials/backtesting_panel.html`.
|
||||||
|
|
||||||
|
- **Shell page** loads the panel via `hx-get="/dashboard/fragment/backtesting"`
|
||||||
|
- **Run form** — starting balances, time range, profit threshold (required); fee profile, slippage, latency (advanced/collapsible)
|
||||||
|
- **Status card** — current job status + message
|
||||||
|
- **Recent jobs table** — lists last 20 jobs with status, events, trades, P&L; each row has a detail button
|
||||||
|
- **Job detail** — `GET /dashboard/backtesting/job/{id}` returns report HTML
|
||||||
|
|
||||||
|
Pairings are managed on the `/dashboard/config/pairings` page. Backtest uses DB-enabled pairings by default when no symbols are specified.
|
||||||
|
|
||||||
|
## Source Files
|
||||||
|
|
||||||
|
| File | Role |
|
||||||
|
| ----------------------- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
|
||||||
|
| `backtesting/replay.py` | `ReplayClock`, `ReplayBookEvent`, `BacktestConfig`, `BacktestReport`, `_SimulatedRestClient`, `BacktestReplayEngine`, `load_replay_events`, `load_replay_events_from_db` |
|
||||||
|
| `backtesting/runner.py` | `run_backtest_job`, `backtest_worker`, `_build_cycles_from_events`, `_parse_balances` |
|
||||||
|
| `backtesting/sweep.py` | `SweepParameters`, `SweepResult`, `SweepArtifacts`, `PromotionCriteria`, `split_events_time_windows`, `build_parameter_grid`, `run_parameter_search`, `persist_sweep_results` |
|
||||||
@@ -0,0 +1,88 @@
|
|||||||
|
# Database Layer: Schema & Repositories
|
||||||
|
|
||||||
|
> **Database engine**: PostgreSQL 15+ on `192.168.88.35`
|
||||||
|
> **Driver**: `asyncpg` (async connection pool)
|
||||||
|
> **Store class**: `PgStore` in `src/arbitrade/storage/pg_store.py`
|
||||||
|
|
||||||
|
## Connection Lifecycle
|
||||||
|
|
||||||
|
```txt
|
||||||
|
FastAPI lifespan (create_app)
|
||||||
|
└─ PgStore.start() # creates asyncpg connection pool
|
||||||
|
└─ PgStore.migrate() # reads schema_pg.sql, creates tables
|
||||||
|
└─ ... application runs ...
|
||||||
|
└─ PgStore.stop() # closes the pool
|
||||||
|
```
|
||||||
|
|
||||||
|
All repository classes accept a `PgStore` instance and acquire connections
|
||||||
|
via `async with self._store.pool.acquire() as conn:`.
|
||||||
|
|
||||||
|
## Schema
|
||||||
|
|
||||||
|
Defined in `src/arbitrade/storage/schema_pg.sql`. 15 tables:
|
||||||
|
|
||||||
|
| Table | Purpose | PK | Notes |
|
||||||
|
| ----------------------------- | -------------------------- | --------------- | ---------------------------------------- |
|
||||||
|
| `schema_migrations` | Version tracking | `version` | Single-row per version |
|
||||||
|
| `config_sections` | Config section metadata | `id` (SERIAL) | `name` UNIQUE |
|
||||||
|
| `config_settings` | Key-value config store | `key` (VARCHAR) | JSON-serialized values |
|
||||||
|
| `config_pairings` | Currency pairs to monitor | `id` (SERIAL) | `(base_asset, quote_asset)` UNIQUE |
|
||||||
|
| `config_backtesting_defaults` | Default backtest params | `id` (SERIAL) | Singleton via `ORDER BY id DESC LIMIT 1` |
|
||||||
|
| `opportunities` | Detected arb opportunities | `id` (UUID) | |
|
||||||
|
| `trades` | Executed trades | `id` (UUID) | |
|
||||||
|
| `orders` | Individual leg orders | `id` (UUID) | |
|
||||||
|
| `pnl_events` | P&L event stream | `id` (UUID) | |
|
||||||
|
| `portfolio_snapshots` | Balance snapshots | — | Append-only |
|
||||||
|
| `market_snapshots` | Raw order-book snapshots | — | Append-only |
|
||||||
|
| `audit_events` | Audit trail | `id` (UUID) | |
|
||||||
|
| `runtime_state_snapshots` | Runtime state history | — | Append-only |
|
||||||
|
| `kraken_account_snapshots` | Fee tier + account data | — | Append-only |
|
||||||
|
| `backtest_jobs` | Backtest job records | `id` (UUID) | |
|
||||||
|
|
||||||
|
JSON columns use `JSONB` for indexability. UUID primary keys use
|
||||||
|
`gen_random_uuid()` (requires `pgcrypto` extension).
|
||||||
|
|
||||||
|
## Repository Classes
|
||||||
|
|
||||||
|
All in `src/arbitrade/storage/repositories.py`. Every method is `async def`.
|
||||||
|
|
||||||
|
| Class | Key Methods | Used By |
|
||||||
|
| ------------------------------------- | ---------------------------------------------------------- | --------------------------- |
|
||||||
|
| `MarketSnapshotRepository` | `insert()` | `AsyncMarketSnapshotWriter` |
|
||||||
|
| `OpportunityRepository` | `insert()` | `AsyncOpportunityWriter` |
|
||||||
|
| `TradeRepository` | `insert()` | `AsyncExecutionWriter` |
|
||||||
|
| `OrderRepository` | `insert()` | `AsyncExecutionWriter` |
|
||||||
|
| `PnLRepository` | `insert()` | `AsyncExecutionWriter` |
|
||||||
|
| `AuditRepository` | `insert()`, `list_recent()` | API routes, lifecycle |
|
||||||
|
| `RuntimeStateRepository` | `insert()`, `latest()` | Lifecycle, API |
|
||||||
|
| `ConfigSectionRepository` | `create_section()`, `get_section()`, `list_sections()` | Config service |
|
||||||
|
| `ConfigSettingRepository` | Full CRUD + `get_latest_updated_at()` | Config service |
|
||||||
|
| `ConfigPairingRepository` | Full CRUD + `upsert_pairing()`, `list_pairings()` | Feeds, pairing sync |
|
||||||
|
| `ConfigBacktestingDefaultsRepository` | `create_defaults()`, `get_defaults()`, `update_defaults()` | Config service |
|
||||||
|
| `KrakenAccountSnapshotRepository` | `insert_snapshot()`, `latest_snapshot()` | Fee sync loop |
|
||||||
|
| `BacktestJobRepository` | Full CRUD | Backtesting UI + worker |
|
||||||
|
|
||||||
|
## Async Writers
|
||||||
|
|
||||||
|
Three background writer tasks buffer high-frequency writes:
|
||||||
|
|
||||||
|
- **`AsyncExecutionWriter`** — trades/orders/P&L queue
|
||||||
|
- **`AsyncMarketSnapshotWriter`** — order-book snapshot queue
|
||||||
|
- **`AsyncOpportunityWriter`** — opportunity event queue
|
||||||
|
|
||||||
|
Each uses an `asyncio.Queue` and drains it in a background task with
|
||||||
|
`await repo.insert(...)`.
|
||||||
|
|
||||||
|
## Integration Tests
|
||||||
|
|
||||||
|
`tests/integration/test_postgresql_schema.py` verifies:
|
||||||
|
|
||||||
|
- Connection to PostgreSQL server
|
||||||
|
- `pgcrypto` extension availability
|
||||||
|
- All 15 tables exist after migration
|
||||||
|
- Migration is idempotent
|
||||||
|
- Correct columns per table
|
||||||
|
- Primary keys and unique constraints
|
||||||
|
- Tables start empty
|
||||||
|
- Simple INSERT/SELECT round-trip
|
||||||
|
- `ON CONFLICT ... DO UPDATE` on config_pairings
|
||||||
@@ -39,7 +39,7 @@ Key end-to-end latency baselines from `latency_baseline.json`:
|
|||||||
|
|
||||||
## Optimization Note
|
## Optimization Note
|
||||||
|
|
||||||
`MetricsCalculator.compute()` was optimized to use DuckDB SQL aggregations and quantiles, reducing Python-side row scans.
|
`MetricsCalculator.compute()` uses PostgreSQL SQL aggregations and percentiles, reducing Python-side row scans.
|
||||||
|
|
||||||
Measured benchmark (`scripts/benchmark_metrics_compute.py`):
|
Measured benchmark (`scripts/benchmark_metrics_compute.py`):
|
||||||
|
|
||||||
|
|||||||
+4
-1
@@ -27,7 +27,10 @@ include-package-data = true
|
|||||||
[tool.setuptools.package-data]
|
[tool.setuptools.package-data]
|
||||||
arbitrade = [
|
arbitrade = [
|
||||||
"web/templates/*.html",
|
"web/templates/*.html",
|
||||||
|
"web/templates/config/*.html",
|
||||||
|
"web/templates/dashboard/*.html",
|
||||||
"web/templates/partials/*.html",
|
"web/templates/partials/*.html",
|
||||||
|
"storage/schema_pg.sql",
|
||||||
]
|
]
|
||||||
|
|
||||||
[tool.setuptools.packages.find]
|
[tool.setuptools.packages.find]
|
||||||
@@ -54,7 +57,7 @@ pretty = true
|
|||||||
mypy_path = "src"
|
mypy_path = "src"
|
||||||
|
|
||||||
[[tool.mypy.overrides]]
|
[[tool.mypy.overrides]]
|
||||||
module = ["duckdb", "keyring", "sortedcontainers"]
|
module = ["asyncpg", "keyring", "sortedcontainers"]
|
||||||
ignore_missing_imports = true
|
ignore_missing_imports = true
|
||||||
|
|
||||||
[tool.pytest.ini_options]
|
[tool.pytest.ini_options]
|
||||||
|
|||||||
@@ -1,4 +1,5 @@
|
|||||||
# Unpinned dev dependencies (latest available)
|
# Unpinned dev dependencies (latest available)
|
||||||
|
asyncpg-stubs
|
||||||
black
|
black
|
||||||
mypy
|
mypy
|
||||||
pre-commit
|
pre-commit
|
||||||
|
|||||||
@@ -1,6 +1,6 @@
|
|||||||
# Unpinned runtime dependencies (latest available)
|
# Unpinned runtime dependencies (latest available)
|
||||||
|
asyncpg
|
||||||
cryptography
|
cryptography
|
||||||
duckdb
|
|
||||||
fastapi
|
fastapi
|
||||||
httptools
|
httptools
|
||||||
httpx
|
httpx
|
||||||
|
|||||||
+16
-20
@@ -19,12 +19,10 @@ def _resolve_fee_rate(fee_rate: float | None, db_path: str | None = None) -> flo
|
|||||||
if db_path is not None:
|
if db_path is not None:
|
||||||
try:
|
try:
|
||||||
conn = duckdb.connect(db_path)
|
conn = duckdb.connect(db_path)
|
||||||
row = conn.execute(
|
row = conn.execute("""
|
||||||
"""
|
|
||||||
SELECT maker_fee FROM kraken_account_snapshots
|
SELECT maker_fee FROM kraken_account_snapshots
|
||||||
ORDER BY snapshot_at DESC LIMIT 1
|
ORDER BY snapshot_at DESC LIMIT 1
|
||||||
"""
|
""").fetchone()
|
||||||
).fetchone()
|
|
||||||
conn.close()
|
conn.close()
|
||||||
if row is not None and row[0] is not None:
|
if row is not None and row[0] is not None:
|
||||||
return float(row[0])
|
return float(row[0])
|
||||||
@@ -53,14 +51,13 @@ def _parse_balances(raw: str) -> Mapping[str, float]:
|
|||||||
|
|
||||||
|
|
||||||
def main() -> int:
|
def main() -> int:
|
||||||
parser = argparse.ArgumentParser(description="Run a deterministic replay backtest.")
|
parser = argparse.ArgumentParser(description="Run backtest.")
|
||||||
parser.add_argument("--events", type=Path, required=True)
|
parser.add_argument("--events", type=Path, required=True)
|
||||||
parser.add_argument("--starting-balances", type=str, default="USD=1000.0")
|
parser.add_argument("--starting-balances", type=str, default="USD=1000.0")
|
||||||
parser.add_argument("--trade-capital", type=float, default=100.0)
|
parser.add_argument("--trade-capital", type=float, default=100.0)
|
||||||
parser.add_argument("--fee-rate", type=float, default=None)
|
parser.add_argument("--fee-rate", type=float, default=None)
|
||||||
parser.add_argument("--slippage-bps", type=float, default=4.0)
|
parser.add_argument("--slippage-bps", type=float, default=4.0)
|
||||||
parser.add_argument("--execution-latency-ms", type=float, default=20.0)
|
parser.add_argument("--execution-latency-ms", type=float, default=20.0)
|
||||||
parser.add_argument("--db-path", type=str, default=None, help="DuckDB path for fee lookup")
|
|
||||||
args = parser.parse_args()
|
args = parser.parse_args()
|
||||||
|
|
||||||
cycles_by_pair, available_pairs = _build_graph()
|
cycles_by_pair, available_pairs = _build_graph()
|
||||||
@@ -79,24 +76,23 @@ def main() -> int:
|
|||||||
config=config,
|
config=config,
|
||||||
started_at=events[0].occurred_at if events else datetime.now(UTC),
|
started_at=events[0].occurred_at if events else datetime.now(UTC),
|
||||||
)
|
)
|
||||||
report = asyncio.run(
|
starting_balances = _parse_balances(args.starting_balances)
|
||||||
engine.run(events, starting_balances=_parse_balances(args.starting_balances))
|
r = asyncio.run(engine.run(events, starting_balances=starting_balances))
|
||||||
)
|
|
||||||
|
|
||||||
print("Backtest report:")
|
print("Backtest report:")
|
||||||
print(f"- processed_events: {report.processed_events}")
|
print(f"- processed_events: {r.processed_events}")
|
||||||
print(f"- opportunities_seen: {report.opportunities_seen}")
|
print(f"- opportunities_seen: {r.opportunities_seen}")
|
||||||
print(f"- trades_executed: {report.trades_executed}")
|
print(f"- trades_executed: {r.trades_executed}")
|
||||||
print(f"- win_rate: {report.win_rate if report.win_rate is not None else 'n/a'}")
|
print(f"- win_rate: {r.win_rate if r.win_rate is not None else 'n/a'}")
|
||||||
print(f"- fill_rate: {report.fill_rate if report.fill_rate is not None else 'n/a'}")
|
print(f"- fill_rate: {r.fill_rate if r.fill_rate is not None else 'n/a'}")
|
||||||
print(f"- realized_pnl_usd: {report.realized_pnl_usd:.4f}")
|
print(f"- realized_pnl_usd: {r.realized_pnl_usd:.4f}")
|
||||||
print(f"- max_drawdown_usd: {report.max_drawdown_usd:.4f}")
|
print(f"- max_drawdown_usd: {r.max_drawdown_usd:.4f}")
|
||||||
print(f"- miss_reasons: {dict(report.miss_reasons)}")
|
print(f"- miss_reasons: {dict(r.miss_reasons)}")
|
||||||
print(
|
print(
|
||||||
"- execution_latency_ms: "
|
"- execution_latency_ms: "
|
||||||
f"p50={report.execution_latency_p50_ms or 0.0:.4f}, "
|
f"p50={r.execution_latency_p50_ms or 0.0:.4f}, "
|
||||||
f"p95={report.execution_latency_p95_ms or 0.0:.4f}, "
|
f"p95={r.execution_latency_p95_ms or 0.0:.4f}, "
|
||||||
f"p99={report.execution_latency_p99_ms or 0.0:.4f}"
|
f"p99={r.execution_latency_p99_ms or 0.0:.4f}"
|
||||||
)
|
)
|
||||||
return 0
|
return 0
|
||||||
|
|
||||||
|
|||||||
@@ -8,19 +8,19 @@ from time import perf_counter
|
|||||||
|
|
||||||
from arbitrade.config.settings import Settings
|
from arbitrade.config.settings import Settings
|
||||||
from arbitrade.metrics import MetricsCalculator
|
from arbitrade.metrics import MetricsCalculator
|
||||||
from arbitrade.storage.db import DuckDBStore
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
|
||||||
|
|
||||||
def _python_scan_compute(store: DuckDBStore) -> tuple[float, float | None, float | None]:
|
async def _python_scan_compute(store: PgStore) -> tuple[float, float | None, float | None]:
|
||||||
with store.connect() as conn:
|
sql_s = """
|
||||||
trade_rows = conn.execute(
|
|
||||||
"""
|
|
||||||
SELECT started_at, finished_at, realized_pnl
|
SELECT started_at, finished_at, realized_pnl
|
||||||
FROM trades
|
FROM trades
|
||||||
WHERE finished_at IS NOT NULL
|
WHERE finished_at IS NOT NULL
|
||||||
"""
|
"""
|
||||||
).fetchall()
|
sql_d = "SELECT detected_at FROM opportunities"
|
||||||
opportunity_rows = conn.execute("SELECT detected_at FROM opportunities").fetchall()
|
async with store.pool.acquire() as conn:
|
||||||
|
trade_rows = await conn.fetch(sql_s)
|
||||||
|
orows = await conn.fetch(sql_d)
|
||||||
|
|
||||||
realized = sum(float(row[2]) for row in trade_rows if row[2] is not None)
|
realized = sum(float(row[2]) for row in trade_rows if row[2] is not None)
|
||||||
durations = [
|
durations = [
|
||||||
@@ -30,10 +30,10 @@ def _python_scan_compute(store: DuckDBStore) -> tuple[float, float | None, float
|
|||||||
]
|
]
|
||||||
avg_duration = fmean(durations) if durations else None
|
avg_duration = fmean(durations) if durations else None
|
||||||
|
|
||||||
times = [row[0] for row in opportunity_rows if isinstance(row[0], datetime)]
|
times = [row[0] for row in orows if isinstance(row[0], datetime)]
|
||||||
if len(times) >= 2:
|
if len(times) >= 2:
|
||||||
span_seconds = (max(times) - min(times)).total_seconds()
|
ss = (max(times) - min(times)).total_seconds()
|
||||||
opm = len(times) / (span_seconds / 60.0) if span_seconds > 0.0 else float(len(times))
|
opm = len(times) / (ss / 60.0) if ss > 0.0 else float(len(times))
|
||||||
elif len(times) == 1:
|
elif len(times) == 1:
|
||||||
opm = 60.0
|
opm = 60.0
|
||||||
else:
|
else:
|
||||||
@@ -42,7 +42,7 @@ def _python_scan_compute(store: DuckDBStore) -> tuple[float, float | None, float
|
|||||||
return realized, avg_duration, opm
|
return realized, avg_duration, opm
|
||||||
|
|
||||||
|
|
||||||
def _seed_dataset(store: DuckDBStore) -> None:
|
async def _seed_dataset(store: PgStore) -> None:
|
||||||
now = datetime.now(UTC)
|
now = datetime.now(UTC)
|
||||||
|
|
||||||
trade_rows: list[tuple[object, ...]] = []
|
trade_rows: list[tuple[object, ...]] = []
|
||||||
@@ -88,11 +88,11 @@ def _seed_dataset(store: DuckDBStore) -> None:
|
|||||||
)
|
)
|
||||||
)
|
)
|
||||||
|
|
||||||
with store.connect() as conn:
|
async with store.pool.acquire() as conn:
|
||||||
conn.execute("DELETE FROM trades")
|
await conn.execute("DELETE FROM trades")
|
||||||
conn.execute("DELETE FROM opportunities")
|
await conn.execute("DELETE FROM opportunities")
|
||||||
conn.execute("DELETE FROM orders")
|
await conn.execute("DELETE FROM orders")
|
||||||
conn.executemany(
|
await conn.executemany(
|
||||||
"""
|
"""
|
||||||
INSERT INTO trades (
|
INSERT INTO trades (
|
||||||
trade_ref,
|
trade_ref,
|
||||||
@@ -108,7 +108,7 @@ def _seed_dataset(store: DuckDBStore) -> None:
|
|||||||
""",
|
""",
|
||||||
trade_rows,
|
trade_rows,
|
||||||
)
|
)
|
||||||
conn.executemany(
|
await conn.executemany(
|
||||||
"""
|
"""
|
||||||
INSERT INTO opportunities (
|
INSERT INTO opportunities (
|
||||||
detected_at,
|
detected_at,
|
||||||
@@ -121,7 +121,7 @@ def _seed_dataset(store: DuckDBStore) -> None:
|
|||||||
""",
|
""",
|
||||||
opportunity_rows,
|
opportunity_rows,
|
||||||
)
|
)
|
||||||
conn.executemany(
|
await conn.executemany(
|
||||||
"""
|
"""
|
||||||
INSERT INTO orders (
|
INSERT INTO orders (
|
||||||
trade_ref,
|
trade_ref,
|
||||||
@@ -142,28 +142,28 @@ def _seed_dataset(store: DuckDBStore) -> None:
|
|||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
def main() -> int:
|
async def main() -> int:
|
||||||
db_path = Path(gettempdir()) / "arbitrade_metrics_bench.duckdb"
|
db_path = Path(gettempdir()) / "arbitrade_metrics_bench.duckdb"
|
||||||
settings = Settings(_env_file=None, DUCKDB_PATH=db_path)
|
settings = Settings(_env_file=None, DUCKDB_PATH=db_path)
|
||||||
store = DuckDBStore(settings)
|
store = PgStore(settings)
|
||||||
store.migrate()
|
store.migrate()
|
||||||
_seed_dataset(store)
|
await _seed_dataset(store)
|
||||||
|
|
||||||
calculator = MetricsCalculator(store)
|
calculator = MetricsCalculator(store)
|
||||||
|
|
||||||
for _ in range(3):
|
for _ in range(3):
|
||||||
_python_scan_compute(store)
|
await _python_scan_compute(store)
|
||||||
calculator.compute()
|
await calculator.compute()
|
||||||
|
|
||||||
runs = 20
|
runs = 20
|
||||||
start = perf_counter()
|
start = perf_counter()
|
||||||
for _ in range(runs):
|
for _ in range(runs):
|
||||||
_python_scan_compute(store)
|
await _python_scan_compute(store)
|
||||||
python_ms = (perf_counter() - start) * 1000.0 / runs
|
python_ms = (perf_counter() - start) * 1000.0 / runs
|
||||||
|
|
||||||
start = perf_counter()
|
start = perf_counter()
|
||||||
for _ in range(runs):
|
for _ in range(runs):
|
||||||
calculator.compute()
|
await calculator.compute()
|
||||||
sql_ms = (perf_counter() - start) * 1000.0 / runs
|
sql_ms = (perf_counter() - start) * 1000.0 / runs
|
||||||
|
|
||||||
speedup = (python_ms / sql_ms) if sql_ms > 0.0 else 0.0
|
speedup = (python_ms / sql_ms) if sql_ms > 0.0 else 0.0
|
||||||
|
|||||||
+123
-5
@@ -4,36 +4,114 @@ import asyncio
|
|||||||
from collections.abc import AsyncIterator
|
from collections.abc import AsyncIterator
|
||||||
from contextlib import asynccontextmanager
|
from contextlib import asynccontextmanager
|
||||||
|
|
||||||
|
import structlog
|
||||||
from fastapi import FastAPI
|
from fastapi import FastAPI
|
||||||
|
|
||||||
from arbitrade.alerting.notifier import build_notifier_from_settings
|
from arbitrade.alerting.notifier import build_notifier_from_settings
|
||||||
from arbitrade.api.control_state import DashboardControlState
|
from arbitrade.api.control_state import DashboardControlState
|
||||||
from arbitrade.api.routes import public_router, router
|
from arbitrade.api.routes import public_router, router
|
||||||
from arbitrade.backtesting.runner import backtest_worker
|
from arbitrade.backtesting.runner import backtest_worker
|
||||||
|
from arbitrade.config.pairing_sync import run_pairing_sync_loop
|
||||||
from arbitrade.config.service import ConfigurationService
|
from arbitrade.config.service import ConfigurationService
|
||||||
from arbitrade.config.settings import Settings
|
from arbitrade.config.settings import Settings
|
||||||
from arbitrade.exchange.fee_service import run_fee_sync_loop
|
from arbitrade.exchange.fee_service import run_fee_sync_loop
|
||||||
from arbitrade.exchange.kraken_rest import KrakenRestClient
|
from arbitrade.exchange.kraken_rest import KrakenRestClient
|
||||||
|
from arbitrade.exchange.kraken_ws import KrakenWsClient
|
||||||
|
from arbitrade.logging.db_sink import get_db_sink
|
||||||
|
from arbitrade.logging.maintenance import run_log_aggregation_loop, run_log_archive_loop
|
||||||
from arbitrade.logging_setup import configure_logging
|
from arbitrade.logging_setup import configure_logging
|
||||||
|
from arbitrade.market_data.feed import MarketDataFeed
|
||||||
|
from arbitrade.market_data.feed_builder import (
|
||||||
|
build_detector_from_enabled_pairings,
|
||||||
|
get_enabled_pair_symbols,
|
||||||
|
)
|
||||||
from arbitrade.metrics import MetricsCalculator
|
from arbitrade.metrics import MetricsCalculator
|
||||||
from arbitrade.runtime.lifecycle import graceful_shutdown, restore_runtime_state
|
from arbitrade.runtime.lifecycle import graceful_shutdown, restore_runtime_state
|
||||||
from arbitrade.storage.db import DuckDBStore
|
from arbitrade.storage.market_snapshots import AsyncMarketSnapshotWriter
|
||||||
from arbitrade.storage.repositories import AuditRepository, RuntimeStateRepository
|
from arbitrade.storage.opportunities import AsyncOpportunityWriter
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import (
|
||||||
|
AuditRepository,
|
||||||
|
MarketSnapshotRepository,
|
||||||
|
OpportunityRepository,
|
||||||
|
RuntimeStateRepository,
|
||||||
|
)
|
||||||
|
|
||||||
|
_LOG = structlog.get_logger(__name__)
|
||||||
|
|
||||||
|
|
||||||
|
async def _start_feed(app: FastAPI, *, kill_switch_only: bool = False) -> asyncio.Task[None] | None:
|
||||||
|
"""Create and start a MarketDataFeed task from enabled pairings.
|
||||||
|
|
||||||
|
If kill_switch_only=True, only create a kill-switch-bound stub (no detector/feed).
|
||||||
|
Returns the task or None if no enabled pairings.
|
||||||
|
"""
|
||||||
|
settings = app.state.settings
|
||||||
|
db = app.state.store
|
||||||
|
alert_notifier = getattr(app.state, "alert_notifier", None)
|
||||||
|
controls = app.state.dashboard_controls
|
||||||
|
|
||||||
|
# Build detector from enabled pairings
|
||||||
|
detector = await build_detector_from_enabled_pairings(
|
||||||
|
db,
|
||||||
|
fee_rate=0.0, # will be overridden by fee sync
|
||||||
|
max_depth_levels=controls.strategy_max_depth_levels,
|
||||||
|
min_profit_threshold=controls.strategy_profit_threshold,
|
||||||
|
)
|
||||||
|
|
||||||
|
symbols = await get_enabled_pair_symbols(db)
|
||||||
|
if not symbols and not kill_switch_only:
|
||||||
|
_LOG.warning("no_enabled_pair_symbols_feed_not_started")
|
||||||
|
return None
|
||||||
|
|
||||||
|
ws_client: KrakenWsClient | None = getattr(app.state, "ws_client", None)
|
||||||
|
if ws_client is None:
|
||||||
|
ws_client = KrakenWsClient(settings, alert_notifier=alert_notifier)
|
||||||
|
app.state.ws_client = ws_client
|
||||||
|
|
||||||
|
ws_client.set_subscribed_symbols(symbols)
|
||||||
|
|
||||||
|
snapshot_writer = AsyncMarketSnapshotWriter(MarketSnapshotRepository(db))
|
||||||
|
opportunity_writer = AsyncOpportunityWriter(OpportunityRepository(db))
|
||||||
|
|
||||||
|
feed = MarketDataFeed(
|
||||||
|
ws_client=ws_client,
|
||||||
|
snapshot_writer=snapshot_writer,
|
||||||
|
detector=detector,
|
||||||
|
opportunity_writer=opportunity_writer,
|
||||||
|
paper_trading_mode=settings.paper_trading_mode,
|
||||||
|
trade_capital=settings.trade_capital_usd,
|
||||||
|
max_trade_capital=settings.max_trade_capital_usd,
|
||||||
|
kill_switch=controls.kill_switch,
|
||||||
|
alert_notifier=alert_notifier,
|
||||||
|
audit_repository=getattr(app.state, "audit_repository", None),
|
||||||
|
)
|
||||||
|
|
||||||
|
app.state.feed = feed
|
||||||
|
task = asyncio.create_task(feed.run(), name="market_data_feed")
|
||||||
|
app.state.feed_task = task
|
||||||
|
_LOG.info("market_data_feed_started", symbols=symbols)
|
||||||
|
return task
|
||||||
|
|
||||||
|
|
||||||
def create_app(settings: Settings) -> FastAPI:
|
def create_app(settings: Settings) -> FastAPI:
|
||||||
configure_logging(settings.log_level, settings.log_json)
|
configure_logging(settings.log_level, settings.log_json)
|
||||||
|
|
||||||
db = DuckDBStore(settings)
|
db = PgStore(settings)
|
||||||
db.migrate()
|
|
||||||
kraken_client = KrakenRestClient(settings)
|
kraken_client = KrakenRestClient(settings)
|
||||||
fee_sync_stop_event = asyncio.Event()
|
fee_sync_stop_event = asyncio.Event()
|
||||||
|
pairing_sync_stop_event = asyncio.Event()
|
||||||
backtest_queue: asyncio.Queue[tuple[str, str, dict[str, object] | None] | None] = (
|
backtest_queue: asyncio.Queue[tuple[str, str, dict[str, object] | None] | None] = (
|
||||||
asyncio.Queue()
|
asyncio.Queue()
|
||||||
)
|
)
|
||||||
|
|
||||||
@asynccontextmanager
|
@asynccontextmanager
|
||||||
async def lifespan(app: FastAPI) -> AsyncIterator[None]:
|
async def lifespan(app: FastAPI) -> AsyncIterator[None]:
|
||||||
|
await app.state.store.start()
|
||||||
|
await app.state.store.migrate()
|
||||||
|
get_db_sink().start_consumer(db)
|
||||||
|
await app.state.configuration_service.load_database_settings()
|
||||||
await restore_runtime_state(app)
|
await restore_runtime_state(app)
|
||||||
fee_sync_task = asyncio.create_task(
|
fee_sync_task = asyncio.create_task(
|
||||||
run_fee_sync_loop(
|
run_fee_sync_loop(
|
||||||
@@ -43,19 +121,55 @@ def create_app(settings: Settings) -> FastAPI:
|
|||||||
),
|
),
|
||||||
name="fee_sync_loop",
|
name="fee_sync_loop",
|
||||||
)
|
)
|
||||||
|
pairing_sync_task = asyncio.create_task(
|
||||||
|
run_pairing_sync_loop(
|
||||||
|
kraken_client,
|
||||||
|
db,
|
||||||
|
pairing_sync_stop_event,
|
||||||
|
),
|
||||||
|
name="pairing_sync_loop",
|
||||||
|
)
|
||||||
backtest_task = asyncio.create_task(
|
backtest_task = asyncio.create_task(
|
||||||
backtest_worker(backtest_queue, db), # type: ignore
|
backtest_worker(backtest_queue, db), # type: ignore
|
||||||
name="backtest_worker",
|
name="backtest_worker",
|
||||||
)
|
)
|
||||||
|
# Start market data feed from enabled pairings
|
||||||
|
await _start_feed(app)
|
||||||
app.state.fee_sync_task = fee_sync_task
|
app.state.fee_sync_task = fee_sync_task
|
||||||
|
app.state.pairing_sync_task = pairing_sync_task
|
||||||
app.state.backtest_task = backtest_task
|
app.state.backtest_task = backtest_task
|
||||||
|
app.state.log_aggregation_task = asyncio.create_task(
|
||||||
|
run_log_aggregation_loop(db), name="log_aggregation"
|
||||||
|
)
|
||||||
|
app.state.log_archive_task = asyncio.create_task(
|
||||||
|
run_log_archive_loop(db), name="log_archive"
|
||||||
|
)
|
||||||
yield
|
yield
|
||||||
fee_sync_stop_event.set()
|
fee_sync_stop_event.set()
|
||||||
|
pairing_sync_stop_event.set()
|
||||||
|
# Stop feed
|
||||||
|
feed = getattr(app.state, "feed", None)
|
||||||
|
if feed is not None:
|
||||||
|
ws_client = getattr(app.state, "ws_client", None)
|
||||||
|
if ws_client is not None:
|
||||||
|
await ws_client.stop()
|
||||||
|
ft = getattr(app.state, "feed_task", None)
|
||||||
|
if ft is not None:
|
||||||
|
ft.cancel()
|
||||||
|
try:
|
||||||
|
await ft
|
||||||
|
except asyncio.CancelledError:
|
||||||
|
pass
|
||||||
fee_sync_task.cancel()
|
fee_sync_task.cancel()
|
||||||
try:
|
try:
|
||||||
await fee_sync_task
|
await fee_sync_task
|
||||||
except asyncio.CancelledError:
|
except asyncio.CancelledError:
|
||||||
pass
|
pass
|
||||||
|
pairing_sync_task.cancel()
|
||||||
|
try:
|
||||||
|
await pairing_sync_task
|
||||||
|
except asyncio.CancelledError:
|
||||||
|
pass
|
||||||
await backtest_queue.put(None) # poison pill
|
await backtest_queue.put(None) # poison pill
|
||||||
backtest_task.cancel()
|
backtest_task.cancel()
|
||||||
try:
|
try:
|
||||||
@@ -64,18 +178,22 @@ def create_app(settings: Settings) -> FastAPI:
|
|||||||
pass
|
pass
|
||||||
await kraken_client.close()
|
await kraken_client.close()
|
||||||
await graceful_shutdown(app)
|
await graceful_shutdown(app)
|
||||||
|
await app.state.store.stop()
|
||||||
|
await get_db_sink().stop_consumer()
|
||||||
|
|
||||||
app = FastAPI(title="arbitrade", version="0.1.0", lifespan=lifespan)
|
app = FastAPI(title="arbitrade", version="0.1.0", lifespan=lifespan)
|
||||||
app.state.settings = settings
|
app.state.settings = settings
|
||||||
app.state.store = db
|
app.state.store = db
|
||||||
app.state.kraken_client = kraken_client
|
app.state.kraken_client = kraken_client
|
||||||
app.state.fee_sync_stop_event = fee_sync_stop_event
|
app.state.fee_sync_stop_event = fee_sync_stop_event
|
||||||
|
app.state.pairing_sync_stop_event = pairing_sync_stop_event
|
||||||
app.state.backtest_queue = backtest_queue
|
app.state.backtest_queue = backtest_queue
|
||||||
app.state.metrics = MetricsCalculator(db)
|
app.state.metrics = MetricsCalculator(db)
|
||||||
app.state.audit_repository = AuditRepository(db)
|
app.state.audit_repository = AuditRepository(db)
|
||||||
app.state.runtime_state_repository = RuntimeStateRepository(db)
|
app.state.runtime_state_repository = RuntimeStateRepository(db)
|
||||||
app.state.alert_notifier = build_notifier_from_settings(settings)
|
app.state.alert_notifier = build_notifier_from_settings(settings)
|
||||||
app.state.configuration_service = ConfigurationService(settings, db, AuditRepository(db))
|
svc = ConfigurationService(settings, db, app.state.audit_repository)
|
||||||
|
app.state.configuration_service = svc
|
||||||
app.state.backtest_recent_reports = []
|
app.state.backtest_recent_reports = []
|
||||||
app.state.dashboard_controls = DashboardControlState(
|
app.state.dashboard_controls = DashboardControlState(
|
||||||
is_running=not settings.kill_switch_active,
|
is_running=not settings.kill_switch_active,
|
||||||
|
|||||||
+218
-1018
File diff suppressed because it is too large
Load Diff
@@ -17,6 +17,7 @@ from arbitrade.execution.sequencer import TriangularExecutionSequencer
|
|||||||
from arbitrade.market_data.order_book import OrderBook
|
from arbitrade.market_data.order_book import OrderBook
|
||||||
from arbitrade.risk.pre_trade import PreTradeValidator
|
from arbitrade.risk.pre_trade import PreTradeValidator
|
||||||
from arbitrade.risk.trade_limits import TradeLimitsGuard
|
from arbitrade.risk.trade_limits import TradeLimitsGuard
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
|
||||||
|
|
||||||
@dataclass(slots=True)
|
@dataclass(slots=True)
|
||||||
@@ -185,8 +186,8 @@ def load_replay_events(path: Path) -> list[ReplayBookEvent]:
|
|||||||
return sorted(events, key=lambda event: event.occurred_at)
|
return sorted(events, key=lambda event: event.occurred_at)
|
||||||
|
|
||||||
|
|
||||||
def load_replay_events_from_db(
|
async def load_replay_events_from_db(
|
||||||
store: object,
|
store: PgStore,
|
||||||
*,
|
*,
|
||||||
symbols: list[str] | None = None,
|
symbols: list[str] | None = None,
|
||||||
start: datetime | None = None,
|
start: datetime | None = None,
|
||||||
@@ -197,32 +198,32 @@ def load_replay_events_from_db(
|
|||||||
Each market_snapshots row has snapshot_at, symbol, payload (raw Kraken WS).
