467 lines
18 KiB
Python
467 lines
18 KiB
Python
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"""Node-free PINK runtime built on DITAv2 kernel + BingX venue adapter.
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The kernel owns the single-slot FSM, AccountProjection, and event
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normalization. This module translates policy-layer Decision/Intent into
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KernelIntent and reads final state from the kernel's slot + account
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snapshot. Capital is seeded from exchange balance at startup/recovery
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then maintained by kernel.account.settle() on close — no balance-poll
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overwrites during the hot loop.
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"""
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from __future__ import annotations
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import inspect
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import logging
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from dataclasses import dataclass
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from datetime import datetime, timezone
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from types import SimpleNamespace
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from typing import Any, Callable, Optional
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from prod.clean_arch.dita import (
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Decision,
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DecisionAction,
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DecisionConfig,
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DecisionContext,
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DecisionEngine,
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Intent,
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IntentContext,
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IntentEngine,
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TradeSide as LegacyTradeSide,
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)
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from prod.clean_arch.dita_v2.contracts import (
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KernelCommandType,
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KernelIntent,
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TradeSide as DitaTradeSide,
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TradeStage,
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)
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from prod.clean_arch.dita_v2.rust_backend import ExecutionKernel
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from prod.clean_arch.persistence import PinkClickHousePersistence
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from prod.clean_arch.ports.data_feed import DataFeedPort, MarketSnapshot
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LOGGER = logging.getLogger(__name__)
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def _slot_to_position_dict(slot) -> dict[str, Any]:
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"""Convert a DITAv2 TradeSlot into a simple position dict compatible
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with the persistence layer's expected shape."""
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if slot is None:
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return {}
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return {
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"trade_id": slot.trade_id,
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"asset": slot.asset,
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"side": slot.side.value,
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"entry_price": float(slot.entry_price or 0.0),
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"entry_time": slot.entry_time.isoformat() if hasattr(slot.entry_time, "isoformat") else str(slot.entry_time),
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"size": float(slot.size or 0.0),
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"initial_size": float(slot.initial_size or 0.0),
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"leverage": float(slot.leverage or 0.0),
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"realized_pnl": float(slot.realized_pnl or 0.0),
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"unrealized_pnl": float(slot.unrealized_pnl or 0.0),
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"closed": bool(slot.closed),
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"close_reason": slot.close_reason or "",
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"fsm_state": slot.fsm_state.value,
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"exit_leg_ratios": list(slot.exit_leg_ratios),
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"active_leg_index": int(slot.active_leg_index or 0),
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"active_exit_order": dict(slot.active_exit_order.to_dict()) if slot.active_exit_order and hasattr(slot.active_exit_order, "to_dict") else ({"status": slot.active_exit_order.status.value, "venue_order_id": slot.active_exit_order.venue_order_id} if slot.active_exit_order else None),
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"active_entry_order": dict(slot.active_entry_order.to_dict()) if slot.active_entry_order and hasattr(slot.active_entry_order, "to_dict") else ({"status": slot.active_entry_order.status.value, "venue_order_id": slot.active_entry_order.venue_order_id} if slot.active_entry_order else None),
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}
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def _decision_to_kernel_intent(
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decision: Decision,
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intent: Intent,
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slot_id: int = 0,
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) -> KernelIntent:
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"""Translate policy-layer Decision/Intent into a DITAv2 KernelIntent.
