initial setup
This commit is contained in:
commit
232a63dfe8
61 changed files with 4985 additions and 0 deletions
20
database/postgres/init/01-init-schemas.sql
Normal file
20
database/postgres/init/01-init-schemas.sql
Normal file
|
|
@ -0,0 +1,20 @@
|
|||
-- Trading Bot Database Schema Initialization
|
||||
|
||||
-- Create schemas
|
||||
CREATE SCHEMA IF NOT EXISTS trading;
|
||||
CREATE SCHEMA IF NOT EXISTS strategy;
|
||||
CREATE SCHEMA IF NOT EXISTS risk;
|
||||
CREATE SCHEMA IF NOT EXISTS audit;
|
||||
|
||||
-- Set search path for the database
|
||||
ALTER DATABASE trading_bot SET search_path TO trading, strategy, risk, audit, public;
|
||||
|
||||
-- Create extensions
|
||||
CREATE EXTENSION IF NOT EXISTS "uuid-ossp";
|
||||
CREATE EXTENSION IF NOT EXISTS "btree_gin";
|
||||
CREATE EXTENSION IF NOT EXISTS "pg_stat_statements";
|
||||
|
||||
-- Create a read-only user for analytics
|
||||
CREATE USER trading_reader WITH PASSWORD 'reader_pass_dev';
|
||||
GRANT CONNECT ON DATABASE trading_bot TO trading_reader;
|
||||
GRANT USAGE ON SCHEMA trading, strategy, risk, audit TO trading_reader;
|
||||
93
database/postgres/init/02-trading-tables.sql
Normal file
93
database/postgres/init/02-trading-tables.sql
Normal file
|
|
@ -0,0 +1,93 @@
|
|||
-- Core trading tables
|
||||
|
||||
-- Symbols and instruments
|
||||
CREATE TABLE trading.symbols (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
symbol VARCHAR(20) NOT NULL UNIQUE,
|
||||
name VARCHAR(255),
|
||||
exchange VARCHAR(50),
|
||||
asset_type VARCHAR(20) DEFAULT 'equity',
|
||||
sector VARCHAR(100),
|
||||
is_active BOOLEAN DEFAULT true,
|
||||
metadata JSONB DEFAULT '{}',
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
updated_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Orders
|
||||
CREATE TABLE trading.orders (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
symbol_id UUID REFERENCES trading.symbols(id),
|
||||
strategy_id UUID,
|
||||
order_type VARCHAR(20) NOT NULL, -- 'market', 'limit', 'stop', etc.
|
||||
side VARCHAR(10) NOT NULL CHECK (side IN ('buy', 'sell')),
|
||||
quantity DECIMAL(18,8) NOT NULL CHECK (quantity > 0),
|
||||
price DECIMAL(18,8),
|
||||
stop_price DECIMAL(18,8),
|
||||
status VARCHAR(20) DEFAULT 'pending' CHECK (status IN ('pending', 'submitted', 'filled', 'cancelled', 'rejected')),
|
||||
broker_order_id VARCHAR(100),
|
||||
filled_quantity DECIMAL(18,8) DEFAULT 0,
|
||||
avg_fill_price DECIMAL(18,8),
|
||||
commission DECIMAL(18,8) DEFAULT 0,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
updated_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
CONSTRAINT valid_prices CHECK (
|
||||
(order_type = 'market') OR
|
||||
(order_type = 'limit' AND price IS NOT NULL) OR
|
||||
(order_type = 'stop' AND stop_price IS NOT NULL)
|
||||
)
|
||||
);
|
||||
|
||||
-- Positions
|
||||
CREATE TABLE trading.positions (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
symbol_id UUID REFERENCES trading.symbols(id),
|
||||
strategy_id UUID,
|
||||
quantity DECIMAL(18,8) NOT NULL,
|
||||
avg_cost DECIMAL(18,8) NOT NULL,
|
||||
market_value DECIMAL(18,8),
|
||||
unrealized_pnl DECIMAL(18,8),
|
||||
realized_pnl DECIMAL(18,8) DEFAULT 0,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
updated_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
UNIQUE(symbol_id, strategy_id)
|
||||
);
|
||||
|
||||
-- Executions/Fills
|
||||
CREATE TABLE trading.executions (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
order_id UUID REFERENCES trading.orders(id),
|
||||
symbol_id UUID REFERENCES trading.symbols(id),
|
||||