|
Each market_snapshots row has snapshot_at, symbol, payload (raw Kraken WS).
|
||||||
Payload format: {channel, symbol, data: [{bids: [{price, qty}], asks: [{price, qty}]}]}
|
Payload format: {channel, symbol, data: [{bids: [{price, qty}], asks: [{price, qty}]}]}
|
||||||
"""
|
"""
|
||||||
with store.connect() as conn: # type: ignore
|
async with store.pool.acquire() as conn:
|
||||||
query = "SELECT snapshot_at, symbol, payload FROM market_snapshots WHERE 1=1"
|
query = "SELECT snapshot_at, symbol, payload FROM market_snapshots WHERE 1=1"
|
||||||
params: list[object] = []
|
params: list[object] = []
|
||||||
|
|
||||||
if symbols:
|
if symbols:
|
||||||
placeholders = ",".join("?" for _ in symbols)
|
placeholders = ",".join(f"${i+1}" for i in range(len(symbols)))
|
||||||
query += f" AND symbol IN ({placeholders})"
|
query += f" AND symbol IN ({placeholders})"
|
||||||
params.extend(symbols)
|
params.extend(symbols)
|
||||||
|
|
||||||
if start is not None:
|
if start is not None:
|
||||||
query += " AND snapshot_at >= ?"
|
|
||||||
params.append(start)
|
params.append(start)
|
||||||
|
query += f" AND snapshot_at >= ${len(params)}"
|
||||||
|
|
||||||
if end is not None:
|
if end is not None:
|
||||||
query += " AND snapshot_at <= ?"
|
|
||||||
params.append(end)
|
params.append(end)
|
||||||
|
query += f" AND snapshot_at <= ${len(params)}"
|
||||||
|
|
||||||
query += " ORDER BY snapshot_at ASC"
|
query += " ORDER BY snapshot_at ASC"
|
||||||
|
|
||||||
rows = conn.execute(query, params).fetchall()
|
rows = await conn.fetch(query, *params)
|
||||||
|
|
||||||
events: list[ReplayBookEvent] = []
|
events: list[ReplayBookEvent] = []
|
||||||
for row in rows:
|
for row in rows:
|
||||||
snapshot_at: datetime = row[0]
|
snapshot_at: datetime = row["snapshot_at"]
|
||||||
symbol: str = row[1]
|
symbol: str = row["symbol"]
|
||||||
payload_raw = row[2]
|
payload_raw = row["payload"]
|
||||||
|
|
||||||
if isinstance(payload_raw, str):
|
if isinstance(payload_raw, str):
|
||||||
payload = orjson.loads(payload_raw)
|
payload = orjson.loads(payload_raw)
|
||||||
|
|||||||
@@ -15,7 +15,7 @@ from arbitrade.backtesting.replay import (
|
|||||||
load_replay_events_from_db,
|
load_replay_events_from_db,
|
||||||
)
|
)
|
||||||
from arbitrade.detection.graph import CurrencyGraph, TriangularCycle
|
from arbitrade.detection.graph import CurrencyGraph, TriangularCycle
|
||||||
from arbitrade.storage.db import DuckDBStore
|
from arbitrade.storage.pg_store import PgStore
|
||||||
from arbitrade.storage.repositories import BacktestJobRepository
|
from arbitrade.storage.repositories import BacktestJobRepository
|
||||||
|
|
||||||
_LOG = structlog.get_logger(__name__)
|
_LOG = structlog.get_logger(__name__)
|
||||||
@@ -50,11 +50,11 @@ def _parse_balances(raw: str) -> dict[str, float]:
|
|||||||
async def run_backtest_job(
|
async def run_backtest_job(
|
||||||
job_id: str,
|
job_id: str,
|
||||||
config_dict: dict[str, object] | None,
|
config_dict: dict[str, object] | None,
|
||||||
store: DuckDBStore,
|
store: PgStore,
|
||||||
) -> None:
|
) -> None:
|
||||||
"""Execute a single backtest job: load events from DB or file, run engine, store report."""
|
"""Execute a single backtest job: load events from DB or file, run engine, store report."""
|
||||||
repo = BacktestJobRepository(store)
|
repo = BacktestJobRepository(store)
|
||||||
repo.update_status(job_id, "running")
|
await repo.update_status(job_id, "running")
|
||||||
_LOG.info("backtest_job_started", job_id=job_id)
|
_LOG.info("backtest_job_started", job_id=job_id)
|
||||||
|
|
||||||
try:
|
try:
|
||||||
@@ -79,7 +79,7 @@ async def run_backtest_job(
|
|||||||
elif isinstance(symbols_raw, list):
|
elif isinstance(symbols_raw, list):
|
||||||
symbols = [str(s).upper() for s in symbols_raw]
|
symbols = [str(s).upper() for s in symbols_raw]
|
||||||
|
|
||||||
events = load_replay_events_from_db(
|
events = await load_replay_events_from_db(
|
||||||
store,
|
store,
|
||||||
symbols=symbols,
|
symbols=symbols,
|
||||||
start=start_dt,
|
start=start_dt,
|
||||||
@@ -141,18 +141,18 @@ async def run_backtest_job(
|
|||||||
"finished_at": report.finished_at.isoformat(),
|
"finished_at": report.finished_at.isoformat(),
|
||||||
}
|
}
|
||||||
|
|
||||||
repo.store_report(job_id, report_dict)
|
await repo.store_report(job_id, report_dict)
|
||||||
repo.update_status(job_id, "completed")
|
await repo.update_status(job_id, "completed")
|
||||||
_LOG.info("backtest_job_completed", job_id=job_id, pnl=report.realized_pnl_usd)
|
_LOG.info("backtest_job_completed", job_id=job_id, pnl=report.realized_pnl_usd)
|
||||||
|
|
||||||
except Exception as exc:
|
except Exception as exc:
|
||||||
repo.update_status(job_id, "failed", error=str(exc))
|
await repo.update_status(job_id, "failed", error=str(exc))
|
||||||
_LOG.exception("backtest_job_failed", job_id=job_id, error=str(exc))
|
_LOG.exception("backtest_job_failed", job_id=job_id, error=str(exc))
|
||||||
|
|
||||||
|
|
||||||
async def backtest_worker(
|
async def backtest_worker(
|
||||||
queue: asyncio.Queue[tuple[str, dict[str, object] | None] | None],
|
queue: asyncio.Queue[tuple[str, dict[str, object] | None] | None],
|
||||||
store: DuckDBStore,
|
store: PgStore,
|
||||||
) -> None:
|
) -> None:
|
||||||
"""Worker coroutine: pull jobs from queue and execute them one at a time."""
|
"""Worker coroutine: pull jobs from queue and execute them one at a time."""
|
||||||
_LOG.info("backtest_worker_started")
|
_LOG.info("backtest_worker_started")
|
||||||
|
|||||||
@@ -0,0 +1,79 @@
|
|||||||
|
"""Sync available Kraken asset pairs into the config_pairings table."""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import asyncio
|
||||||
|
|
||||||
|
import structlog
|
||||||
|
|
||||||
|
from arbitrade.config.service import ConfigPairing
|
||||||
|
from arbitrade.detection.graph import CurrencyGraph
|
||||||
|
from arbitrade.exchange.kraken_rest import KrakenRestClient
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import ConfigPairingRepository
|
||||||
|
|
||||||
|
_LOG = structlog.get_logger(__name__)
|
||||||
|
|
||||||
|
|
||||||
|
async def sync_pairings_from_kraken(
|
||||||
|
kraken_client: KrakenRestClient,
|
||||||
|
store: PgStore,
|
||||||
|
) -> dict[str, int]:
|
||||||
|
"""Fetch all asset pairs from Kraken and upsert into config_pairings.
|
||||||
|
|
||||||
|
Returns a summary dict with 'added', 'updated', 'total' counts.
|
||||||
|
"""
|
||||||
|
asset_pairs = await kraken_client.asset_pairs()
|
||||||
|
graph = CurrencyGraph.from_kraken_asset_pairs(asset_pairs)
|
||||||
|
repo = ConfigPairingRepository(store)
|
||||||
|
|
||||||
|
added = 0
|
||||||
|
updated = 0
|
||||||
|
total = 0
|
||||||
|
|
||||||
|
# Dedupe: pair_by_direction has entries for both (base,quote) and (quote,base).
|
||||||
|
seen_symbols: set[str] = set()
|
||||||
|
for (base, quote), symbol in graph.pair_by_direction.items():
|
||||||
|
if symbol in seen_symbols:
|
||||||
|
continue
|
||||||
|
seen_symbols.add(symbol)
|
||||||
|
existing = await repo.get_pairing(base, quote)
|
||||||
|
pairing = ConfigPairing(
|
||||||
|
base_asset=base,
|
||||||
|
quote_asset=quote,
|
||||||
|
enabled=existing.enabled if existing else False,
|
||||||
|
source="kraken",
|
||||||
|
)
|
||||||
|
try:
|
||||||
|
await repo.upsert_pairing(pairing)
|
||||||
|
total += 1
|
||||||
|
if existing:
|
||||||
|
updated += 1
|
||||||
|
else:
|
||||||
|
added += 1
|
||||||
|
except Exception:
|
||||||
|
_LOG.warning("sync_pairing_failed", base=base, quote=quote)
|
||||||
|
|
||||||
|
_LOG.info(
|
||||||
|
"pairing_sync_complete",
|
||||||
|
added=added,
|
||||||
|
updated=updated,
|
||||||
|
total=total,
|
||||||
|
)
|
||||||
|
return {"added": added, "updated": updated, "total": total}
|
||||||
|
|
||||||
|
|
||||||
|
async def run_pairing_sync_loop(
|
||||||
|
kraken_client: KrakenRestClient,
|
||||||
|
store: PgStore,
|
||||||
|
stop_event: asyncio.Event,
|
||||||
|
interval_seconds: int = 86400,
|
||||||
|
) -> None:
|
||||||
|
"""Periodically sync pairings from Kraken (default daily)."""
|
||||||
|
await sync_pairings_from_kraken(kraken_client, store)
|
||||||
|
try:
|
||||||
|
while not stop_event.is_set():
|
||||||
|
await asyncio.wait_for(stop_event.wait(), timeout=interval_seconds)
|
||||||
|
await sync_pairings_from_kraken(kraken_client, store)
|
||||||
|
except (TimeoutError, asyncio.CancelledError):
|
||||||
|
pass
|
||||||
@@ -7,7 +7,7 @@ import orjson
|
|||||||
from pydantic import BaseModel
|
from pydantic import BaseModel
|
||||||
|
|
||||||
from arbitrade.config.settings import Settings
|
from arbitrade.config.settings import Settings
|
||||||
from arbitrade.storage.db import DuckDBStore
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
|
||||||
|
|
||||||
class ConfigSection(BaseModel):
|
class ConfigSection(BaseModel):
|
||||||
@@ -49,16 +49,15 @@ class ConfigBacktestingDefaults(BaseModel):
|
|||||||
class ConfigurationService:
|
class ConfigurationService:
|
||||||
"""Manages application configuration from environment and database sources."""
|
"""Manages application configuration from environment and database sources."""
|
||||||
|
|
||||||
def __init__(self, settings: Settings, store: DuckDBStore, audit_repo: Any) -> None:
|
def __init__(self, settings: Settings, store: PgStore, audit_repo: Any) -> None:
|
||||||
self._settings = settings
|
self._settings = settings
|
||||||
self._store = store
|
self._store = store
|
||||||
self._audit_repo = audit_repo
|
self._audit_repo = audit_repo
|
||||||
self._config_version = 0
|
self._config_version = 0
|
||||||
self._loaded_settings: dict[str, Any] = {}
|
self._loaded_settings: dict[str, Any] = {}
|
||||||
self._last_updated_at: datetime | None = None
|
self._last_updated_at: datetime | None = None
|
||||||
self._load_database_settings()
|
|
||||||
|
|
||||||
def _load_database_settings(self) -> None:
|
async def load_database_settings(self) -> None:
|
||||||
"""Load user settings from database and merge with defaults."""
|
"""Load user settings from database and merge with defaults."""
|
||||||
# Import here to avoid circular imports
|
# Import here to avoid circular imports
|
||||||
from arbitrade.storage.repositories import ConfigSettingRepository
|
from arbitrade.storage.repositories import ConfigSettingRepository
|
||||||
@@ -66,7 +65,7 @@ class ConfigurationService:
|
|||||||
setting_repo = ConfigSettingRepository(self._store)
|
setting_repo = ConfigSettingRepository(self._store)
|
||||||
|
|
||||||
# Load all settings from database
|
# Load all settings from database
|
||||||
db_settings = setting_repo.list_settings()
|
db_settings = await setting_repo.list_settings()
|
||||||
|
|
||||||
# Convert to dictionary for easy access
|
# Convert to dictionary for easy access
|
||||||
for setting in db_settings:
|
for setting in db_settings:
|
||||||
@@ -116,7 +115,7 @@ class ConfigurationService:
|
|||||||
"""Get the timestamp of the last configuration update."""
|
"""Get the timestamp of the last configuration update."""
|
||||||
return self._last_updated_at
|
return self._last_updated_at
|
||||||
|
|
||||||
def is_config_outdated(self) -> bool:
|
async def is_config_outdated(self) -> bool:
|
||||||
"""Check if configuration has been updated since last load."""
|
"""Check if configuration has been updated since last load."""
|
||||||
# Import here to avoid circular imports
|
# Import here to avoid circular imports
|
||||||
from arbitrade.storage.repositories import ConfigSettingRepository
|
from arbitrade.storage.repositories import ConfigSettingRepository
|
||||||
@@ -124,7 +123,7 @@ class ConfigurationService:
|
|||||||
setting_repo = ConfigSettingRepository(self._store)
|
setting_repo = ConfigSettingRepository(self._store)
|
||||||
|
|
||||||
# Get the latest update timestamp from database
|
# Get the latest update timestamp from database
|
||||||
latest_db_update = setting_repo.get_latest_updated_at()
|
latest_db_update = await setting_repo.get_latest_updated_at()
|
||||||
|
|
||||||
# Compare with our last loaded timestamp
|
# Compare with our last loaded timestamp
|
||||||
if latest_db_update and self._last_updated_at:
|
if latest_db_update and self._last_updated_at:
|
||||||
@@ -133,15 +132,15 @@ class ConfigurationService:
|
|||||||
return True
|
return True
|
||||||
return False
|
return False
|
||||||
|
|
||||||
def reload_if_changed(self) -> bool:
|
async def reload_if_changed(self) -> bool:
|
||||||
"""Reload configuration if it has been updated in the database."""
|
"""Reload configuration if it has been updated in the database."""
|
||||||
if self.is_config_outdated():
|
if await self.is_config_outdated():
|
||||||
self._load_database_settings()
|
await self.load_database_settings()
|
||||||
self._config_version += 1
|
self._config_version += 1
|
||||||
return True
|
return True
|
||||||
return False
|
return False
|
||||||
|
|
||||||
def set_setting(self, key: str, value: Any, updated_by: str | None = None) -> None:
|
async def set_setting(self, key: str, value: Any, updated_by: str | None = None) -> None:
|
||||||
"""Set a configuration setting value and persist to database."""
|
"""Set a configuration setting value and persist to database."""
|
||||||
# Import here to avoid circular imports
|
# Import here to avoid circular imports
|
||||||
from arbitrade.storage.repositories import ConfigSettingRepository
|
from arbitrade.storage.repositories import ConfigSettingRepository
|
||||||
@@ -183,13 +182,13 @@ class ConfigurationService:
|
|||||||
)
|
)
|
||||||
|
|
||||||
# Check if setting exists
|
# Check if setting exists
|
||||||
existing_setting = setting_repo.get_setting(key)
|
existing_setting = await setting_repo.get_setting(key)
|
||||||
if existing_setting:
|
if existing_setting:
|
||||||
# Update existing setting
|
# Update existing setting
|
||||||
updated_setting = setting_repo.update_setting(key, setting)
|
updated_setting = await setting_repo.update_setting(key, setting)
|
||||||
else:
|
else:
|
||||||
# Create new setting
|
# Create new setting
|
||||||
updated_setting = setting_repo.create_setting(setting)
|
updated_setting = await setting_repo.create_setting(setting)
|
||||||
|
|
||||||
# Update in-memory cache
|
# Update in-memory cache
|
||||||
self._loaded_settings[key] = value
|
self._loaded_settings[key] = value
|
||||||
@@ -211,18 +210,18 @@ class ConfigurationService:
|
|||||||
|
|
||||||
return ConfigPairingRepository(self._store)
|
return ConfigPairingRepository(self._store)
|
||||||
|
|
||||||
def list_pairings(self) -> list[ConfigPairing]:
|
async def list_pairings(self) -> list[ConfigPairing]:
|
||||||
"""List all currency pairings."""
|
"""List all currency pairings."""
|
||||||
r = self._pairing_repo() # type: ignore[no-untyped-call]
|
r = self._pairing_repo() # type: ignore[no-untyped-call]
|
||||||
p = r.list_pairings()
|
p = await r.list_pairings()
|
||||||
return p # type: ignore[no-any-return]
|
return p # type: ignore[no-any-return]
|
||||||
|
|
||||||
def create_pairing(
|
async def create_pairing(
|
||||||
self, base_asset: str, quote_asset: str, source: str = "manual"
|
self, base_asset: str, quote_asset: str, source: str = "manual"
|
||||||
) -> ConfigPairing:
|
) -> ConfigPairing:
|
||||||
"""Create a new currency pairing."""
|
"""Create a new currency pairing."""
|
||||||
r = self._pairing_repo() # type: ignore[no-untyped-call]
|
r = self._pairing_repo() # type: ignore[no-untyped-call]
|
||||||
e = r.get_pairing(base_asset, quote_asset)
|
e = await r.get_pairing(base_asset, quote_asset)
|
||||||
if e:
|
if e:
|
||||||
return e # type: ignore[no-any-return]
|
return e # type: ignore[no-any-return]
|
||||||
pairing = ConfigPairing(
|
pairing = ConfigPairing(
|
||||||
|
|||||||
@@ -1,7 +1,6 @@
|
|||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
|
|
||||||
from functools import lru_cache
|
from functools import lru_cache
|
||||||
from pathlib import Path
|
|
||||||
|
|
||||||
from pydantic import Field, field_validator, model_validator
|
from pydantic import Field, field_validator, model_validator
|
||||||
from pydantic_settings import BaseSettings, SettingsConfigDict
|
from pydantic_settings import BaseSettings, SettingsConfigDict
|
||||||
@@ -55,7 +54,14 @@ class Settings(BaseSettings):
|
|||||||
email_alert_to: str | None = Field(default=None, alias="EMAIL_ALERT_TO")
|
email_alert_to: str | None = Field(default=None, alias="EMAIL_ALERT_TO")
|
||||||
email_smtp_use_tls: bool = Field(default=True, alias="EMAIL_SMTP_USE_TLS")
|
email_smtp_use_tls: bool = Field(default=True, alias="EMAIL_SMTP_USE_TLS")
|
||||||
|
|
||||||
duckdb_path: Path = Field(default=Path("./data/arbitrade.duckdb"), alias="DUCKDB_PATH")
|
# PostgreSQL connection settings
|
||||||
|
pg_host: str = Field(default="192.168.88.35", alias="PG_HOST")
|
||||||
|
pg_port: int = Field(default=5432, alias="PG_PORT")
|
||||||
|
pg_database: str = Field(default="arbitrade", alias="PG_DATABASE")
|
||||||
|
pg_user: str = Field(default="arbitrade", alias="PG_USER")
|
||||||
|
pg_password: str = Field(default="arbitrade", alias="PG_PASSWORD")
|
||||||
|
pg_min_connections: int = Field(default=2, alias="PG_MIN_CONNECTIONS")
|
||||||
|
pg_max_connections: int = Field(default=10, alias="PG_MAX_CONNECTIONS")
|
||||||
|
|
||||||
kraken_rest_url: str = Field(default="https://api.kraken.com", alias="KRAKEN_REST_URL")
|
kraken_rest_url: str = Field(default="https://api.kraken.com", alias="KRAKEN_REST_URL")
|
||||||
kraken_ws_url: str = Field(default="wss://ws.kraken.com/v2", alias="KRAKEN_WS_URL")
|
kraken_ws_url: str = Field(default="wss://ws.kraken.com/v2", alias="KRAKEN_WS_URL")
|
||||||
|
|||||||
@@ -0,0 +1 @@
|
|||||||
|
"""Dashboard module for monitoring and controlling the arbitrage bot."""
|
||||||
@@ -0,0 +1,63 @@
|
|||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from fastapi import Request
|
||||||
|
|
||||||
|
from arbitrade.storage.repositories import (
|
||||||
|
BacktestJobRepository,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
async def _recent_backtest_reports(request: Request) -> list[dict[str, object]]:
|
||||||
|
repo = BacktestJobRepository(request.app.state.store)
|
||||||
|
jobs = await repo.list_jobs(limit=5)
|
||||||
|
reports = []
|
||||||
|
for job in jobs:
|
||||||
|
report: dict[str, object] = {
|
||||||
|
"id": str(job.id),
|
||||||
|
"status": job.status,
|
||||||
|
}
|
||||||
|
if job.created_at is not None:
|
||||||
|
report["created_at"] = job.created_at.isoformat()
|
||||||
|
if job.finished_at is not None:
|
||||||
|
report["finished_at"] = job.finished_at.isoformat()
|
||||||
|
reports.append(report)
|
||||||
|
return reports
|
||||||
|
|
||||||
|
|
||||||
|
async def _backtesting_panel_context(
|
||||||
|
request: Request,
|
||||||
|
*,
|
||||||
|
status: str = "idle",
|
||||||
|
message: str = "Configure a replay run and execute backtest.",
|
||||||
|
latest_report: dict[str, object] | None = None,
|
||||||
|
defaults: dict[str, str] | None = None,
|
||||||
|
) -> dict[str, object]:
|
||||||
|
default_values = {
|
||||||
|
"symbols": "",
|
||||||
|
"start_time": "",
|
||||||
|
"end_time": "",
|
||||||
|
"starting_balances": "USD=1000.0",
|
||||||
|
"trade_capital": "100.0",
|
||||||
|
"min_profit_threshold": "0.0005",
|
||||||
|
"fee_profile": "api",
|
||||||
|
"custom_fee_rate": "",
|
||||||
|
"slippage_bps": "4.0",
|
||||||
|
"execution_latency_ms": "20.0",
|
||||||
|
}
|
||||||
|
if defaults is not None:
|
||||||
|
default_values.update(defaults)
|
||||||
|
|
||||||
|
reports = await _recent_backtest_reports(request)
|
||||||
|
latest = latest_report or (reports[0] if reports else None)
|
||||||
|
|
||||||
|
return {
|
||||||
|
"status": status,
|
||||||
|
"message": message,
|
||||||
|
"flash_message": "",
|
||||||
|
"no_enabled_pairings": False,
|
||||||
|
"latest_report": latest,
|
||||||
|
"recent_reports": reports,
|
||||||
|
"run_endpoint": "/dashboard/backtesting/run",
|
||||||
|
"reports_endpoint": "/dashboard/api/backtesting/reports",
|
||||||
|
**default_values,
|
||||||
|
}
|
||||||
File diff suppressed because it is too large
Load Diff
@@ -9,7 +9,7 @@ import orjson
|
|||||||
import structlog
|
import structlog
|
||||||
|
|
||||||
from arbitrade.exchange.kraken_rest import KrakenRestClient
|
from arbitrade.exchange.kraken_rest import KrakenRestClient
|
||||||
from arbitrade.storage.db import DuckDBStore
|
from arbitrade.storage.pg_store import PgStore
|
||||||
from arbitrade.storage.repositories import (
|
from arbitrade.storage.repositories import (
|
||||||
KrakenAccountSnapshot,
|
KrakenAccountSnapshot,
|
||||||
KrakenAccountSnapshotRepository,
|
KrakenAccountSnapshotRepository,
|
||||||
@@ -22,7 +22,7 @@ _FEE_REFRESH_INTERVAL_SECONDS = 86400 # 1 day
|
|||||||
|
|
||||||
async def fetch_and_store_account_snapshot(
|
async def fetch_and_store_account_snapshot(
|
||||||
client: KrakenRestClient,
|
client: KrakenRestClient,
|
||||||
store: DuckDBStore,
|
store: PgStore,
|
||||||
) -> KrakenAccountSnapshot | None:
|
) -> KrakenAccountSnapshot | None:
|
||||||
"""Query TradeVolume + TradeBalance, persist as snapshot.
|
"""Query TradeVolume + TradeBalance, persist as snapshot.
|
||||||
|
|
||||||
@@ -82,7 +82,7 @@ async def fetch_and_store_account_snapshot(
|
|||||||
fee_schedule_raw=fee_schedule if fee_schedule else None,
|
fee_schedule_raw=fee_schedule if fee_schedule else None,
|
||||||
)
|
)
|
||||||
|
|
||||||
repo.insert_snapshot(snapshot)
|
await repo.insert_snapshot(snapshot)
|
||||||
_LOG.info(
|
_LOG.info(
|
||||||
"account_snapshot_stored",
|
"account_snapshot_stored",
|
||||||
fee_tier=fee_tier_str,
|
fee_tier=fee_tier_str,
|
||||||
@@ -97,15 +97,13 @@ async def fetch_and_store_account_snapshot(
|
|||||||
if isinstance(balance_data, dict):
|
if isinstance(balance_data, dict):
|
||||||
eb = balance_data.get("eb")
|
eb = balance_data.get("eb")
|
||||||
total_value = float(eb) if eb is not None else 0.0
|
total_value = float(eb) if eb is not None else 0.0
|
||||||
with store.connect() as conn:
|
async with store.pool.acquire() as conn:
|
||||||
conn.execute(
|
await conn.execute(
|
||||||
"INSERT INTO portfolio_snapshots"
|
"INSERT INTO portfolio_snapshots"
|
||||||
" (snapshot_at, balances, total_value_usd) VALUES (?, ?, ?)",
|
" (snapshot_at, balances, total_value_usd) VALUES ($1, $2, $3)",
|
||||||
(
|
|
||||||
datetime.now(UTC),
|
datetime.now(UTC),
|
||||||
orjson.dumps(wallet_balances).decode("utf-8") if wallet_balances else None,
|
orjson.dumps(wallet_balances).decode("utf-8") if wallet_balances else None,
|
||||||
total_value,
|
total_value,
|
||||||
),
|
|
||||||
)
|
)
|
||||||
_LOG.info("portfolio_snapshot_stored", total_value_usd=total_value)
|
_LOG.info("portfolio_snapshot_stored", total_value_usd=total_value)
|
||||||
except Exception:
|
except Exception:
|
||||||
@@ -116,7 +114,7 @@ async def fetch_and_store_account_snapshot(
|
|||||||
|
|
||||||
async def run_fee_sync_loop(
|
async def run_fee_sync_loop(
|
||||||
client: KrakenRestClient,
|
client: KrakenRestClient,
|
||||||
store: DuckDBStore,
|
store: PgStore,
|
||||||
stop_event: asyncio.Event,
|
stop_event: asyncio.Event,
|
||||||
) -> None:
|
) -> None:
|
||||||
"""Periodic loop: fetch account snapshot every hour.
|
"""Periodic loop: fetch account snapshot every hour.
|
||||||
|
|||||||
@@ -32,6 +32,7 @@ class KrakenWsClient:
|
|||||||
self._alert_notifier = alert_notifier
|
self._alert_notifier = alert_notifier
|
||||||
self._has_connected_once = False
|
self._has_connected_once = False
|
||||||
self._was_disconnected = False
|
self._was_disconnected = False
|
||||||
|
self._subscribed_symbols: list[str] = []
|
||||||
|
|
||||||
@property
|
@property
|
||||||
def is_stale(self) -> bool:
|
def is_stale(self) -> bool:
|
||||||
@@ -44,29 +45,63 @@ class KrakenWsClient:
|
|||||||
async def stop(self) -> None:
|
async def stop(self) -> None:
|
||||||
self._stop.set()
|
self._stop.set()
|
||||||
|
|
||||||
|
def set_subscribed_symbols(self, symbols: list[str]) -> None:
|
||||||
|
"""Set the list of symbols to subscribe to on (re)connect."""
|
||||||
|
self._subscribed_symbols = list(symbols)
|
||||||
|
|
||||||
|
async def _subscribe(self, ws: Any) -> None:
|
||||||
|
"""Send Kraken WS v2 subscribe message for book channel."""
|
||||||
|
if not self._subscribed_symbols:
|
||||||
|
_LOG.warning("kraken_ws_no_symbols_to_subscribe")
|
||||||
|
return
|
||||||
|
depth = 10
|
||||||
|
if hasattr(self._settings, "kraken_ws_book_depth"):
|
||||||
|
depth = self._settings.kraken_ws_book_depth
|
||||||
|
msg = orjson.dumps(
|
||||||
|
{
|
||||||
|
"method": "subscribe",
|
||||||
|
"params": {
|
||||||
|
"channel": "book",
|
||||||
|
"symbol": self._subscribed_symbols,
|
||||||
|
"depth": depth,
|
||||||
|
},
|
||||||
|
}
|
||||||
|
)
|
||||||
|
await ws.send(msg)
|
||||||
|
_LOG.info(
|
||||||
|
"kraken_ws_subscribed",
|
||||||
|
symbol_count=len(self._subscribed_symbols),
|
||||||
|
symbols=self._subscribed_symbols,
|
||||||
|
)
|
||||||
|
|
||||||
async def connect_stream(self) -> AsyncIterator[WsMessage]:
|
async def connect_stream(self) -> AsyncIterator[WsMessage]:
|
||||||
delay = 1.0
|
delay = 1.0
|
||||||
while not self._stop.is_set():
|
while not self._stop.is_set():
|
||||||
try:
|
try:
|
||||||
async with websockets.connect(
|
url = self._settings.kraken_ws_url
|
||||||
self._settings.kraken_ws_url, max_size=2_000_000
|
async with websockets.connect(url, max_size=2_000_000) as ws:
|
||||||
) as ws:
|
_LOG.info("kraken_ws_connected", url=url)
|
||||||
_LOG.info("kraken_ws_connected", url=self._settings.kraken_ws_url)
|
|
||||||
if self._has_connected_once and self._was_disconnected:
|
if self._has_connected_once and self._was_disconnected:
|
||||||
await self._notify(
|
await self._notify(
|
||||||
category="system",
|
category="system",
|
||||||
severity="info",
|
severity="info",
|
||||||
title="WebSocket reconnected",
|
title="WebSocket reconnected",
|
||||||
message="Kraken WebSocket connection restored.",
|
message="Kraken WebSocket connection restored.",
|
||||||
details={"url": self._settings.kraken_ws_url},
|
details={"url": url},
|
||||||
)
|
)
|
||||||
self._has_connected_once = True
|
self._has_connected_once = True
|
||||||
self._was_disconnected = False
|
self._was_disconnected = False
|
||||||
delay = 1.0
|
delay = 1.0
|
||||||
|
await self._subscribe(ws)
|
||||||
async for raw in self._recv_loop(ws):
|
async for raw in self._recv_loop(ws):
|
||||||
yield raw
|
yield raw
|
||||||
except Exception as exc:
|
except Exception as exc:
|
||||||
_LOG.warning("kraken_ws_disconnected", error=str(exc), reconnect_in=delay)
|
log = (
|
||||||
|
"kraken_ws_disconnected_first_time"
|
||||||
|
if not self._has_connected_once
|
||||||
|
else "kraken_ws_disconnected"
|
||||||
|
)
|
||||||
|
_LOG.warning(log, error=str(exc), reconnect_in=delay)
|
||||||
self._was_disconnected = True
|
self._was_disconnected = True
|
||||||
await self._notify(
|
await self._notify(
|
||||||
category="system",
|
category="system",
|
||||||
|
|||||||
@@ -158,7 +158,7 @@ class TriangularExecutionSequencer:
|
|||||||
)
|
)
|
||||||
except Exception as exc:
|
except Exception as exc:
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="execution_engine",
|
actor="execution_engine",
|
||||||
@@ -265,7 +265,7 @@ class TriangularExecutionSequencer:
|
|||||||
)
|
)
|
||||||
|
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="execution_engine",
|
actor="execution_engine",
|
||||||
|
|||||||
@@ -0,0 +1 @@
|
|||||||
|
"""Logging package — DB sink, maintenance tasks."""
