clickhouse: commit exit-leg/reconstruction/maras DDLs + UV/violet DDLs (M1 vendor reconcile, upstream-first)

prod/clickhouse/pink/00_create_database.sql

@@ -0,0 +1 @@
+CREATE DATABASE IF NOT EXISTS dolphin_pink;

prod/clickhouse/pink/01_create_policy_events.sql

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+CREATE TABLE IF NOT EXISTS dolphin_pink.policy_events
+(
+    `ts` DateTime64(6, 'UTC'),
+    `ts_day` Date MATERIALIZED toDate(ts),
+    `strategy` LowCardinality(String),
+    `runtime_namespace` LowCardinality(String) DEFAULT '',
+    `strategy_namespace` LowCardinality(String) DEFAULT '',
+    `event_namespace` LowCardinality(String) DEFAULT '',
+    `actor_name` LowCardinality(String) DEFAULT '',
+    `exec_venue` LowCardinality(String) DEFAULT '',
+    `data_venue` LowCardinality(String) DEFAULT '',
+    `source` LowCardinality(String),
+    `trade_id` String,
+    `asset` LowCardinality(String),
+    `side` LowCardinality(String),
+    `entry_price` Float64,
+    `current_price` Float64,
+    `quantity` Float64,
+    `notional` Float64,
+    `leverage` Float32,
+    `bar_idx` UInt32,
+    `decision_seq` UInt32,
+    `bars_held` UInt16,
+    `action` LowCardinality(String),
+    `reason` LowCardinality(String),
+    `pnl_pct` Float32,
+    `mfe` Float32,
+    `mae` Float32,
+    `mfe_risk` Float32,
+    `mae_risk` Float32,
+    `exit_pressure` Float32,
+    `rv_comp` Float32,
+    `mae_thresh1` Float32,
+    `bounce_score` Float32,
+    `bounce_risk` Float32,
+    `ob_imbalance` Float32,
+    `vel_div_entry` Float32,
+    `vel_div_now` Float32,
+    `v50_vel` Float32,
+    `v750_vel` Float32,
+    `exf_funding` Float32,
+    `exf_dvol` Float32,
+    `exf_fear_greed` Float32,
+    `exf_taker` Float32,
+    `posture` LowCardinality(String)
+)
+ENGINE = MergeTree
+PARTITION BY toYYYYMM(ts)
+ORDER BY (ts_day, trade_id, decision_seq, ts)
+TTL ts_day + toIntervalDay(180)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/02_create_trade_reconstruction.sql

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+CREATE TABLE IF NOT EXISTS dolphin_pink.trade_reconstruction
+(
+    `ts` DateTime64(6, 'UTC'),
+    `ts_day` Date MATERIALIZED toDate(ts),
+    `trade_id` String,
+    `event_type` LowCardinality(String),
+    `event_id` String,
+    `payload_json` String,
+    `market_state_bundle_json` String DEFAULT '',
+    `tp_base_pct` Float32 DEFAULT 0,
+    `tp_effective_pct` Float32 DEFAULT 0,
+    `our_leverage` Float32 DEFAULT 0
+)
+ENGINE = MergeTree
+PARTITION BY toYYYYMM(ts)
+ORDER BY (ts_day, trade_id, event_type, event_id)
+TTL ts_day + toIntervalDay(180)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/03_create_trade_exit_legs.sql

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+CREATE TABLE IF NOT EXISTS dolphin_pink.trade_exit_legs
+(
+    `ts` DateTime64(6, 'UTC'),
+    `ts_day` Date MATERIALIZED toDate(ts),
+    `date` Date,
+    `strategy` LowCardinality(String),
+    `trade_id` String,
+    `chain_root_trade_id` String DEFAULT '',
+    `chain_head_leg_id` String DEFAULT '',
+    `chain_prev_leg_id` String DEFAULT '',
+    `chain_seq` UInt32 DEFAULT 0,
+    `chain_token` String DEFAULT '',
+    `chain_mode` LowCardinality(String) DEFAULT '',
+    `exit_leg_id` String,
+    `exit_seq` UInt32,
+    `command_id` String DEFAULT '',
+    `source` LowCardinality(String),
+    `reason` LowCardinality(String),
+    `asset` LowCardinality(String),
+    `side` LowCardinality(String),
+    `entry_price` Float64,
+    `exit_price` Float64,
+    `fraction` Float32,
+    `exit_notional` Float64,
+    `remaining_notional` Float64,
+    `remaining_qty` Float64,
+    `pnl_pct_leg` Float32,
+    `pnl_leg` Float64,
+    `pnl_realized_total` Float64,
+    `bars_held` UInt16
+)
+ENGINE = MergeTree
+PARTITION BY toYYYYMM(ts)
+ORDER BY (ts_day, trade_id, exit_seq, ts)
+TTL ts_day + toIntervalDay(180)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/04_create_position_state.sql

