85 lines
3.3 KiB
Python
85 lines
3.3 KiB
Python
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"""VIOLET V3e: shadow-decision journal — V-TYPES row guard + CH sink.
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Sinks each ACTUATED ``ShadowDecision`` to ``dolphin_violet.violet_decisions`` as a
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validated row. PARSE, DON'T VALIDATE: a malformed decision dies HERE (rejected to a
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counter), never at the head of the CH spool — the bars_held=-106 lesson. NEVER an
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order: this journals what BLUE *would* do; execution stays off (ObserveOnlyVenue).
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"""
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from __future__ import annotations
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import logging
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import time
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from typing import Any, Callable, Optional
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from pydantic import Field, ValidationError
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from .decision_engine import ShadowDecision
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from .domain import EpochMs, MonoNs, SessionId, StrictModel, Symbol, Seq
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LOGGER = logging.getLogger("violet.shadow_journal")
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TABLE = "violet_decisions"
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class DecisionRow(StrictModel):
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"""One ``dolphin_violet.violet_decisions`` row. Field set MUST equal the DDL
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column set in prod/clickhouse/violet/22_violet_decisions.sql (asserted by test)."""
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ts: EpochMs # DateTime64(3) — epoch milliseconds
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session_id: SessionId
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scan_number: Seq
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mono_ns: MonoNs
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asset: Symbol
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side: str = Field(min_length=1, max_length=8)
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vel_div: float = Field(allow_inf_nan=False)
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fraction: float = Field(ge=0.0, allow_inf_nan=False)
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conviction_leverage: float = Field(ge=0.0, allow_inf_nan=False)
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notional_fraction: float = Field(ge=0.0, allow_inf_nan=False)
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target_exposure: float = Field(ge=0.0, allow_inf_nan=False)
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ars_score: float = Field(allow_inf_nan=False)
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bucket_idx: int = Field(ge=0, le=255) # UInt8
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actuated: int = Field(ge=0, le=1)
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class VioletDecisionJournal:
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"""Validate-then-sink shadow decisions. ``sink(table, row_dict)`` mirrors
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ch_put_violet / the divergence sink signature."""
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def __init__(self, *, sink: Callable[[str, dict], Any], session_id: str):
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self.sink = sink
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self.session_id = session_id
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self.rows_emitted = 0
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self.rows_rejected = 0
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def journal(self, decision: ShadowDecision, *, mono_ns: int) -> bool:
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"""Build a validated row and sink it. Returns True if emitted."""
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try:
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row = DecisionRow(
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ts=int(time.time() * 1000),
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session_id=self.session_id,
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scan_number=int(decision.scan_number),
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mono_ns=int(mono_ns),
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asset=decision.asset,
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side=decision.side,
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vel_div=float(decision.vel_div),
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fraction=float(decision.fraction),
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conviction_leverage=float(decision.conviction_leverage),
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notional_fraction=float(decision.notional_fraction),
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target_exposure=float(decision.target_exposure),
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ars_score=float(decision.ars_score),
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bucket_idx=int(decision.bucket_idx),
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actuated=1 if decision.actuated else 0,
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)
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except ValidationError as exc:
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self.rows_rejected += 1
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if self.rows_rejected == 1 or self.rows_rejected % 1000 == 0:
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LOGGER.warning(
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"shadow decision REJECTED at source (#%d) asset=%s: %s",
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self.rows_rejected, getattr(decision, "asset", "?"), exc,
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)
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return False
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self.sink(TABLE, row.model_dump())
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self.rows_emitted += 1
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return True
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