119 lines
4.3 KiB
Python
119 lines
4.3 KiB
Python
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"""Account projection and CH/HZ-shaped rows."""
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from __future__ import annotations
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from dataclasses import dataclass, field
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from datetime import datetime
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from typing import Any, Dict, Optional
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import math
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from .contracts import AccountEvent, Decision, Intent, TradePosition, TradeSide, TradeStage
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@dataclass
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class AccountSnapshot:
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"""Derived account state used for projections and row emission."""
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capital: float
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equity: float
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realized_pnl: float = 0.0
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unrealized_pnl: float = 0.0
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open_positions: int = 0
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open_notional: float = 0.0
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fees_paid: float = 0.0
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trade_seq: int = 0
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@property
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def leverage(self) -> float:
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if self.capital <= 0 or self.open_notional <= 0:
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return 0.0
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return self.open_notional / self.capital
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@dataclass
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class AccountProjection:
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"""Thin account projection.
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This is not policy. It only projects confirmed execution facts into the
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live account view and the durable row shape used by CH/HZ/TUI consumers.
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"""
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runtime_namespace: str = "pink"
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strategy_namespace: str = "pink"
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event_namespace: str = "pink"
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actor_name: str = "clean_arch"
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exec_venue: str = "bingx"
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data_venue: str = "binance"
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ledger_authority: str = "exchange"
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min_capital: float = 0.0
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max_capital: Optional[float] = None
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snapshot: AccountSnapshot = field(default_factory=lambda: AccountSnapshot(capital=25_000.0, equity=25_000.0))
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def observe_position(self, position: Optional[TradePosition]) -> None:
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if position is None:
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self.snapshot.open_positions = 0
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self.snapshot.open_notional = 0.0
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self.snapshot.unrealized_pnl = 0.0
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self.snapshot.equity = self.snapshot.capital
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return
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self.snapshot.open_positions = 1
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mark = position.current_price
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if not math.isfinite(mark) or mark <= 0:
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mark = position.entry_price if math.isfinite(position.entry_price) and position.entry_price > 0 else 0.0
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self.snapshot.open_notional = mark * position.size
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self.snapshot.unrealized_pnl = position.unrealized_pnl
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self.snapshot.equity = self.snapshot.capital + position.unrealized_pnl
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def settle(self, realized_pnl: float, fees: float = 0.0) -> None:
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if not math.isfinite(realized_pnl):
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realized_pnl = 0.0
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new_capital = self.snapshot.capital + realized_pnl
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if not math.isfinite(new_capital):
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new_capital = self.snapshot.capital
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if self.max_capital is not None:
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new_capital = min(new_capital, self.max_capital)
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new_capital = max(self.min_capital, new_capital)
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self.snapshot.capital = new_capital
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self.snapshot.realized_pnl += realized_pnl
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self.snapshot.fees_paid += fees
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self.snapshot.equity = self.snapshot.capital + self.snapshot.unrealized_pnl
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if not math.isfinite(self.snapshot.equity):
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self.snapshot.equity = self.snapshot.capital
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def to_event(
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self,
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*,
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timestamp: datetime,
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decision: Decision,
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intent: Intent,
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position: Optional[TradePosition],
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stage: TradeStage,
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extra: Optional[Dict[str, Any]] = None,
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) -> AccountEvent:
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self.observe_position(position)
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return AccountEvent(
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timestamp=timestamp,
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runtime_namespace=self.runtime_namespace,
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strategy_namespace=self.strategy_namespace,
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event_namespace=self.event_namespace,
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actor_name=self.actor_name,
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exec_venue=self.exec_venue,
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data_venue=self.data_venue,
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ledger_authority=self.ledger_authority,
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capital=self.snapshot.capital,
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equity=self.snapshot.equity,
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open_positions=self.snapshot.open_positions,
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current_open_notional=self.snapshot.open_notional,
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current_account_leverage=self.snapshot.leverage,
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decision_id=decision.decision_id,
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trade_id=intent.trade_id,
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asset=decision.asset,
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side=intent.side,
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reason=intent.reason,
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stage=stage,
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pnl=self.snapshot.realized_pnl,
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pnl_pct=0.0 if self.snapshot.capital <= 0 else (self.snapshot.realized_pnl / self.snapshot.capital),
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bars_held=intent.bars_held,
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metadata=extra or {},
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)
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