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+CREATE TABLE IF NOT EXISTS dolphin_pink.position_state
+(
+    `ts` DateTime64(6, 'UTC'),
+    `trade_id` String,
+    `asset` LowCardinality(String),
+    `direction` Int8,
+    `entry_price` Float64,
+    `quantity` Float64,
+    `notional` Float64,
+    `leverage` Float32,
+    `bucket_id` Int32 DEFAULT -1,
+    `entry_bar` Int32 DEFAULT 0,
+    `status` LowCardinality(String),
+    `exit_reason` LowCardinality(String) DEFAULT '',
+    `pnl` Float64 DEFAULT 0,
+    `bars_held` UInt16 DEFAULT 0,
+    `market_state_bundle_json` String DEFAULT '',
+    `tp_base_pct` Float32 DEFAULT 0,
+    `tp_effective_pct` Float32 DEFAULT 0,
+    `our_leverage` Float32 DEFAULT 0
+)
+ENGINE = ReplacingMergeTree(ts)
+PARTITION BY toYYYYMM(ts)
+ORDER BY (trade_id, ts)
+TTL toDateTime(ts) + toIntervalDay(180)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/05_alter_trade_events_maras_tp.sql

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+ALTER TABLE dolphin_pink.trade_events
+    ADD COLUMN IF NOT EXISTS market_state_bundle_json String DEFAULT '',
+    ADD COLUMN IF NOT EXISTS tp_base_pct Float32 DEFAULT 0,
+    ADD COLUMN IF NOT EXISTS tp_effective_pct Float32 DEFAULT 0,
+    ADD COLUMN IF NOT EXISTS our_leverage Float32 DEFAULT 0;

prod/clickhouse/pink/05_create_anomaly_events.sql

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+CREATE TABLE IF NOT EXISTS dolphin_pink.anomaly_events
+(
+    `ts` DateTime64(6, 'UTC'),
+    `ts_day` Date MATERIALIZED toDate(ts),
+    `decision_id` String,
+    `trade_id` String,
+    `symbol` LowCardinality(String),
+    `anomaly` LowCardinality(String),
+    `origin` LowCardinality(String),
+    `sensor` LowCardinality(String) DEFAULT '',
+    `detail` String DEFAULT '',
+    `rm_meta` Float32 DEFAULT 0
+)
+ENGINE = MergeTree
+PARTITION BY toYYYYMM(ts)
+ORDER BY (ts_day, trade_id, anomaly, ts)
+TTL ts_day + toIntervalDay(180)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/06_alter_position_state_maras_tp.sql

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+ALTER TABLE dolphin_pink.position_state
+    ADD COLUMN IF NOT EXISTS market_state_bundle_json String DEFAULT '',
+    ADD COLUMN IF NOT EXISTS tp_base_pct Float32 DEFAULT 0,
+    ADD COLUMN IF NOT EXISTS tp_effective_pct Float32 DEFAULT 0,
+    ADD COLUMN IF NOT EXISTS our_leverage Float32 DEFAULT 0;

prod/clickhouse/pink/07_alter_trade_reconstruction_maras_tp.sql

@@ -0,0 +1,5 @@
+ALTER TABLE dolphin_pink.trade_reconstruction
+    ADD COLUMN IF NOT EXISTS market_state_bundle_json String DEFAULT '',
+    ADD COLUMN IF NOT EXISTS tp_base_pct Float32 DEFAULT 0,
+    ADD COLUMN IF NOT EXISTS tp_effective_pct Float32 DEFAULT 0,
+    ADD COLUMN IF NOT EXISTS our_leverage Float32 DEFAULT 0;