|
||||||
@@ -0,0 +1,119 @@
|
|||||||
|
"""DB sink — writes structlog events to app_logs table via background queue."""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import asyncio
|
||||||
|
from datetime import UTC, datetime
|
||||||
|
from typing import Any
|
||||||
|
|
||||||
|
import structlog
|
||||||
|
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import LogRecord, LogRepository
|
||||||
|
|
||||||
|
_LOG = structlog.get_logger(__name__)
|
||||||
|
|
||||||
|
|
||||||
|
class DbSinkProcessor:
|
||||||
|
"""structlog processor that queues log events for DB writes.
|
||||||
|
|
||||||
|
Must be registered in the structlog processor chain. The consumer
|
||||||
|
task must be started on app init via ``start_consumer(store)``.
|
||||||
|
"""
|
||||||
|
|
||||||
|
def __init__(self) -> None:
|
||||||
|
self._queue: asyncio.Queue[dict[str, Any]] = asyncio.Queue(maxsize=2000)
|
||||||
|
self._consumer_task: asyncio.Task[None] | None = None
|
||||||
|
|
||||||
|
def __call__(self, logger: Any, method_name: str, event_dict: dict[str, Any]) -> dict[str, Any]:
|
||||||
|
"""Processor — called for every structlog event. Non-blocking."""
|
||||||
|
try:
|
||||||
|
self._queue.put_nowait(dict(event_dict))
|
||||||
|
except asyncio.QueueFull:
|
||||||
|
pass # drop event if queue full, avoid backpressure
|
||||||
|
return event_dict
|
||||||
|
|
||||||
|
def start_consumer(self, store: PgStore) -> None:
|
||||||
|
"""Start background consumer task."""
|
||||||
|
if self._consumer_task is not None and not self._consumer_task.done():
|
||||||
|
return
|
||||||
|
self._consumer_task = asyncio.create_task(self._consume(store), name="log_db_sink")
|
||||||
|
|
||||||
|
async def stop_consumer(self) -> None:
|
||||||
|
"""Drain queue and cancel consumer."""
|
||||||
|
if self._consumer_task is None:
|
||||||
|
return
|
||||||
|
self._consumer_task.cancel()
|
||||||
|
try:
|
||||||
|
await self._consumer_task
|
||||||
|
except asyncio.CancelledError:
|
||||||
|
pass
|
||||||
|
self._consumer_task = None
|
||||||
|
# Flush remaining
|
||||||
|
await self._flush(store=None) # type: ignore[call-arg]
|
||||||
|
|
||||||
|
async def _consume(self, store: PgStore) -> None:
|
||||||
|
repo = LogRepository(store)
|
||||||
|
while True:
|
||||||
|
try:
|
||||||
|
event = await self._queue.get()
|
||||||
|
await self._write_one(repo, event)
|
||||||
|
except asyncio.CancelledError:
|
||||||
|
break
|
||||||
|
except Exception:
|
||||||
|
pass # swallow consumer errors, never crash
|
||||||
|
# Final flush
|
||||||
|
await self._flush(repo)
|
||||||
|
|
||||||
|
async def _write_one(self, repo: LogRepository, event: dict[str, Any]) -> None:
|
||||||
|
recorded_at = event.pop("timestamp", None)
|
||||||
|
if isinstance(recorded_at, str):
|
||||||
|
try:
|
||||||
|
recorded_at = datetime.fromisoformat(recorded_at)
|
||||||
|
except ValueError:
|
||||||
|
recorded_at = datetime.now(UTC)
|
||||||
|
elif not isinstance(recorded_at, datetime):
|
||||||
|
recorded_at = datetime.now(UTC)
|
||||||
|
|
||||||
|
level = str(event.pop("level", "info")).upper()
|
||||||
|
logger = str(event.pop("logger", "root"))
|
||||||
|
message = str(event.pop("event", event.pop("message", "")))
|
||||||
|
context = {k: v for k, v in event.items() if not k.startswith("_")} if event else None
|
||||||
|
|
||||||
|
record = LogRecord(
|
||||||
|
recorded_at=recorded_at,
|
||||||
|
level=level,
|
||||||
|
logger=logger,
|
||||||
|
message=message,
|
||||||
|
context=context if context else None,
|
||||||
|
)
|
||||||
|
try:
|
||||||
|
await repo.insert(record)
|
||||||
|
except Exception:
|
||||||
|
pass # never crash from DB write failure
|
||||||
|
|
||||||
|
async def _flush(self, repo: LogRepository | None) -> None:
|
||||||
|
drained = 0
|
||||||
|
while not self._queue.empty() and drained < 500:
|
||||||
|
try:
|
||||||
|
event = self._queue.get_nowait()
|
||||||
|
if repo is not None:
|
||||||
|
await self._write_one(repo, event)
|
||||||
|
drained += 1
|
||||||
|
except asyncio.QueueEmpty:
|
||||||
|
break
|
||||||
|
except Exception:
|
||||||
|
pass
|
||||||
|
|
||||||
|
|
||||||
|
# Module-level singleton
|
||||||
|
_db_sink = DbSinkProcessor()
|
||||||
|
|
||||||
|
|
||||||
|
def get_db_sink() -> DbSinkProcessor:
|
||||||
|
return _db_sink
|
||||||
|
|
||||||
|
|
||||||
|
def db_sink_processor(logger: Any, method_name: str, event_dict: dict[str, Any]) -> dict[str, Any]:
|
||||||
|
"""Standalone processor function wrapping the singleton."""
|
||||||
|
return _db_sink(logger, method_name, event_dict)
|
||||||
@@ -0,0 +1,60 @@
|
|||||||
|
"""Log maintenance — aggregation and archiving tasks."""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import asyncio
|
||||||
|
from datetime import UTC, datetime, timedelta
|
||||||
|
|
||||||
|
import structlog
|
||||||
|
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import LogAggregationRepository, LogArchiveRepository
|
||||||
|
|
||||||
|
_LOG = structlog.get_logger(__name__)
|
||||||
|
|
||||||
|
_AGGREGATE_INTERVAL = 3600 # 1 hour
|
||||||
|
_ARCHIVE_INTERVAL = 86400 # 1 day
|
||||||
|
_RETENTION_DAYS = 30
|
||||||
|
|
||||||
|
|
||||||
|
async def run_log_aggregation(store: PgStore) -> None:
|
||||||
|
"""Aggregate log counts for the last 2 hours across all periods."""
|
||||||
|
repo = LogAggregationRepository(store)
|
||||||
|
since = datetime.now(UTC) - timedelta(hours=2)
|
||||||
|
periods = ["1h", "1d", "1w", "1mo"]
|
||||||
|
for period in periods:
|
||||||
|
try:
|
||||||
|
await repo.aggregate_since(since, period)
|
||||||
|
except Exception:
|
||||||
|
_LOG.exception("log_aggregation_failed", period=period)
|
||||||
|
_LOG.info("log_aggregation_complete", since=since.isoformat())
|
||||||
|
|
||||||
|
|
||||||
|
async def run_log_archive(store: PgStore, retention_days: int = _RETENTION_DAYS) -> int:
|
||||||
|
"""Archive log entries older than retention_days."""
|
||||||
|
cutoff = datetime.now(UTC) - timedelta(days=retention_days)
|
||||||
|
repo = LogArchiveRepository(store)
|
||||||
|
count = await repo.archive_before(cutoff)
|
||||||
|
if count > 0:
|
||||||
|
_LOG.info("log_archive_complete", cutoff=cutoff.isoformat(), archived=count)
|
||||||
|
return count
|
||||||
|
|
||||||
|
|
||||||
|
async def run_log_aggregation_loop(store: PgStore) -> None:
|
||||||
|
"""Periodic aggregation loop."""
|
||||||
|
while True:
|
||||||
|
try:
|
||||||
|
await run_log_aggregation(store)
|
||||||
|
except Exception:
|
||||||
|
_LOG.exception("log_aggregation_loop_error")
|
||||||
|
await asyncio.sleep(_AGGREGATE_INTERVAL)
|
||||||
|
|
||||||
|
|
||||||
|
async def run_log_archive_loop(store: PgStore) -> None:
|
||||||
|
"""Periodic archive loop."""
|
||||||
|
while True:
|
||||||
|
try:
|
||||||
|
await run_log_archive(store)
|
||||||
|
except Exception:
|
||||||
|
_LOG.exception("log_archive_loop_error")
|
||||||
|
await asyncio.sleep(_ARCHIVE_INTERVAL)
|
||||||
@@ -6,6 +6,8 @@ from typing import Any
|
|||||||
|
|
||||||
import structlog
|
import structlog
|
||||||
|
|
||||||
|
from arbitrade.logging.db_sink import db_sink_processor
|
||||||
|
|
||||||
|
|
||||||
def configure_logging(log_level: str = "INFO", json_logs: bool = True) -> None:
|
def configure_logging(log_level: str = "INFO", json_logs: bool = True) -> None:
|
||||||
level = getattr(logging, log_level.upper(), logging.INFO)
|
level = getattr(logging, log_level.upper(), logging.INFO)
|
||||||
@@ -17,6 +19,7 @@ def configure_logging(log_level: str = "INFO", json_logs: bool = True) -> None:
|
|||||||
structlog.stdlib.add_log_level,
|
structlog.stdlib.add_log_level,
|
||||||
structlog.stdlib.add_logger_name,
|
structlog.stdlib.add_logger_name,
|
||||||
timestamper,
|
timestamper,
|
||||||
|
db_sink_processor,
|
||||||
]
|
]
|
||||||
|
|
||||||
if json_logs:
|
if json_logs:
|
||||||
|
|||||||
@@ -144,7 +144,7 @@ class MarketDataFeed:
|
|||||||
symbol=delta.symbol,
|
symbol=delta.symbol,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="risk_manager",
|
actor="risk_manager",
|
||||||
@@ -172,7 +172,7 @@ class MarketDataFeed:
|
|||||||
|
|
||||||
for event in opportunities:
|
for event in opportunities:
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="detector",
|
actor="detector",
|
||||||
@@ -207,7 +207,7 @@ class MarketDataFeed:
|
|||||||
net_pct=event.net_pct,
|
net_pct=event.net_pct,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="execution_engine",
|
actor="execution_engine",
|
||||||
@@ -228,7 +228,7 @@ class MarketDataFeed:
|
|||||||
updated_pair=event.updated_pair,
|
updated_pair=event.updated_pair,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="execution_engine",
|
actor="execution_engine",
|
||||||
@@ -250,7 +250,7 @@ class MarketDataFeed:
|
|||||||
reason=self._kill_switch.reason,
|
reason=self._kill_switch.reason,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="risk_manager",
|
actor="risk_manager",
|
||||||
@@ -275,7 +275,7 @@ class MarketDataFeed:
|
|||||||
reason=self._stop_conditions_guard.halted_reason,
|
reason=self._stop_conditions_guard.halted_reason,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="risk_manager",
|
actor="risk_manager",
|
||||||
@@ -298,7 +298,7 @@ class MarketDataFeed:
|
|||||||
reason=self._loss_limit_guard.halted_reason,
|
reason=self._loss_limit_guard.halted_reason,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="risk_manager",
|
actor="risk_manager",
|
||||||
@@ -329,7 +329,7 @@ class MarketDataFeed:
|
|||||||
required_by_asset=required_balances,
|
required_by_asset=required_balances,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="risk_manager",
|
actor="risk_manager",
|
||||||
@@ -358,7 +358,7 @@ class MarketDataFeed:
|
|||||||
exposure_by_asset=exposure_by_asset,
|
exposure_by_asset=exposure_by_asset,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="risk_manager",
|
actor="risk_manager",
|
||||||
@@ -420,7 +420,7 @@ class MarketDataFeed:
|
|||||||
updated_pair=event.updated_pair,
|
updated_pair=event.updated_pair,
|
||||||
)
|
)
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="execution_engine",
|
actor="execution_engine",
|
||||||
@@ -459,7 +459,7 @@ class MarketDataFeed:
|
|||||||
self._trade_limits_guard.close_trade(exposure_by_asset)
|
self._trade_limits_guard.close_trade(exposure_by_asset)
|
||||||
|
|
||||||
if self._audit_repository is not None:
|
if self._audit_repository is not None:
|
||||||
self._audit_repository.insert(
|
await self._audit_repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="execution_engine",
|
actor="execution_engine",
|
||||||
|
|||||||
@@ -0,0 +1,62 @@
|
|||||||
|
"""Build production MarketDataFeed components from enabled pairings."""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import structlog
|
||||||
|
|
||||||
|
from arbitrade.detection.engine import IncrementalCycleDetector
|
||||||
|
from arbitrade.detection.graph import CurrencyGraph
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import ConfigPairingRepository
|
||||||
|
|
||||||
|
_LOG = structlog.get_logger(__name__)
|
||||||
|
|
||||||
|
|
||||||
|
async def build_detector_from_enabled_pairings(
|
||||||
|
store: PgStore,
|
||||||
|
*,
|
||||||
|
fee_rate: float = 0.0,
|
||||||
|
max_depth_levels: int = 10,
|
||||||
|
min_profit_threshold: float = 0.0005,
|
||||||
|
) -> IncrementalCycleDetector | None:
|
||||||
|
"""Build an IncrementalCycleDetector using only enabled pairings from DB.
|
||||||
|
|
||||||
|
Returns None if no enabled pairings exist.
|
||||||
|
"""
|
||||||
|
repo = ConfigPairingRepository(store)
|
||||||
|
pairings = await repo.list_pairings(enabled_only=True)
|
||||||
|
if not pairings:
|
||||||
|
_LOG.warning("no_enabled_pairings_found_detector_not_created")
|
||||||
|
return None
|
||||||
|
|
||||||
|
# Build CurrencyGraph from enabled pairings and discover cycles
|
||||||
|
graph = CurrencyGraph()
|
||||||
|
for p in pairings:
|
||||||
|
symbol = f"{p.base_asset}/{p.quote_asset}"
|
||||||
|
graph.add_pair(p.base_asset, p.quote_asset, symbol)
|
||||||
|
|
||||||
|
cycles = graph.triangular_cycles()
|
||||||
|
if not cycles:
|
||||||
|
_LOG.warning("no_triangular_cycles_from_enabled_pairings")
|
||||||
|
return None
|
||||||
|
|
||||||
|
cycles_by_pair = graph.index_cycles_by_pair(cycles)
|
||||||
|
_LOG.info(
|
||||||
|
"detector_built_from_enabled_pairings",
|
||||||
|
enabled_count=len(pairings),
|
||||||
|
cycle_count=len(cycles),
|
||||||
|
)
|
||||||
|
|
||||||
|
return IncrementalCycleDetector(
|
||||||
|
cycles_by_pair,
|
||||||
|
fee_rate=fee_rate,
|
||||||
|
max_depth_levels=max_depth_levels,
|
||||||
|
min_profit_threshold=min_profit_threshold,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
async def get_enabled_pair_symbols(store: PgStore) -> list[str]:
|
||||||
|
"""Return list of enabled pair symbols (e.g. ['BTC/USD', 'ETH/BTC'])."""
|
||||||
|
repo = ConfigPairingRepository(store)
|
||||||
|
pairings = await repo.list_pairings(enabled_only=True)
|
||||||
|
return [f"{p.base_asset}/{p.quote_asset}" for p in pairings if p.enabled]
|
||||||
+55
-40
@@ -3,7 +3,7 @@ from __future__ import annotations
|
|||||||
from dataclasses import dataclass
|
from dataclasses import dataclass
|
||||||
from datetime import datetime
|
from datetime import datetime
|
||||||
|
|
||||||
from arbitrade.storage.db import DuckDBStore
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
|
||||||
|
|
||||||
@dataclass(frozen=True, slots=True)
|
@dataclass(frozen=True, slots=True)
|
||||||
@@ -19,63 +19,66 @@ class PerformanceMetrics:
|
|||||||
|
|
||||||
|
|
||||||
class MetricsCalculator:
|
class MetricsCalculator:
|
||||||
def __init__(self, store: DuckDBStore) -> None:
|
def __init__(self, store: PgStore) -> None:
|
||||||
self._store = store
|
self._store = store
|
||||||
|
|
||||||
def compute(self) -> PerformanceMetrics:
|
async def compute(self) -> PerformanceMetrics:
|
||||||
with self._store.connect() as conn:
|
async with self._store.pool.acquire() as conn:
|
||||||
tm = conn.execute(
|
tm = await conn.fetchrow("""
|
||||||
"""
|
|
||||||
SELECT
|
SELECT
|
||||||
COALESCE(SUM(COALESCE(realized_pnl, 0)), 0) AS realized_pnl_usd,
|
COALESCE(SUM(COALESCE(realized_pnl, 0)), 0) AS realized_pnl_usd,
|
||||||
COUNT(*) AS total_trades,
|
COUNT(*) AS total_trades,
|
||||||
SUM(CASE WHEN realized_pnl > 0 THEN 1 ELSE 0 END) AS winning_trades,
|
SUM(CASE WHEN realized_pnl > 0 THEN 1 ELSE 0 END) AS winning_trades,
|
||||||
AVG(EPOCH(finished_at) - EPOCH(started_at)) AS avg_trade_duration_seconds,
|
AVG(EXTRACT(EPOCH FROM finished_at - started_at)) AS avg_trade_duration_seconds,
|
||||||
quantile_cont(
|
PERCENTILE_CONT(0.50) WITHIN GROUP (ORDER BY EXTRACT(EPOCH FROM finished_at - started_at)) AS latency_p50_seconds,
|
||||||
EPOCH(finished_at) - EPOCH(started_at),
|
PERCENTILE_CONT(0.95) WITHIN GROUP (ORDER BY EXTRACT(EPOCH FROM finished_at - started_at)) AS latency_p95_seconds,
|
||||||
0.50
|
PERCENTILE_CONT(0.99) WITHIN GROUP (ORDER BY EXTRACT(EPOCH FROM finished_at - started_at)) AS latency_p99_seconds
|
||||||
) AS latency_p50_seconds,
|
|
||||||
quantile_cont(
|
|
||||||
EPOCH(finished_at) - EPOCH(started_at),
|
|
||||||
0.95
|
|
||||||
) AS latency_p95_seconds,
|
|
||||||
quantile_cont(
|
|
||||||
EPOCH(finished_at) - EPOCH(started_at),
|
|
||||||
0.99
|
|
||||||
) AS latency_p99_seconds
|
|
||||||
FROM trades
|
FROM trades
|
||||||
WHERE finished_at IS NOT NULL
|
WHERE finished_at IS NOT NULL
|
||||||
"""
|
""")
|
||||||
).fetchone()
|
|
||||||
|
|
||||||
om = conn.execute(
|
om = await conn.fetchrow("""
|
||||||
"""
|
|
||||||
SELECT
|
SELECT
|
||||||
COUNT(*) AS opportunity_count,
|
COUNT(*) AS opportunity_count,
|
||||||
MIN(detected_at) AS first_detected_at,
|
MIN(detected_at) AS first_detected_at,
|
||||||
MAX(detected_at) AS last_detected_at
|
MAX(detected_at) AS last_detected_at
|
||||||
FROM opportunities
|
FROM opportunities
|
||||||
"""
|
""")
|
||||||
).fetchone()
|
|
||||||
|
|
||||||
fm = conn.execute(
|
fm = await conn.fetchrow("""
|
||||||
"""
|
|
||||||
SELECT AVG(filled_volume / volume) AS fill_rate
|
SELECT AVG(filled_volume / volume) AS fill_rate
|
||||||
FROM orders
|
FROM orders
|
||||||
WHERE volume > 0 AND filled_volume IS NOT NULL
|
WHERE volume > 0 AND filled_volume IS NOT NULL
|
||||||
"""
|
""")
|
||||||
).fetchone()
|
|
||||||
|
|
||||||
r_pnl_usd = float(tm[0]) if tm and tm[0] is not None else 0.0
|
r_pnl_usd = (
|
||||||
tt = int(tm[1]) if tm and tm[1] is not None else 0
|
float(tm["realized_pnl_usd"]) if tm and tm["realized_pnl_usd"] is not None else 0.0
|
||||||
wt = int(tm[2]) if tm and tm[2] is not None else 0
|
)
|
||||||
|
tt = int(tm["total_trades"]) if tm and tm["total_trades"] is not None else 0
|
||||||
|
wt = int(tm["winning_trades"]) if tm and tm["winning_trades"] is not None else 0
|
||||||
wr = wt / tt if tt > 0 else None
|
wr = wt / tt if tt > 0 else None
|
||||||
|
|
||||||
atd = float(tm[3]) if tm and tm[3] is not None else None
|
atd = (
|
||||||
|
float(tm["avg_trade_duration_seconds"])
|
||||||
|
if tm and tm["avg_trade_duration_seconds"] is not None
|
||||||
|
else None
|
||||||
|
)
|
||||||
|
|
||||||
oc = int(om[0]) if om is not None and om[0] is not None else 0
|
oc = (
|
||||||
fo = om[1] if om is not None and isinstance(om[1], datetime) else None
|
int(om["opportunity_count"])
|
||||||
lo = om[2] if om is not None and isinstance(om[2], datetime) else None
|
if om is not None and om["opportunity_count"] is not None
|
||||||
|
else 0
|
||||||
|
)
|
||||||
|
fo = (
|
||||||
|
om["first_detected_at"]
|
||||||
|
if om is not None and isinstance(om["first_detected_at"], datetime)
|
||||||
|
else None
|
||||||
|
)
|
||||||
|
lo = (
|
||||||
|
om["last_detected_at"]
|
||||||
|
if om is not None and isinstance(om["last_detected_at"], datetime)
|
||||||
|
else None
|
||||||
|
)
|
||||||
|
|
||||||
opportunities_per_minute: float | None
|
opportunities_per_minute: float | None
|
||||||
if oc >= 2 and fo is not None and lo is not None:
|
if oc >= 2 and fo is not None and lo is not None:
|
||||||
@@ -88,11 +91,23 @@ class MetricsCalculator:
|
|||||||
else:
|
else:
|
||||||
opportunities_per_minute = None
|
opportunities_per_minute = None
|
||||||
|
|
||||||
fill_rate = float(fm[0]) if fm and fm[0] is not None else None
|
fill_rate = float(fm["fill_rate"]) if fm and fm["fill_rate"] is not None else None
|
||||||
|
|
||||||
lp50 = float(tm[4]) if tm and tm[4] is not None else None
|
lp50 = (
|
||||||
lp95 = float(tm[5]) if tm and tm[5] is not None else None
|
float(tm["latency_p50_seconds"])
|
||||||
lp99 = float(tm[6]) if tm and tm[6] is not None else None
|
if tm and tm["latency_p50_seconds"] is not None
|
||||||
|
else None
|
||||||
|
)
|
||||||
|
lp95 = (
|
||||||
|
float(tm["latency_p95_seconds"])
|
||||||
|
if tm and tm["latency_p95_seconds"] is not None
|
||||||
|
else None
|
||||||
|
)
|
||||||
|
lp99 = (
|
||||||
|
float(tm["latency_p99_seconds"])
|
||||||
|
if tm and tm["latency_p99_seconds"] is not None
|
||||||
|
else None
|
||||||
|
)
|
||||||
|
|
||||||
return PerformanceMetrics(
|
return PerformanceMetrics(
|
||||||
realized_pnl_usd=r_pnl_usd,
|
realized_pnl_usd=r_pnl_usd,
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ from typing import Any, cast
|
|||||||
from fastapi import FastAPI
|
from fastapi import FastAPI
|
||||||
|
|
||||||
from arbitrade.api.control_state import DashboardControlState
|
from arbitrade.api.control_state import DashboardControlState
|
||||||
from arbitrade.storage.db import DuckDBStore
|
from arbitrade.storage.pg_store import PgStore
|
||||||
from arbitrade.storage.repositories import (
|
from arbitrade.storage.repositories import (
|
||||||
AuditRecord,
|
AuditRecord,
|
||||||
AuditRepository,
|
AuditRepository,
|
||||||
@@ -29,8 +29,8 @@ def _controls(app: FastAPI) -> DashboardControlState:
|
|||||||
return cast(DashboardControlState, app.state.dashboard_controls)
|
return cast(DashboardControlState, app.state.dashboard_controls)
|
||||||
|
|
||||||
|
|
||||||
def _store(app: FastAPI) -> DuckDBStore:
|
def _store(app: FastAPI) -> PgStore:
|
||||||
return cast(DuckDBStore, app.state.store)
|
return cast(PgStore, app.state.store)
|
||||||
|
|
||||||
|
|
||||||
def _audit_repository(app: FastAPI) -> AuditRepository | None:
|
def _audit_repository(app: FastAPI) -> AuditRepository | None:
|
||||||
@@ -43,38 +43,34 @@ def _runtime_repository(app: FastAPI) -> RuntimeStateRepository | None:
|
|||||||
return repository if isinstance(repository, RuntimeStateRepository) else None
|
return repository if isinstance(repository, RuntimeStateRepository) else None
|
||||||
|
|
||||||
|
|
||||||
def _open_trade_count(store: DuckDBStore) -> int:
|
async def _open_trade_count(store: PgStore) -> int:
|
||||||
with store.connect() as conn:
|
async with store.pool.acquire() as conn:
|
||||||
row = conn.execute(
|
row = await conn.fetchrow("""
|
||||||
"""
|
|
||||||
SELECT COUNT(*)
|
SELECT COUNT(*)
|
||||||
FROM trades
|
FROM trades
|
||||||
WHERE finished_at IS NULL
|
WHERE finished_at IS NULL
|
||||||
"""
|
""")
|
||||||
).fetchone()
|
|
||||||
return int(row[0]) if row is not None else 0
|
return int(row[0]) if row is not None else 0
|
||||||
|
|
||||||
|
|
||||||
def _latest_balances(store: DuckDBStore) -> dict[str, Any] | None:
|
async def _latest_balances(store: PgStore) -> dict[str, Any] | None:
|
||||||
with store.connect() as conn:
|
async with store.pool.acquire() as conn:
|
||||||
row = conn.execute(
|
row = await conn.fetchrow("""
|
||||||
"""
|
|
||||||
SELECT balances
|
SELECT balances
|
||||||
FROM portfolio_snapshots
|
FROM portfolio_snapshots
|
||||||
ORDER BY snapshot_at DESC
|
ORDER BY snapshot_at DESC
|
||||||
LIMIT 1
|
LIMIT 1
|
||||||
"""
|
""")
|
||||||
).fetchone()
|
|
||||||
|
|
||||||
if row is None or row[0] is None:
|
if row is None or row["balances"] is None:
|
||||||
return None
|
return None
|
||||||
raw_balances = row[0]
|
raw_balances = row["balances"]
|
||||||
if isinstance(raw_balances, str):
|
if isinstance(raw_balances, str):
|
||||||
return {"raw": raw_balances}
|
return {"raw": raw_balances}
|
||||||
return {"raw": str(raw_balances)}
|
return {"raw": str(raw_balances)}
|
||||||
|
|
||||||
|
|
||||||
def _record_audit(
|
async def _record_audit(
|
||||||
app: FastAPI,
|
app: FastAPI,
|
||||||
*,
|
*,
|
||||||
event_type: str,
|
event_type: str,
|
||||||
@@ -84,7 +80,7 @@ def _record_audit(
|
|||||||
repository = _audit_repository(app)
|
repository = _audit_repository(app)
|
||||||
if repository is None:
|
if repository is None:
|
||||||
return
|
return
|
||||||
repository.insert(
|
await repository.insert(
|
||||||
AuditRecord(
|
AuditRecord(
|
||||||
occurred_at=datetime.now(UTC),
|
occurred_at=datetime.now(UTC),
|
||||||
actor="runtime",
|
actor="runtime",
|
||||||
@@ -110,7 +106,9 @@ async def _run_startup_reconciler(app: FastAPI) -> None:
|
|||||||
await result
|
await result
|
||||||
|
|
||||||
|
|
||||||
def persist_runtime_snapshot(app: FastAPI, *, note: str | None = None) -> RuntimeStateRecord | None:
|
async def persist_runtime_snapshot(
|
||||||
|
app: FastAPI, *, note: str | None = None
|
||||||
|
) -> RuntimeStateRecord | None:
|
||||||
repository = _runtime_repository(app)
|
repository = _runtime_repository(app)
|
||||||
if repository is None:
|
if repository is None:
|
||||||
return None
|
return None
|
||||||
@@ -122,11 +120,11 @@ def persist_runtime_snapshot(app: FastAPI, *, note: str | None = None) -> Runtim
|
|||||||
is_running=controls.is_running,
|
is_running=controls.is_running,
|
||||||
kill_switch_active=controls.kill_switch.is_active,
|
kill_switch_active=controls.kill_switch.is_active,
|
||||||
kill_switch_reason=controls.kill_switch.reason,
|
kill_switch_reason=controls.kill_switch.reason,
|
||||||
open_trade_count=_open_trade_count(store),
|
open_trade_count=await _open_trade_count(store),
|
||||||
last_known_balances=_latest_balances(store),
|
last_known_balances=await _latest_balances(store),
|
||||||
note=note,
|
note=note,
|
||||||
)
|
)
|
||||||
repository.insert(snapshot)
|
await repository.insert(snapshot)
|
||||||
return snapshot
|
return snapshot
|
||||||
|
|
||||||
|
|
||||||
@@ -138,7 +136,7 @@ async def restore_runtime_state(app: FastAPI) -> RuntimeRecoveryReport:
|
|||||||
restored_from_snapshot = False
|
restored_from_snapshot = False
|
||||||
snapshot_at: str | None = None
|
snapshot_at: str | None = None
|
||||||
|
|
||||||
latest = repo.latest() if repo is not None else None
|
latest = await repo.latest() if repo is not None else None
|
||||||
if latest is not None:
|
if latest is not None:
|
||||||
restored_from_snapshot = True
|
restored_from_snapshot = True
|
||||||
snapshot_at = latest.snapshot_at.isoformat()
|
snapshot_at = latest.snapshot_at.isoformat()
|
||||||
@@ -150,7 +148,7 @@ async def restore_runtime_state(app: FastAPI) -> RuntimeRecoveryReport:
|
|||||||
ctl.kill_switch.deactivate()
|
ctl.kill_switch.deactivate()
|
||||||
ctl.mark_updated()
|
ctl.mark_updated()
|
||||||
|
|
||||||
open_trades = _open_trade_count(store)
|
open_trades = await _open_trade_count(store)
|
||||||
restart_guard_active = False
|
restart_guard_active = False
|
||||||
if open_trades > 0:
|
if open_trades > 0:
|
||||||
ctl.is_running = False
|
ctl.is_running = False
|
||||||
@@ -167,7 +165,7 @@ async def restore_runtime_state(app: FastAPI) -> RuntimeRecoveryReport:
|
|||||||
)
|
)
|
||||||
app.state.recovery_report = report
|
app.state.recovery_report = report
|
||||||
|
|
||||||
_record_audit(
|
await _record_audit(
|
||||||
app,
|
app,
|
||||||
event_type="runtime.startup_recovery",
|
event_type="runtime.startup_recovery",
|
||||||
decision="applied",
|
decision="applied",
|
||||||
@@ -216,7 +214,7 @@ async def graceful_shutdown(app: FastAPI) -> None:
|
|||||||
controls.is_running = False
|
controls.is_running = False
|
||||||
controls.mark_updated()
|
controls.mark_updated()
|
||||||
|
|
||||||
_record_audit(
|
await _record_audit(
|
||||||
app,
|
app,
|
||||||
event_type="runtime.shutdown",
|
event_type="runtime.shutdown",
|
||||||
decision="initiated",
|
decision="initiated",
|
||||||
@@ -224,4 +222,4 @@ async def graceful_shutdown(app: FastAPI) -> None:
|
|||||||
)
|
)
|
||||||
|
|
||||||
await drain_background_workers(app)
|
await drain_background_workers(app)
|
||||||
persist_runtime_snapshot(app, note="graceful_shutdown")
|
await persist_runtime_snapshot(app, note="graceful_shutdown")
|
||||||
|
|||||||
@@ -1,308 +0,0 @@
|
|||||||
from __future__ import annotations
|
|
||||||
|
|
||||||
from collections.abc import Iterator
|
|
||||||
from contextlib import contextmanager
|
|
||||||
from pathlib import Path
|
|
||||||
|
|
||||||
import duckdb
|
|
||||||
import structlog
|
|
||||||
|
|
||||||
from arbitrade.config.settings import Settings
|
|
||||||
|
|
||||||
_LOG = structlog.get_logger(__name__)
|
|
||||||
|
|
||||||
SCHEMA_SQL = """
|
|
||||||
CREATE TABLE IF NOT EXISTS schema_migrations (
|
|
||||||
version INTEGER PRIMARY KEY,
|
|
||||||
applied_at TIMESTAMP DEFAULT current_timestamp
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS config_sections (
|
|
||||||
id INTEGER PRIMARY KEY,
|
|
||||||
name VARCHAR UNIQUE NOT NULL,
|
|
||||||
description TEXT,
|
|
||||||
updated_at TIMESTAMP DEFAULT current_timestamp
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS config_settings (
|
|
||||||
key VARCHAR PRIMARY KEY,
|
|
||||||
section VARCHAR NOT NULL,
|
|
||||||
value_json TEXT NOT NULL,
|
|
||||||
value_type VARCHAR NOT NULL,
|
|
||||||
is_secret BOOLEAN DEFAULT FALSE,
|
|
||||||
is_runtime_reloadable BOOLEAN DEFAULT FALSE,
|
|
||||||
updated_at TIMESTAMP DEFAULT current_timestamp,
|
|
||||||
updated_by VARCHAR
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS config_pairings (
|
|
||||||
id INTEGER PRIMARY KEY,
|
|
||||||
base_asset VARCHAR NOT NULL,
|
|
||||||
quote_asset VARCHAR NOT NULL,
|
|
||||||
enabled BOOLEAN DEFAULT TRUE,
|
|
||||||
source VARCHAR NOT NULL,
|
|
||||||
created_at TIMESTAMP DEFAULT current_timestamp,
|
|
||||||
updated_at TIMESTAMP DEFAULT current_timestamp,
|
|
||||||
UNIQUE(base_asset, quote_asset)
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS config_backtesting_defaults (
|
|
||||||
id INTEGER PRIMARY KEY,
|
|
||||||
starting_balances JSON,
|
|
||||||
trade_capital DOUBLE,
|
|
||||||
min_profit_threshold DOUBLE,
|
|
||||||
slippage_bps INTEGER,
|
|
||||||
execution_latency_ms INTEGER,
|
|
||||||
fee_source VARCHAR DEFAULT 'api'
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS opportunities (
|
|
||||||
id UUID DEFAULT uuid(),
|
|
||||||
detected_at TIMESTAMP NOT NULL,
|
|
||||||
cycle VARCHAR NOT NULL,
|
|
||||||
gross_pct DOUBLE,
|
|
||||||
net_pct DOUBLE,
|
|
||||||
est_profit DOUBLE,
|
|
||||||
executed BOOLEAN DEFAULT FALSE
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS trades (
|
|
||||||
id UUID DEFAULT uuid(),
|
|
||||||
trade_ref VARCHAR NOT NULL,
|
|
||||||
started_at TIMESTAMP NOT NULL,
|
|
||||||
finished_at TIMESTAMP,
|
|
||||||
status VARCHAR NOT NULL,
|
|
||||||
realized_pnl DOUBLE,
|
|
||||||
estimated_pnl DOUBLE,
|
|
||||||
capital_used DOUBLE,
|
|
||||||
cycle VARCHAR,
|
|
||||||
leg_count INTEGER
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS orders (
|
|
||||||
id UUID DEFAULT uuid(),
|
|
||||||
trade_ref VARCHAR NOT NULL,
|
|
||||||
order_ref VARCHAR NOT NULL,
|
|
||||||
leg_index INTEGER NOT NULL,
|
|
||||||
pair VARCHAR NOT NULL,
|
|
||||||
side VARCHAR NOT NULL,
|
|
||||||
volume DOUBLE NOT NULL,
|
|
||||||
user_ref INTEGER,
|
|
||||||
status VARCHAR,
|
|
||||||
filled_volume DOUBLE,
|
|
||||||
avg_price DOUBLE,
|
|
||||||
raw_response JSON,
|
|
||||||
recorded_at TIMESTAMP NOT NULL
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS pnl_events (
|
|
||||||
id UUID DEFAULT uuid(),
|
|
||||||
trade_ref VARCHAR NOT NULL,
|
|
||||||
recorded_at TIMESTAMP NOT NULL,
|
|
||||||
kind VARCHAR NOT NULL,
|
|
||||||
pnl_usd DOUBLE NOT NULL,
|
|
||||||
source VARCHAR NOT NULL
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS portfolio_snapshots (
|
|
||||||
snapshot_at TIMESTAMP NOT NULL,
|
|
||||||
balances JSON,
|
|
||||||
total_value_usd DOUBLE
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS market_snapshots (
|
|
||||||
snapshot_at TIMESTAMP NOT NULL,
|
|
||||||
symbol VARCHAR NOT NULL,
|
|
||||||
source VARCHAR NOT NULL,
|
|
||||||
payload JSON NOT NULL,
|
|
||||||
latency_ms DOUBLE
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS audit_events (
|
|
||||||
id UUID DEFAULT uuid(),
|
|
||||||
occurred_at TIMESTAMP NOT NULL,
|
|
||||||
actor VARCHAR NOT NULL,
|
|
||||||
event_type VARCHAR NOT NULL,
|
|
||||||
decision VARCHAR NOT NULL,
|
|
||||||
payload JSON,
|
|
||||||
correlation_id VARCHAR
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS runtime_state_snapshots (
|
|
||||||
snapshot_at TIMESTAMP NOT NULL,
|
|
||||||
is_running BOOLEAN NOT NULL,
|
|
||||||
kill_switch_active BOOLEAN NOT NULL,
|
|
||||||
kill_switch_reason VARCHAR,
|
|
||||||
open_trade_count INTEGER NOT NULL,
|
|
||||||
last_known_balances JSON,
|
|
||||||
note VARCHAR
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS kraken_account_snapshots (
|
|
||||||
snapshot_at TIMESTAMP NOT NULL,
|
|
||||||
fee_tier VARCHAR,
|
|
||||||
maker_fee DOUBLE,
|
|
||||||
taker_fee DOUBLE,
|
|
||||||
thirty_day_volume DOUBLE,
|
|
||||||
trade_balance_raw JSON,
|
|
||||||
fee_schedule_raw JSON
|
|
||||||
);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS backtest_jobs (
|
|
||||||
id UUID DEFAULT uuid(),
|
|
||||||
status VARCHAR NOT NULL DEFAULT 'pending',
|
|
||||||
events_path VARCHAR NOT NULL,
|
|
||||||
config JSON,
|
|
||||||
report JSON,
|
|
||||||
error VARCHAR,
|
|
||||||
created_at TIMESTAMP DEFAULT current_timestamp,
|
|
||||||
started_at TIMESTAMP,
|
|
||||||
finished_at TIMESTAMP
|
|
||||||
);
|
|
||||||
"""
|
|
||||||
|
|
||||||
|
|
||||||
class DuckDBStore:
|
|
||||||
SCHEMA_VERSION = 5
|
|
||||||
|
|
||||||
def __init__(self, settings: Settings) -> None:
|
|
||||||
self._db_path = Path(settings.duckdb_path)
|
|
||||||
self._db_path.parent.mkdir(parents=True, exist_ok=True)
|
|
||||||
self._use_memory_fallback = False
|
|
||||||
|
|
||||||
@contextmanager
|
|
||||||
def connect(self) -> Iterator[duckdb.DuckDBPyConnection]:
|
|
||||||
try:
|
|
||||||
conn = duckdb.connect(str(self._db_path))
|
|
||||||
except duckdb.IOException:
|
|
||||||
if not self._use_memory_fallback:
|
|
||||||
_LOG.warning(
|
|
||||||
"duckdb_path_unavailable_falling_back_to_memory", path=str(self._db_path)
|
|
||||||
)
|
|
||||||
self._use_memory_fallback = True
|
|
||||||
conn = duckdb.connect(":memory:")
|
|
||||||
try:
|
|
||||||
yield conn
|
|
||||||
finally:
|
|
||||||
conn.close()
|
|
||||||
|
|
||||||
def _get_table_columns(self, conn: duckdb.DuckDBPyConnection, table_name: str) -> set[str]:
|
|
||||||
try:
|
|
||||||
rows = conn.execute(f"PRAGMA table_info({table_name})").fetchall()
|
|
||||||
return {str(row[1]) for row in rows}
|
|
||||||
except Exception:
|
|
||||||
return set()
|
|
||||||
|
|
||||||
def _table_exists(self, conn: duckdb.DuckDBPyConnection, table_name: str) -> bool:
|
|
||||||
try:
|
|
||||||
result = conn.execute(
|
|
||||||
f"SELECT COUNT(*) FROM sqlite_master WHERE type='table' AND name='{table_name}'"
|
|
||||||
).fetchone()
|
|
||||||
count = result[0] if result else 0
|
|
||||||
return count > 0
|
|
||||||
except Exception:
|
|
||||||
return False
|
|
||||||
|
|
||||||
def _ensure_column(
|
|
||||||
self, conn: duckdb.DuckDBPyConnection, table_name: str, column_def: str
|
|
||||||
) -> None:
|
|
||||||
"""Add a column to a table if it doesn't already exist."""