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The action map is:
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ENTER -> KernelCommandType.ENTER
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EXIT -> KernelCommandType.EXIT
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HOLD -> KernelCommandType.MARK_PRICE
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"""
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action_map = {
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DecisionAction.ENTER: KernelCommandType.ENTER,
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DecisionAction.EXIT: KernelCommandType.EXIT,
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DecisionAction.HOLD: KernelCommandType.MARK_PRICE,
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}
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side = (
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DitaTradeSide.SHORT
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if intent.side == LegacyTradeSide.SHORT
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else DitaTradeSide.LONG
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)
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return KernelIntent(
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timestamp=decision.timestamp,
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intent_id=decision.decision_id,
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trade_id=intent.trade_id,
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slot_id=slot_id,
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asset=intent.asset,
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side=side,
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action=action_map.get(decision.action, KernelCommandType.MARK_PRICE),
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reference_price=float(decision.reference_price or intent.reference_price or 0.0),
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target_size=float(intent.target_size or 0.0),
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leverage=float(intent.leverage or 1.0),
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exit_leg_ratios=tuple(intent.exit_leg_ratios),
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reason=intent.reason,
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metadata=dict(intent.metadata or {}),
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)
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def _reconcile_position_slot(
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kernel: ExecutionKernel,
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exchange_balance_capital: float,
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slot_id: int = 0,
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) -> None:
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"""Synchronise a single kernel slot from the venue's open positions.
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This is called at startup/recovery to make the kernel state match the
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exchange. It also seeds the kernel's AccountProjection.capital from the
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exchange balance — the single place where an external balance snapshot
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writes capital.
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"""
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venue = kernel.venue
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try:
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positions = venue.open_positions() if hasattr(venue, "open_positions") else []
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except Exception:
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positions = []
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# Build TradeSlot[] from exchange positions
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from prod.clean_arch.dita_v2.contracts import TradeSlot, TradeSide
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reconciled = []
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if positions:
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for row in positions if isinstance(positions, list) else (
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list(positions.values()) if isinstance(positions, dict) else []):
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raw_side = str(row.get("positionSide") or row.get("side") or "").upper()
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raw_qty = 0.0
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for key in ("positionAmt", "positionQty", "positionSize", "quantity", "pa", "qty"):
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try:
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raw_qty = float(row.get(key) or 0.0)
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except Exception:
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continue
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if raw_qty != 0.0:
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break
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if abs(raw_qty) <= 1e-12:
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continue
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qty = abs(raw_qty)
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entry = 0.0
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for key in ("entryPrice", "avgPrice", "avgEntryPrice", "ep", "ap", "price"):
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try:
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entry = float(row.get(key) or 0.0)
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except Exception:
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continue
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if entry > 0:
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break
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mark = 0.0
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for key in ("markPrice", "mark", "price"):
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try:
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mark = float(row.get(key) or 0.0)
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except Exception:
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continue
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if mark > 0:
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break
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if mark <= 0:
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mark = entry
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lev = float(row.get("leverage") or row.get("lev") or 1.0)
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side = TradeSide.SHORT if raw_side in {"SHORT", "SELL"} or raw_qty < 0 else TradeSide.LONG
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asset = str(row.get("symbol") or row.get("symbolName") or "")
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trade_id = asset # use asset as trade ID for exchange-led recovery
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slot = TradeSlot(
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slot_id=slot_id,
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trade_id=trade_id,
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asset=asset,
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side=side,
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entry_price=entry if entry > 0 else mark,
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size=qty,
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initial_size=qty,
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leverage=lev if lev > 0 else 1.0,
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entry_time=datetime.now(timezone.utc),
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fsm_state=TradeStage.POSITION_OPEN,
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metadata={"reconciled_from_exchange": True},
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)
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reconciled.append(slot)
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if reconciled:
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kernel.reconcile_from_slots(reconciled)
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else:
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# No open positions — ensure slot is idle
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kernel.reconcile_from_slots([])
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# Seed capital once from exchange balance.
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if exchange_balance_capital > 0:
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kernel.account.snapshot.capital = exchange_balance_capital
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kernel.account.snapshot.peak_capital = max(
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kernel.account.snapshot.peak_capital, exchange_balance_capital
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)
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kernel.account.snapshot.equity = exchange_balance_capital
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@dataclass
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class PinkDirectRuntime:
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"""Drive DITAv2 kernel against BingX exchange and a market data feed.