side VARCHAR(10) NOT NULL CHECK (side IN ('buy', 'sell')),
|
||||
quantity DECIMAL(18,8) NOT NULL,
|
||||
price DECIMAL(18,8) NOT NULL,
|
||||
commission DECIMAL(18,8) DEFAULT 0,
|
||||
broker_execution_id VARCHAR(100),
|
||||
executed_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Accounts/Portfolios
|
||||
CREATE TABLE trading.accounts (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
name VARCHAR(255) NOT NULL,
|
||||
account_type VARCHAR(50) DEFAULT 'paper', -- 'paper', 'live'
|
||||
broker VARCHAR(50),
|
||||
cash_balance DECIMAL(18,2) DEFAULT 0,
|
||||
buying_power DECIMAL(18,2) DEFAULT 0,
|
||||
total_value DECIMAL(18,2) DEFAULT 0,
|
||||
is_active BOOLEAN DEFAULT true,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
updated_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Create indexes for performance
|
||||
CREATE INDEX idx_orders_symbol_created ON trading.orders(symbol_id, created_at);
|
||||
CREATE INDEX idx_orders_status ON trading.orders(status);
|
||||
CREATE INDEX idx_orders_strategy ON trading.orders(strategy_id);
|
||||
CREATE INDEX idx_positions_strategy ON trading.positions(strategy_id);
|
||||
CREATE INDEX idx_executions_order ON trading.executions(order_id);
|
||||
CREATE INDEX idx_executions_symbol_time ON trading.executions(symbol_id, executed_at);
|
||||
|
||||
-- Grant permissions to reader
|
||||
GRANT SELECT ON ALL TABLES IN SCHEMA trading TO trading_reader;
|
||||
105
database/postgres/init/03-strategy-risk-tables.sql
Normal file
105
database/postgres/init/03-strategy-risk-tables.sql
Normal file
|
|
@ -0,0 +1,105 @@
|
|||
-- Strategy and Risk Management Tables
|
||||
|
||||
-- Strategies
|
||||
CREATE TABLE strategy.strategies (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
name VARCHAR(255) NOT NULL,
|
||||
description TEXT,
|
||||
version VARCHAR(20) DEFAULT '1.0.0',
|
||||
config JSONB DEFAULT '{}',
|
||||
parameters JSONB DEFAULT '{}',
|
||||
is_active BOOLEAN DEFAULT false,
|
||||
is_enabled BOOLEAN DEFAULT true,
|
||||
created_by VARCHAR(255),
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
updated_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Strategy executions/runs
|
||||
CREATE TABLE strategy.executions (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
strategy_id UUID REFERENCES strategy.strategies(id),
|
||||
status VARCHAR(20) DEFAULT 'running' CHECK (status IN ('running', 'stopped', 'error', 'completed')),
|
||||
started_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
stopped_at TIMESTAMP WITH TIME ZONE,
|
||||
error_message TEXT,
|
||||
execution_stats JSONB DEFAULT '{}',
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Strategy signals
|
||||
CREATE TABLE strategy.signals (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
strategy_id UUID REFERENCES strategy.strategies(id),
|
||||
symbol_id UUID REFERENCES trading.symbols(id),
|
||||
signal_type VARCHAR(20) NOT NULL CHECK (signal_type IN ('buy', 'sell', 'hold')),
|
||||
strength DECIMAL(3,2) CHECK (strength >= 0 AND strength <= 1), -- 0.0 to 1.0
|
||||
confidence DECIMAL(3,2) CHECK (confidence >= 0 AND confidence <= 1),
|
||||
target_price DECIMAL(18,8),
|
||||
stop_loss DECIMAL(18,8),
|
||||
take_profit DECIMAL(18,8),
|
||||
metadata JSONB DEFAULT '{}',
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Risk limits
|
||||
CREATE TABLE risk.limits (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
strategy_id UUID REFERENCES strategy.strategies(id),
|
||||
account_id UUID REFERENCES trading.accounts(id),
|
||||
limit_type VARCHAR(50) NOT NULL, -- 'max_position_size', 'max_daily_loss', 'max_drawdown', etc.