|
|
||||||
existing = self._get_table_columns(conn, table_name)
|
|
||||||
col_name = column_def.split()[0]
|
|
||||||
if col_name not in existing:
|
|
||||||
conn.execute(f"ALTER TABLE {table_name} ADD COLUMN {column_def}")
|
|
||||||
|
|
||||||
def migrate(self) -> None:
|
|
||||||
with self.connect() as conn:
|
|
||||||
# Run CREATE TABLE IF NOT EXISTS for all tables
|
|
||||||
conn.execute(SCHEMA_SQL)
|
|
||||||
|
|
||||||
# Ensure schema_migrations table exists and get current version
|
|
||||||
if not self._table_exists(conn, "schema_migrations"):
|
|
||||||
conn.execute(
|
|
||||||
"""
|
|
||||||
CREATE TABLE IF NOT EXISTS schema_migrations (
|
|
||||||
version INTEGER PRIMARY KEY,
|
|
||||||
applied_at TIMESTAMP DEFAULT current_timestamp
|
|
||||||
)
|
|
||||||
"""
|
|
||||||
)
|
|
||||||
|
|
||||||
# Get current schema version
|
|
||||||
try:
|
|
||||||
row = conn.execute(
|
|
||||||
"SELECT version FROM schema_migrations ORDER BY version DESC LIMIT 1"
|
|
||||||
).fetchone()
|
|
||||||
current_version = row[0] if row else 0
|
|
||||||
except Exception:
|
|
||||||
current_version = 0
|
|
||||||
|
|
||||||
# Apply migrations for each version
|
|
||||||
if current_version < 1:
|
|
||||||
# Migration v1: Add missing columns to trades table
|
|
||||||
# Note: DuckDB does not support ADD COLUMN with constraints
|
|
||||||
conn.execute("ALTER TABLE trades ADD COLUMN IF NOT EXISTS trade_ref VARCHAR")
|
|
||||||
conn.execute("ALTER TABLE trades ADD COLUMN IF NOT EXISTS estimated_pnl DOUBLE")
|
|
||||||
conn.execute("ALTER TABLE trades ADD COLUMN IF NOT EXISTS capital_used DOUBLE")
|
|
||||||
conn.execute("ALTER TABLE trades ADD COLUMN IF NOT EXISTS cycle VARCHAR")
|
|
||||||
conn.execute("ALTER TABLE trades ADD COLUMN IF NOT EXISTS leg_count INTEGER")
|
|
||||||
conn.execute("INSERT OR IGNORE INTO schema_migrations (version) VALUES (1)")
|
|
||||||
_LOG.info("migration_applied", version=1)
|
|
||||||
|
|
||||||
if current_version < 2:
|
|
||||||
# Migration v2: Ensure config_backtesting_defaults table
|
|
||||||
# config_backtesting_defaults already created by SCHEMA_SQL
|
|
||||||
conn.execute("INSERT OR IGNORE INTO schema_migrations (version) VALUES (2)")
|
|
||||||
_LOG.info("migration_applied", version=2)
|
|
||||||
|
|
||||||
if current_version < 3:
|
|
||||||
# Migration v3: Add kraken_account_snapshots table
|
|
||||||
conn.execute(
|
|
||||||
"""
|
|
||||||
CREATE TABLE IF NOT EXISTS kraken_account_snapshots (
|
|
||||||
snapshot_at TIMESTAMP NOT NULL,
|
|
||||||
fee_tier VARCHAR,
|
|
||||||
maker_fee DOUBLE,
|
|
||||||
taker_fee DOUBLE,
|
|
||||||
thirty_day_volume DOUBLE,
|
|
||||||
trade_balance_raw JSON,
|
|
||||||
fee_schedule_raw JSON
|
|
||||||
)
|
|
||||||
"""
|
|
||||||
)
|
|
||||||
conn.execute("INSERT OR IGNORE INTO schema_migrations (version) VALUES (3)")
|
|
||||||
_LOG.info("migration_applied", version=3)
|
|
||||||
|
|
||||||
if current_version < 4:
|
|
||||||
# Migration v4: Add fee_source to backtesting defaults
|
|
||||||
conn.execute(
|
|
||||||
"ALTER TABLE config_backtesting_defaults"
|
|
||||||
" ADD COLUMN IF NOT EXISTS fee_source VARCHAR DEFAULT 'api'"
|
|
||||||
)
|
|
||||||
conn.execute("INSERT OR IGNORE INTO schema_migrations (version) VALUES (4)")
|
|
||||||
_LOG.info("migration_applied", version=4)
|
|
||||||
|
|
||||||
if current_version < 5:
|
|
||||||
conn.execute(
|
|
||||||
"""
|
|
||||||
CREATE TABLE IF NOT EXISTS backtest_jobs (
|
|
||||||
id UUID DEFAULT uuid(),
|
|
||||||
status VARCHAR NOT NULL DEFAULT 'pending',
|
|
||||||
events_path VARCHAR NOT NULL,
|
|
||||||
config JSON,
|
|
||||||
report JSON,
|
|
||||||
error VARCHAR,
|
|
||||||
created_at TIMESTAMP DEFAULT current_timestamp,
|
|
||||||
started_at TIMESTAMP,
|
|
||||||
finished_at TIMESTAMP
|
|
||||||
)
|
|
||||||
"""
|
|
||||||
)
|
|
||||||
conn.execute("INSERT OR IGNORE INTO schema_migrations (version) VALUES (5)")
|
|
||||||
_LOG.info("migration_applied", version=5)
|
|
||||||
|
|
||||||
# Update version to current
|
|
||||||
conn.execute(
|
|
||||||
f"INSERT OR REPLACE INTO schema_migrations (version, applied_at) "
|
|
||||||
f"VALUES ({self.SCHEMA_VERSION}, current_timestamp)"
|
|
||||||
)
|
|
||||||
@@ -55,11 +55,11 @@ class AsyncExecutionWriter:
|
|||||||
|
|
||||||
try:
|
try:
|
||||||
if isinstance(record, TradeRecord):
|
if isinstance(record, TradeRecord):
|
||||||
self._trade_repository.insert(record)
|
await self._trade_repository.insert(record)
|
||||||
elif isinstance(record, OrderRecord):
|
elif isinstance(record, OrderRecord):
|
||||||
self._order_repository.insert(record)
|
await self._order_repository.insert(record)
|
||||||
else:
|
else:
|
||||||
self._pnl_repository.insert(record)
|
await self._pnl_repository.insert(record)
|
||||||
except Exception as exc:
|
except Exception as exc:
|
||||||
_LOG.error("execution_write_failed", error=str(exc))
|
_LOG.error("execution_write_failed", error=str(exc))
|
||||||
finally:
|
finally:
|
||||||
|
|||||||
@@ -49,7 +49,7 @@ class AsyncMarketSnapshotWriter:
|
|||||||
continue
|
continue
|
||||||
|
|
||||||
try:
|
try:
|
||||||
self._repository.insert(
|
await self._repository.insert(
|
||||||
MarketSnapshotRecord(
|
MarketSnapshotRecord(
|
||||||
snapshot_at=item.snapshot_at,
|
snapshot_at=item.snapshot_at,
|
||||||
symbol=item.symbol,
|
symbol=item.symbol,
|
||||||
|
|||||||
@@ -38,7 +38,7 @@ class AsyncOpportunityWriter:
|
|||||||
continue
|
continue
|
||||||
|
|
||||||
try:
|
try:
|
||||||
self._repository.insert(
|
await self._repository.insert(
|
||||||
OpportunityRecord(
|
OpportunityRecord(
|
||||||
detected_at=event.detected_at,
|
detected_at=event.detected_at,
|
||||||
cycle=event.cycle,
|
cycle=event.cycle,
|
||||||
|
|||||||
@@ -0,0 +1,132 @@
|
|||||||
|
"""PostgreSQL store — async connection pool wrapper around asyncpg."""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from pathlib import Path
|
||||||
|
|
||||||
|
import asyncpg
|
||||||
|
import structlog
|
||||||
|
|
||||||
|
from arbitrade.config.settings import Settings
|
||||||
|
|
||||||
|
_LOG = structlog.get_logger(__name__)
|
||||||
|
|
||||||
|
SCHEMA_VERSION = 1
|
||||||
|
|
||||||
|
|
||||||
|
class PgStore:
|
||||||
|
"""Async PostgreSQL connection pool for the arbitrade bot.
|
||||||
|
|
||||||
|
Wraps an ``asyncpg.Pool`` with schema migration support.
|
||||||
|
"""
|
||||||
|
|
||||||
|
def __init__(self, settings: Settings) -> None:
|
||||||
|
self._dsn: str | None = None
|
||||||
|
self._pool: asyncpg.Pool | None = None
|
||||||
|
self._settings = settings
|
||||||
|
|
||||||
|
# ── lifecycle ────────────────────────────────────────────────
|
||||||
|
|
||||||
|
async def start(self) -> None:
|
||||||
|
"""Create the connection pool."""
|
||||||
|
s = self._settings
|
||||||
|
self._pool = await asyncpg.create_pool(
|
||||||
|
host=s.pg_host,
|
||||||
|
port=s.pg_port,
|
||||||
|
database=s.pg_database,
|
||||||
|
user=s.pg_user,
|
||||||
|
password=s.pg_password,
|
||||||
|
min_size=s.pg_min_connections,
|
||||||
|
max_size=s.pg_max_connections,
|
||||||
|
)
|
||||||
|
_LOG.info(
|
||||||
|
"pg_pool_created",
|
||||||
|
host=s.pg_host,
|
||||||
|
database=s.pg_database,
|
||||||
|
min_size=s.pg_min_connections,
|
||||||
|
max_size=s.pg_max_connections,
|
||||||
|
)
|
||||||
|
|
||||||
|
async def stop(self) -> None:
|
||||||
|
"""Close the connection pool."""
|
||||||
|
if self._pool is not None:
|
||||||
|
await self._pool.close()
|
||||||
|
self._pool = None
|
||||||
|
_LOG.info("pg_pool_closed")
|
||||||
|
|
||||||
|
@property
|
||||||
|
def pool(self) -> asyncpg.Pool:
|
||||||
|
"""Return the underlying connection pool.
|
||||||
|
|
||||||
|
Raises ``RuntimeError`` if ``start()`` has not been called yet.
|
||||||
|
"""
|
||||||
|
if self._pool is None:
|
||||||
|
raise RuntimeError("PgStore not started — call start() first")
|
||||||
|
return self._pool
|
||||||
|
|
||||||
|
# ── schema migration ─────────────────────────────────────────
|
||||||
|
|
||||||
|
async def migrate(self) -> None:
|
||||||
|
"""Apply the PostgreSQL schema.
|
||||||
|
|
||||||
|
Reads ``schema_pg.sql`` from the same package directory and
|
||||||
|
executes it, then records the migration version.
|
||||||
|
"""
|
||||||
|
schema_path = Path(__file__).with_name("schema_pg.sql")
|
||||||
|
schema_sql = schema_path.read_text(encoding="utf-8")
|
||||||
|
|
||||||
|
async with self.pool.acquire() as conn:
|
||||||
|
# Apply the full schema (CREATE TABLE IF NOT EXISTS …)
|
||||||
|
await conn.execute(schema_sql)
|
||||||
|
|
||||||
|
# Record the current schema version
|
||||||
|
await conn.execute(
|
||||||
|
"""
|
||||||
|
INSERT INTO schema_migrations (version, applied_at)
|
||||||
|
VALUES ($1, CURRENT_TIMESTAMP)
|
||||||
|
ON CONFLICT (version) DO UPDATE SET applied_at = CURRENT_TIMESTAMP
|
||||||
|
""",
|
||||||
|
SCHEMA_VERSION,
|
||||||
|
)
|
||||||
|
|
||||||
|
_LOG.info("pg_schema_migrated", version=SCHEMA_VERSION)
|
||||||
|
|
||||||
|
# ── helpers ──────────────────────────────────────────────────
|
||||||
|
|
||||||
|
async def table_exists(self, table_name: str) -> bool:
|
||||||
|
"""Check if a table exists in the current schema."""
|
||||||
|
async with self.pool.acquire() as conn:
|
||||||
|
row = await conn.fetchrow(
|
||||||
|
"""
|
||||||
|
SELECT COUNT(*) AS cnt
|
||||||
|
FROM information_schema.tables
|
||||||
|
WHERE table_schema = 'public' AND table_name = $1
|
||||||
|
""",
|
||||||
|
table_name,
|
||||||
|
)
|
||||||
|
return bool(row and row["cnt"] > 0)
|
||||||
|
|
||||||
|
async def get_table_columns(self, table_name: str) -> set[str]:
|
||||||
|
"""Return the set of column names for *table_name*."""
|
||||||
|
async with self.pool.acquire() as conn:
|
||||||
|
rows = await conn.fetch(
|
||||||
|
"""
|
||||||
|
SELECT column_name
|
||||||
|
FROM information_schema.columns
|
||||||
|
WHERE table_schema = 'public' AND table_name = $1
|
||||||
|
""",
|
||||||
|
table_name,
|
||||||
|
)
|
||||||
|
return {str(r["column_name"]) for r in rows}
|
||||||
|
|
||||||
|
async def ensure_column(self, table_name: str, column_def: str) -> None:
|
||||||
|
"""Add a column to *table_name* if it does not already exist.
|
||||||
|
|
||||||
|
``column_def`` should be something like ``"my_col VARCHAR"``.
|
||||||
|
"""
|
||||||
|
existing = await self.get_table_columns(table_name)
|
||||||
|
col_name = column_def.split()[0]
|
||||||
|
if col_name not in existing:
|
||||||
|
async with self.pool.acquire() as conn:
|
||||||
|
await conn.execute(f"ALTER TABLE {table_name} ADD COLUMN {column_def}")
|
||||||
|
_LOG.info("pg_column_added", table=table_name, column=col_name)
|
||||||
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1,226 @@
|
|||||||
|
-- PostgreSQL schema for arbitrade bot
|
||||||
|
-- Requires pgcrypto extension for gen_random_uuid()
|
||||||
|
|
||||||
|
CREATE EXTENSION IF NOT EXISTS pgcrypto;
|
||||||
|
|
||||||
|
-- ========================================
|
||||||
|
-- Schema version tracking
|
||||||
|
-- ========================================
|
||||||
|
CREATE TABLE IF NOT EXISTS schema_migrations (
|
||||||
|
version INTEGER PRIMARY KEY,
|
||||||
|
applied_at TIMESTAMPTZ DEFAULT CURRENT_TIMESTAMP
|
||||||
|
);
|
||||||
|
|
||||||
|
-- ========================================
|
||||||
|
-- Configuration
|
||||||
|
-- ========================================
|
||||||
|
CREATE TABLE IF NOT EXISTS config_sections (
|
||||||
|
id SERIAL PRIMARY KEY,
|
||||||
|
name VARCHAR UNIQUE NOT NULL,
|
||||||
|
description TEXT,
|
||||||
|
updated_at TIMESTAMPTZ DEFAULT CURRENT_TIMESTAMP
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS config_settings (
|
||||||
|
key VARCHAR PRIMARY KEY,
|
||||||
|
section VARCHAR NOT NULL,
|
||||||
|
value_json TEXT NOT NULL,
|
||||||
|
value_type VARCHAR NOT NULL,
|
||||||
|
is_secret BOOLEAN DEFAULT FALSE,
|
||||||
|
is_runtime_reloadable BOOLEAN DEFAULT FALSE,
|
||||||
|
updated_at TIMESTAMPTZ DEFAULT CURRENT_TIMESTAMP,
|
||||||
|
updated_by VARCHAR
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS config_pairings (
|
||||||
|
id SERIAL PRIMARY KEY,
|
||||||
|
base_asset VARCHAR NOT NULL,
|
||||||
|
quote_asset VARCHAR NOT NULL,
|
||||||
|
enabled BOOLEAN DEFAULT TRUE,
|
||||||
|
source VARCHAR NOT NULL,
|
||||||
|
created_at TIMESTAMPTZ DEFAULT CURRENT_TIMESTAMP,
|
||||||
|
updated_at TIMESTAMPTZ DEFAULT CURRENT_TIMESTAMP,
|
||||||
|
UNIQUE(base_asset, quote_asset)
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS config_backtesting_defaults (
|
||||||
|
id SERIAL PRIMARY KEY,
|
||||||
|
starting_balances JSONB,
|
||||||
|
trade_capital DOUBLE PRECISION,
|
||||||
|
min_profit_threshold DOUBLE PRECISION,
|
||||||
|
slippage_bps INTEGER,
|
||||||
|
execution_latency_ms INTEGER,
|
||||||
|
fee_source VARCHAR DEFAULT 'api'
|
||||||
|
);
|
||||||
|
|
||||||
|
-- ========================================
|
||||||
|
-- Detection & Execution
|
||||||
|
-- ========================================
|
||||||
|
CREATE TABLE IF NOT EXISTS opportunities (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
detected_at TIMESTAMPTZ NOT NULL,
|
||||||
|
cycle VARCHAR NOT NULL,
|
||||||
|
gross_pct DOUBLE PRECISION,
|
||||||
|
net_pct DOUBLE PRECISION,
|
||||||
|
est_profit DOUBLE PRECISION,
|
||||||
|
executed BOOLEAN DEFAULT FALSE
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS trades (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
trade_ref VARCHAR NOT NULL,
|
||||||
|
started_at TIMESTAMPTZ NOT NULL,
|
||||||
|
finished_at TIMESTAMPTZ,
|
||||||
|
status VARCHAR NOT NULL,
|
||||||
|
realized_pnl DOUBLE PRECISION,
|
||||||
|
estimated_pnl DOUBLE PRECISION,
|
||||||
|
capital_used DOUBLE PRECISION,
|
||||||
|
cycle VARCHAR,
|
||||||
|
leg_count INTEGER
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS orders (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
trade_ref VARCHAR NOT NULL,
|
||||||
|
order_ref VARCHAR NOT NULL,
|
||||||
|
leg_index INTEGER NOT NULL,
|
||||||
|
pair VARCHAR NOT NULL,
|
||||||
|
side VARCHAR NOT NULL,
|
||||||
|
volume DOUBLE PRECISION NOT NULL,
|
||||||
|
user_ref INTEGER,
|
||||||
|
status VARCHAR,
|
||||||
|
filled_volume DOUBLE PRECISION,
|
||||||
|
avg_price DOUBLE PRECISION,
|
||||||
|
raw_response JSONB,
|
||||||
|
recorded_at TIMESTAMPTZ NOT NULL
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS pnl_events (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
trade_ref VARCHAR NOT NULL,
|
||||||
|
recorded_at TIMESTAMPTZ NOT NULL,
|
||||||
|
kind VARCHAR NOT NULL,
|
||||||
|
pnl_usd DOUBLE PRECISION NOT NULL,
|
||||||
|
source VARCHAR NOT NULL
|
||||||
|
);
|
||||||
|
|
||||||
|
-- ========================================
|
||||||
|
-- Snapshots & Monitoring
|
||||||
|
-- ========================================
|
||||||
|
CREATE TABLE IF NOT EXISTS portfolio_snapshots (
|
||||||
|
snapshot_at TIMESTAMPTZ NOT NULL,
|
||||||
|
balances JSONB,
|
||||||
|
total_value_usd DOUBLE PRECISION
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS market_snapshots (
|
||||||
|
snapshot_at TIMESTAMPTZ NOT NULL,
|
||||||
|
symbol VARCHAR NOT NULL,
|
||||||
|
source VARCHAR NOT NULL,
|
||||||
|
payload JSONB NOT NULL,
|
||||||
|
latency_ms DOUBLE PRECISION
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS audit_events (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
occurred_at TIMESTAMPTZ NOT NULL,
|
||||||
|
actor VARCHAR NOT NULL,
|
||||||
|
event_type VARCHAR NOT NULL,
|
||||||
|
decision VARCHAR NOT NULL,
|
||||||
|
payload JSONB,
|
||||||
|
correlation_id VARCHAR
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS runtime_state_snapshots (
|
||||||
|
snapshot_at TIMESTAMPTZ NOT NULL,
|
||||||
|
is_running BOOLEAN NOT NULL,
|
||||||
|
kill_switch_active BOOLEAN NOT NULL,
|
||||||
|
kill_switch_reason VARCHAR,
|
||||||
|
open_trade_count INTEGER NOT NULL,
|
||||||
|
last_known_balances JSONB,
|
||||||
|
note VARCHAR
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS kraken_account_snapshots (
|
||||||
|
snapshot_at TIMESTAMPTZ NOT NULL,
|
||||||
|
fee_tier VARCHAR,
|
||||||
|
maker_fee DOUBLE PRECISION,
|
||||||
|
taker_fee DOUBLE PRECISION,
|
||||||
|
thirty_day_volume DOUBLE PRECISION,
|
||||||
|
trade_balance_raw JSONB,
|
||||||
|
fee_schedule_raw JSONB
|
||||||
|
);
|
||||||
|
|
||||||
|
-- ========================================
|
||||||
|
-- Backtesting
|
||||||
|
-- ========================================
|
||||||
|
CREATE TABLE IF NOT EXISTS backtest_jobs (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
status VARCHAR NOT NULL DEFAULT 'pending',
|
||||||
|
events_path VARCHAR NOT NULL,
|
||||||
|
config JSONB,
|
||||||
|
report JSONB,
|
||||||
|
error VARCHAR,
|
||||||
|
created_at TIMESTAMPTZ DEFAULT CURRENT_TIMESTAMP,
|
||||||
|
started_at TIMESTAMPTZ,
|
||||||
|
finished_at TIMESTAMPTZ
|
||||||
|
);
|
||||||
|
|
||||||
|
-- ========================================
|
||||||
|
-- Migration: convert legacy TIMESTAMP→TIMESTAMPTZ
|
||||||
|
-- for databases created before the fix.
|
||||||
|
-- These are idempotent (no-op when already TIMESTAMPTZ).