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The kernel owns the FSM and account projection. This runtime provides
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the policy loop: data feed -> decision engine -> intent engine ->
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kernel intent -> outcome -> persistence.
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"""
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data_feed: DataFeedPort
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kernel: ExecutionKernel
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decision_engine: DecisionEngine
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intent_engine: IntentEngine
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persistence: Optional[PinkClickHousePersistence] = None
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market_state_runtime: Any = None
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event_sink: Optional[Callable[[dict[str, Any]], None]] = None
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logger: Any = LOGGER
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async def connect(self, initial_capital: float = 25000.0) -> None:
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"""Connect data feed, venue, and seed capital from exchange."""
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await self.data_feed.connect()
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venue = self.kernel.venue
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# VenueAdapter methods are synchronous (the adapter bridges async
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# internally via _run). Try connect() if it exists.
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if hasattr(venue, "connect"):
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try:
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result = venue.connect()
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if inspect.isawaitable(result):
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await result
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except Exception as exc:
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self.logger.warning("Venue connect failed: %s", exc)
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# Seed capital from env default — the kernel tracks capital via
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# settle() on close, not from exchange balance polls.
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_reconcile_position_slot(self.kernel, initial_capital, slot_id=0)
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async def disconnect(self) -> None:
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await self.data_feed.disconnect()
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venue = self.kernel.venue
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if hasattr(venue, "disconnect"):
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try:
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await venue.disconnect()
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except Exception:
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pass
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def _emit(self, phase: str, **fields: Any) -> None:
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if self.event_sink is not None:
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payload = {"phase": phase, **fields}
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self.event_sink(payload)
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@staticmethod
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def _scan_payload_prices(
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scan_payload: dict[str, Any] | None,
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fallback_symbol: str,
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fallback_price: float,
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) -> dict[str, float]:
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payload = scan_payload or {}
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assets = payload.get("assets") or []
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prices = payload.get("asset_prices") or []
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out: dict[str, float] = {}
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if isinstance(assets, list) and isinstance(prices, list):
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for asset, price in zip(assets, prices):
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try:
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px = float(price)
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except Exception:
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continue
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if px > 0:
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out[str(asset).upper()] = px
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if not out and fallback_symbol and fallback_price > 0:
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out[str(fallback_symbol).upper()] = float(fallback_price)
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return out
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def _update_market_state_runtime(
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self, snapshot: MarketSnapshot
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) -> dict[str, Any]:
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runtime = self.market_state_runtime
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scan_payload = (
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snapshot.scan_payload if isinstance(snapshot.scan_payload, dict) else {}
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)
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if runtime is None or not scan_payload:
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return {}
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try:
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prices_dict = self._scan_payload_prices(
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scan_payload, snapshot.symbol, snapshot.price
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)
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bundle = runtime.update_scan_state(
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scan_payload=scan_payload,
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prices_dict=prices_dict,
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scan_number=int(
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scan_payload.get("scan_number") or snapshot.scan_number or 0
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),
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vel_div=float(
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scan_payload.get("vel_div")
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or snapshot.velocity_divergence
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or 0.0
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),
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v50_vel=float(scan_payload.get("w50_velocity") or 0.0),
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v750_vel=float(scan_payload.get("w750_velocity") or 0.0),
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vol_ok=bool(scan_payload.get("vol_ok", True)),
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posture=str(scan_payload.get("posture") or "APEX"),
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exf_snapshot=scan_payload.get("exf_snapshot")
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if isinstance(scan_payload.get("exf_snapshot"), dict)
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else None,
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esof_payload=scan_payload.get("esof_payload")
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if isinstance(scan_payload.get("esof_payload"), dict)
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else None,
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)
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return dict(
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getattr(runtime, "latest_bundle_dict", {}) or bundle.as_dict()
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)
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except Exception:
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return {}
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async def step(self, snapshot: MarketSnapshot) -> Decision:
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"""Single policy + execution cycle.