prod/clickhouse/pink/account_events.sql

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+CREATE TABLE dolphin_pink.account_events
+(
+    `ts` DateTime64(6, 'UTC'),
+    `event_type` LowCardinality(String),
+    `strategy` LowCardinality(String),
+    `posture` LowCardinality(String),
+    `capital` Float64,
+    `peak_capital` Float64,
+    `drawdown_pct` Float32,
+    `pnl_today` Float64 DEFAULT 0,
+    `trades_today` UInt16 DEFAULT 0,
+    `open_positions` UInt8 DEFAULT 0,
+    `boost` Float32 DEFAULT 1.,
+    `beta` Float32 DEFAULT 0.,
+    `current_open_notional` Float64 DEFAULT 0,
+    `current_account_leverage` Float32 DEFAULT 0,
+    `exchange_leverage` UInt8 DEFAULT 0,
+    `exchange_leverage_mode` LowCardinality(String) DEFAULT '',
+    `leverage_mapping_rule` LowCardinality(String) DEFAULT '',
+    `runtime_namespace` LowCardinality(String) DEFAULT '',
+    `strategy_namespace` LowCardinality(String) DEFAULT '',
+    `event_namespace` LowCardinality(String) DEFAULT '',
+    `actor_name` LowCardinality(String) DEFAULT '',
+    `exec_venue` LowCardinality(String) DEFAULT '',
+    `data_venue` LowCardinality(String) DEFAULT '',
+    `notes` String DEFAULT ''
+)
+ENGINE = MergeTree
+ORDER BY (ts, event_type)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/adaptive_exit_shadow.sql

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+CREATE TABLE dolphin_pink.adaptive_exit_shadow
+(
+    `ts` DateTime64(6, 'UTC'),
+    `ts_day` Date MATERIALIZED toDate(ts),
+    `trade_id` String,
+    `asset` LowCardinality(String),
+    `runtime_namespace` LowCardinality(String) DEFAULT '',
+    `strategy_namespace` LowCardinality(String) DEFAULT '',
+    `event_namespace` LowCardinality(String) DEFAULT '',
+    `actor_name` LowCardinality(String) DEFAULT '',
+    `exec_venue` LowCardinality(String) DEFAULT '',
+    `data_venue` LowCardinality(String) DEFAULT '',
+    `bucket_id` UInt8,
+    `bars_held` UInt16,
+    `mae_norm` Float32,
+    `mfe_norm` Float32,
+    `tau_norm` Float32,
+    `p_cont` Float32,
+    `vel_div_entry` Float32,
+    `vel_div_now` Float32,
+    `action` LowCardinality(String),
+    `exit_reason` LowCardinality(String),
+    `actual_exit` LowCardinality(String),
+    `pnl_pct` Float32
+)
+ENGINE = MergeTree
+ORDER BY (ts_day, asset, ts)
+TTL ts_day + toIntervalDay(90)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/status_snapshots.sql

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+CREATE TABLE dolphin_pink.status_snapshots
+(
+    `ts` DateTime64(3, 'UTC'),
+    `capital` Float64,
+    `roi_pct` Float32,
+    `dd_pct` Float32,
+    `trades_executed` UInt16,
+    `posture` LowCardinality(String),
+    `rm` Float32,
+    `vel_div` Float32,
+    `vol_ok` UInt8,
+    `phase` LowCardinality(String),
+    `mhs_status` LowCardinality(String),
+    `boost` Float32,
+    `cat5` Float32,
+    `conviction_multiplier` Float32 DEFAULT 0,
+    `exchange_leverage` UInt8 DEFAULT 0,
+    `exchange_leverage_mode` LowCardinality(String) DEFAULT '',
+    `leverage_mapping_rule` LowCardinality(String) DEFAULT '',
+    `account_capital` Float64 DEFAULT 0,
+    `portfolio_capital` Float64 DEFAULT 0,
+    `current_open_notional` Float64 DEFAULT 0,
+    `current_account_leverage` Float32 DEFAULT 0,
+    `remaining_notional_capacity` Float64 DEFAULT 0,
+    `max_account_leverage` Float32 DEFAULT 0,
+    `ledger_authority` LowCardinality(String) DEFAULT ''
+)
+ENGINE = MergeTree
+ORDER BY ts
+TTL toDateTime(ts) + toIntervalDay(180)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/trade_events.sql