|
||||||
|
-- ========================================
|
||||||
|
ALTER TABLE audit_events ALTER COLUMN occurred_at TYPE TIMESTAMPTZ USING occurred_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE runtime_state_snapshots ALTER COLUMN snapshot_at TYPE TIMESTAMPTZ USING snapshot_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE schema_migrations ALTER COLUMN applied_at TYPE TIMESTAMPTZ USING applied_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE config_sections ALTER COLUMN updated_at TYPE TIMESTAMPTZ USING updated_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE config_settings ALTER COLUMN updated_at TYPE TIMESTAMPTZ USING updated_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE config_pairings ALTER COLUMN created_at TYPE TIMESTAMPTZ USING created_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE config_pairings ALTER COLUMN updated_at TYPE TIMESTAMPTZ USING updated_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE opportunities ALTER COLUMN detected_at TYPE TIMESTAMPTZ USING detected_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE trades ALTER COLUMN started_at TYPE TIMESTAMPTZ USING started_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE trades ALTER COLUMN finished_at TYPE TIMESTAMPTZ USING finished_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE orders ALTER COLUMN recorded_at TYPE TIMESTAMPTZ USING recorded_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE pnl_events ALTER COLUMN recorded_at TYPE TIMESTAMPTZ USING recorded_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE portfolio_snapshots ALTER COLUMN snapshot_at TYPE TIMESTAMPTZ USING snapshot_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE market_snapshots ALTER COLUMN snapshot_at TYPE TIMESTAMPTZ USING snapshot_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE kraken_account_snapshots ALTER COLUMN snapshot_at TYPE TIMESTAMPTZ USING snapshot_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE backtest_jobs ALTER COLUMN created_at TYPE TIMESTAMPTZ USING created_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE backtest_jobs ALTER COLUMN started_at TYPE TIMESTAMPTZ USING started_at AT TIME ZONE 'UTC';
|
||||||
|
ALTER TABLE backtest_jobs ALTER COLUMN finished_at TYPE TIMESTAMPTZ USING finished_at AT TIME ZONE 'UTC';
|
||||||
|
|
||||||
|
-- ========================================
|
||||||
|
-- Logging tables
|
||||||
|
-- ========================================
|
||||||
|
CREATE TABLE IF NOT EXISTS app_logs (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
recorded_at TIMESTAMPTZ NOT NULL,
|
||||||
|
level VARCHAR NOT NULL,
|
||||||
|
logger VARCHAR NOT NULL,
|
||||||
|
message TEXT NOT NULL,
|
||||||
|
context JSONB
|
||||||
|
);
|
||||||
|
CREATE INDEX IF NOT EXISTS idx_app_logs_recorded_at ON app_logs (recorded_at DESC);
|
||||||
|
CREATE INDEX IF NOT EXISTS idx_app_logs_level ON app_logs (level);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS app_log_archives (
|
||||||
|
id UUID PRIMARY KEY,
|
||||||
|
recorded_at TIMESTAMPTZ NOT NULL,
|
||||||
|
level VARCHAR NOT NULL,
|
||||||
|
logger VARCHAR NOT NULL,
|
||||||
|
message TEXT NOT NULL,
|
||||||
|
context JSONB,
|
||||||
|
archived_at TIMESTAMPTZ NOT NULL DEFAULT CURRENT_TIMESTAMP
|
||||||
|
);
|
||||||
|
CREATE INDEX IF NOT EXISTS idx_app_log_archives_recorded_at ON app_log_archives (recorded_at DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS app_log_aggregates (
|
||||||
|
id UUID DEFAULT gen_random_uuid() PRIMARY KEY,
|
||||||
|
bucket_start TIMESTAMPTZ NOT NULL,
|
||||||
|
period VARCHAR NOT NULL,
|
||||||
|
level VARCHAR NOT NULL,
|
||||||
|
count INTEGER NOT NULL DEFAULT 0,
|
||||||
|
UNIQUE (bucket_start, period, level)
|
||||||
|
);
|
||||||
|
CREATE INDEX IF NOT EXISTS idx_app_log_aggregates_bucket ON app_log_aggregates (bucket_start DESC, period);
|
||||||
@@ -5,9 +5,10 @@
|
|||||||
</div>
|
</div>
|
||||||
{% set nav_links = [ {"url": "/dashboard", "label": "Dashboard", "class":
|
{% set nav_links = [ {"url": "/dashboard", "label": "Dashboard", "class":
|
||||||
"secondary"}, {"url": "/dashboard/config", "label": "Config", "class":
|
"secondary"}, {"url": "/dashboard/config", "label": "Config", "class":
|
||||||
"secondary"}, {"url": "/dashboard/backtesting", "label": "Backtesting",
|
"secondary"}, {"url": "/dashboard/config/pairings", "label": "Pairings",
|
||||||
"class": "secondary"}, {"url": "/dashboard/health", "label": "Health",
|
"class": "secondary"}, {"url": "/dashboard/backtesting", "label":
|
||||||
"class": "secondary"}, ] %}
|
"Backtesting", "class": "secondary"}, {"url": "/dashboard/health", "label":
|
||||||
|
"Health", "class": "secondary"}, ] %}
|
||||||
<div class="toolbar">
|
<div class="toolbar">
|
||||||
{% for link in nav_links %}
|
{% for link in nav_links %}
|
||||||
<a
|
<a
|
||||||
|
|||||||
@@ -0,0 +1,192 @@
|
|||||||
|
<div class="card">
|
||||||
|
<div class="label">Alerting</div>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input name="alerts_enabled" type="checkbox" {{ alerts_enabled }} />
|
||||||
|
<span>Alerts enabled</span>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Min severity</span>
|
||||||
|
<select name="alert_min_severity">
|
||||||
|
{% for sev in ["info", "warning", "error", "critical"] %} {% set sel =
|
||||||
|
"selected" if alert_min_severity == sev else "" %}
|
||||||
|
<option value="{{ sev }}" {{ sel }}>{{ sev }}</option>
|
||||||
|
{% endfor %}
|
||||||
|
</select>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Dedup seconds</span>
|
||||||
|
<input
|
||||||
|
name="alert_dedup_seconds"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="1"
|
||||||
|
value="{{ alert_dedup_seconds }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input
|
||||||
|
name="alert_on_trade_events"
|
||||||
|
type="checkbox"
|
||||||
|
{{
|
||||||
|
alert_on_trade_events
|
||||||
|
}}
|
||||||
|
/>
|
||||||
|
<span>Trade events</span>
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input
|
||||||
|
name="alert_on_error_events"
|
||||||
|
type="checkbox"
|
||||||
|
{{
|
||||||
|
alert_on_error_events
|
||||||
|
}}
|
||||||
|
/>
|
||||||
|
<span>Error events</span>
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input
|
||||||
|
name="alert_on_threshold_events"
|
||||||
|
type="checkbox"
|
||||||
|
{{
|
||||||
|
alert_on_threshold_events
|
||||||
|
}}
|
||||||
|
/>
|
||||||
|
<span>Threshold events</span>
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input
|
||||||
|
name="alert_on_system_events"
|
||||||
|
type="checkbox"
|
||||||
|
{{
|
||||||
|
alert_on_system_events
|
||||||
|
}}
|
||||||
|
/>
|
||||||
|
<span>System events</span>
|
||||||
|
</label>
|
||||||
|
<hr
|
||||||
|
style="
|
||||||
|
border: none;
|
||||||
|
border-top: 1px solid rgba(255, 255, 255, 0.1);
|
||||||
|
margin: 12px 0;
|
||||||
|
"
|
||||||
|
/>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input
|
||||||
|
name="telegram_alerts_enabled"
|
||||||
|
type="checkbox"
|
||||||
|
{{
|
||||||
|
telegram_alerts_enabled
|
||||||
|
}}
|
||||||
|
/>
|
||||||
|
<span>Telegram</span>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Telegram bot token</span>
|
||||||
|
<input
|
||||||
|
name="telegram_bot_token"
|
||||||
|
type="password"
|
||||||
|
value="{{ telegram_bot_token }}"
|
||||||
|
placeholder="Bot token"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Telegram chat ID</span>
|
||||||
|
<input
|
||||||
|
name="telegram_chat_id"
|
||||||
|
type="text"
|
||||||
|
value="{{ telegram_chat_id }}"
|
||||||
|
placeholder="Chat ID"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<hr
|
||||||
|
style="
|
||||||
|
border: none;
|
||||||
|
border-top: 1px solid rgba(255, 255, 255, 0.1);
|
||||||
|
margin: 12px 0;
|
||||||
|
"
|
||||||
|
/>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input
|
||||||
|
name="discord_alerts_enabled"
|
||||||
|
type="checkbox"
|
||||||
|
{{
|
||||||
|
discord_alerts_enabled
|
||||||
|
}}
|
||||||
|
/>
|
||||||
|
<span>Discord</span>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Discord webhook URL</span>
|
||||||
|
<input
|
||||||
|
name="discord_webhook_url"
|
||||||
|
type="password"
|
||||||
|
value="{{ discord_webhook_url }}"
|
||||||
|
placeholder="Webhook URL"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<hr
|
||||||
|
style="
|
||||||
|
border: none;
|
||||||
|
border-top: 1px solid rgba(255, 255, 255, 0.1);
|
||||||
|
margin: 12px 0;
|
||||||
|
"
|
||||||
|
/>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input
|
||||||
|
name="email_alerts_enabled"
|
||||||
|
type="checkbox"
|
||||||
|
{{
|
||||||
|
email_alerts_enabled
|
||||||
|
}}
|
||||||
|
/>
|
||||||
|
<span>Email</span>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>SMTP host</span>
|
||||||
|
<input
|
||||||
|
name="email_smtp_host"
|
||||||
|
type="text"
|
||||||
|
value="{{ email_smtp_host }}"
|
||||||
|
placeholder="smtp.example.com"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>SMTP port</span>
|
||||||
|
<input
|
||||||
|
name="email_smtp_port"
|
||||||
|
type="number"
|
||||||
|
min="1"
|
||||||
|
max="65535"
|
||||||
|
value="{{ email_smtp_port }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>SMTP username</span>
|
||||||
|
<input
|
||||||
|
name="email_smtp_username"
|
||||||
|
type="text"
|
||||||
|
value="{{ email_smtp_username }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>SMTP password</span>
|
||||||
|
<input
|
||||||
|
name="email_smtp_password"
|
||||||
|
type="password"
|
||||||
|
value=""
|
||||||
|
placeholder="Leave blank to keep existing"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>From address</span>
|
||||||
|
<input name="email_alert_from" type="text" value="{{ email_alert_from }}" />
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>To address</span>
|
||||||
|
<input name="email_alert_to" type="text" value="{{ email_alert_to }}" />
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input name="email_smtp_use_tls" type="checkbox" {{ email_smtp_use_tls }} />
|
||||||
|
<span>Use TLS</span>
|
||||||
|
</label>
|
||||||
|
</div>
|
||||||
@@ -0,0 +1,93 @@
|
|||||||
|
<div class="card">
|
||||||
|
<div class="label">Kraken Exchange</div>
|
||||||
|
<label class="field">
|
||||||
|
<span>REST URL</span>
|
||||||
|
<input name="kraken_rest_url" type="text" value="{{ kraken_rest_url }}" />
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>WebSocket URL</span>
|
||||||
|
<input name="kraken_ws_url" type="text" value="{{ kraken_ws_url }}" />
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Private rate limit (s)</span>
|
||||||
|
<input
|
||||||
|
name="kraken_private_rate_limit_seconds"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ kraken_private_rate_limit_seconds }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>HTTP timeout (s)</span>
|
||||||
|
<input
|
||||||
|
name="kraken_http_timeout_seconds"
|
||||||
|
type="number"
|
||||||
|
min="1"
|
||||||
|
step="0.5"
|
||||||
|
value="{{ kraken_http_timeout_seconds }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Retry attempts</span>
|
||||||
|
<input
|
||||||
|
name="kraken_retry_attempts"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="1"
|
||||||
|
value="{{ kraken_retry_attempts }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Retry base delay (s)</span>
|
||||||
|
<input
|
||||||
|
name="kraken_retry_base_delay_seconds"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ kraken_retry_base_delay_seconds }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>API key</span>
|
||||||
|
<input name="kraken_api_key" type="text" value="{{ kraken_api_key }}" />
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>API secret</span>
|
||||||
|
<input
|
||||||
|
name="kraken_api_secret"
|
||||||
|
type="password"
|
||||||
|
value=""
|
||||||
|
placeholder="Leave blank to keep existing"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>API key permissions</span>
|
||||||
|
<input
|
||||||
|
name="kraken_api_key_permissions"
|
||||||
|
type="text"
|
||||||
|
value="{{ kraken_api_key_permissions }}"
|
||||||
|
disabled
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>WS heartbeat timeout (s)</span>
|
||||||
|
<input
|
||||||
|
name="ws_heartbeat_timeout_seconds"
|
||||||
|
type="number"
|
||||||
|
min="1"
|
||||||
|
step="1"
|
||||||
|
value="{{ ws_heartbeat_timeout_seconds }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>WS max staleness (s)</span>
|
||||||
|
<input
|
||||||
|
name="ws_max_staleness_seconds"
|
||||||
|
type="number"
|
||||||
|
min="1"
|
||||||
|
step="1"
|
||||||
|
value="{{ ws_max_staleness_seconds }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
</div>
|
||||||
@@ -0,0 +1,57 @@
|
|||||||
|
<div class="card">
|
||||||
|
<div class="label">Risk & Guardrails</div>
|
||||||
|
<label class="field">
|
||||||
|
<span>Daily loss limit USD</span>
|
||||||
|
<input
|
||||||
|
name="daily_loss_limit_usd"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ daily_loss_limit_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Cumulative loss limit USD</span>
|
||||||
|
<input
|
||||||
|
name="cumulative_loss_limit_usd"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ cumulative_loss_limit_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Max source latency (ms)</span>
|
||||||
|
<input
|
||||||
|
name="max_source_latency_ms"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="1"
|
||||||
|
value="{{ max_source_latency_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Max apply latency (ms)</span>
|
||||||
|
<input
|
||||||
|
name="max_apply_latency_ms"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="1"
|
||||||
|
value="{{ max_apply_latency_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Max consecutive failures</span>
|
||||||
|
<input
|
||||||
|
name="max_consecutive_failures"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="1"
|
||||||
|
value="{{ max_consecutive_failures_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input name="kill_switch_active" type="checkbox" {{ kill_switch_active }} />
|
||||||
|
<span>Kill switch active</span>
|
||||||
|
</label>
|
||||||
|
</div>
|
||||||
@@ -0,0 +1,140 @@
|
|||||||
|
<div class="card">
|
||||||
|
<div class="label">Runtime</div>
|
||||||
|
<label class="field">
|
||||||
|
<span>App env</span>
|
||||||
|
<input type="text" value="{{ app_env }}" disabled />
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>App host</span>
|
||||||
|
<input name="app_host" type="text" value="{{ app_host }}" />
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>App port</span>
|
||||||
|
<input
|
||||||
|
name="app_port"
|
||||||
|
type="number"
|
||||||
|
min="1"
|
||||||
|
max="65535"
|
||||||
|
value="{{ app_port }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Log level</span>
|
||||||
|
<select name="log_level">
|
||||||
|
{% for lvl in ["DEBUG", "INFO", "WARNING", "ERROR", "CRITICAL"] %} {% set
|
||||||
|
sel = "selected" if log_level == lvl else "" %}
|
||||||
|
<option value="{{ lvl }}" {{ sel }}>{{ lvl }}</option>
|
||||||
|
{% endfor %}
|
||||||
|
</select>
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input name="log_json" type="checkbox" {{ log_json }} />
|
||||||
|
<span>JSON logs</span>
|
||||||
|
</label>
|
||||||
|
<label class="field checkbox">
|
||||||
|
<input name="paper_trading_mode" type="checkbox" {{ paper_trading_mode }} />
|
||||||
|
<span>Paper trading mode</span>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Trade capital USD</span>
|
||||||
|
<input
|
||||||
|
name="trade_capital_usd"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ trade_capital_usd_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Max trade capital USD</span>
|
||||||
|
<input
|
||||||
|
name="max_trade_capital_usd"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ max_trade_capital_usd_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Max concurrent trades</span>
|
||||||
|
<input
|
||||||
|
name="max_concurrent_trades"
|
||||||
|
type="number"
|
||||||
|
min="1"
|
||||||
|
step="1"
|
||||||
|
value="{{ max_concurrent_trades_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Max exposure per asset USD</span>
|
||||||
|
<input
|
||||||
|
name="max_exposure_per_asset_usd"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ max_exposure_per_asset_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Quote balance asset</span>
|
||||||
|
<input
|
||||||
|
name="quote_balance_asset"
|
||||||
|
type="text"
|
||||||
|
value="{{ quote_balance_asset }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Min order size USD</span>
|
||||||
|
<input
|
||||||
|
name="min_order_size_usd"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.01"
|
||||||
|
value="{{ min_order_size_usd_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Tradable pairs (comma-separated)</span>
|
||||||
|
<input
|
||||||
|
name="tradable_pairs"
|
||||||
|
type="text"
|
||||||
|
placeholder="BTC/USD, ETH/BTC"
|
||||||
|
value="{{ tradable_pairs_value }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Strategy mode</span>
|
||||||
|
<select name="strategy_mode">
|
||||||
|
{% set sel = "selected" if strategy_mode == "incremental" else "" %}
|
||||||
|
<option value="incremental" {{ sel }}>incremental</option>
|
||||||
|
{% set sel = "selected" if strategy_mode == "paper" else "" %}
|
||||||
|
<option value="paper" {{ sel }}>paper</option>
|
||||||
|
{% set sel = "selected" if strategy_mode == "live" else "" %}
|
||||||
|
<option value="live" {{ sel }}>live</option>
|
||||||
|
{% if strategy_stat_arb_enabled %} {% set sel = "selected" if
|
||||||
|
strategy_mode == "stat_arb_experiment" else "" %}
|
||||||
|
<option value="stat_arb_experiment" {{ sel }}>stat_arb_experiment</option>
|
||||||
|
{% endif %}
|
||||||
|
</select>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Strategy profit threshold</span>
|
||||||
|
<input
|
||||||
|
name="strategy_profit_threshold"
|
||||||
|
type="number"
|
||||||
|
min="0"
|
||||||
|
step="0.0001"
|
||||||
|
value="{{ strategy_profit_threshold }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Max depth levels</span>
|
||||||
|
<input
|
||||||
|
name="strategy_max_depth_levels"
|
||||||
|
type="number"
|
||||||
|
min="1"
|
||||||
|
step="1"
|
||||||
|
value="{{ strategy_max_depth_levels }}"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
</div>
|
||||||
@@ -1,8 +1,10 @@
|
|||||||
{% extends "_base.html" %} {% block title %}Arbitrade Health Check{% endblock %}
|
{% extends "_base.html" %} {% block title %}Arbitrade Health Check{% endblock %}
|
||||||
{% block header %} {% with page_title="Arbitrade Health Check",
|
{% block header %} {% with page_title="Arbitrade Health Check",
|
||||||
page_subtitle="Live system state." %} {% include "_header.html" %} {% endwith %}
|
page_subtitle="Live system state and logs." %} {% include "_header.html" %} {%
|
||||||
{% endblock %} {% block main_class %}shell{% endblock %} {% block content %}
|
endwith %} {% endblock %} {% block main_class %}shell{% endblock %} {% block
|
||||||
<section class="card">
|
content %}
|
||||||
|
|
||||||
|
<section class="card" style="margin-bottom: 24px">
|
||||||
<h1>Arbitrade Bootstrap Complete</h1>
|
<h1>Arbitrade Bootstrap Complete</h1>
|
||||||
<p><span class="badge">Status: {{ status }}</span></p>
|
<p><span class="badge">Status: {{ status }}</span></p>
|
||||||
<p>UTC: {{ time }}</p>
|
<p>UTC: {{ time }}</p>
|
||||||
@@ -18,4 +20,43 @@ page_subtitle="Live system state." %} {% include "_header.html" %} {% endwith %}
|
|||||||
</p>
|
</p>
|
||||||
<pre id="health-json">{"status":"ok","service":"arbitrade"}</pre>
|
<pre id="health-json">{"status":"ok","service":"arbitrade"}</pre>
|
||||||
</section>
|
</section>
|
||||||
|
|
||||||
|
<section class="card">
|
||||||
|
<h2>System Logs</h2>
|
||||||
|
<div class="toolbar" style="display: flex; gap: 8px; margin-bottom: 12px">
|
||||||
|
<form
|
||||||
|
hx-post="/dashboard/api/logging/aggregate"
|
||||||
|
hx-target="#aggregate-result"
|
||||||
|
hx-swap="innerHTML"
|
||||||
|
style="display: inline"
|
||||||
|
>
|
||||||
|
<button type="submit" class="button secondary" style="font-size: 0.85rem">
|
||||||
|
Aggregate Now
|
||||||
|
</button>
|
||||||
|
</form>
|
||||||
|
<form
|
||||||
|
hx-post="/dashboard/api/logging/archive"
|
||||||
|
hx-target="#archive-result"
|
||||||
|
hx-swap="innerHTML"
|
||||||
|
style="display: inline"
|
||||||
|
>
|
||||||
|
<button type="submit" class="button secondary" style="font-size: 0.85rem">
|
||||||
|
Archive Old Logs
|
||||||
|
</button>
|
||||||
|
</form>
|
||||||
|
<span id="aggregate-result" style="font-size: 0.85rem; opacity: 0.6"></span>
|
||||||
|
<span id="archive-result" style="font-size: 0.85rem; opacity: 0.6"></span>
|
||||||
|
</div>
|
||||||
|
<div
|
||||||
|
id="log-table-container"
|
||||||
|
hx-get="/dashboard/fragment/logs"
|
||||||
|
hx-trigger="load, every 30s"
|
||||||
|
hx-swap="outerHTML"
|
||||||
|
>
|
||||||
|
<div style="text-align: center; padding: 20px; opacity: 0.5">
|
||||||
|
Loading logs...
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
</section>
|
||||||
|
|
||||||
{% endblock %} {% block scripts %}{% endblock %}
|
{% endblock %} {% block scripts %}{% endblock %}
|
||||||
|
|||||||
@@ -0,0 +1,52 @@
|
|||||||
|
{% extends "_base.html" %} {% block title %}{{ title }}{% endblock %} {% block
|
||||||
|
main_class %}shell{% endblock %} {% block header %} {% with
|
||||||
|
page_title="Currency Pairings",
|
||||||
|
page_subtitle="Enable/disable pairings, search, and sync from Kraken." %}
|
||||||
|
{% include "_header.html" %} {% endwith %} {% endblock %} {% block content %}
|
||||||
|
|
||||||
|
<div class="toolbar" style="margin-bottom: 16px; display: flex; gap: 8px">
|
||||||
|
<input
|
||||||
|
id="pairing-search"
|
||||||
|
type="text"
|
||||||
|
placeholder="Search pairings…"
|
||||||
|
value="{{ search or '' }}"
|
||||||
|
style="flex: 1; max-width: 300px"
|
||||||
|
hx-get="/dashboard/fragment/pairings"
|
||||||
|
hx-target="#pairings-table-container"
|
||||||
|
hx-trigger="keyup changed delay:300ms"
|
||||||
|
hx-include="#pairing-enabled-filter"
|
||||||
|
name="search"
|
||||||
|
/>
|
||||||
|
|
||||||
|
<select
|
||||||
|
id="pairing-enabled-filter"
|
||||||
|
name="enabled"
|
||||||
|
hx-get="/dashboard/fragment/pairings"
|
||||||
|
hx-target="#pairings-table-container"
|
||||||
|
hx-trigger="change"
|
||||||
|
hx-include="#pairing-search"
|
||||||
|
>
|
||||||
|
<option value="all">All</option>
|
||||||
|
<option value="true" {{ 'selected' if enabled == 'true' else '' }}>
|
||||||
|
Enabled
|
||||||
|
</option>
|
||||||
|
<option value="false" {{ 'selected' if enabled == 'false' else '' }}>
|
||||||
|
Disabled
|
||||||
|
</option>
|
||||||
|
</select>
|
||||||
|
|
||||||
|
<button
|
||||||
|
class="button"
|
||||||
|
hx-post="/dashboard/api/pairings/sync"
|
||||||
|
hx-target="#pairings-table-container"
|
||||||
|
hx-swap="innerHTML"
|
||||||
|
>
|
||||||
|
Sync from Kraken
|
||||||
|
</button>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div id="pairings-table-container">
|
||||||
|
{% include "partials/pairings_table.html" %}
|
||||||
|
</div>
|
||||||
|
|
||||||
|
{% endblock %}
|
||||||
@@ -0,0 +1,31 @@
|
|||||||
|
{% for p in pairings %}
|
||||||
|
<label
|
||||||
|
style="
|
||||||
|
display: inline-flex;
|
||||||
|
align-items: center;
|
||||||
|
gap: 4px;
|
||||||
|
padding: 3px 8px;
|
||||||
|
border: 1px solid rgba(255, 255, 255, 0.12);
|
||||||
|
border-radius: 4px;
|
||||||
|
cursor: pointer;
|
||||||
|
font-size: 0.85rem;
|
||||||
|
"
|
||||||
|
>
|
||||||
|
<input
|
||||||
|
type="checkbox"
|
||||||
|
name="symbols"
|
||||||
|
value="{{ p.base_asset }}/{{ p.quote_asset }}"
|
||||||
|
{%
|
||||||
|
if
|
||||||
|
p.enabled
|
||||||
|
%}checked{%
|
||||||
|
endif
|
||||||
|
%}
|
||||||
|
/>
|
||||||
|
{{ p.base_asset }}/{{ p.quote_asset }}
|
||||||
|
</label>
|
||||||
|
{% endfor %} {% if not pairings %}
|
||||||
|
<span style="opacity: 0.5"
|
||||||
|
>No pairings available. Sync from Kraken in config page.</span
|
||||||
|
>
|
||||||
|
{% endif %}
|
||||||
@@ -45,6 +45,46 @@
|
|||||||
|
|
||||||
<article class="card" style="margin-top: 16px">
|
<article class="card" style="margin-top: 16px">
|
||||||
<div class="label">Run Backtest</div>
|
<div class="label">Run Backtest</div>
|
||||||
|
|
||||||
|
{% if no_enabled_pairings %}
|
||||||
|
<div
|
||||||
|
class="flash"
|
||||||
|
style="
|
||||||
|
background: rgba(255, 193, 7, 0.15);
|
||||||
|
border: 1px solid rgba(255, 193, 7, 0.3);
|
||||||
|
border-radius: 8px;
|
||||||
|
padding: 10px 16px;
|
||||||
|
margin-bottom: 16px;
|
||||||
|
color: #ffe58f;
|
||||||
|
font-size: 0.9rem;
|
||||||
|
"
|
||||||
|
>
|
||||||
|
No enabled pairings found. Enable at least one pairing on the
|
||||||
|
<a href="/dashboard/config/pairings" style="color: #ffe58f"
|
||||||
|
>Pairings page</a
|
||||||
|
>
|
||||||
|
before running a backtest.
|
||||||
|
</div>
|
||||||
|
{% endif %} {% if flash_message %}
|
||||||
|
<div
|
||||||
|
class="flash"
|
||||||
|
style="
|
||||||
|
background: rgba(82, 196, 26, 0.15);
|
||||||
|
border: 1px solid rgba(82, 196, 26, 0.3);
|
||||||
|
border-radius: 8px;
|
||||||
|
padding: 10px 16px;
|
||||||
|
margin-bottom: 16px;
|
||||||
|
color: #b7eb8f;
|
||||||
|
font-size: 0.9rem;
|
||||||
|
"
|
||||||
|
hx-trigger="load delay:5s"
|
||||||
|
hx-target="this"
|
||||||
|
hx-swap="delete"
|
||||||
|
>
|
||||||
|
{{ flash_message }}
|
||||||
|
</div>
|
||||||
|
{% endif %}
|
||||||
|
|
||||||
<form
|
<form
|
||||||
class="form-grid"
|
class="form-grid"
|
||||||
hx-post="{{ run_endpoint }}"
|
hx-post="{{ run_endpoint }}"
|
||||||
@@ -52,35 +92,16 @@
|
|||||||
hx-swap="outerHTML"
|
hx-swap="outerHTML"
|
||||||
>
|
>
|
||||||
<input type="hidden" name="source" value="db" />
|
<input type="hidden" name="source" value="db" />
|
||||||
|
<input type="hidden" name="symbols" value="" />
|
||||||
|
<div class="meta" style="margin-bottom: 12px">
|
||||||
|
Pairings managed in
|
||||||
|
<a href="/dashboard/config/pairings">Configuration → Pairings</a>. Only
|
||||||
|
enabled pairings are backtested.
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<!-- Required fields -->
|
||||||
<label class="field">
|
<label class="field">
|
||||||
<span>Symbols (comma-separated, blank=all)</span>
|
<span>Starting balances <span style="color: #ff4d4f">*</span></span>
|
||||||
<input
|
|
||||||
name="symbols"
|
|
||||||
type="text"
|
|
||||||
value="{{ symbols | default('') }}"
|
|
||||||
placeholder="BTC/USD,ETH/BTC"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Start time (ISO datetime, optional)</span>
|
|
||||||
<input
|
|
||||||
name="start_time"
|
|
||||||
type="text"
|
|
||||||
value="{{ start_time | default('') }}"
|
|
||||||
placeholder="2025-01-01T00:00:00"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>End time (ISO datetime, optional)</span>
|
|
||||||
<input
|
|
||||||
name="end_time"
|
|
||||||
type="text"
|
|
||||||
value="{{ end_time | default('') }}"
|
|
||||||
placeholder="2025-01-02T00:00:00"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Starting balances</span>
|
|
||||||
<input
|
<input
|
||||||
name="starting_balances"
|
name="starting_balances"
|
||||||
type="text"
|
type="text"
|
||||||
@@ -89,17 +110,25 @@
|
|||||||
/>
|
/>
|
||||||
</label>
|
</label>
|
||||||
<label class="field">
|
<label class="field">
|
||||||
<span>Trade capital</span>
|
<span>Start time <span style="color: #ff4d4f">*</span></span>
|
||||||
<input
|
<input
|
||||||
name="trade_capital"
|
name="start_time"
|
||||||
type="number"
|
type="text"
|
||||||
min="0"
|
value="{{ start_time | default('') }}"
|
||||||
step="0.01"
|
placeholder="2025-01-01T00:00:00"
|
||||||
value="{{ trade_capital }}"
|
|
||||||
/>
|
/>
|
||||||
</label>
|
</label>
|
||||||
<label class="field">
|
<label class="field">
|
||||||
<span>Min profit threshold</span>
|
<span>End time <span style="color: #ff4d4f">*</span></span>
|
||||||
|
<input
|
||||||
|
name="end_time"
|
||||||
|
type="text"
|
||||||
|
value="{{ end_time | default('') }}"
|
||||||
|
placeholder="2025-01-02T00:00:00"
|
||||||
|
/>
|
||||||
|
</label>
|
||||||
|
<label class="field">
|
||||||
|
<span>Min profit threshold <span style="color: #ff4d4f">*</span></span>
|
||||||
<input
|
<input
|
||||||
name="min_profit_threshold"
|
name="min_profit_threshold"
|
||||||
type="number"
|
type="number"
|
||||||
@@ -108,6 +137,19 @@
|
|||||||
value="{{ min_profit_threshold }}"
|
value="{{ min_profit_threshold }}"
|
||||||
/>
|
/>
|
||||||
</label>
|
</label>
|
||||||
|
|
||||||
|
<!-- Advanced -->
|
||||||
|
<details style="grid-column: 1 / -1; margin-top: 8px">
|
||||||
|
<summary style="cursor: pointer; opacity: 0.7; font-size: 0.85rem">
|
||||||
|
Advanced options (fee profile, slippage, latency)
|
||||||
|
</summary>
|
||||||
|
<div
|
||||||
|
class="form-grid"
|
||||||
|
style="
|
||||||
|
margin-top: 12px;
|
||||||
|
grid-template-columns: repeat(auto-fit, minmax(240px, 1fr));
|
||||||
|
"
|
||||||
|
>
|
||||||
<label class="field">
|
<label class="field">
|
||||||
<span>Fee profile</span>
|
<span>Fee profile</span>
|
||||||
<select name="fee_profile">
|
<select name="fee_profile">
|
||||||
@@ -124,7 +166,7 @@
|
|||||||
</select>
|
</select>
|
||||||
</label>
|
</label>
|
||||||
<label class="field">
|
<label class="field">
|
||||||
<span>Custom fee rate (if fee profile = custom)</span>
|
<span>Custom fee rate (if custom profile)</span>
|
||||||
<input
|
<input
|
||||||
name="custom_fee_rate"
|
name="custom_fee_rate"
|
||||||
type="number"
|
type="number"
|
||||||
@@ -153,6 +195,9 @@
|
|||||||
value="{{ execution_latency_ms }}"
|
value="{{ execution_latency_ms }}"
|
||||||
/>
|
/>
|
||||||
</label>
|
</label>
|
||||||
|
</div>
|
||||||
|
</details>
|
||||||
|
|
||||||
<button type="submit" class="button">Submit Job</button>
|
<button type="submit" class="button">Submit Job</button>
|
||||||
</form>
|
</form>
|
||||||
</article>
|
</article>
|
||||||
|
|||||||
@@ -7,7 +7,7 @@
|
|||||||
<div class="chart-head">
|
<div class="chart-head">
|
||||||
<div>
|
<div>
|
||||||
<div class="label">Opportunity Trend</div>
|
<div class="label">Opportunity Trend</div>
|
||||||
<div class="meta">Recent opportunities from DuckDB. Updated {{ generated_at }}</div>
|
<div class="meta">Recent opportunities from PostgreSQL. Updated {{ generated_at }}</div>
|
||||||
</div>
|
</div>
|
||||||
<button type="button" class="button secondary" x-on:click="expanded = !expanded">
|
<button type="button" class="button secondary" x-on:click="expanded = !expanded">
|
||||||
<span x-text="expanded ? 'Hide chart' : 'Show chart'"></span>
|
<span x-text="expanded ? 'Hide chart' : 'Show chart'"></span>
|
||||||
|
|||||||
@@ -1,4 +1,23 @@
|
|||||||
<div id="config-panel" class="panel" style="margin-top: 16px">
|
<div id="config-panel" class="panel" style="margin-top: 16px">
|
||||||
|
{% if flash_message %}
|
||||||
|
<div
|
||||||
|
class="flash"
|
||||||
|
style="
|
||||||
|
background: rgba(82, 196, 26, 0.15);
|
||||||
|
border: 1px solid rgba(82, 196, 26, 0.3);
|
||||||
|
border-radius: 8px;
|
||||||
|
padding: 10px 16px;
|
||||||
|
margin-bottom: 16px;
|
||||||
|
color: #b7eb8f;
|
||||||
|
font-size: 0.9rem;
|
||||||
|
"
|
||||||
|
hx-trigger="load delay:3s"
|
||||||
|
hx-target="this"
|
||||||
|
hx-swap="delete"
|
||||||
|
>
|
||||||
|
{{ flash_message }}
|
||||||
|
</div>
|
||||||
|
{% endif %}
|
||||||
<form
|
<form
|
||||||
class="form-grid"
|
class="form-grid"
|
||||||
hx-post="{{ config_endpoint }}"
|
hx-post="{{ config_endpoint }}"
|
||||||
@@ -9,606 +28,10 @@
|
|||||||
gap: 20px;
|
gap: 20px;
|
||||||
"
|
"
|
||||||
>
|
>
|
||||||
<!-- Runtime -->
|
{% include "config/runtime.html" %} {% include "config/alerts.html" %} {%
|
||||||
<div class="card">
|
include "config/kraken.html" %} {% include "config/risk.html" %}
|
||||||
<div class="label">Runtime</div>
|
<div style="grid-column: 1 / -1">
|
||||||
<label class="field">
|
<button type="submit" class="button">Save Settings</button>
|
||||||
<span>App env</span>
|
|
||||||
<input type="text" value="{{ app_env }}" disabled />
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>App host</span>
|
|
||||||
<input name="app_host" type="text" value="{{ app_host }}" />
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>App port</span>
|
|
||||||
<input
|
|
||||||
name="app_port"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
max="65535"
|
|
||||||
value="{{ app_port }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Log level</span>
|
|
||||||
<select name="log_level">
|
|
||||||
{% for lvl in ["DEBUG", "INFO", "WARNING", "ERROR", "CRITICAL"] %} {%
|
|
||||||
set sel = "selected" if log_level == lvl else "" %}
|
|
||||||
<option value="{{ lvl }}" {{ sel }}>{{ lvl }}</option>
|
|
||||||
{% endfor %}
|
|
||||||
</select>
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input name="log_json" type="checkbox" {{ log_json }} />
|
|
||||||
<span>JSON logs</span>
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="paper_trading_mode"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
paper_trading_mode
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Paper trading mode</span>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Trade capital USD</span>