|
||||
limit_value DECIMAL(18,8) NOT NULL,
|
||||
current_value DECIMAL(18,8) DEFAULT 0,
|
||||
threshold_warning DECIMAL(18,8), -- Warning at X% of limit
|
||||
is_active BOOLEAN DEFAULT true,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
updated_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Risk events/alerts
|
||||
CREATE TABLE risk.events (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
limit_id UUID REFERENCES risk.limits(id),
|
||||
strategy_id UUID,
|
||||
event_type VARCHAR(50) NOT NULL, -- 'warning', 'breach', 'resolved'
|
||||
severity VARCHAR(20) DEFAULT 'medium' CHECK (severity IN ('low', 'medium', 'high', 'critical')),
|
||||
message TEXT NOT NULL,
|
||||
current_value DECIMAL(18,8),
|
||||
limit_value DECIMAL(18,8),
|
||||
metadata JSONB DEFAULT '{}',
|
||||
acknowledged BOOLEAN DEFAULT false,
|
||||
acknowledged_by VARCHAR(255),
|
||||
acknowledged_at TIMESTAMP WITH TIME ZONE,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Performance tracking
|
||||
CREATE TABLE strategy.performance (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
strategy_id UUID REFERENCES strategy.strategies(id),
|
||||
date DATE NOT NULL,
|
||||
total_return DECIMAL(10,4),
|
||||
daily_return DECIMAL(10,4),
|
||||
sharpe_ratio DECIMAL(10,4),
|
||||
max_drawdown DECIMAL(10,4),
|
||||
win_rate DECIMAL(5,4),
|
||||
profit_factor DECIMAL(10,4),
|
||||
total_trades INTEGER DEFAULT 0,
|
||||
winning_trades INTEGER DEFAULT 0,
|
||||
losing_trades INTEGER DEFAULT 0,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
UNIQUE(strategy_id, date)
|
||||
);
|
||||
|
||||
-- Create indexes
|
||||
CREATE INDEX idx_strategies_active ON strategy.strategies(is_active, is_enabled);
|
||||
CREATE INDEX idx_executions_strategy ON strategy.executions(strategy_id);
|
||||
CREATE INDEX idx_signals_strategy_time ON strategy.signals(strategy_id, created_at);
|
||||
CREATE INDEX idx_signals_symbol ON strategy.signals(symbol_id);
|
||||
CREATE INDEX idx_limits_strategy ON risk.limits(strategy_id);
|
||||
CREATE INDEX idx_risk_events_severity ON risk.events(severity, created_at);
|
||||
CREATE INDEX idx_performance_strategy_date ON strategy.performance(strategy_id, date);
|
||||
|
||||
-- Grant permissions
|
||||
GRANT SELECT ON ALL TABLES IN SCHEMA strategy TO trading_reader;
|
||||
GRANT SELECT ON ALL TABLES IN SCHEMA risk TO trading_reader;
|
||||
59
database/postgres/init/04-audit-tables.sql
Normal file
59
database/postgres/init/04-audit-tables.sql
Normal file
|
|
@ -0,0 +1,59 @@
|
|||
-- Audit and System Tables
|
||||
|
||||
-- System events audit
|
||||
CREATE TABLE audit.system_events (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
service_name VARCHAR(100) NOT NULL,
|
||||
event_type VARCHAR(50) NOT NULL,
|
||||
event_data JSONB DEFAULT '{}',
|
||||
user_id VARCHAR(255),
|
||||
ip_address INET,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Trading events audit
|
||||
CREATE TABLE audit.trading_events (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
event_type VARCHAR(50) NOT NULL, -- 'order_created', 'order_filled', 'position_opened', etc.
|
||||
entity_type VARCHAR(50) NOT NULL, -- 'order', 'position', 'execution'
|
||||
entity_id UUID NOT NULL,
|
||||
old_values JSONB,
|
||||
new_values JSONB,
|
||||
changed_by VARCHAR(255),
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Service health monitoring
|
||||
CREATE TABLE audit.service_health (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
service_name VARCHAR(100) NOT NULL,
|
||||
status VARCHAR(20) NOT NULL CHECK (status IN ('healthy', 'unhealthy', 'degraded')),
|
||||
version VARCHAR(50),
|
||||
uptime_seconds INTEGER,
|
||||
memory_usage_mb INTEGER,
|
||||
cpu_usage_percent DECIMAL(5,2),
|
||||
last_health_check TIMESTAMP WITH TIME ZONE DEFAULT NOW(),
|
||||
metadata JSONB DEFAULT '{}',
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Configuration changes
|
||||
CREATE TABLE audit.config_changes (
|
||||
id UUID PRIMARY KEY DEFAULT uuid_generate_v4(),
|
||||
config_key VARCHAR(255) NOT NULL,
|
||||
old_value TEXT,
|
||||
new_value TEXT,
|
||||
changed_by VARCHAR(255),
|
||||
reason TEXT,
|
||||