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1. Update market state
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2. Decide (policy layer)
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3. Plan (intent layer)
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4. Translate to KernelIntent -> kernel.process_intent()
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5. Read final slot + account state from kernel
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6. Persist
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"""
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market_state = self._update_market_state_runtime(snapshot)
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acc = self.kernel.snapshot()["account"]
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slot_view = self.kernel.slot(0) if self.kernel.max_slots > 0 else None
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slot_dict = slot_view.to_dict() if slot_view is not None else {}
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is_open = slot_dict and slot_dict.get("size", 0) > 0 and not slot_dict.get("closed", False)
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# Convert the kernel slot dict into a TradePosition for the legacy
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# decision/intent engines.
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legacy_position = None
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if is_open:
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from prod.clean_arch.dita import TradePosition, TradeSide as LS
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legacy_position = TradePosition(
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trade_id=slot_dict.get("trade_id", ""),
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asset=slot_dict.get("asset", ""),
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side=LS.SHORT if slot_dict.get("side", "").upper() in ("SHORT", "SELL") else LS.LONG,
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entry_price=float(slot_dict.get("entry_price", 0.0)),
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entry_time=datetime.now(timezone.utc),
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size=float(slot_dict.get("size", 0.0)),
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leverage=float(slot_dict.get("leverage", 1.0)),
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entry_velocity_divergence=float(slot_dict.get("entry_velocity_divergence", 0.0)),
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entry_irp_alignment=float(slot_dict.get("entry_irp_alignment", 0.0)),
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current_price=float(slot_dict.get("entry_price", 0.0)),
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initial_size=float(slot_dict.get("initial_size", 0.0)),
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exit_leg_ratios=tuple(slot_dict.get("exit_leg_ratios", [1.0])),
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closed=False,
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)
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context = DecisionContext(
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capital=float(acc.get("capital", 0.0)),
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open_positions=int(acc.get("open_positions", 0)),
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trade_seq=int(acc.get("trade_seq", 0)),
|
||
|
|
)
|
||
|
|
decision = self.decision_engine.decide(snapshot, context, legacy_position)
|
||
|
|
self._emit("decision", decision=decision)
|
||
|
|
|
||
|
|
intent_context = IntentContext(
|
||
|
|
capital=context.capital,
|
||
|
|
open_positions=context.open_positions,
|
||
|
|
trade_seq=context.trade_seq,
|
||
|
|
)
|
||
|
|
plan = self.intent_engine.plan(decision, intent_context, legacy_position)
|
||
|
|
intent = plan.intent
|
||
|
|
|
||
|
|
if decision.action in {DecisionAction.ENTER, DecisionAction.EXIT}:
|
||
|
|
kernel_intent = _decision_to_kernel_intent(decision, intent, slot_id=0)
|
||
|
|
outcome = self.kernel.process_intent(kernel_intent)
|
||
|
|
|
||
|
|
# Read authoritative final state from kernel.
|
||
|
|
final_slot = self.kernel.slot(0)
|
||
|
|
slot_dict = final_slot.to_dict()
|
||
|
|
acc = self.kernel.snapshot()["account"]
|
||
|
|
|
||
|
|
self._emit(
|
||
|
|
"execution",
|
||
|
|
decision=decision,
|
||
|
|
intent=intent,
|
||
|
|
outcome_code=outcome.diagnostic_code.value,
|
||
|
|
)
|
||
|
|
|
||
|
|
if self.persistence is not None:
|
||
|
|
self.persistence.persist_step(
|
||
|
|
snapshot=snapshot,
|
||
|
|
decision=decision,
|
||
|
|
intent=intent,
|
||
|
|
outcome=outcome,
|
||
|
|
slot_dict=slot_dict,
|
||
|
|
acc_dict=acc,
|
||
|
|
phase="execution",
|
||
|
|
market_state=market_state,
|
||
|
|
)
|
||
|
|
else:
|
||
|
|
# HOLD / no-op: update mark price in kernel.
|
||
|
|
if snapshot.price and snapshot.price > 0:
|
||
|
|
self.kernel.mark_price(snapshot.symbol, snapshot.price)
|
||
|
|
slot_dict = self.kernel.slot(0).to_dict() if self.kernel.max_slots > 0 else {}
|
||
|
|
acc = self.kernel.snapshot()["account"]
|
||
|
|
if self.persistence is not None:
|
||
|
|
self.persistence.persist_step(
|
||
|
|
snapshot=snapshot,
|
||
|
|
decision=decision,
|
||
|
|
intent=intent,
|
||
|
|
outcome=None,
|
||
|
|
slot_dict=slot_dict,
|
||
|
|
acc_dict=acc,
|
||
|
|
phase="decision",
|
||
|
|
market_state=market_state,
|
||
|
|
)
|
||
|
|
|
||
|
|
return decision
|
||
|
|
|
||
|
|
async def recover(
|
||
|
|
self, snapshot: MarketSnapshot | None = None
|
||
|
|
) -> dict[str, Any]:
|
||
|
|
"""Full recovery — reconcile exchange state into kernel and reseed capital."""
|
||
|
|
return await self.recover_account(
|
||
|
|
snapshot=snapshot, phase="recovery", event_type="RECOVERY"
|
||
|
|
)
|
||
|
|
|
||
|
|
async def recover_account(
|
||
|
|
self,
|
||
|
|
*,
|
||
|
|
snapshot: MarketSnapshot | None = None,
|
||
|
|
phase: str = "recovery",
|
||
|
|
event_type: str = "RECOVERY",
|
||
|
|
) -> dict[str, Any]:
|
||
|
|
"""Reconcile exchange state, reseed capital, and persist recovery row.
|
||
|
|
|
||
|
|
The kernel's VenueAdapter is sync — all async bridging is handled
|
||
|
|
internally by ``_run()``. We seed capital from the kernel's existing
|
||
|
|
value (which was set at startup) rather than re-polling the exchange.
|
||
|
|
"""
|
||
|
|
capital = float(self.kernel.account.snapshot.capital or 25000.0)
|
||
|
|
_reconcile_position_slot(self.kernel, capital, slot_id=0)
|
||
|
|
acc = self.kernel.snapshot()["account"]
|
||
|
|
|
||
|
|
if self.persistence is not None:
|
||
|
|
persist_snapshot = snapshot
|
||
|
|
if persist_snapshot is None:
|
||
|
|
persist_snapshot = SimpleNamespace(
|
||
|
|
timestamp=datetime.now(timezone.utc), symbol=""
|
||
|
|
)
|
||
|
|
market_state = {}
|
||
|
|
if snapshot is not None:
|
||
|
|
market_state = self._update_market_state_runtime(snapshot)
|
||
|
|
self.persistence.persist_recovery_state(
|
||
|
|
snapshot=persist_snapshot,
|
||
|
|
acc_dict=acc,
|
||
|
|
phase=phase,
|
||
|
|
event_type=event_type,
|
||
|
|
market_state=market_state,
|
||
|
|
)
|
||
|
|
return acc
|
||
|
|
|
||
|
|
async def reconcile_account(
|
||
|
|
self, snapshot: MarketSnapshot | None = None
|
||
|
|
) -> dict[str, Any]:
|
||
|
|
"""Periodic exchange-led account sync.
|
||
|
|
|
||
|
|
Tags the recovery path as a scheduled reconciliation. Capital is
|
||
|
|
re-seeded from the exchange balance as a guard against long-running
|
||
|
|
drift, but the primary capital authority remains kernel.settle().
|
||
|
|
"""
|
||
|
|
return await self.recover_account(
|
||
|
|
snapshot=snapshot,
|
||
|
|
phase="account_reconcile",
|
||
|
|
event_type="ACCOUNT_RECONCILE",
|
||
|
|
)
|