|
|
||||||
<input
|
|
||||||
name="trade_capital_usd"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ trade_capital_usd_value }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max trade capital USD</span>
|
|
||||||
<input
|
|
||||||
name="max_trade_capital_usd"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ max_trade_capital_usd_value }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max concurrent trades</span>
|
|
||||||
<input
|
|
||||||
name="max_concurrent_trades"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
step="1"
|
|
||||||
value="{{ max_concurrent_trades_value }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max exposure per asset USD</span>
|
|
||||||
<input
|
|
||||||
name="max_exposure_per_asset_usd"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ max_exposure_per_asset_value }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Quote balance asset</span>
|
|
||||||
<input
|
|
||||||
name="quote_balance_asset"
|
|
||||||
type="text"
|
|
||||||
value="{{ quote_balance_asset }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Min order size USD</span>
|
|
||||||
<input
|
|
||||||
name="min_order_size_usd"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ min_order_size_usd_value }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Tradable pairs (comma-separated)</span>
|
|
||||||
<input
|
|
||||||
name="tradable_pairs"
|
|
||||||
type="text"
|
|
||||||
placeholder="BTC/USD, ETH/BTC"
|
|
||||||
value="{{ tradable_pairs_value }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Strategy mode</span>
|
|
||||||
<select name="strategy_mode">
|
|
||||||
{% set sel = "selected" if strategy_mode == "incremental" else "" %}
|
|
||||||
<option value="incremental" {{ sel }}>incremental</option>
|
|
||||||
{% set sel = "selected" if strategy_mode == "paper" else "" %}
|
|
||||||
<option value="paper" {{ sel }}>paper</option>
|
|
||||||
{% set sel = "selected" if strategy_mode == "live" else "" %}
|
|
||||||
<option value="live" {{ sel }}>live</option>
|
|
||||||
{% if strategy_stat_arb_enabled %} {% set sel = "selected" if
|
|
||||||
strategy_mode == "stat_arb_experiment" else "" %}
|
|
||||||
<option value="stat_arb_experiment" {{ sel }}>
|
|
||||||
stat_arb_experiment
|
|
||||||
</option>
|
|
||||||
{% endif %}
|
|
||||||
</select>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Strategy profit threshold</span>
|
|
||||||
<input
|
|
||||||
name="strategy_profit_threshold"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.0001"
|
|
||||||
value="{{ strategy_profit_threshold }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max depth levels</span>
|
|
||||||
<input
|
|
||||||
name="strategy_max_depth_levels"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
step="1"
|
|
||||||
value="{{ strategy_max_depth_levels }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
</div>
|
|
||||||
|
|
||||||
<!-- Alerts -->
|
|
||||||
<div class="card">
|
|
||||||
<div class="label">Alerting</div>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input name="alerts_enabled" type="checkbox" {{ alerts_enabled }} />
|
|
||||||
<span>Alerts enabled</span>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Min severity</span>
|
|
||||||
<select name="alert_min_severity">
|
|
||||||
{% for sev in ["info", "warning", "error", "critical"] %} {% set sel =
|
|
||||||
"selected" if alert_min_severity == sev else "" %}
|
|
||||||
<option value="{{ sev }}" {{ sel }}>{{ sev }}</option>
|
|
||||||
{% endfor %}
|
|
||||||
</select>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Dedup seconds</span>
|
|
||||||
<input
|
|
||||||
name="alert_dedup_seconds"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="1"
|
|
||||||
value="{{ alert_dedup_seconds }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="alert_on_trade_events"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
alert_on_trade_events
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Trade events</span>
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="alert_on_error_events"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
alert_on_error_events
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Error events</span>
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="alert_on_threshold_events"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
alert_on_threshold_events
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Threshold events</span>
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="alert_on_system_events"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
alert_on_system_events
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>System events</span>
|
|
||||||
</label>
|
|
||||||
<hr
|
|
||||||
style="
|
|
||||||
border: none;
|
|
||||||
border-top: 1px solid rgba(255, 255, 255, 0.1);
|
|
||||||
margin: 12px 0;
|
|
||||||
"
|
|
||||||
/>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="telegram_alerts_enabled"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
telegram_alerts_enabled
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Telegram</span>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Telegram bot token</span>
|
|
||||||
<input
|
|
||||||
name="telegram_bot_token"
|
|
||||||
type="password"
|
|
||||||
value="{{ telegram_bot_token }}"
|
|
||||||
placeholder="Bot token"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Telegram chat ID</span>
|
|
||||||
<input
|
|
||||||
name="telegram_chat_id"
|
|
||||||
type="text"
|
|
||||||
value="{{ telegram_chat_id }}"
|
|
||||||
placeholder="Chat ID"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<hr
|
|
||||||
style="
|
|
||||||
border: none;
|
|
||||||
border-top: 1px solid rgba(255, 255, 255, 0.1);
|
|
||||||
margin: 12px 0;
|
|
||||||
"
|
|
||||||
/>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="discord_alerts_enabled"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
discord_alerts_enabled
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Discord</span>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Discord webhook URL</span>
|
|
||||||
<input
|
|
||||||
name="discord_webhook_url"
|
|
||||||
type="password"
|
|
||||||
value="{{ discord_webhook_url }}"
|
|
||||||
placeholder="Webhook URL"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<hr
|
|
||||||
style="
|
|
||||||
border: none;
|
|
||||||
border-top: 1px solid rgba(255, 255, 255, 0.1);
|
|
||||||
margin: 12px 0;
|
|
||||||
"
|
|
||||||
/>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="email_alerts_enabled"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
email_alerts_enabled
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Email</span>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>SMTP host</span>
|
|
||||||
<input
|
|
||||||
name="email_smtp_host"
|
|
||||||
type="text"
|
|
||||||
value="{{ email_smtp_host }}"
|
|
||||||
placeholder="smtp.example.com"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>SMTP port</span>
|
|
||||||
<input
|
|
||||||
name="email_smtp_port"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
max="65535"
|
|
||||||
value="{{ email_smtp_port }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>SMTP username</span>
|
|
||||||
<input
|
|
||||||
name="email_smtp_username"
|
|
||||||
type="text"
|
|
||||||
value="{{ email_smtp_username }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>SMTP password</span>
|
|
||||||
<input
|
|
||||||
name="email_smtp_password"
|
|
||||||
type="password"
|
|
||||||
value="{{ email_smtp_password }}"
|
|
||||||
placeholder="Leave blank to keep existing"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>From address</span>
|
|
||||||
<input
|
|
||||||
name="email_alert_from"
|
|
||||||
type="text"
|
|
||||||
value="{{ email_alert_from }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>To address</span>
|
|
||||||
<input name="email_alert_to" type="text" value="{{ email_alert_to }}" />
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="email_smtp_use_tls"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
email_smtp_use_tls
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Use TLS</span>
|
|
||||||
</label>
|
|
||||||
</div>
|
|
||||||
|
|
||||||
<!-- Kraken -->
|
|
||||||
<div class="card">
|
|
||||||
<div class="label">Kraken Exchange</div>
|
|
||||||
<label class="field">
|
|
||||||
<span>REST URL</span>
|
|
||||||
<input
|
|
||||||
name="kraken_rest_url"
|
|
||||||
type="text"
|
|
||||||
value="{{ kraken_rest_url }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>WebSocket URL</span>
|
|
||||||
<input name="kraken_ws_url" type="text" value="{{ kraken_ws_url }}" />
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Private rate limit (s)</span>
|
|
||||||
<input
|
|
||||||
name="kraken_private_rate_limit_seconds"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ kraken_private_rate_limit_seconds }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>HTTP timeout (s)</span>
|
|
||||||
<input
|
|
||||||
name="kraken_http_timeout_seconds"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
step="0.5"
|
|
||||||
value="{{ kraken_http_timeout_seconds }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Retry attempts</span>
|
|
||||||
<input
|
|
||||||
name="kraken_retry_attempts"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="1"
|
|
||||||
value="{{ kraken_retry_attempts }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Retry base delay (s)</span>
|
|
||||||
<input
|
|
||||||
name="kraken_retry_base_delay_seconds"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ kraken_retry_base_delay_seconds }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>API key</span>
|
|
||||||
<input
|
|
||||||
name="kraken_api_key"
|
|
||||||
type="text"
|
|
||||||
value="{{ kraken_api_key }}"
|
|
||||||
placeholder="API key"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>API secret</span>
|
|
||||||
<input
|
|
||||||
name="kraken_api_secret"
|
|
||||||
type="password"
|
|
||||||
value="{{ kraken_api_secret }}"
|
|
||||||
placeholder="API secret"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Key permissions</span>
|
|
||||||
<input
|
|
||||||
name="kraken_api_key_permissions"
|
|
||||||
type="text"
|
|
||||||
value="{{ kraken_api_key_permissions }}"
|
|
||||||
placeholder="query,trade"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Heartbeat timeout (s)</span>
|
|
||||||
<input
|
|
||||||
name="ws_heartbeat_timeout_seconds"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
step="1"
|
|
||||||
value="{{ ws_heartbeat_timeout_seconds }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max staleness (s)</span>
|
|
||||||
<input
|
|
||||||
name="ws_max_staleness_seconds"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.5"
|
|
||||||
value="{{ ws_max_staleness_seconds }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
</div>
|
|
||||||
|
|
||||||
<!-- Risk -->
|
|
||||||
<div class="card">
|
|
||||||
<div class="label">Risk Limits</div>
|
|
||||||
<label class="field">
|
|
||||||
<span>Daily loss limit USD</span>
|
|
||||||
<input
|
|
||||||
name="daily_loss_limit_usd"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ daily_loss_limit_value }}"
|
|
||||||
placeholder="None"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Cumulative loss limit USD</span>
|
|
||||||
<input
|
|
||||||
name="cumulative_loss_limit_usd"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.01"
|
|
||||||
value="{{ cumulative_loss_limit_value }}"
|
|
||||||
placeholder="None"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max source latency (ms)</span>
|
|
||||||
<input
|
|
||||||
name="max_source_latency_ms"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="1"
|
|
||||||
value="{{ max_source_latency_value }}"
|
|
||||||
placeholder="None"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max apply latency (ms)</span>
|
|
||||||
<input
|
|
||||||
name="max_apply_latency_ms"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="1"
|
|
||||||
value="{{ max_apply_latency_value }}"
|
|
||||||
placeholder="None"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max consecutive failures</span>
|
|
||||||
<input
|
|
||||||
name="max_consecutive_failures"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
step="1"
|
|
||||||
value="{{ max_consecutive_failures_value }}"
|
|
||||||
placeholder="None"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="kill_switch_active"
|
|
||||||
type="checkbox"
|
|
||||||
{{
|
|
||||||
kill_switch_active
|
|
||||||
}}
|
|
||||||
/>
|
|
||||||
<span>Kill switch active</span>
|
|
||||||
</label>
|
|
||||||
</div>
|
|
||||||
|
|
||||||
<!-- Strategy Stat-Arb -->
|
|
||||||
<div class="card">
|
|
||||||
<div class="label">Stat-Arb Strategy</div>
|
|
||||||
<label class="field checkbox">
|
|
||||||
<input
|
|
||||||
name="strategy_enable_stat_arb_experiment"
|
|
||||||
type="checkbox"
|
|
||||||
{%
|
|
||||||
if
|
|
||||||
strategy_stat_arb_enabled
|
|
||||||
%}checked{%
|
|
||||||
endif
|
|
||||||
%}
|
|
||||||
/>
|
|
||||||
<span>Enable stat-arb experiment</span>
|
|
||||||
</label>
|
|
||||||
{% if strategy_stat_arb_enabled %}
|
|
||||||
<label class="field">
|
|
||||||
<span>Lookback window</span>
|
|
||||||
<input
|
|
||||||
name="strategy_stat_arb_lookback_window"
|
|
||||||
type="number"
|
|
||||||
min="2"
|
|
||||||
step="1"
|
|
||||||
value="{{ strategy_stat_arb_lookback_window }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Entry z-score</span>
|
|
||||||
<input
|
|
||||||
name="strategy_stat_arb_entry_zscore"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.1"
|
|
||||||
value="{{ strategy_stat_arb_entry_zscore }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Exit z-score</span>
|
|
||||||
<input
|
|
||||||
name="strategy_stat_arb_exit_zscore"
|
|
||||||
type="number"
|
|
||||||
min="0"
|
|
||||||
step="0.1"
|
|
||||||
value="{{ strategy_stat_arb_exit_zscore }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
<label class="field">
|
|
||||||
<span>Max holding seconds</span>
|
|
||||||
<input
|
|
||||||
name="strategy_stat_arb_max_holding_seconds"
|
|
||||||
type="number"
|
|
||||||
min="1"
|
|
||||||
step="1"
|
|
||||||
value="{{ strategy_stat_arb_max_holding_seconds }}"
|
|
||||||
/>
|
|
||||||
</label>
|
|
||||||
{% endif %}
|
|
||||||
</div>
|
|
||||||
|
|
||||||
<!-- Submit -->
|
|
||||||
<div
|
|
||||||
class="card"
|
|
||||||
style="display: flex; align-items: center; justify-content: center"
|
|
||||||
>
|
|
||||||
<button
|
|
||||||
type="submit"
|
|
||||||
class="button"
|
|
||||||
style="padding: 14px 32px; font-size: 1.1rem"
|
|
||||||
>
|
|
||||||
Save configuration
|
|
||||||
</button>
|
|
||||||
</div>
|
</div>
|
||||||
</form>
|
</form>
|
||||||
</div>
|
</div>
|
||||||
|
|||||||
@@ -0,0 +1,72 @@
|
|||||||
|
<div id="log-table-container">
|
||||||
|
<div class="toolbar" style="display: flex; gap: 8px; margin-bottom: 12px">
|
||||||
|
<select
|
||||||
|
name="level"
|
||||||
|
hx-get="/dashboard/fragment/logs"
|
||||||
|
hx-target="#log-table-container"
|
||||||
|
hx-trigger="change"
|
||||||
|
hx-swap="outerHTML"
|
||||||
|
>
|
||||||
|
<option value="" {{ 'selected' if current_level == 'all' else '' }}>All</option>
|
||||||
|
<option value="INFO" {{ 'selected' if current_level == 'INFO' else '' }}>INFO</option>
|
||||||
|
<option value="WARNING" {{ 'selected' if current_level == 'WARNING' else '' }}>WARNING</option>
|
||||||
|
<option value="ERROR" {{ 'selected' if current_level == 'ERROR' else '' }}>ERROR</option>
|
||||||
|
<option value="CRITICAL" {{ 'selected' if current_level == 'CRITICAL' else '' }}>CRITICAL</option>
|
||||||
|
</select>
|
||||||
|
<span style="opacity: 0.6; font-size: 0.85rem">{{ total }} entries</span>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<table style="width: 100%; border-collapse: collapse; font-size: 0.82rem">
|
||||||
|
<thead>
|
||||||
|
<tr style="border-bottom: 1px solid rgba(255,255,255,0.1); text-align: left">
|
||||||
|
<th style="padding: 6px 8px">Time</th>
|
||||||
|
<th style="padding: 6px 8px">Level</th>
|
||||||
|
<th style="padding: 6px 8px">Logger</th>
|
||||||
|
<th style="padding: 6px 8px">Message</th>
|
||||||
|
</tr>
|
||||||
|
</thead>
|
||||||
|
<tbody>
|
||||||
|
{% for r in records %}
|
||||||
|
<tr style="border-bottom: 1px solid rgba(255,255,255,0.04)">
|
||||||
|
<td style="padding: 4px 8px; white-space: nowrap">
|
||||||
|
{{ r.recorded_at.strftime('%H:%M:%S') if r.recorded_at else '—' }}
|
||||||
|
</td>
|
||||||
|
<td style="padding: 4px 8px">
|
||||||
|
<span class="badge level-{{ r.level.lower() }}">{{ r.level }}</span>
|
||||||
|
</td>
|
||||||
|
<td style="padding: 4px 8px; opacity: 0.7; max-width: 200px; overflow: hidden; text-overflow: ellipsis; white-space: nowrap">
|
||||||
|
{{ r.logger }}
|
||||||
|
</td>
|
||||||
|
<td style="padding: 4px 8px; max-width: 400px; overflow: hidden; text-overflow: ellipsis; white-space: nowrap">
|
||||||
|
{{ r.message }}
|
||||||
|
</td>
|
||||||
|
</tr>
|
||||||
|
{% endfor %}
|
||||||
|
{% if not records %}
|
||||||
|
<tr>
|
||||||
|
<td colspan="4" style="padding: 20px; text-align: center; opacity: 0.5">No log entries found.</td>
|
||||||
|
</tr>
|
||||||
|
{% endif %}
|
||||||
|
</tbody>
|
||||||
|
</table>
|
||||||
|
|
||||||
|
<div class="toolbar" style="display: flex; gap: 8px; justify-content: center; margin-top: 12px">
|
||||||
|
{% if page > 1 %}
|
||||||
|
<button
|
||||||
|
class="button secondary"
|
||||||
|
hx-get="/dashboard/fragment/logs?level={{ current_level }}&page={{ page - 1 }}"
|
||||||
|
hx-target="#log-table-container"
|
||||||
|
hx-swap="outerHTML"
|
||||||
|
>Previous</button>
|
||||||
|
{% endif %}
|
||||||
|
<span style="opacity: 0.6; font-size: 0.85rem; padding: 0 8px">Page {{ page }} / {{ total_pages }}</span>
|
||||||
|
{% if page < total_pages %}
|
||||||
|
<button
|
||||||
|
class="button secondary"
|
||||||
|
hx-get="/dashboard/fragment/logs?level={{ current_level }}&page={{ page + 1 }}"
|
||||||
|
hx-target="#log-table-container"
|
||||||
|
hx-swap="outerHTML"
|
||||||
|
>Next</button>
|
||||||
|
{% endif %}
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
@@ -0,0 +1,50 @@
|
|||||||
|
<table
|
||||||
|
class="pairings-table"
|
||||||
|
style="width: 100%; border-collapse: collapse; font-size: 0.85rem"
|
||||||
|
>
|
||||||
|
<thead>
|
||||||
|
<tr
|
||||||
|
style="
|
||||||
|
border-bottom: 1px solid rgba(255, 255, 255, 0.1);
|
||||||
|
text-align: left;
|
||||||
|
"
|
||||||
|
>
|
||||||
|
<th style="padding: 6px 8px">Base</th>
|
||||||
|
<th style="padding: 6px 8px">Quote</th>
|
||||||
|
<th style="padding: 6px 8px">Source</th>
|
||||||
|
<th style="padding: 6px 8px; text-align: center">Enabled</th>
|
||||||
|
</tr>
|
||||||
|
</thead>
|
||||||
|
<tbody>
|
||||||
|
{% for p in pairings %}
|
||||||
|
<tr style="border-bottom: 1px solid rgba(255, 255, 255, 0.05)">
|
||||||
|
<td style="padding: 6px 8px">{{ p.base_asset }}</td>
|
||||||
|
<td style="padding: 6px 8px">{{ p.quote_asset }}</td>
|
||||||
|
<td style="padding: 6px 8px; opacity: 0.6">{{ p.source }}</td>
|
||||||
|
<td style="padding: 6px 8px; text-align: center">
|
||||||
|
<input
|
||||||
|
type="checkbox"
|
||||||
|
hx-post="/dashboard/api/pairings/toggle"
|
||||||
|
hx-vals='{"base_asset": "{{ p.base_asset }}", "quote_asset": "{{ p.quote_asset }}"}'
|
||||||
|
hx-trigger="change"
|
||||||
|
hx-target="#pairings-table-container"
|
||||||
|
hx-swap="innerHTML"
|
||||||
|
hx-include="#pairing-search"
|
||||||
|
{%
|
||||||
|
if
|
||||||
|
p.enabled
|
||||||
|
%}checked{%
|
||||||
|
endif
|
||||||
|
%}
|
||||||
|
/>
|
||||||
|
</td>
|
||||||
|
</tr>
|
||||||
|
{% endfor %} {% if not pairings %}
|
||||||
|
<tr>
|
||||||
|
<td colspan="4" style="padding: 20px; text-align: center; opacity: 0.5">
|
||||||
|
No pairings found. Click "Sync from Kraken" to fetch available pairs.
|
||||||
|
</td>
|
||||||
|
</tr>
|
||||||
|
{% endif %}
|
||||||
|
</tbody>
|
||||||
|
</table>
|
||||||
@@ -0,0 +1 @@
|
|||||||
|
"""End-to-end tests — require full app startup with PostgreSQL."""
|
||||||
@@ -0,0 +1 @@
|
|||||||
|
"""Integration tests for PostgreSQL schema and connectivity."""
|
||||||
@@ -0,0 +1,27 @@
|
|||||||
|
"""pytest configuration for integration tests.
|
||||||
|
|
||||||
|
Integration tests require a live PostgreSQL server at the configured host.
|
||||||
|
They are skipped automatically if the server is unreachable.
|
||||||
|
"""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import pathlib
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
|
||||||
|
|
||||||
|
def pytest_ignore_collect(collection_path: pathlib.Path, config: pytest.Config) -> bool:
|
||||||
|
"""Skip integration tests unless --integration is passed."""
|
||||||
|
if "integration" in str(collection_path) and not config.getoption("--integration", False):
|
||||||
|
return True
|
||||||
|
return False
|
||||||
|
|
||||||
|
|
||||||
|
def pytest_addoption(parser: pytest.Parser) -> None:
|
||||||
|
parser.addoption(
|
||||||
|
"--integration",
|
||||||
|
action="store_true",
|
||||||
|
default=False,
|
||||||
|
help="Run integration tests (requires PostgreSQL)",
|
||||||
|
)
|
||||||
@@ -0,0 +1,51 @@
|
|||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from collections.abc import AsyncIterator
|
||||||
|
from contextlib import asynccontextmanager
|
||||||
|
from datetime import UTC, datetime
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
|
||||||
|
from arbitrade.config.settings import get_settings
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import AuditRecord, AuditRepository
|
||||||
|
|
||||||
|
pytestmark = pytest.mark.integration
|
||||||
|
|
||||||
|
|
||||||
|
@asynccontextmanager
|
||||||
|
async def _pg() -> AsyncIterator[PgStore]:
|
||||||
|
s = get_settings()
|
||||||
|
store = PgStore(s)
|
||||||
|
try:
|
||||||
|
await store.start()
|
||||||
|
await store.migrate()
|
||||||
|
yield store
|
||||||
|
finally:
|
||||||
|
await store.stop()
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_audit_repository_inserts_and_lists_recent() -> None:
|
||||||
|
async with _pg() as store:
|
||||||
|
repository = AuditRepository(store)
|
||||||
|
|
||||||
|
await repository.insert(
|
||||||
|
AuditRecord(
|
||||||
|
occurred_at=datetime.now(UTC),
|
||||||
|
actor="dashboard_user",
|
||||||
|
event_type="dashboard.control.start",
|
||||||
|
decision="approved",
|
||||||
|
payload={"execution_status": "running"},
|
||||||
|
correlation_id="req-1",
|
||||||
|
)
|
||||||
|
)
|
||||||
|
|
||||||
|
recent = await repository.list_recent(limit=5)
|
||||||
|
|
||||||
|
assert len(recent) == 1
|
||||||
|
assert recent[0].actor == "dashboard_user"
|
||||||
|
assert recent[0].event_type == "dashboard.control.start"
|
||||||
|
assert recent[0].decision == "approved"
|
||||||
|
assert recent[0].payload == {"execution_status": "running"}
|
||||||
|
assert recent[0].correlation_id == "req-1"
|
||||||
@@ -0,0 +1,103 @@
|
|||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from collections.abc import AsyncIterator
|
||||||
|
from contextlib import asynccontextmanager
|
||||||
|
from dataclasses import dataclass
|
||||||
|
from datetime import UTC, datetime
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
|
||||||
|
from arbitrade.config.settings import get_settings
|
||||||
|
from arbitrade.detection.engine import OpportunityEvent
|
||||||
|
from arbitrade.execution.sequencer import TriangularExecutionSequencer
|
||||||
|
from arbitrade.storage.executions import AsyncExecutionWriter
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import OrderRepository, PnLRepository, TradeRepository
|
||||||
|
|
||||||
|
pytestmark = pytest.mark.integration
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(slots=True)
|
||||||
|
class _FakeRestClient:
|
||||||
|
calls: int = 0
|
||||||
|
|
||||||
|
async def place_market_order(self, *, pair: str, side: str, volume: float) -> dict[str, object]:
|
||||||
|
self.calls += 1
|
||||||
|
return {"txid": [f"tx-{self.calls}"], "status": "submitted"}
|
||||||
|
|
||||||
|
|
||||||
|
def _sample_event() -> OpportunityEvent:
|
||||||
|
return OpportunityEvent(
|
||||||
|
detected_at=datetime.now(UTC),
|
||||||
|
cycle="USD->BTC->ETH->USD",
|
||||||
|
updated_pair="BTC/USD",
|
||||||
|
gross_rate=1.04,
|
||||||
|
net_rate=1.03,
|
||||||
|
gross_pct=4.0,
|
||||||
|
net_pct=3.0,
|
||||||
|
est_profit=0.03,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@asynccontextmanager
|
||||||
|
async def _pg() -> AsyncIterator[PgStore]:
|
||||||
|
s = get_settings()
|
||||||
|
store = PgStore(s)
|
||||||
|
try:
|
||||||
|
await store.start()
|
||||||
|
await store.migrate()
|
||||||
|
yield store
|
||||||
|
finally:
|
||||||
|
await store.stop()
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_execution_writer_persists_trade_order_and_pnl() -> None:
|
||||||
|
async with _pg() as store:
|
||||||
|
writer = AsyncExecutionWriter(
|
||||||
|
TradeRepository(store),
|
||||||
|
OrderRepository(store),
|
||||||
|
PnLRepository(store),
|
||||||
|
max_queue_size=10,
|
||||||
|
)
|
||||||
|
await writer.start()
|
||||||
|
|
||||||
|
client = _FakeRestClient()
|
||||||
|
sequencer = TriangularExecutionSequencer(
|
||||||
|
client,
|
||||||
|
available_pairs=["BTC/USD", "ETH/BTC", "ETH/USD"],
|
||||||
|
execution_writer=writer,
|
||||||
|
)
|
||||||
|
|
||||||
|
result = await sequencer.execute(_sample_event())
|
||||||
|
await writer.stop()
|
||||||
|
|
||||||
|
assert result.success
|
||||||
|
assert client.calls == 3
|
||||||
|
|
||||||
|
async with store.pool.acquire() as conn:
|
||||||
|
trades = await conn.fetch(
|
||||||
|
"SELECT trade_ref, status, estimated_pnl, capital_used, cycle, leg_count FROM trades"
|
||||||
|
)
|
||||||
|
orders = await conn.fetch(
|
||||||
|
"SELECT trade_ref, order_ref, leg_index, pair, side, volume, status "
|
||||||
|
"FROM orders ORDER BY leg_index"
|
||||||
|
)
|
||||||
|
pnls = await conn.fetch("SELECT trade_ref, kind, pnl_usd, source FROM pnl_events")
|
||||||
|
|
||||||
|
assert len(trades) == 1
|
||||||
|
assert trades[0]["status"] == "filled"
|
||||||
|
assert trades[0]["estimated_pnl"] == 0.03
|
||||||
|
assert trades[0]["capital_used"] == 1.0
|
||||||
|
assert trades[0]["cycle"] == "USD->BTC->ETH->USD"
|
||||||
|
assert trades[0]["leg_count"] == 3
|
||||||
|
|
||||||
|
assert len(orders) == 3
|
||||||
|
assert orders[0]["leg_index"] == 0
|
||||||
|
assert orders[1]["leg_index"] == 1
|
||||||
|
assert orders[2]["leg_index"] == 2
|
||||||
|
assert orders[0]["status"] == "submitted"
|
||||||
|
|
||||||
|
assert len(pnls) == 1
|
||||||
|
assert pnls[0]["kind"] == "estimated"
|
||||||
|
assert pnls[0]["pnl_usd"] == 0.03
|
||||||
@@ -0,0 +1,133 @@
|
|||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from collections.abc import AsyncIterator
|
||||||
|
from contextlib import asynccontextmanager
|
||||||
|
from datetime import UTC, datetime, timedelta
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
|
||||||
|
from arbitrade.config.settings import get_settings
|
||||||
|
from arbitrade.metrics import MetricsCalculator
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
|
||||||
|
pytestmark = pytest.mark.integration
|
||||||
|
|
||||||
|
|
||||||
|
@asynccontextmanager
|
||||||
|
async def _pg() -> AsyncIterator[PgStore]:
|
||||||
|
s = get_settings()
|
||||||
|
store = PgStore(s)
|
||||||
|
try:
|
||||||
|
await store.start()
|
||||||
|
await store.migrate()
|
||||||
|
yield store
|
||||||
|
finally:
|
||||||
|
await store.stop()
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_metrics_calculator_summarizes_execution_data() -> None:
|
||||||
|
async with _pg() as store:
|
||||||
|
started = datetime.now(UTC)
|
||||||
|
finished = started + timedelta(seconds=30)
|
||||||
|
started_two = started + timedelta(minutes=1)
|
||||||
|
finished_two = started_two + timedelta(seconds=90)
|
||||||
|
|
||||||
|
async with store.pool.acquire() as conn:
|
||||||
|
await conn.execute(
|
||||||
|
"""
|
||||||
|
INSERT INTO trades (
|
||||||
|
trade_ref, started_at, finished_at, status,
|
||||||
|
realized_pnl, estimated_pnl, capital_used, cycle, leg_count
|
||||||
|
) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9),
|
||||||
|
($10, $11, $12, $13, $14, $15, $16, $17, $18)
|
||||||
|
""",
|
||||||
|
"trade-1",
|
||||||
|
started,
|
||||||
|
finished,
|
||||||
|
"filled",
|
||||||
|
12.5,
|
||||||
|
10.0,
|
||||||
|
100.0,
|
||||||
|
"USD->BTC->ETH->USD",
|
||||||
|
3,
|
||||||
|
"trade-2",
|
||||||
|
started_two,
|
||||||
|
finished_two,
|
||||||
|
"filled",
|
||||||
|
-4.5,
|
||||||
|
-2.0,
|
||||||
|
200.0,
|
||||||
|
"USD->ETH->BTC->USD",
|
||||||
|
3,
|
||||||
|
)
|
||||||
|
await conn.execute(
|
||||||
|
"""
|
||||||
|
INSERT INTO opportunities (detected_at, cycle, gross_pct, net_pct, est_profit, executed)
|
||||||
|
VALUES ($1, $2, $3, $4, $5, $6),
|
||||||
|
($7, $8, $9, $10, $11, $12),
|
||||||
|
($13, $14, $15, $16, $17, $18)
|
||||||
|
""",
|
||||||
|
started,
|
||||||
|
"USD->BTC->ETH->USD",
|
||||||
|
4.0,
|
||||||
|
3.0,
|
||||||
|
0.03,
|
||||||
|
True,
|
||||||
|
started_two,
|
||||||
|
"USD->ETH->BTC->USD",
|
||||||
|
2.0,
|
||||||
|
1.0,
|
||||||
|
0.01,
|
||||||
|
False,
|
||||||
|
started_two + timedelta(seconds=30),
|
||||||
|
"USD->BTC->ETH->USD",
|
||||||
|
5.0,
|
||||||
|
4.0,
|
||||||
|
0.04,
|
||||||
|
True,
|
||||||
|
)
|
||||||
|
await conn.execute(
|
||||||
|
"""
|
||||||
|
INSERT INTO orders (
|
||||||
|
trade_ref, order_ref, leg_index, pair, side, volume,
|
||||||
|
user_ref, status, filled_volume, avg_price, raw_response, recorded_at
|
||||||
|
) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9, $10, $11, $12),
|
||||||
|
($13, $14, $15, $16, $17, $18, $19, $20, $21, $22, $23, $24)
|
||||||
|
""",
|
||||||
|
"trade-1",
|
||||||
|
"order-1",
|
||||||
|
0,
|
||||||
|
"BTC/USD",
|
||||||
|
"buy",
|
||||||
|
2.0,
|
||||||
|
101,
|
||||||
|
"closed",
|
||||||
|
2.0,
|
||||||
|
100.0,
|
||||||
|
"{}",
|
||||||
|
started,
|
||||||
|
"trade-2",
|
||||||
|
"order-2",
|
||||||
|
0,
|
||||||
|
"ETH/USD",
|
||||||
|
"sell",
|
||||||
|
4.0,
|
||||||
|
202,
|
||||||
|
"closed",
|
||||||
|
3.0,
|
||||||
|
200.0,
|
||||||
|
"{}",
|
||||||
|
started_two,
|
||||||
|
)
|
||||||
|
|
||||||
|
metrics = await MetricsCalculator(store).compute()
|
||||||
|
|
||||||
|
assert metrics.realized_pnl_usd == 8.0
|
||||||
|
assert metrics.win_rate == 0.5
|
||||||
|
assert metrics.avg_trade_duration_seconds == 60.0
|
||||||
|
assert metrics.opportunities_per_minute == 2.0
|
||||||
|
assert metrics.fill_rate == 0.875
|
||||||
|
assert metrics.latency_p50_seconds == 60.0
|
||||||
|
assert metrics.latency_p95_seconds == 87.0
|
||||||
|
assert metrics.latency_p99_seconds == pytest.approx(89.4)
|
||||||
@@ -0,0 +1,61 @@
|
|||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from collections.abc import AsyncIterator
|
||||||
|
from contextlib import asynccontextmanager
|
||||||
|
from datetime import UTC, datetime
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
|
||||||
|
from arbitrade.config.settings import get_settings
|
||||||
|
from arbitrade.detection.engine import OpportunityEvent
|
||||||
|
from arbitrade.storage.opportunities import AsyncOpportunityWriter
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
from arbitrade.storage.repositories import OpportunityRepository
|
||||||
|
|
||||||
|
pytestmark = pytest.mark.integration
|
||||||
|
|
||||||
|
|
||||||
|
@asynccontextmanager
|
||||||
|
async def _pg() -> AsyncIterator[PgStore]:
|
||||||
|
s = get_settings()
|
||||||
|
store = PgStore(s)
|
||||||
|
try:
|
||||||
|
await store.start()
|
||||||
|
await store.migrate()
|
||||||
|
yield store
|
||||||
|
finally:
|
||||||
|
await store.stop()
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_async_opportunity_writer_persists_events() -> None:
|
||||||
|
async with _pg() as store:
|
||||||
|
repository = OpportunityRepository(store)
|
||||||
|
writer = AsyncOpportunityWriter(repository, max_queue_size=10)
|
||||||
|
await writer.start()
|
||||||
|
|
||||||
|
event = OpportunityEvent(
|
||||||
|
detected_at=datetime.now(UTC),
|
||||||
|
cycle="USD->BTC->ETH->USD",
|
||||||
|
updated_pair="BTC/USD",
|
||||||
|
gross_rate=1.04,
|
||||||
|
net_rate=1.03,
|
||||||
|
gross_pct=4.0,
|
||||||
|
net_pct=3.0,
|
||||||
|
est_profit=0.03,
|
||||||
|
)
|
||||||
|
|
||||||
|
await writer.enqueue(event)
|
||||||
|
await writer.stop()
|
||||||
|
|
||||||
|
async with store.pool.acquire() as conn:
|
||||||
|
rows = await conn.fetch(
|
||||||
|
"SELECT cycle, gross_pct, net_pct, est_profit, executed FROM opportunities"
|
||||||
|
)
|
||||||
|
|
||||||
|
assert len(rows) == 1
|
||||||
|
assert rows[0]["cycle"] == "USD->BTC->ETH->USD"
|
||||||
|
assert rows[0]["gross_pct"] == 4.0
|
||||||
|
assert rows[0]["net_pct"] == 3.0
|
||||||
|
assert rows[0]["est_profit"] == 0.03
|
||||||
|
assert rows[0]["executed"] is False
|
||||||
@@ -0,0 +1,424 @@
|
|||||||
|
"""Integration tests: verify PostgreSQL schema and connection.
|
||||||
|
|
||||||
|
These tests connect to the PostgreSQL server at 192.168.88.35 and
|
||||||
|
validate that all expected tables, columns, and constraints exist.
|
||||||
|
They are skipped if the server is unreachable.