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+CREATE TABLE dolphin_pink.trade_events
+(
+    `ts` DateTime64(6, 'UTC'),
+    `trade_id` String DEFAULT '',
+    `date` Date,
+    `strategy` LowCardinality(String),
+    `asset` LowCardinality(String),
+    `side` LowCardinality(String),
+    `entry_price` Float64,
+    `exit_price` Float64 DEFAULT 0,
+    `quantity` Float64,
+    `pnl` Float64 DEFAULT 0,
+    `pnl_pct` Float32 DEFAULT 0,
+    `exit_reason` LowCardinality(String) DEFAULT '',
+    `vel_div_entry` Float32,
+    `boost_at_entry` Float32,
+    `beta_at_entry` Float32,
+    `posture` LowCardinality(String),
+    `leverage` Float32,
+    `conviction_multiplier` Float32 DEFAULT 0,
+    `exchange_leverage` UInt8 DEFAULT 0,
+    `exchange_leverage_mode` LowCardinality(String) DEFAULT '',
+    `leverage_mapping_rule` LowCardinality(String) DEFAULT '',
+    `runtime_namespace` LowCardinality(String) DEFAULT '',
+    `strategy_namespace` LowCardinality(String) DEFAULT '',
+    `event_namespace` LowCardinality(String) DEFAULT '',
+    `actor_name` LowCardinality(String) DEFAULT '',
+    `exec_venue` LowCardinality(String) DEFAULT '',
+    `data_venue` LowCardinality(String) DEFAULT '',
+    `account_capital` Float64 DEFAULT 0,
+    `portfolio_capital` Float64 DEFAULT 0,
+    `current_open_notional` Float64 DEFAULT 0,
+    `remaining_notional_capacity` Float64 DEFAULT 0,
+    `max_account_leverage` Float32 DEFAULT 0,
+    `margin_required` Float64 DEFAULT 0,
+    `ledger_authority` LowCardinality(String) DEFAULT '',
+    `regime_signal` Int8 DEFAULT 0,
+    `capital_before` Float64 DEFAULT 0,
+    `capital_after` Float64 DEFAULT 0,
+    `peak_capital` Float64 DEFAULT 0,
+    `drawdown_at_entry` Float32 DEFAULT 0,
+    `open_positions_count` UInt8 DEFAULT 0,
+    `scan_uuid` String DEFAULT '',
+    `bars_held` UInt16 DEFAULT 0,
+    `entry_payload_json` String DEFAULT '',
+    `exit_payload_json` String DEFAULT '',
+    `execution_payload_json` String DEFAULT '',
+    `friction_payload_json` String DEFAULT '',
+    `event_payload_json` String DEFAULT '',
+    `market_state_bundle_json` String DEFAULT '',
+    `tp_base_pct` Float32 DEFAULT 0,
+    `tp_effective_pct` Float32 DEFAULT 0,
+    `our_leverage` Float32 DEFAULT 0
+)
+ENGINE = MergeTree
+PARTITION BY toYYYYMM(ts)
+ORDER BY (ts, asset)
+SETTINGS index_granularity = 8192

prod/clickhouse/pink/v7_decision_events.sql

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+CREATE TABLE IF NOT EXISTS dolphin_pink.v7_decision_events
+(
+    `ts` DateTime64(6, 'UTC'),
+    `ts_day` Date MATERIALIZED toDate(ts),
+    `strategy` LowCardinality(String),
+    `runtime_namespace` LowCardinality(String) DEFAULT '',
+    `strategy_namespace` LowCardinality(String) DEFAULT '',
+    `event_namespace` LowCardinality(String) DEFAULT '',
+    `actor_name` LowCardinality(String) DEFAULT '',
+    `exec_venue` LowCardinality(String) DEFAULT '',
+    `data_venue` LowCardinality(String) DEFAULT '',
+    `source` LowCardinality(String),
+    `trade_id` String,
+    `asset` LowCardinality(String),
+    `side` LowCardinality(String),
+    `entry_price` Float64,
+    `current_price` Float64,
+    `quantity` Float64,
+    `notional` Float64,
+    `leverage` Float32,
+    `bar_idx` UInt32,
+    `decision_seq` UInt32,
+    `bars_held` UInt16,
+    `action` LowCardinality(String),
+    `reason` LowCardinality(String),
+    `pnl_pct` Float32,
+    `mfe` Float32,
+    `mae` Float32,
+    `mfe_risk` Float32,
+    `mae_risk` Float32,
+    `exit_pressure` Float32,
+    `rv_comp` Float32,
+    `mae_thresh1` Float32,
+    `bounce_score` Float32,
+    `bounce_risk` Float32,
+    `ob_imbalance` Float32,
+    `vel_div_entry` Float32,
+    `vel_div_now` Float32,
+    `v50_vel` Float32,
+    `v750_vel` Float32,
+    `exf_funding` Float32,
+    `exf_dvol` Float32,
+    `exf_fear_greed` Float32,
+    `exf_taker` Float32,
+    `posture` LowCardinality(String)
+)
+ENGINE = MergeTree
+PARTITION BY toYYYYMM(ts)
+ORDER BY (ts_day, trade_id, decision_seq, ts)
+TTL ts_day + toIntervalDay(180)
+SETTINGS index_granularity = 8192