created_at TIMESTAMP WITH TIME ZONE DEFAULT NOW()
|
||||
);
|
||||
|
||||
-- Create indexes
|
||||
CREATE INDEX idx_system_events_service_time ON audit.system_events(service_name, created_at);
|
||||
CREATE INDEX idx_trading_events_type_time ON audit.trading_events(event_type, created_at);
|
||||
CREATE INDEX idx_trading_events_entity ON audit.trading_events(entity_type, entity_id);
|
||||
CREATE INDEX idx_service_health_name_time ON audit.service_health(service_name, created_at);
|
||||
CREATE INDEX idx_config_changes_key_time ON audit.config_changes(config_key, created_at);
|
||||
|
||||
-- Grant permissions
|
||||
GRANT SELECT ON ALL TABLES IN SCHEMA audit TO trading_reader;
|
||||
55
database/postgres/init/05-initial-data.sql
Normal file
55
database/postgres/init/05-initial-data.sql
Normal file
|
|
@ -0,0 +1,55 @@
|
|||
-- Insert initial reference data
|
||||
|
||||
-- Insert common symbols
|
||||
INSERT INTO trading.symbols (symbol, name, exchange, asset_type, sector) VALUES
|
||||
('AAPL', 'Apple Inc.', 'NASDAQ', 'equity', 'Technology'),
|
||||
('GOOGL', 'Alphabet Inc.', 'NASDAQ', 'equity', 'Technology'),
|
||||
('MSFT', 'Microsoft Corporation', 'NASDAQ', 'equity', 'Technology'),
|
||||
('AMZN', 'Amazon.com Inc.', 'NASDAQ', 'equity', 'Consumer Discretionary'),
|
||||
('TSLA', 'Tesla Inc.', 'NASDAQ', 'equity', 'Consumer Discretionary'),
|
||||
('NVDA', 'NVIDIA Corporation', 'NASDAQ', 'equity', 'Technology'),
|
||||
('META', 'Meta Platforms Inc.', 'NASDAQ', 'equity', 'Technology'),
|
||||
('NFLX', 'Netflix Inc.', 'NASDAQ', 'equity', 'Communication Services'),
|
||||
('SPY', 'SPDR S&P 500 ETF Trust', 'NYSE', 'etf', 'Broad Market'),
|
||||
('QQQ', 'Invesco QQQ Trust', 'NASDAQ', 'etf', 'Technology'),
|
||||
('BTC-USD', 'Bitcoin USD', 'CRYPTO', 'cryptocurrency', 'Digital Assets'),
|
||||
('ETH-USD', 'Ethereum USD', 'CRYPTO', 'cryptocurrency', 'Digital Assets');
|
||||
|
||||
-- Insert default trading account
|
||||
INSERT INTO trading.accounts (name, account_type, broker, cash_balance, buying_power, total_value) VALUES
|
||||
('Demo Account', 'paper', 'demo', 100000.00, 100000.00, 100000.00);
|
||||
|
||||
-- Insert demo strategy
|
||||
INSERT INTO strategy.strategies (name, description, config, parameters, is_active) VALUES
|
||||
('Demo Mean Reversion', 'Simple mean reversion strategy for demonstration',
|
||||
'{"timeframe": "1h", "lookback_period": 20}',
|
||||
'{"rsi_oversold": 30, "rsi_overbought": 70, "position_size": 0.1}',
|
||||
false);
|
||||
|
||||
-- Insert basic risk limits
|
||||
INSERT INTO risk.limits (strategy_id, limit_type, limit_value, threshold_warning)
|
||||
SELECT s.id, 'max_position_size', 10000.00, 8000.00
|
||||
FROM strategy.strategies s
|
||||
WHERE s.name = 'Demo Mean Reversion';
|
||||
|
||||
INSERT INTO risk.limits (strategy_id, limit_type, limit_value, threshold_warning)
|
||||
SELECT s.id, 'max_daily_loss', 5000.00, 4000.00
|
||||
FROM strategy.strategies s
|
||||
WHERE s.name = 'Demo Mean Reversion';
|
||||
|
||||
-- Create updated_at trigger function
|
||||
CREATE OR REPLACE FUNCTION update_updated_at_column()
|
||||
RETURNS TRIGGER AS $$
|
||||
BEGIN
|
||||
NEW.updated_at = NOW();
|
||||
RETURN NEW;
|
||||
END;
|
||||
$$ language 'plpgsql';
|
||||
|
||||
-- Apply updated_at triggers
|
||||
CREATE TRIGGER update_symbols_updated_at BEFORE UPDATE ON trading.symbols FOR EACH ROW EXECUTE FUNCTION update_updated_at_column();
|
||||
CREATE TRIGGER update_orders_updated_at BEFORE UPDATE ON trading.orders FOR EACH ROW EXECUTE FUNCTION update_updated_at_column();
|
||||
CREATE TRIGGER update_positions_updated_at BEFORE UPDATE ON trading.positions FOR EACH ROW EXECUTE FUNCTION update_updated_at_column();
|
||||
CREATE TRIGGER update_accounts_updated_at BEFORE UPDATE ON trading.accounts FOR EACH ROW EXECUTE FUNCTION update_updated_at_column();
|
||||
CREATE TRIGGER update_strategies_updated_at BEFORE UPDATE ON strategy.strategies FOR EACH ROW EXECUTE FUNCTION update_updated_at_column();
|
||||
CREATE TRIGGER update_limits_updated_at BEFORE UPDATE ON risk.limits FOR EACH ROW EXECUTE FUNCTION update_updated_at_column();
|
||||
Loading…
Add table
Add a link
Reference in a new issue