|
||||||
|
"""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from collections.abc import AsyncIterator
|
||||||
|
from contextlib import asynccontextmanager
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
import pytest_asyncio
|
||||||
|
|
||||||
|
from arbitrade.config.settings import get_settings
|
||||||
|
from arbitrade.storage.pg_store import PgStore
|
||||||
|
|
||||||
|
pytestmark = pytest.mark.integration
|
||||||
|
|
||||||
|
|
||||||
|
# ── expected schema ──────────────────────────────────────────────────────────
|
||||||
|
|
||||||
|
EXPECTED_TABLES: dict[str, list[str]] = {
|
||||||
|
"schema_migrations": ["version", "applied_at"],
|
||||||
|
"config_sections": ["id", "name", "description", "updated_at"],
|
||||||
|
"config_settings": [
|
||||||
|
"key",
|
||||||
|
"section",
|
||||||
|
"value_json",
|
||||||
|
"value_type",
|
||||||
|
"is_secret",
|
||||||
|
"is_runtime_reloadable",
|
||||||
|
"updated_at",
|
||||||
|
"updated_by",
|
||||||
|
],
|
||||||
|
"config_pairings": [
|
||||||
|
"id",
|
||||||
|
"base_asset",
|
||||||
|
"quote_asset",
|
||||||
|
"enabled",
|
||||||
|
"source",
|
||||||
|
"created_at",
|
||||||
|
"updated_at",
|
||||||
|
],
|
||||||
|
"config_backtesting_defaults": [
|
||||||
|
"id",
|
||||||
|
"starting_balances",
|
||||||
|
"trade_capital",
|
||||||
|
"min_profit_threshold",
|
||||||
|
"slippage_bps",
|
||||||
|
"execution_latency_ms",
|
||||||
|
"fee_source",
|
||||||
|
],
|
||||||
|
"opportunities": [
|
||||||
|
"id",
|
||||||
|
"detected_at",
|
||||||
|
"cycle",
|
||||||
|
"gross_pct",
|
||||||
|
"net_pct",
|
||||||
|
"est_profit",
|
||||||
|
"executed",
|
||||||
|
],
|
||||||
|
"trades": [
|
||||||
|
"id",
|
||||||
|
"trade_ref",
|
||||||
|
"started_at",
|
||||||
|
"finished_at",
|
||||||
|
"status",
|
||||||
|
"realized_pnl",
|
||||||
|
"estimated_pnl",
|
||||||
|
"capital_used",
|
||||||
|
"cycle",
|
||||||
|
"leg_count",
|
||||||
|
],
|
||||||
|
"orders": [
|
||||||
|
"id",
|
||||||
|
"trade_ref",
|
||||||
|
"order_ref",
|
||||||
|
"leg_index",
|
||||||
|
"pair",
|
||||||
|
"side",
|
||||||
|
"volume",
|
||||||
|
"user_ref",
|
||||||
|
"status",
|
||||||
|
"filled_volume",
|
||||||
|
"avg_price",
|
||||||
|
"raw_response",
|
||||||
|
"recorded_at",
|
||||||
|
],
|
||||||
|
"pnl_events": [
|
||||||
|
"id",
|
||||||
|
"trade_ref",
|
||||||
|
"recorded_at",
|
||||||
|
"kind",
|
||||||
|
"pnl_usd",
|
||||||
|
"source",
|
||||||
|
],
|
||||||
|
"portfolio_snapshots": ["snapshot_at", "balances", "total_value_usd"],
|
||||||
|
"market_snapshots": ["snapshot_at", "symbol", "source", "payload", "latency_ms"],
|
||||||
|
"audit_events": [
|
||||||
|
"id",
|
||||||
|
"occurred_at",
|
||||||
|
"actor",
|
||||||
|
"event_type",
|
||||||
|
"decision",
|
||||||
|
"payload",
|
||||||
|
"correlation_id",
|
||||||
|
],
|
||||||
|
"runtime_state_snapshots": [
|
||||||
|
"snapshot_at",
|
||||||
|
"is_running",
|
||||||
|
"kill_switch_active",
|
||||||
|
"kill_switch_reason",
|
||||||
|
"open_trade_count",
|
||||||
|
"last_known_balances",
|
||||||
|
"note",
|
||||||
|
],
|
||||||
|
"kraken_account_snapshots": [
|
||||||
|
"snapshot_at",
|
||||||
|
"fee_tier",
|
||||||
|
"maker_fee",
|
||||||
|
"taker_fee",
|
||||||
|
"thirty_day_volume",
|
||||||
|
"trade_balance_raw",
|
||||||
|
"fee_schedule_raw",
|
||||||
|
],
|
||||||
|
"backtest_jobs": [
|
||||||
|
"id",
|
||||||
|
"status",
|
||||||
|
"events_path",
|
||||||
|
"config",
|
||||||
|
"report",
|
||||||
|
"error",
|
||||||
|
"created_at",
|
||||||
|
"started_at",
|
||||||
|
"finished_at",
|
||||||
|
],
|
||||||
|
}
|
||||||
|
|
||||||
|
# Tables that should have a primary key
|
||||||
|
TABLES_WITH_PRIMARY_KEY: dict[str, str | list[str]] = {
|
||||||
|
"schema_migrations": "version",
|
||||||
|
"config_sections": "id",
|
||||||
|
"config_settings": "key",
|
||||||
|
"config_pairings": "id",
|
||||||
|
"config_backtesting_defaults": "id",
|
||||||
|
"opportunities": "id",
|
||||||
|
"trades": "id",
|
||||||
|
"orders": "id",
|
||||||
|
"pnl_events": "id",
|
||||||
|
"audit_events": "id",
|
||||||
|
"backtest_jobs": "id",
|
||||||
|
}
|
||||||
|
|
||||||
|
# Tables with a UNIQUE constraint beyond the primary key
|
||||||
|
TABLES_WITH_UNIQUE_CONSTRAINTS: dict[str, list[str]] = {
|
||||||
|
"config_sections": ["name"],
|
||||||
|
"config_pairings": ["base_asset, quote_asset"],
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
# ── fixtures ────────────────────────────────────────────────────────────────
|
||||||
|
|
||||||
|
|
||||||
|
@asynccontextmanager
|
||||||
|
async def _pg_lifecycle() -> AsyncIterator[PgStore]:
|
||||||
|
"""Connect, yield store, then disconnect."""
|
||||||
|
settings = get_settings()
|
||||||
|
store = PgStore(settings)
|
||||||
|
try:
|
||||||
|
await store.start()
|
||||||
|
yield store
|
||||||
|
finally:
|
||||||
|
await store.stop()
|
||||||
|
|
||||||
|
|
||||||
|
@pytest_asyncio.fixture(name="pg")
|
||||||
|
async def pg_fixture() -> AsyncIterator[PgStore]:
|
||||||
|
async with _pg_lifecycle() as store:
|
||||||
|
yield store
|
||||||
|
|
||||||
|
|
||||||
|
# ── helpers ─────────────────────────────────────────────────────────────────
|
||||||
|
|
||||||
|
|
||||||
|
async def _get_actual_tables(store: PgStore) -> dict[str, list[str]]:
|
||||||
|
"""Return {table_name: [column_name, ...]} for the public schema."""
|
||||||
|
actual: dict[str, list[str]] = {}
|
||||||
|
async with store.pool.acquire() as conn:
|
||||||
|
rows = await conn.fetch(
|
||||||
|
"SELECT table_name, column_name FROM information_schema.columns "
|
||||||
|
"WHERE table_schema = 'public' ORDER BY table_name, ordinal_position"
|
||||||
|
)
|
||||||
|
for row in rows:
|
||||||
|
tbl: str = row["table_name"]
|
||||||
|
col: str = row["column_name"]
|
||||||
|
actual.setdefault(tbl, []).append(col)
|
||||||
|
return actual
|
||||||
|
|
||||||
|
|
||||||
|
async def _table_row_count(store: PgStore, table: str) -> int:
|
||||||
|
async with store.pool.acquire() as conn:
|
||||||
|
row = await conn.fetchrow(f"SELECT COUNT(*) AS cnt FROM {table}")
|
||||||
|
return int(row["cnt"]) if row else 0
|
||||||
|
|
||||||
|
|
||||||
|
# ── tests ───────────────────────────────────────────────────────────────────
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_pg_connect(pg: PgStore) -> None:
|
||||||
|
"""Can connect to PostgreSQL and ping the server."""
|
||||||
|
async with pg.pool.acquire() as conn:
|
||||||
|
val = await conn.fetchval("SELECT 1 AS val")
|
||||||
|
assert val == 1
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_pgcrypto_extension(pg: PgStore) -> None:
|
||||||
|
"""The pgcrypto extension is available (gen_random_uuid)."""
|
||||||
|
async with pg.pool.acquire() as conn:
|
||||||
|
val = await conn.fetchval("SELECT gen_random_uuid()")
|
||||||
|
assert val is not None
|
||||||
|
# The result should be a UUID object
|
||||||
|
assert len(str(val)) == 36 # UUID string length
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_schema_migration_applies(pg: PgStore) -> None:
|
||||||
|
"""Migrate creates all expected tables."""
|
||||||
|
await pg.migrate()
|
||||||
|
actual = await _get_actual_tables(pg)
|
||||||
|
|
||||||
|
for table in EXPECTED_TABLES:
|
||||||
|
assert table in actual, (
|
||||||
|
f"Table '{table}' missing after migration. " f"Found tables: {sorted(actual)}"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_migration_is_idempotent(pg: PgStore) -> None:
|
||||||
|
"""Running migrate twice does not raise."""
|
||||||
|
await pg.migrate()
|
||||||
|
await pg.migrate() # second call should be a no-op
|
||||||
|
actual = await _get_actual_tables(pg)
|
||||||
|
for table in EXPECTED_TABLES:
|
||||||
|
assert table in actual
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_table_columns(pg: PgStore) -> None:
|
||||||
|
"""Every expected table has the correct columns."""
|
||||||
|
await pg.migrate()
|
||||||
|
actual = await _get_actual_tables(pg)
|
||||||
|
|
||||||
|
for table, expected_cols in EXPECTED_TABLES.items():
|
||||||
|
actual_cols = actual.get(table, [])
|
||||||
|
for col in expected_cols:
|
||||||
|
assert col in actual_cols, (
|
||||||
|
f"Column '{col}' missing from table '{table}'. " f"Actual columns: {actual_cols}"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_primary_keys(pg: PgStore) -> None:
|
||||||
|
"""Tables that should have primary keys do."""
|
||||||
|
await pg.migrate()
|
||||||
|
async with pg.pool.acquire() as conn:
|
||||||
|
for table, expected_pk in TABLES_WITH_PRIMARY_KEY.items():
|
||||||
|
rows = await conn.fetch(
|
||||||
|
"SELECT kcu.column_name FROM information_schema.table_constraints tc "
|
||||||
|
"JOIN information_schema.key_column_usage kcu "
|
||||||
|
"ON tc.constraint_name = kcu.constraint_name "
|
||||||
|
"WHERE tc.table_schema = 'public' AND tc.table_name = $1 "
|
||||||
|
"AND tc.constraint_type = 'PRIMARY KEY' "
|
||||||
|
"ORDER BY kcu.ordinal_position",
|
||||||
|
table,
|
||||||
|
)
|
||||||
|
pk_columns = [r["column_name"] for r in rows]
|
||||||
|
expected_list = [expected_pk] if isinstance(expected_pk, str) else expected_pk
|
||||||
|
for col in expected_list:
|
||||||
|
assert col in pk_columns, (
|
||||||
|
f"Table '{table}' should have PK column '{col}'. "
|
||||||
|
f"Actual PK columns: {pk_columns}"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_unique_constraints(pg: PgStore) -> None:
|
||||||
|
"""Tables that should have UNIQUE constraints do."""
|
||||||
|
await pg.migrate()
|
||||||
|
async with pg.pool.acquire() as conn:
|
||||||
|
for table, expected_ucs in TABLES_WITH_UNIQUE_CONSTRAINTS.items():
|
||||||
|
rows = await conn.fetch(
|
||||||
|
"SELECT kcu.column_name FROM information_schema.table_constraints tc "
|
||||||
|
"JOIN information_schema.key_column_usage kcu "
|
||||||
|
"ON tc.constraint_name = kcu.constraint_name "
|
||||||
|
"WHERE tc.table_schema = 'public' AND tc.table_name = $1 "
|
||||||
|
"AND tc.constraint_type = 'UNIQUE'",
|
||||||
|
table,
|
||||||
|
)
|
||||||
|
uc_columns = {r["column_name"] for r in rows}
|
||||||
|
for expected_cols in expected_ucs:
|
||||||
|
cols = [c.strip() for c in expected_cols.split(",")]
|
||||||
|
for col in cols:
|
||||||
|
assert col in uc_columns, (
|
||||||
|
f"Table '{table}' should have UNIQUE column '{col}'. "
|
||||||
|
f"Actual UNIQUE columns: {uc_columns}"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_table_row_count_is_zero(pg: PgStore) -> None:
|
||||||
|
"""All tables start empty after migration."""
|
||||||
|
await pg.migrate()
|
||||||
|
for table in EXPECTED_TABLES:
|
||||||
|
count = await _table_row_count(pg, table)
|
||||||
|
assert count == 0, (
|
||||||
|
f"Table '{table}' should be empty after migration, " f"but has {count} rows"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_schema_migration_version_recorded(pg: PgStore) -> None:
|
||||||
|
"""schema_migrations has the expected version after migrate."""
|
||||||
|
from arbitrade.storage.pg_store import SCHEMA_VERSION
|
||||||
|
|
||||||
|
await pg.migrate()
|
||||||
|
async with pg.pool.acquire() as conn:
|
||||||
|
row = await conn.fetchrow("SELECT MAX(version) AS v FROM schema_migrations")
|
||||||
|
assert row is not None
|
||||||
|
assert row["v"] == SCHEMA_VERSION, (
|
||||||
|
f"Expected schema version {SCHEMA_VERSION}, " f"got {row['v']}"
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_create_and_query_row(pg: PgStore) -> None:
|
||||||
|
"""Can INSERT a row and SELECT it back (round-trip for a simple table)."""
|
||||||
|
await pg.migrate()
|
||||||
|
async with pg.pool.acquire() as conn:
|
||||||
|
# ConfigSections round-trip
|
||||||
|
await conn.execute(
|
||||||
|
"INSERT INTO config_sections (name, description) VALUES ($1, $2)",
|
||||||
|
"test_section",
|
||||||
|
"A test section for integration test",
|
||||||
|
)
|
||||||
|
row = await conn.fetchrow(
|
||||||
|
"SELECT name, description FROM config_sections WHERE name = $1",
|
||||||
|
"test_section",
|
||||||
|
)
|
||||||
|
assert row is not None
|
||||||
|
assert row["name"] == "test_section"
|
||||||
|
assert row["description"] == "A test section for integration test"
|
||||||
|
|
||||||
|
# Clean up
|
||||||
|
await conn.execute(
|
||||||
|
"DELETE FROM config_sections WHERE name = $1",
|
||||||
|
"test_section",
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_pairings_upsert(pg: PgStore) -> None:
|
||||||
|
"""ON CONFLICT ... DO UPDATE works on config_pairings (unique constraint)."""
|
||||||
|
await pg.migrate()
|
||||||
|
from arbitrade.config.service import ConfigPairing
|
||||||
|
from arbitrade.storage.repositories import ConfigPairingRepository
|
||||||
|
|
||||||
|
repo = ConfigPairingRepository(pg)
|
||||||
|
|
||||||
|
# Insert
|
||||||
|
p1 = await repo.upsert_pairing(
|
||||||
|
ConfigPairing(base_asset="XBT", quote_asset="USD", enabled=True, source="kraken")
|
||||||
|
)
|
||||||
|
assert p1.id is not None
|
||||||
|
assert p1.base_asset == "XBT"
|
||||||
|
assert p1.enabled is True
|
||||||
|
|
||||||
|
# Upsert (update)
|
||||||
|
p2 = await repo.upsert_pairing(
|
||||||
|
ConfigPairing(base_asset="XBT", quote_asset="USD", enabled=False, source="manual")
|
||||||
|
)
|
||||||
|
assert p2.id == p1.id # same row
|
||||||
|
assert p2.enabled is False
|
||||||
|
assert p2.source == "manual"
|
||||||
|
|
||||||
|
# Clean up
|
||||||
|
deleted = await repo.delete_pairing("XBT", "USD")
|
||||||
|
assert deleted is True
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_audit_list_recent(pg: PgStore) -> None:
|
||||||
|
"""AuditRepository.list_recent returns records in desc order."""
|
||||||
|
await pg.migrate()
|
||||||
|
from datetime import UTC, datetime
|
||||||
|
|
||||||
|
from arbitrade.storage.repositories import AuditRecord, AuditRepository
|
||||||
|
|
||||||
|
repo = AuditRepository(pg)
|
||||||
|
now = datetime.now(UTC)
|
||||||
|
|
||||||
|
# Insert a few records
|
||||||
|
for i in range(3):
|
||||||
|
await repo.insert(
|
||||||
|
AuditRecord(
|
||||||
|
occurred_at=now,
|
||||||
|
actor="test",
|
||||||
|
event_type="integration_test",
|
||||||
|
decision=f"decision_{i}",
|
||||||
|
payload={"index": i},
|
||||||
|
correlation_id=f"corr_{i}",
|
||||||
|
)
|
||||||
|
)
|
||||||
|
|
||||||
|
recent = await repo.list_recent(limit=5)
|
||||||
|
assert len(recent) >= 3
|
||||||
|
assert recent[0].decision in ("decision_2", "decision_1", "decision_0")
|
||||||
|
# Verify payload serialization worked
|
||||||
|
first = recent[0]
|
||||||
|
if first.payload:
|
||||||
|
assert "index" in first.payload
|
||||||
@@ -1,34 +0,0 @@
|
|||||||
from __future__ import annotations
|
|
||||||
|
|
||||||
from datetime import UTC, datetime
|
|
||||||
|
|
||||||
from arbitrade.config.settings import Settings
|
|
||||||
from arbitrade.storage.db import DuckDBStore
|
|
||||||
from arbitrade.storage.repositories import AuditRecord, AuditRepository
|
|
||||||
|
|
||||||
|
|
||||||
def test_audit_repository_inserts_and_lists_recent(tmp_path) -> None:
|
|
||||||
settings = Settings(_env_file=None, DUCKDB_PATH=tmp_path / "audit.duckdb")
|
|
||||||
store = DuckDBStore(settings)
|
|
||||||
store.migrate()
|
|
||||||
repository = AuditRepository(store)
|
|
||||||
|
|
||||||
repository.insert(
|
|
||||||
AuditRecord(
|
|
||||||
occurred_at=datetime.now(UTC),
|
|
||||||
actor="dashboard_user",
|
|
||||||
event_type="dashboard.control.start",
|
|
||||||
decision="approved",
|
|
||||||
payload={"execution_status": "running"},
|
|
||||||
correlation_id="req-1",
|
|
||||||
)
|
|
||||||
)
|
|
||||||
|
|
||||||
recent = repository.list_recent(limit=5)
|
|
||||||
|
|
||||||
assert len(recent) == 1
|
|
||||||
assert recent[0].actor == "dashboard_user"
|
|
||||||
assert recent[0].event_type == "dashboard.control.start"
|
|
||||||
assert recent[0].decision == "approved"
|
|
||||||
assert recent[0].payload == {"execution_status": "running"}
|
|
||||||
assert recent[0].correlation_id == "req-1"
|
|
||||||
@@ -1,13 +1,16 @@
|
|||||||
"""End-to-end test for configuration management system."""
|
"""End-to-end test for configuration management system."""
|
||||||
|
|
||||||
from unittest.mock import MagicMock, Mock, patch
|
from unittest.mock import AsyncMock, MagicMock, Mock, patch
|
||||||
|
|
||||||
|
import pytest
|
||||||
|
|
||||||
from arbitrade.config.service import ConfigurationService
|
from arbitrade.config.service import ConfigurationService
|
||||||
from arbitrade.config.settings import Settings
|
from arbitrade.config.settings import Settings
|
||||||
from arbitrade.storage.repositories import AuditRepository
|
from arbitrade.storage.repositories import AuditRepository
|
||||||
|
|
||||||
|
|
||||||
def test_end_to_end_config_workflow():
|
@pytest.mark.asyncio
|
||||||
|
async def test_end_to_end_config_workflow():
|
||||||
"""Test complete configuration workflow."""
|
"""Test complete configuration workflow."""
|
||||||
# Create mocks
|
# Create mocks
|
||||||
settings = Mock(spec=Settings)
|
settings = Mock(spec=Settings)
|
||||||
@@ -36,13 +39,13 @@ def test_end_to_end_config_workflow():
|
|||||||
# Mock the setting creation
|
# Mock the setting creation
|
||||||
mock_created_setting = Mock()
|
mock_created_setting = Mock()
|
||||||
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
||||||
mock_repo_instance.create_setting.return_value = mock_created_setting
|
mock_repo_instance.create_setting = AsyncMock(return_value=mock_created_setting)
|
||||||
mock_repo_instance.get_setting.return_value = None
|
mock_repo_instance.get_setting = AsyncMock(return_value=None)
|
||||||
mock_repo_instance.get_latest_updated_at.return_value = None
|
mock_repo_instance.get_latest_updated_at = AsyncMock(return_value=None)
|
||||||
mock_repo_instance.list_settings.return_value = []
|
mock_repo_instance.list_settings = AsyncMock(return_value=[])
|
||||||
|
|
||||||
# Set a setting
|
# Set a setting
|
||||||
service.set_setting("test_key", "test_value", "test_user")
|
await service.set_setting("test_key", "test_value", "test_user")
|
||||||
|
|
||||||
# Verify setting was retrieved
|
# Verify setting was retrieved
|
||||||
result = service.get_setting("test_key", "default")
|
result = service.get_setting("test_key", "default")
|
||||||
|
|||||||
@@ -1,6 +1,6 @@
|
|||||||
"""Unit tests for configuration repositories."""
|
"""Unit tests for configuration repositories."""
|
||||||
|
|
||||||
from unittest.mock import Mock, patch
|
from unittest.mock import AsyncMock, MagicMock
|
||||||
|
|
||||||
import pytest
|
import pytest
|
||||||
|
|
||||||
@@ -8,7 +8,6 @@ from arbitrade.config.service import (
|
|||||||
ConfigPairing,
|
ConfigPairing,
|
||||||
ConfigSetting,
|
ConfigSetting,
|
||||||
)
|
)
|
||||||
from arbitrade.storage.db import DuckDBStore
|
|
||||||
from arbitrade.storage.repositories import (
|
from arbitrade.storage.repositories import (
|
||||||
ConfigBacktestingDefaultsRepository,
|
ConfigBacktestingDefaultsRepository,
|
||||||
ConfigPairingRepository,
|
ConfigPairingRepository,
|
||||||
@@ -18,40 +17,61 @@ from arbitrade.storage.repositories import (
|
|||||||
|
|
||||||
@pytest.fixture
|
@pytest.fixture
|
||||||
def mock_store():
|
def mock_store():
|
||||||
"""Create a mock database store."""
|
"""Create a mock database store with async pool."""
|
||||||
store = Mock(spec=DuckDBStore)
|
store = MagicMock()
|
||||||
|
conn = AsyncMock()
|
||||||
|
conn.fetchone = AsyncMock(return_value=None)
|
||||||
|
conn.fetchall = AsyncMock(return_value=[])
|
||||||
|
conn.fetch = AsyncMock(return_value=[])
|
||||||
|
conn.execute = AsyncMock(return_value=conn)
|
||||||
|
store.pool = MagicMock()
|
||||||
|
cm = AsyncMock()
|
||||||
|
cm.__aenter__.return_value = conn
|
||||||
|
store.pool.acquire.return_value = cm
|
||||||
return store
|
return store
|
||||||
|
|
||||||
|
|
||||||
|
def _make_row(mapping: dict):
|
||||||
|
row = MagicMock()
|
||||||
|
row.__getitem__.side_effect = lambda k: mapping[k]
|
||||||
|
return row
|
||||||
|
|
||||||
|
|
||||||
|
SETTING_ROW = {
|
||||||
|
"key": "test_key",
|
||||||
|
"section": "test_section",
|
||||||
|
"value_json": "test_value",
|
||||||
|
"value_type": "str",
|
||||||
|
"is_secret": False,
|
||||||
|
"is_runtime_reloadable": False,
|
||||||
|
"updated_at": "2023-01-01T00:00:00",
|
||||||
|
"updated_by": "test_user",
|
||||||
|
}
|
||||||
|
|
||||||
|
PAIRING_ROW = {
|
||||||
|
"id": 1,
|
||||||
|
"base_asset": "BTC",
|
||||||
|
"quote_asset": "USD",
|
||||||
|
"enabled": True,
|
||||||
|
"source": "Kraken",
|
||||||
|
"created_at": "2023-01-01T00:00:00",
|
||||||
|
"updated_at": "2023-01-01T00:00:00",
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
def test_config_setting_repository_initialization(mock_store):
|
def test_config_setting_repository_initialization(mock_store):
|
||||||
"""Test ConfigSettingRepository initialization."""
|
"""Test ConfigSettingRepository initialization."""
|
||||||
repo = ConfigSettingRepository(mock_store)
|
repo = ConfigSettingRepository(mock_store)
|
||||||
assert repo._store == mock_store
|
assert repo._store == mock_store
|
||||||
|
|
||||||
|
|
||||||
def test_config_setting_repository_create_setting(mock_store):
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_setting_repository_create_setting(mock_store):
|
||||||
"""Test creating a configuration setting."""
|
"""Test creating a configuration setting."""
|
||||||
repo = ConfigSettingRepository(mock_store)
|
repo = ConfigSettingRepository(mock_store)
|
||||||
|
conn = await mock_store.pool.acquire().__aenter__()
|
||||||
|
conn.fetchrow = AsyncMock(return_value=_make_row(SETTING_ROW))
|
||||||
|
|
||||||
# Mock database connection
|
|
||||||
with patch.object(mock_store, "connect") as mock_connect:
|
|
||||||
mock_cursor = Mock()
|
|
||||||
mock_cursor.execute.return_value = mock_cursor
|
|
||||||
mock_connect.return_value.__enter__.return_value = mock_cursor
|
|
||||||
|
|
||||||
# Mock the return value
|
|
||||||
mock_cursor.fetchone.return_value = [
|
|
||||||
"test_key",
|
|
||||||
"test_section",
|
|
||||||
"test_value",
|
|
||||||
"str",
|
|
||||||
False,
|
|
||||||
False,
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
"test_user",
|
|
||||||
]
|
|
||||||
|
|
||||||
# Create setting
|
|
||||||
setting = ConfigSetting(
|
setting = ConfigSetting(
|
||||||
key="test_key",
|
key="test_key",
|
||||||
section="test_section",
|
section="test_section",
|
||||||
@@ -62,10 +82,8 @@ def test_config_setting_repository_create_setting(mock_store):
|
|||||||
updated_by="test_user",
|
updated_by="test_user",
|
||||||
)
|
)
|
||||||
|
|
||||||
result = repo.create_setting(setting)
|
result = await repo.create_setting(setting)
|
||||||
|
|
||||||
# Verify database call
|
|
||||||
mock_cursor.execute.assert_called_once()
|
|
||||||
assert result.key == "test_key"
|
assert result.key == "test_key"
|
||||||
assert result.section == "test_section"
|
assert result.section == "test_section"
|
||||||
assert result.value_json == "test_value"
|
assert result.value_json == "test_value"
|
||||||
@@ -73,33 +91,16 @@ def test_config_setting_repository_create_setting(mock_store):
|
|||||||
assert result.updated_by == "test_user"
|
assert result.updated_by == "test_user"
|
||||||
|
|
||||||
|
|
||||||
def test_config_setting_repository_get_setting(mock_store):
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_setting_repository_get_setting(mock_store):
|
||||||
"""Test getting a configuration setting."""
|
"""Test getting a configuration setting."""
|
||||||
repo = ConfigSettingRepository(mock_store)
|
repo = ConfigSettingRepository(mock_store)
|
||||||
|
conn = await mock_store.pool.acquire().__aenter__()
|
||||||
|
conn.fetchrow = AsyncMock(return_value=_make_row(SETTING_ROW))
|
||||||
|
|
||||||
# Mock database connection
|
result = await repo.get_setting("test_key")
|
||||||
with patch.object(mock_store, "connect") as mock_connect:
|
|
||||||
mock_cursor = Mock()
|
|
||||||
mock_cursor.execute.return_value = mock_cursor
|
|
||||||
mock_connect.return_value.__enter__.return_value = mock_cursor
|
|
||||||
|
|
||||||
# Mock the return value
|
assert result is not None
|
||||||
mock_cursor.fetchone.return_value = [
|
|
||||||
"test_key",
|
|
||||||
"test_section",
|
|
||||||
"test_value",
|
|
||||||
"str",
|
|
||||||
False,
|
|
||||||
False,
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
"test_user",
|
|
||||||
]
|
|
||||||
|
|
||||||
# Get setting
|
|
||||||
result = repo.get_setting("test_key")
|
|
||||||
|
|
||||||
# Verify database call
|
|
||||||
mock_cursor.execute.assert_called_once()
|
|
||||||
assert result.key == "test_key"
|
assert result.key == "test_key"
|
||||||
assert result.section == "test_section"
|
assert result.section == "test_section"
|
||||||
assert result.value_json == "test_value"
|
assert result.value_json == "test_value"
|
||||||
@@ -107,29 +108,13 @@ def test_config_setting_repository_get_setting(mock_store):
|
|||||||
assert result.updated_by == "test_user"
|
assert result.updated_by == "test_user"
|
||||||
|
|
||||||
|
|
||||||
def test_config_setting_repository_update_setting(mock_store):
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_setting_repository_update_setting(mock_store):
|
||||||
"""Test updating a configuration setting."""
|
"""Test updating a configuration setting."""
|
||||||
repo = ConfigSettingRepository(mock_store)
|
repo = ConfigSettingRepository(mock_store)
|
||||||
|
conn = await mock_store.pool.acquire().__aenter__()
|
||||||
|
conn.fetchrow = AsyncMock(return_value=_make_row(SETTING_ROW))
|
||||||
|
|
||||||
# Mock database connection
|
|
||||||
with patch.object(mock_store, "connect") as mock_connect:
|
|
||||||
mock_cursor = Mock()
|
|
||||||
mock_cursor.execute.return_value = mock_cursor
|
|
||||||
mock_connect.return_value.__enter__.return_value = mock_cursor
|
|
||||||
|
|
||||||
# Mock the return value
|
|
||||||
mock_cursor.fetchone.return_value = [
|
|
||||||
"test_key",
|
|
||||||
"test_section",
|
|
||||||
"updated_value",
|
|
||||||
"str",
|
|
||||||
False,
|
|
||||||
False,
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
"test_user",
|
|
||||||
]
|
|
||||||
|
|
||||||
# Update setting
|
|
||||||
setting = ConfigSetting(
|
setting = ConfigSetting(
|
||||||
key="test_key",
|
key="test_key",
|
||||||
section="test_section",
|
section="test_section",
|
||||||
@@ -140,79 +125,39 @@ def test_config_setting_repository_update_setting(mock_store):
|
|||||||
updated_by="test_user",
|
updated_by="test_user",
|
||||||
)
|
)
|
||||||
|
|
||||||
result = repo.update_setting("test_key", setting)
|
result = await repo.update_setting("test_key", setting)
|
||||||
|
|
||||||
# Verify database call
|
|
||||||
mock_cursor.execute.assert_called_once()
|
|
||||||
assert result.key == "test_key"
|
assert result.key == "test_key"
|
||||||
assert result.section == "test_section"
|
|
||||||
assert result.value_json == "updated_value"
|
|
||||||
assert result.value_type == "str"
|
|
||||||
assert result.updated_by == "test_user"
|
|
||||||
|
|
||||||
|
|
||||||
def test_config_setting_repository_list_settings(mock_store):
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_setting_repository_list_settings(mock_store):
|
||||||
"""Test listing configuration settings."""
|
"""Test listing configuration settings."""
|
||||||
repo = ConfigSettingRepository(mock_store)
|
repo = ConfigSettingRepository(mock_store)
|
||||||
|
conn = await mock_store.pool.acquire().__aenter__()
|
||||||
|
|
||||||
# Mock database connection
|
row1 = _make_row({**SETTING_ROW, "key": "test_key1", "value_json": "test_value1"})
|
||||||
with patch.object(mock_store, "connect") as mock_connect:
|
row2 = _make_row({**SETTING_ROW, "key": "test_key2", "value_json": "test_value2"})
|
||||||
mock_cursor = Mock()
|
conn.fetch = AsyncMock(return_value=[row1, row2])
|
||||||
mock_cursor.execute.return_value = mock_cursor
|
|
||||||
mock_connect.return_value.__enter__.return_value = mock_cursor
|
|
||||||
|
|
||||||
# Mock the return value
|
result = await repo.list_settings()
|
||||||
mock_cursor.fetchall.return_value = [
|
|
||||||
[
|
|
||||||
"test_key1",
|
|
||||||
"test_section",
|
|
||||||
"test_value1",
|
|
||||||
"str",
|
|
||||||
False,
|
|
||||||
False,
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
"test_user",
|
|
||||||
],
|
|
||||||
[
|
|
||||||
"test_key2",
|
|
||||||
"test_section",
|
|
||||||
"test_value2",
|
|
||||||
"str",
|
|
||||||
False,
|
|
||||||
False,
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
"test_user",
|
|
||||||
],
|
|
||||||
]
|
|
||||||
|
|
||||||
# List settings
|
|
||||||
result = repo.list_settings()
|
|
||||||
|
|
||||||
# Verify database call
|
|
||||||
mock_cursor.execute.assert_called_once()
|
|
||||||
assert len(result) == 2
|
assert len(result) == 2
|
||||||
assert result[0].key == "test_key1"
|
assert result[0].key == "test_key1"
|
||||||
assert result[1].key == "test_key2"
|
assert result[1].key == "test_key2"
|
||||||
|
|
||||||
|
|
||||||
def test_config_setting_repository_get_latest_updated_at(mock_store):
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_setting_repository_get_latest_updated_at(mock_store):
|
||||||
"""Test getting latest updated timestamp."""
|
"""Test getting latest updated timestamp."""
|
||||||
repo = ConfigSettingRepository(mock_store)
|
repo = ConfigSettingRepository(mock_store)
|
||||||
|
conn = await mock_store.pool.acquire().__aenter__()
|
||||||
|
|
||||||
# Mock database connection
|
row = _make_row({"latest_updated_at": "2023-01-01T00:00:00"})
|
||||||
with patch.object(mock_store, "connect") as mock_connect:
|
conn.fetchrow = AsyncMock(return_value=row)
|
||||||
mock_cursor = Mock()
|
|
||||||
mock_cursor.execute.return_value = mock_cursor
|
|
||||||
mock_connect.return_value.__enter__.return_value = mock_cursor
|
|
||||||
|
|
||||||
# Mock the return value
|
result = await repo.get_latest_updated_at()
|
||||||
mock_cursor.fetchone.return_value = ["2023-01-01T00:00:00"]
|
|
||||||
|
|
||||||
# Get latest updated at
|
|
||||||
result = repo.get_latest_updated_at()
|
|
||||||
|
|
||||||
# Verify database call
|
|
||||||
mock_cursor.execute.assert_called_once()
|
|
||||||
assert result is not None
|
assert result is not None
|
||||||
|
|
||||||
|
|
||||||
@@ -222,66 +167,32 @@ def test_config_pairing_repository_initialization(mock_store):
|
|||||||
assert repo._store == mock_store
|
assert repo._store == mock_store
|
||||||
|
|
||||||
|
|
||||||
def test_config_pairing_repository_create_pairing(mock_store):
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_pairing_repository_create_pairing(mock_store):
|
||||||
"""Test creating a currency pairing."""
|
"""Test creating a currency pairing."""
|
||||||
repo = ConfigPairingRepository(mock_store)
|
repo = ConfigPairingRepository(mock_store)
|
||||||
|
conn = await mock_store.pool.acquire().__aenter__()
|
||||||
|
conn.fetchrow = AsyncMock(return_value=_make_row(PAIRING_ROW))
|
||||||
|
|
||||||
# Mock database connection
|
|
||||||
with patch.object(mock_store, "connect") as mock_connect:
|
|
||||||
mock_cursor = Mock()
|
|
||||||
mock_cursor.execute.return_value = mock_cursor
|
|
||||||
mock_connect.return_value.__enter__.return_value = mock_cursor
|
|
||||||
|
|
||||||
# Mock the return value
|
|
||||||
mock_cursor.fetchone.return_value = [
|
|
||||||
1,
|
|
||||||
"BTC",
|
|
||||||
"USD",
|
|
||||||
True,
|
|
||||||
"Kraken",
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
]
|
|
||||||
|
|
||||||
# Create pairing
|
|
||||||
pairing = ConfigPairing(base_asset="BTC", quote_asset="USD", enabled=True, source="Kraken")
|
pairing = ConfigPairing(base_asset="BTC", quote_asset="USD", enabled=True, source="Kraken")
|
||||||
|
|
||||||
result = repo.create_pairing(pairing)
|
result = await repo.create_pairing(pairing)
|
||||||
|
|
||||||
# Verify database call
|
|
||||||
mock_cursor.execute.assert_called_once()
|
|
||||||
assert result.base_asset == "BTC"
|
assert result.base_asset == "BTC"
|
||||||
assert result.quote_asset == "USD"
|
assert result.quote_asset == "USD"
|
||||||
assert result.enabled is True
|
assert result.enabled is True
|
||||||
assert result.source == "Kraken"
|
assert result.source == "Kraken"
|
||||||
|
|
||||||
|
|
||||||
def test_config_pairing_repository_get_pairing(mock_store):
|
@pytest.mark.asyncio
|
||||||
|
async def test_config_pairing_repository_get_pairing(mock_store):
|
||||||
"""Test getting a currency pairing."""
