PINK Phase 0 and 1: VST WS confirmed plus AccountSnapshotV2 account core
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"""Canonical v2 contracts for the DITAv2 execution kernel."""
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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 enum import Enum
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from typing import Any, Dict, Mapping, Optional, Sequence, Tuple
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class TradeSide(str, Enum):
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"""Trade side."""
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LONG = "LONG"
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SHORT = "SHORT"
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FLAT = "FLAT"
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class TradeStage(str, Enum):
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"""Execution stage for a trade slot."""
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IDLE = "IDLE"
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DECISION_CREATED = "DECISION_CREATED"
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INTENT_CREATED = "INTENT_CREATED"
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ORDER_REQUESTED = "ORDER_REQUESTED"
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ORDER_SENT = "ORDER_SENT"
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ORDER_ACKED = "ORDER_ACKED"
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ORDER_REJECTED = "ORDER_REJECTED"
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ENTRY_WORKING = "ENTRY_WORKING"
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PARTIAL_FILL = "PARTIAL_FILL"
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POSITION_OPENED = "POSITION_OPENED"
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POSITION_OPEN = "POSITION_OPEN"
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EXIT_REQUESTED = "EXIT_REQUESTED"
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EXIT_SENT = "EXIT_SENT"
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EXIT_ACKED = "EXIT_ACKED"
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EXIT_REJECTED = "EXIT_REJECTED"
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EXIT_WORKING = "EXIT_WORKING"
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POSITION_PARTIALLY_CLOSED = "POSITION_PARTIALLY_CLOSED"
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POSITION_CLOSED = "POSITION_CLOSED"
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CLOSED = "CLOSED"
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TRADE_TERMINAL_WRITTEN = "TRADE_TERMINAL_WRITTEN"
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STALE_STATE_RECONCILING = "STALE_STATE_RECONCILING"
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class KernelCommandType(str, Enum):
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"""Kernel command types."""
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ENTER = "ENTER"
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EXIT = "EXIT"
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MARK_PRICE = "MARK_PRICE"
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RECONCILE = "RECONCILE"
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CONTROL = "CONTROL"
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CANCEL = "CANCEL"
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class KernelEventKind(str, Enum):
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"""Normalized venue event kinds."""
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ORDER_ACK = "ORDER_ACK"
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ORDER_REJECT = "ORDER_REJECT"
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RATE_LIMITED = "RATE_LIMITED"
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PARTIAL_FILL = "PARTIAL_FILL"
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FULL_FILL = "FULL_FILL"
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CANCEL_ACK = "CANCEL_ACK"
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CANCEL_REJECT = "CANCEL_REJECT"
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MARK_PRICE = "MARK_PRICE"
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RECONCILE = "RECONCILE"
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CONTROL = "CONTROL"
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class KernelDiagnosticCode(str, Enum):
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"""Structured diagnostic codes emitted by the kernel."""
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OK = "OK"
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RATE_LIMITED = "RATE_LIMITED"
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INVALID_SLOT_ID = "INVALID_SLOT_ID"
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INVALID_INTENT = "INVALID_INTENT"
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UNSUPPORTED_INTENT = "UNSUPPORTED_INTENT"
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SLOT_BUSY = "SLOT_BUSY"
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NO_OPEN_POSITION = "NO_OPEN_POSITION"
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NO_ACTIVE_EXIT_ORDER = "NO_ACTIVE_EXIT_ORDER"
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UNKNOWN_EVENT_KIND = "UNKNOWN_EVENT_KIND"
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ORDER_REJECTED = "ORDER_REJECTED"
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ENTRY_ORDER_REJECTED = "ENTRY_ORDER_REJECTED"
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EXIT_ORDER_REJECTED = "EXIT_ORDER_REJECTED"
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CANCEL_REJECTED = "CANCEL_REJECTED"
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STALE_STATE_RECONCILE = "STALE_STATE_RECONCILE"
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RECONCILED = "RECONCILED"
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DUPLICATE_EVENT = "DUPLICATE_EVENT"
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UNRESOLVED_SLOT = "UNRESOLVED_SLOT"
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INVALID_TRANSITION = "INVALID_TRANSITION"
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TERMINAL_STATE = "TERMINAL_STATE"
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class KernelSeverity(str, Enum):
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"""Severity classification for kernel outcomes."""