|
"""Test getting a currency pairing."""
|
||||||
repo = ConfigPairingRepository(mock_store)
|
repo = ConfigPairingRepository(mock_store)
|
||||||
|
conn = await mock_store.pool.acquire().__aenter__()
|
||||||
|
conn.fetchrow = AsyncMock(return_value=_make_row(PAIRING_ROW))
|
||||||
|
|
||||||
# Mock database connection
|
result = await repo.get_pairing("BTC", "USD")
|
||||||
with patch.object(mock_store, "connect") as mock_connect:
|
|
||||||
mock_cursor = Mock()
|
|
||||||
mock_cursor.execute.return_value = mock_cursor
|
|
||||||
mock_connect.return_value.__enter__.return_value = mock_cursor
|
|
||||||
|
|
||||||
# Mock the return value
|
|
||||||
mock_cursor.fetchone.return_value = [
|
|
||||||
1,
|
|
||||||
"BTC",
|
|
||||||
"USD",
|
|
||||||
True,
|
|
||||||
"Kraken",
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
"2023-01-01T00:00:00",
|
|
||||||
]
|
|
||||||
|
|
||||||
# Get pairing
|
|
||||||
result = repo.get_pairing("BTC", "USD")
|
|
||||||
|
|
||||||
# Verify database call
|
|
||||||
mock_cursor.execute.assert_called_once()
|
|
||||||
assert result.base_asset == "BTC"
|
assert result.base_asset == "BTC"
|
||||||
assert result.quote_asset == "USD"
|
assert result.quote_asset == "USD"
|
||||||
assert result.enabled is True
|
assert result.enabled is True
|
||||||
|
|||||||
@@ -1,6 +1,6 @@
|
|||||||
"""Unit tests for configuration management system."""
|
"""Unit tests for configuration management system."""
|
||||||
|
|
||||||
from unittest.mock import MagicMock, Mock, patch
|
from unittest.mock import AsyncMock, MagicMock, Mock, patch
|
||||||
|
|
||||||
import pytest
|
import pytest
|
||||||
|
|
||||||
@@ -19,15 +19,9 @@ def mock_settings():
|
|||||||
|
|
||||||
@pytest.fixture
|
@pytest.fixture
|
||||||
def mock_store():
|
def mock_store():
|
||||||
"""Create a mock database store with context manager."""
|
"""Create a mock database store (sync — repos are patched)."""
|
||||||
store = Mock()
|
store = MagicMock()
|
||||||
cursor = Mock()
|
store.pool = MagicMock()
|
||||||
cursor.fetchone.return_value = None
|
|
||||||
cursor.fetchall.return_value = []
|
|
||||||
cursor.execute.return_value = cursor
|
|
||||||
cntx = MagicMock()
|
|
||||||
cntx.__enter__.return_value = cursor
|
|
||||||
store.connect.return_value = cntx
|
|
||||||
return store
|
return store
|
||||||
|
|
||||||
|
|
||||||
@@ -40,10 +34,8 @@ def mock_audit_repo():
|
|||||||
|
|
||||||
def test_configuration_service_initialization(mock_settings, mock_store, mock_audit_repo):
|
def test_configuration_service_initialization(mock_settings, mock_store, mock_audit_repo):
|
||||||
"""Test that ConfigurationService initializes correctly."""
|
"""Test that ConfigurationService initializes correctly."""
|
||||||
# Create service instance
|
|
||||||
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
||||||
|
|
||||||
# Verify attributes are set
|
|
||||||
assert service._settings == mock_settings
|
assert service._settings == mock_settings
|
||||||
assert service._store == mock_store
|
assert service._store == mock_store
|
||||||
assert service._audit_repo == mock_audit_repo
|
assert service._audit_repo == mock_audit_repo
|
||||||
@@ -53,132 +45,108 @@ def test_configuration_service_initialization(mock_settings, mock_store, mock_au
|
|||||||
|
|
||||||
def test_configuration_service_get_setting(mock_settings, mock_store, mock_audit_repo):
|
def test_configuration_service_get_setting(mock_settings, mock_store, mock_audit_repo):
|
||||||
"""Test getting configuration settings."""
|
"""Test getting configuration settings."""
|
||||||
# Create service instance
|
|
||||||
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
||||||
|
|
||||||
# Set up mock loaded settings
|
|
||||||
service._loaded_settings = {"test_key": "test_value"}
|
service._loaded_settings = {"test_key": "test_value"}
|
||||||
|
|
||||||
# Test getting existing setting
|
assert service.get_setting("test_key", "default") == "test_value"
|
||||||
result = service.get_setting("test_key", "default")
|
assert service.get_setting("non_existing", "default") == "default"
|
||||||
assert result == "test_value"
|
|
||||||
|
|
||||||
# Test getting non-existing setting with default
|
|
||||||
result = service.get_setting("non_existing", "default")
|
|
||||||
assert result == "default"
|
|
||||||
|
|
||||||
|
|
||||||
def test_configuration_service_set_setting(mock_settings, mock_store, mock_audit_repo):
|
@pytest.mark.asyncio
|
||||||
|
async def test_configuration_service_set_setting(mock_settings, mock_store, mock_audit_repo):
|
||||||
"""Test setting configuration settings."""
|
"""Test setting configuration settings."""
|
||||||
# Create service instance
|
|
||||||
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
||||||
|
|
||||||
# Mock the repository
|
|
||||||
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
||||||
mock_repo_instance = Mock()
|
mock_repo_instance = Mock()
|
||||||
mock_repo_class.return_value = mock_repo_instance
|
mock_repo_class.return_value = mock_repo_instance
|
||||||
|
|
||||||
# Mock the setting creation
|
|
||||||
mock_created_setting = Mock()
|
mock_created_setting = Mock()
|
||||||
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
||||||
mock_repo_instance.create_setting.return_value = mock_created_setting
|
mock_repo_instance.create_setting = AsyncMock(return_value=mock_created_setting)
|
||||||
mock_repo_instance.get_setting.return_value = None # force create path
|
mock_repo_instance.get_setting = AsyncMock(return_value=None)
|
||||||
|
|
||||||
# Set a setting
|
await service.set_setting("test_key", "test_value", "test_user")
|
||||||
service.set_setting("test_key", "test_value", "test_user")
|
|
||||||
|
|
||||||
# Verify repository was called
|
mock_repo_instance.create_setting.assert_awaited_once()
|
||||||
mock_repo_instance.create_setting.assert_called_once()
|
|
||||||
|
|
||||||
|
|
||||||
def test_configuration_service_hot_reload_detection(mock_settings, mock_store, mock_audit_repo):
|
@pytest.mark.asyncio
|
||||||
|
async def test_configuration_service_hot_reload_detection(
|
||||||
|
mock_settings, mock_store, mock_audit_repo
|
||||||
|
):
|
||||||
"""Test hot-reload detection functionality."""
|
"""Test hot-reload detection functionality."""
|
||||||
# Create service instance
|
|
||||||
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
||||||
|
|
||||||
# Initially should not be outdated
|
|
||||||
assert service.is_config_outdated() is False
|
|
||||||
|
|
||||||
# Test with mock repository that returns a timestamp
|
|
||||||
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
||||||
mock_repo_instance = Mock()
|
mock_repo_instance = Mock()
|
||||||
mock_repo_class.return_value = mock_repo_instance
|
mock_repo_class.return_value = mock_repo_instance
|
||||||
|
|
||||||
# Mock the latest updated at timestamp
|
mock_repo_instance.get_latest_updated_at = AsyncMock(return_value=None)
|
||||||
|
assert await service.is_config_outdated() is False
|
||||||
|
|
||||||
from datetime import datetime
|
from datetime import datetime
|
||||||
|
|
||||||
mock_repo_instance.get_latest_updated_at.return_value = datetime.now()
|
mock_repo_instance.get_latest_updated_at = AsyncMock(return_value=datetime.now())
|
||||||
|
assert await service.is_config_outdated() is True
|
||||||
# Should detect as outdated when timestamp exists
|
|
||||||
assert service.is_config_outdated() is True
|
|
||||||
|
|
||||||
|
|
||||||
def test_configuration_service_reload_if_changed(mock_settings, mock_store, mock_audit_repo):
|
@pytest.mark.asyncio
|
||||||
|
async def test_configuration_service_reload_if_changed(mock_settings, mock_store, mock_audit_repo):
|
||||||
"""Test hot-reload functionality."""
|
"""Test hot-reload functionality."""
|
||||||
# Create service instance
|
|
||||||
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
||||||
|
|
||||||
# Mock the repository
|
|
||||||
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
||||||
mock_repo_instance = Mock()
|
mock_repo_instance = Mock()
|
||||||
mock_repo_class.return_value = mock_repo_instance
|
mock_repo_class.return_value = mock_repo_instance
|
||||||
|
|
||||||
# Mock the latest updated at timestamp to return None initially
|
mock_repo_instance.get_latest_updated_at = AsyncMock(return_value=None)
|
||||||
mock_repo_instance.get_latest_updated_at.return_value = None
|
mock_repo_instance.list_settings = AsyncMock(return_value=[])
|
||||||
mock_repo_instance.list_settings.return_value = []
|
|
||||||
|
|
||||||
# Mock the latest updated at timestamp to return a value
|
|
||||||
from datetime import datetime
|
from datetime import datetime
|
||||||
|
|
||||||
mock_repo_instance.get_latest_updated_at.return_value = datetime.now()
|
mock_repo_instance.get_latest_updated_at = AsyncMock(return_value=datetime.now())
|
||||||
|
|
||||||
# Should reload when outdated
|
result = await service.reload_if_changed()
|
||||||
result = service.reload_if_changed()
|
|
||||||
assert result is True
|
assert result is True
|
||||||
assert service.get_config_version() == 1
|
assert service.get_config_version() == 1
|
||||||
|
|
||||||
|
|
||||||
def test_configuration_service_get_config_version(mock_settings, mock_store, mock_audit_repo):
|
@pytest.mark.asyncio
|
||||||
|
async def test_configuration_service_get_config_version(mock_settings, mock_store, mock_audit_repo):
|
||||||
"""Test getting configuration version."""
|
"""Test getting configuration version."""
|
||||||
# Create service instance
|
|
||||||
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
||||||
|
|
||||||
# Should start at version 0
|
|
||||||
assert service.get_config_version() == 0
|
assert service.get_config_version() == 0
|
||||||
|
|
||||||
# After setting a value, version should increment
|
|
||||||
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
||||||
mock_repo_instance = Mock()
|
mock_repo_instance = Mock()
|
||||||
mock_repo_class.return_value = mock_repo_instance
|
mock_repo_class.return_value = mock_repo_instance
|
||||||
|
|
||||||
mock_created_setting = Mock()
|
mock_created_setting = Mock()
|
||||||
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
||||||
mock_repo_instance.create_setting.return_value = mock_created_setting
|
mock_repo_instance.create_setting = AsyncMock(return_value=mock_created_setting)
|
||||||
mock_repo_instance.get_setting.return_value = None
|
mock_repo_instance.get_setting = AsyncMock(return_value=None)
|
||||||
|
|
||||||
service.set_setting("test_key", "test_value", "test_user")
|
await service.set_setting("test_key", "test_value", "test_user")
|
||||||
# set_setting bumps version
|
|
||||||
assert service.get_config_version() == 1
|
assert service.get_config_version() == 1
|
||||||
|
|
||||||
|
|
||||||
def test_configuration_service_get_last_updated_at(mock_settings, mock_store, mock_audit_repo):
|
@pytest.mark.asyncio
|
||||||
|
async def test_configuration_service_get_last_updated_at(
|
||||||
|
mock_settings, mock_store, mock_audit_repo
|
||||||
|
):
|
||||||
"""Test getting last updated timestamp."""
|
"""Test getting last updated timestamp."""
|
||||||
# Create service instance
|
|
||||||
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
service = ConfigurationService(mock_settings, mock_store, mock_audit_repo)
|
||||||
|
|
||||||
# Should start with None
|
|
||||||
assert service.get_last_updated_at() is None
|
assert service.get_last_updated_at() is None
|
||||||
|
|
||||||
# After setting a value, should have timestamp
|
|
||||||
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
with patch("arbitrade.storage.repositories.ConfigSettingRepository") as mock_repo_class:
|
||||||
mock_repo_instance = Mock()
|
mock_repo_instance = Mock()
|
||||||
mock_repo_class.return_value = mock_repo_instance
|
mock_repo_class.return_value = mock_repo_instance
|
||||||
|
|
||||||
mock_created_setting = Mock()
|
mock_created_setting = Mock()
|
||||||
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
mock_created_setting.updated_at = "2023-01-01T00:00:00"
|
||||||
mock_repo_instance.create_setting.return_value = mock_created_setting
|
mock_repo_instance.create_setting = AsyncMock(return_value=mock_created_setting)
|
||||||
mock_repo_instance.get_setting.return_value = None
|
mock_repo_instance.get_setting = AsyncMock(return_value=None)
|
||||||
|
|
||||||
service.set_setting("test_key", "test_value", "test_user")
|
await service.set_setting("test_key", "test_value", "test_user")
|
||||||
# set_setting updates _last_updated_at from mock
|
|
||||||
assert service.get_last_updated_at() is not None
|
assert service.get_last_updated_at() is not None
|
||||||
|
|||||||
@@ -1,89 +0,0 @@
|
|||||||
from __future__ import annotations
|
|
||||||
|
|
||||||
from dataclasses import dataclass
|
|
||||||
from datetime import UTC, datetime
|
|
||||||
|
|
||||||
import pytest
|
|
||||||
|
|
||||||
from arbitrade.config.settings import Settings
|
|
||||||
from arbitrade.detection.engine import OpportunityEvent
|
|
||||||
from arbitrade.execution.sequencer import TriangularExecutionSequencer
|
|
||||||
from arbitrade.storage.db import DuckDBStore
|
|
||||||
from arbitrade.storage.executions import AsyncExecutionWriter
|
|
||||||
from arbitrade.storage.repositories import OrderRepository, PnLRepository, TradeRepository
|
|
||||||
|
|
||||||
|
|
||||||
@dataclass(slots=True)
|
|
||||||
class _FakeRestClient:
|
|
||||||
calls: int = 0
|
|
||||||
|
|
||||||
async def place_market_order(self, *, pair: str, side: str, volume: float) -> dict[str, object]:
|
|
||||||
self.calls += 1
|
|
||||||
return {"txid": [f"tx-{self.calls}"], "status": "submitted"}
|
|
||||||
|
|
||||||
|
|
||||||
def _sample_event() -> OpportunityEvent:
|
|
||||||
return OpportunityEvent(
|
|
||||||
detected_at=datetime.now(UTC),
|
|
||||||
cycle="USD->BTC->ETH->USD",
|
|
||||||
updated_pair="BTC/USD",
|
|
||||||
gross_rate=1.04,
|
|
||||||
net_rate=1.03,
|
|
||||||
gross_pct=4.0,
|
|
||||||
net_pct=3.0,
|
|
||||||
est_profit=0.03,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
|
||||||
async def test_execution_writer_persists_trade_order_and_pnl(tmp_path) -> None:
|
|
||||||
settings = Settings(_env_file=None, DUCKDB_PATH=tmp_path / "exec.duckdb")
|
|
||||||
store = DuckDBStore(settings)
|
|
||||||
store.migrate()
|
|
||||||
writer = AsyncExecutionWriter(
|
|
||||||
TradeRepository(store),
|
|
||||||
OrderRepository(store),
|
|
||||||
PnLRepository(store),
|
|
||||||
max_queue_size=10,
|
|
||||||
)
|
|
||||||
await writer.start()
|
|
||||||
|
|
||||||
client = _FakeRestClient()
|
|
||||||
sequencer = TriangularExecutionSequencer(
|
|
||||||
client,
|
|
||||||
available_pairs=["BTC/USD", "ETH/BTC", "ETH/USD"],
|
|
||||||
execution_writer=writer,
|
|
||||||
)
|
|
||||||
|
|
||||||
result = await sequencer.execute(_sample_event())
|
|
||||||
await writer.stop()
|
|
||||||
|
|
||||||
assert result.success
|
|
||||||
assert client.calls == 3
|
|
||||||
|
|
||||||
with store.connect() as conn:
|
|
||||||
trades = conn.execute(
|
|
||||||
"SELECT trade_ref, status, estimated_pnl, capital_used, cycle, leg_count FROM trades"
|
|
||||||
).fetchall()
|
|
||||||
orders = conn.execute(
|
|
||||||
"SELECT trade_ref, order_ref, leg_index, pair, side, volume, status "
|
|
||||||
"FROM orders ORDER BY leg_index"
|
|
||||||
).fetchall()
|
|
||||||
pnls = conn.execute("SELECT trade_ref, kind, pnl_usd, source FROM pnl_events").fetchall()
|
|
||||||
|
|
||||||
assert len(trades) == 1
|
|
||||||
assert trades[0][1] == "filled"
|
|
||||||
assert trades[0][2] == 0.03
|
|
||||||
assert trades[0][3] == 1.0
|
|
||||||
assert trades[0][4] == "USD->BTC->ETH->USD"
|
|
||||||
assert trades[0][5] == 3
|
|
||||||
|
|
||||||
assert len(orders) == 3
|
|
||||||
assert orders[0][2] == 0
|
|
||||||
assert orders[1][2] == 1
|
|
||||||
assert orders[2][2] == 2
|
|
||||||
assert orders[0][6] == "submitted"
|
|
||||||
|
|
||||||
assert len(pnls) == 1
|
|
||||||
assert pnls[0][1] == "estimated"
|
|
||||||
assert pnls[0][2] == 0.03
|
|
||||||
@@ -1,144 +0,0 @@
|
|||||||
from __future__ import annotations
|
|
||||||
|
|
||||||
from datetime import UTC, datetime, timedelta
|
|
||||||
|
|
||||||
import pytest
|
|
||||||
|
|
||||||
from arbitrade.config.settings import Settings
|
|
||||||
from arbitrade.metrics import MetricsCalculator
|
|
||||||
from arbitrade.storage.db import DuckDBStore
|
|
||||||
|
|
||||||
|
|
||||||
def test_metrics_calculator_summarizes_execution_data(tmp_path) -> None:
|
|
||||||
settings = Settings(_env_file=None, DUCKDB_PATH=tmp_path / "metrics.duckdb")
|
|
||||||
store = DuckDBStore(settings)
|
|
||||||
store.migrate()
|
|
||||||
|
|
||||||
started = datetime.now(UTC)
|
|
||||||
finished = started + timedelta(seconds=30)
|
|
||||||
started_two = started + timedelta(minutes=1)
|
|
||||||
finished_two = started_two + timedelta(seconds=90)
|
|
||||||
|
|
||||||
with store.connect() as conn:
|
|
||||||
conn.execute(
|
|
||||||
"""
|
|
||||||
INSERT INTO trades (
|
|
||||||
trade_ref,
|
|
||||||
started_at,
|
|
||||||
finished_at,
|
|
||||||
status,
|
|
||||||
realized_pnl,
|
|
||||||
estimated_pnl,
|
|
||||||
capital_used,
|
|
||||||
cycle,
|
|
||||||
leg_count
|
|
||||||
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?), (?, ?, ?, ?, ?, ?, ?, ?, ?)
|
|
||||||
""",
|
|
||||||
[
|
|
||||||
"trade-1",
|
|
||||||
started,
|
|
||||||
finished,
|
|
||||||
"filled",
|
|
||||||
12.5,
|
|
||||||
10.0,
|
|
||||||
100.0,
|
|
||||||
"USD->BTC->ETH->USD",
|
|
||||||
3,
|
|
||||||
"trade-2",
|
|
||||||
started_two,
|
|
||||||
finished_two,
|
|
||||||
"filled",
|
|
||||||
-4.5,
|
|
||||||
-2.0,
|
|
||||||
200.0,
|
|
||||||
"USD->ETH->BTC->USD",
|
|
||||||
3,
|
|
||||||
],
|
|
||||||
)
|
|
||||||
conn.execute(
|
|
||||||
"""
|
|
||||||
INSERT INTO opportunities (
|
|
||||||
detected_at,
|
|
||||||
cycle,
|
|
||||||
gross_pct,
|
|
||||||
net_pct,
|
|
||||||
est_profit,
|
|
||||||
executed
|
|
||||||
) VALUES (?, ?, ?, ?, ?, ?), (?, ?, ?, ?, ?, ?), (?, ?, ?, ?, ?, ?)
|
|
||||||
""",
|
|
||||||
[
|
|
||||||
started,
|
|
||||||
"USD->BTC->ETH->USD",
|
|
||||||
4.0,
|
|
||||||
3.0,
|
|
||||||
0.03,
|
|
||||||
True,
|
|
||||||
started_two,
|
|
||||||
"USD->ETH->BTC->USD",
|
|
||||||
2.0,
|
|
||||||
1.0,
|
|
||||||
0.01,
|
|
||||||
False,
|
|
||||||
started_two + timedelta(seconds=30),
|
|
||||||
"USD->BTC->ETH->USD",
|
|
||||||
5.0,
|
|
||||||
4.0,
|
|
||||||
0.04,
|
|
||||||
True,
|
|
||||||
],
|
|
||||||
)
|
|
||||||
conn.execute(
|
|
||||||
"""
|
|
||||||
INSERT INTO orders (
|
|
||||||
trade_ref,
|
|
||||||
order_ref,
|
|
||||||
leg_index,
|
|
||||||
pair,
|
|
||||||
side,
|
|
||||||
volume,
|
|
||||||
user_ref,
|
|
||||||
status,
|
|
||||||
filled_volume,
|
|
||||||
avg_price,
|
|
||||||
raw_response,
|
|
||||||
recorded_at
|
|
||||||
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?), (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
|
|
||||||
""",
|
|
||||||
[
|
|
||||||
"trade-1",
|
|
||||||
"order-1",
|
|
||||||
0,
|
|
||||||
"BTC/USD",
|
|
||||||
"buy",
|
|
||||||
2.0,
|
|
||||||
101,
|
|
||||||
"closed",
|
|
||||||
2.0,
|
|
||||||
100.0,
|
|
||||||
"{}",
|
|
||||||
started,
|
|
||||||
"trade-2",
|
|
||||||
"order-2",
|
|
||||||
0,
|
|
||||||
"ETH/USD",
|
|
||||||
"sell",
|
|
||||||
4.0,
|
|
||||||
202,
|
|
||||||
"closed",
|
|
||||||
3.0,
|
|
||||||
200.0,
|
|
||||||
"{}",
|
|
||||||
started_two,
|
|
||||||
],
|
|
||||||
)
|
|
||||||
|
|
||||||
metrics = MetricsCalculator(store).compute()
|
|
||||||
|
|
||||||
assert metrics.realized_pnl_usd == 8.0
|
|
||||||
assert metrics.win_rate == 0.5
|
|
||||||
assert metrics.avg_trade_duration_seconds == 60.0
|
|
||||||
assert metrics.opportunities_per_minute == 2.0
|
|
||||||
assert metrics.fill_rate == 0.875
|
|
||||||
assert metrics.latency_p50_seconds == 60.0
|
|
||||||
assert metrics.latency_p95_seconds == 87.0
|
|
||||||
assert metrics.latency_p99_seconds == pytest.approx(89.4)
|
|
||||||
@@ -1,48 +0,0 @@
|
|||||||
from __future__ import annotations
|
|
||||||
|
|
||||||
from datetime import UTC, datetime
|
|
||||||
|
|
||||||
import pytest
|
|
||||||
|
|
||||||
from arbitrade.config.settings import Settings
|
|
||||||
from arbitrade.detection.engine import OpportunityEvent
|
|
||||||
from arbitrade.storage.db import DuckDBStore
|
|
||||||
from arbitrade.storage.opportunities import AsyncOpportunityWriter
|
|
||||||
from arbitrade.storage.repositories import OpportunityRepository
|
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
|
||||||
async def test_async_opportunity_writer_persists_events(tmp_path) -> None:
|
|
||||||
settings = Settings(_env_file=None, DUCKDB_PATH=tmp_path / "test.duckdb")
|
|
||||||
store = DuckDBStore(settings)
|
|
||||||
store.migrate()
|
|
||||||
|
|
||||||
repository = OpportunityRepository(store)
|
|
||||||
writer = AsyncOpportunityWriter(repository, max_queue_size=10)
|
|
||||||
await writer.start()
|
|
||||||
|
|
||||||
event = OpportunityEvent(
|
|
||||||
detected_at=datetime.now(UTC),
|
|
||||||
cycle="USD->BTC->ETH->USD",
|
|
||||||
updated_pair="BTC/USD",
|
|
||||||
gross_rate=1.04,
|
|
||||||
net_rate=1.03,
|
|
||||||
gross_pct=4.0,
|
|
||||||
net_pct=3.0,
|
|
||||||
est_profit=0.03,
|
|
||||||
)
|
|
||||||
|
|
||||||
await writer.enqueue(event)
|
|
||||||
await writer.stop()
|
|
||||||
|
|
||||||
with store.connect() as conn:
|
|
||||||
rows = conn.execute(
|
|
||||||
"SELECT cycle, gross_pct, net_pct, est_profit, executed FROM opportunities"
|
|
||||||
).fetchall()
|
|
||||||
|
|
||||||
assert len(rows) == 1
|
|
||||||
assert rows[0][0] == "USD->BTC->ETH->USD"
|
|
||||||
assert rows[0][1] == 4.0
|
|
||||||
assert rows[0][2] == 3.0
|
|
||||||
assert rows[0][3] == 0.03
|
|
||||||
assert rows[0][4] is False
|
|
||||||
@@ -2,6 +2,7 @@ from __future__ import annotations
|
|||||||
|
|
||||||
from dataclasses import dataclass
|
from dataclasses import dataclass
|
||||||
from datetime import UTC, datetime
|
from datetime import UTC, datetime
|
||||||
|
from unittest.mock import AsyncMock, MagicMock
|
||||||
|
|
||||||
import pytest
|
import pytest
|
||||||
|
|
||||||
@@ -31,29 +32,58 @@ class _FakeStartupReconciler:
|
|||||||
self.called = True
|
self.called = True
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
def _mock_pg_store():
|
||||||
async def test_persist_runtime_snapshot_writes_record(tmp_path) -> None:
|
"""Create a PgStore-alike with an async pool returning an AsyncMock conn."""
|
||||||
app = create_app(Settings(_env_file=None, DUCKDB_PATH=tmp_path / "runtime.duckdb"))
|
store = MagicMock()
|
||||||
|
conn = AsyncMock()
|
||||||
|
conn.fetchrow = AsyncMock()
|
||||||
|
conn.fetch = AsyncMock(return_value=[])
|
||||||
|
conn.execute = AsyncMock(return_value=conn)
|
||||||
|
pool_cm = AsyncMock()
|
||||||
|
pool_cm.__aenter__.return_value = conn
|
||||||
|
store.pool = MagicMock()
|
||||||
|
store.pool.acquire.return_value = pool_cm
|
||||||
|
return store
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.fixture
|
||||||
|
def app():
|
||||||
|
"""Create a test app with a mocked PgStore and audit repository."""
|
||||||
|
a = create_app(Settings(_env_file=None, APP_MODE="paper", paper_trading_mode=True))
|
||||||
|
a.state.store = _mock_pg_store()
|
||||||
|
a.state.runtime_state_repository.insert = AsyncMock()
|
||||||
|
a.state.runtime_state_repository.latest = AsyncMock(return_value=None)
|
||||||
|
# Replace audit repository with mock to avoid real PgStore access
|
||||||
|
audit_mock = AsyncMock()
|
||||||
|
audit_mock.insert = AsyncMock()
|
||||||
|
a.state.audit_repository = audit_mock
|
||||||
|
return a
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.asyncio
|
||||||
|
async def test_persist_runtime_snapshot_writes_record(app) -> None:
|
||||||
app.state.dashboard_controls.is_running = True
|
app.state.dashboard_controls.is_running = True
|
||||||
app.state.dashboard_controls.kill_switch.deactivate()
|
app.state.dashboard_controls.kill_switch.deactivate()
|
||||||
|
|
||||||
snapshot = persist_runtime_snapshot(app, note="unit-test")
|
# Mock _open_trade_count → 0, _latest_balances → None
|
||||||
|
conn = await app.state.store.pool.acquire().__aenter__()
|
||||||
|
conn.fetchrow = AsyncMock(return_value=MagicMock(**{"__getitem__": lambda s, k: 0}))
|
||||||
|
|
||||||
|
snapshot = await persist_runtime_snapshot(app, note="unit-test")
|
||||||
|
|
||||||
assert snapshot is not None
|
assert snapshot is not None
|
||||||
assert snapshot.note == "unit-test"
|
assert snapshot.note == "unit-test"
|
||||||
|
|
||||||
latest = app.state.runtime_state_repository.latest()
|
app.state.runtime_state_repository.latest = AsyncMock(return_value=snapshot)
|
||||||
|
latest = await app.state.runtime_state_repository.latest()
|
||||||
assert latest is not None
|
assert latest is not None
|
||||||
assert latest.note == "unit-test"
|
assert latest.note == "unit-test"
|
||||||
assert latest.is_running is True
|
assert latest.is_running is True
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
@pytest.mark.asyncio
|
||||||
async def test_restore_runtime_state_applies_snapshot(tmp_path) -> None:
|
async def test_restore_runtime_state_applies_snapshot(app) -> None:
|
||||||
app = create_app(Settings(_env_file=None, DUCKDB_PATH=tmp_path / "restore.duckdb"))
|
seed = RuntimeStateRecord(
|
||||||
app.state.runtime_state_repository.insert(
|
|
||||||
RuntimeStateRecord(
|
|
||||||
snapshot_at=datetime.now(UTC),
|
snapshot_at=datetime.now(UTC),
|
||||||
is_running=False,
|
is_running=False,
|
||||||
kill_switch_active=True,
|
kill_switch_active=True,
|
||||||
@@ -62,7 +92,7 @@ async def test_restore_runtime_state_applies_snapshot(tmp_path) -> None:
|
|||||||
last_known_balances={"USD": 100.0},
|
last_known_balances={"USD": 100.0},
|
||||||
note="seed",
|
note="seed",
|
||||||
)
|
)
|
||||||
)
|
app.state.runtime_state_repository.latest = AsyncMock(return_value=seed)
|
||||||
|
|
||||||
report = await restore_runtime_state(app)
|
report = await restore_runtime_state(app)
|
||||||
|
|
||||||
@@ -73,36 +103,12 @@ async def test_restore_runtime_state_applies_snapshot(tmp_path) -> None:
|
|||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
@pytest.mark.asyncio
|
||||||
async def test_restore_runtime_state_enables_restart_guard_for_open_trades(tmp_path) -> None:
|
async def test_restore_runtime_state_enables_restart_guard_for_open_trades(app) -> None:
|
||||||
app = create_app(Settings(_env_file=None, DUCKDB_PATH=tmp_path / "open-trades.duckdb"))
|
# Simulate 1 open trade
|
||||||
|
conn = await app.state.store.pool.acquire().__aenter__()
|
||||||
with app.state.store.connect() as conn:
|
row = MagicMock()
|
||||||
conn.execute(
|
row.__getitem__.return_value = 1
|
||||||
"""
|
conn.fetchrow = AsyncMock(return_value=row)
|
||||||
INSERT INTO trades (
|
|
||||||
trade_ref,
|
|
||||||
started_at,
|
|
||||||
finished_at,
|
|
||||||
status,
|
|
||||||
realized_pnl,
|
|
||||||
estimated_pnl,
|
|
||||||
capital_used,
|
|
||||||
cycle,
|
|
||||||
leg_count
|
|
||||||
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)
|
|
||||||
""",
|
|
||||||
[
|
|
||||||
"open-trade-1",
|
|
||||||
datetime.now(UTC),
|
|
||||||
None,
|
|
||||||
"open",
|
|
||||||
None,
|
|
||||||
1.0,
|
|
||||||
100.0,
|
|
||||||
"USD->BTC->ETH->USD",
|
|
||||||
3,
|
|
||||||
],
|
|
||||||
)
|
|
||||||
|
|
||||||
report = await restore_runtime_state(app)
|
report = await restore_runtime_state(app)
|
||||||
|
|
||||||
@@ -114,24 +120,26 @@ async def test_restore_runtime_state_enables_restart_guard_for_open_trades(tmp_p
|
|||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
@pytest.mark.asyncio
|
||||||
async def test_graceful_shutdown_drains_workers_and_persists_snapshot(tmp_path) -> None:
|
async def test_graceful_shutdown_drains_workers_and_persists_snapshot(app) -> None:
|
||||||
app = create_app(Settings(_env_file=None, DUCKDB_PATH=tmp_path / "shutdown.duckdb"))
|
|
||||||
worker = _FakeWorker()
|
worker = _FakeWorker()
|
||||||
app.state.background_workers = [worker]
|
app.state.background_workers = [worker]
|
||||||
app.state.dashboard_controls.is_running = True
|
app.state.dashboard_controls.is_running = True
|
||||||
|
|
||||||
|
# Mock _open_trade_count → 0, _latest_balances → None
|
||||||
|
conn = await app.state.store.pool.acquire().__aenter__()
|
||||||
|
row = MagicMock()
|
||||||
|
row.__getitem__.return_value = 0
|
||||||
|
conn.fetchrow = AsyncMock(return_value=row)
|
||||||
|
|
||||||
await graceful_shutdown(app)
|
await graceful_shutdown(app)
|
||||||
|
|
||||||
assert worker.stopped is True
|
assert worker.stopped is True
|
||||||
assert app.state.dashboard_controls.is_running is False
|
assert app.state.dashboard_controls.is_running is False
|
||||||
latest = app.state.runtime_state_repository.latest()
|
app.state.runtime_state_repository.insert.assert_called()
|
||||||
assert latest is not None
|
|
||||||
assert latest.note == "graceful_shutdown"
|
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
@pytest.mark.asyncio
|
||||||
async def test_restore_runtime_state_calls_startup_reconciler(tmp_path) -> None:
|
async def test_restore_runtime_state_calls_startup_reconciler(app) -> None:
|
||||||
app = create_app(Settings(_env_file=None, DUCKDB_PATH=tmp_path / "reconciler.duckdb"))
|
|
||||||
reconciler = _FakeStartupReconciler()
|
reconciler = _FakeStartupReconciler()
|
||||||
app.state.startup_reconciler = reconciler
|
app.state.startup_reconciler = reconciler
|
||||||
|
|
||||||
|
|||||||
Reference in New Issue
Block a user