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INFO = "INFO"
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WARNING = "WARNING"
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ERROR = "ERROR"
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CRITICAL = "CRITICAL"
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class VenueOrderStatus(str, Enum):
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"""Order status surface mirrored from venue truth."""
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NEW = "NEW"
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ACKED = "ACKED"
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PARTIALLY_FILLED = "PARTIALLY_FILLED"
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FILLED = "FILLED"
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CANCELED = "CANCELED"
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REJECTED = "REJECTED"
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class VenueEventStatus(str, Enum):
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"""Status alias for normalized venue events."""
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ACKED = "ACKED"
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REJECTED = "REJECTED"
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RATE_LIMITED = "RATE_LIMITED"
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PARTIALLY_FILLED = "PARTIALLY_FILLED"
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FILLED = "FILLED"
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CANCELED = "CANCELED"
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CANCELED_REJECTED = "CANCEL_REJECTED"
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@dataclass(frozen=True)
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class VenueOrder:
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"""Venue-specific order identity and fill state."""
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internal_trade_id: str
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venue_order_id: str
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venue_client_id: str
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side: TradeSide
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intended_size: float
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filled_size: float = 0.0
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average_fill_price: float = 0.0
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status: VenueOrderStatus = VenueOrderStatus.NEW
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metadata: Dict[str, Any] = field(default_factory=dict)
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@property
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def remaining_size(self) -> float:
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return max(0.0, float(self.intended_size) - float(self.filled_size))
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@dataclass
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class TradeSlot:
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"""A single execution slot managed by the v2 kernel."""
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slot_id: int
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trade_id: str = ""
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asset: str = ""
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side: TradeSide = TradeSide.FLAT
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entry_price: float = 0.0
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size: float = 0.0
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initial_size: float = 0.0
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leverage: float = 0.0
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entry_time: Optional[datetime] = None
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unrealized_pnl: float = 0.0
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realized_pnl: float = 0.0
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closed: bool = False
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exit_leg_ratios: Tuple[float, ...] = (1.0,)
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active_leg_index: int = 0
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active_exit_order: Optional[VenueOrder] = None
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active_entry_order: Optional[VenueOrder] = None
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fsm_state: TradeStage = TradeStage.IDLE
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close_reason: str = ""
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last_event_time: Optional[datetime] = None
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seen_event_ids: Tuple[str, ...] = ()
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metadata: Dict[str, Any] = field(default_factory=dict)
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def is_free(self) -> bool:
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return self.fsm_state in {TradeStage.IDLE, TradeStage.CLOSED} and float(self.size or 0.0) <= 0.0 and not self.active_entry_order and not self.active_exit_order
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def is_open(self) -> bool:
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return self.fsm_state in {
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TradeStage.ENTRY_WORKING,
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TradeStage.POSITION_OPENED,
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TradeStage.POSITION_OPEN,
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TradeStage.EXIT_WORKING,
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} and not self.closed
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def mark_price(self, price: float) -> None:
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if price is None or price != price or price <= 0:
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return
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self.entry_price = self.entry_price or price
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if self.entry_price <= 0 or self.size <= 0:
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self.unrealized_pnl = 0.0
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return
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delta = (price - self.entry_price) / self.entry_price
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if self.side == TradeSide.SHORT:
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delta = -delta
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self.unrealized_pnl = delta * self.size * self.entry_price * self.leverage
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def next_exit_ratio(self) -> float:
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if self.active_leg_index < len(self.exit_leg_ratios):
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ratio = float(self.exit_leg_ratios[self.active_leg_index])
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return max(0.0, min(1.0, ratio))
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return 1.0
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def consume_exit_leg(self) -> float:
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ratio = self.next_exit_ratio()
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self.active_leg_index = min(self.active_leg_index + 1, max(len(self.exit_leg_ratios), 1))
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return ratio
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def remaining_size(self) -> float:
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return max(0.0, float(self.size))
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def attach_entry_order(self, order: VenueOrder) -> None:
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self.active_entry_order = order
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def attach_exit_order(self, order: VenueOrder) -> None:
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self.active_exit_order = order
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def to_dict(self) -> Dict[str, Any]:
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def _order_dict(order: Optional[VenueOrder]) -> Optional[Dict[str, Any]]:
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if order is None:
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return None
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return {
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"internal_trade_id": order.internal_trade_id,
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"venue_order_id": order.venue_order_id,
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"venue_client_id": order.venue_client_id,
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"side": order.side.value,
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"intended_size": float(order.intended_size or 0.0),
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"filled_size": float(order.filled_size or 0.0),
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"average_fill_price": float(order.average_fill_price or 0.0),
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"status": order.status.value,
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"metadata": dict(order.metadata),
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}
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return {
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"slot_id": self.slot_id,
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"trade_id": self.trade_id,
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"asset": self.asset,
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"side": self.side.value,
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"entry_price": float(self.entry_price or 0.0),
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"size": float(self.size or 0.0),
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"initial_size": float(self.initial_size or 0.0),
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"leverage": float(self.leverage or 0.0),
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"entry_time": self.entry_time.isoformat() if hasattr(self.entry_time, "isoformat") else None,
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"unrealized_pnl": float(self.unrealized_pnl or 0.0),
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"realized_pnl": float(self.realized_pnl or 0.0),
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"closed": bool(self.closed),
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"exit_leg_ratios": [float(r) for r in self.exit_leg_ratios],
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"active_leg_index": int(self.active_leg_index or 0),
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"active_exit_order": _order_dict(self.active_exit_order),
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"active_entry_order": _order_dict(self.active_entry_order),
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"fsm_state": self.fsm_state.value,
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"close_reason": self.close_reason,
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"last_event_time": self.last_event_time.isoformat() if hasattr(self.last_event_time, "isoformat") else None,
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"seen_event_ids": list(self.seen_event_ids),
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"metadata": dict(self.metadata),
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}
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@dataclass(frozen=True)
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class KernelIntent:
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"""Command emitted by the algo and written to the hot-path intent region."""
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timestamp: datetime
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intent_id: str
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trade_id: str
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slot_id: int
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asset: str
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side: TradeSide
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action: KernelCommandType
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reference_price: float
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target_size: float
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leverage: float
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exit_leg_ratios: Tuple[float, ...] = (1.0,)
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reason: str = ""
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metadata: Dict[str, Any] = field(default_factory=dict)
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stage: TradeStage = TradeStage.INTENT_CREATED
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order_type: str = "MARKET"
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limit_price: float = 0.0
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@dataclass(frozen=True)
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class VenueEvent:
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"""Normalized venue truth mapped into DITAv2 semantics."""
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timestamp: datetime
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event_id: str
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trade_id: str
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slot_id: int
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kind: KernelEventKind
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status: VenueEventStatus
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venue_order_id: str = ""
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venue_client_id: str = ""
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side: TradeSide = TradeSide.FLAT
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asset: str = ""
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price: float = 0.0
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size: float = 0.0
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filled_size: float = 0.0
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remaining_size: float = 0.0
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reason: str = ""
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raw_payload: Dict[str, Any] = field(default_factory=dict)
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metadata: Dict[str, Any] = field(default_factory=dict)
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@dataclass(frozen=True)
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class KernelTransition:
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"""Durable kernel transition used for debug journaling."""
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timestamp: datetime
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trade_id: str
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slot_id: int
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prev_state: TradeStage
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next_state: TradeStage
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trigger: str
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intent_id: str = ""
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event_id: str = ""
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control_mode: str = ""
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control_verbosity: str = ""
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details: Dict[str, Any] = field(default_factory=dict)
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@dataclass(frozen=True)
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class KernelOutcome:
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"""Result of applying a command or venue event."""
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accepted: bool
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slot_id: int
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trade_id: str
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state: TradeStage
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diagnostic_code: KernelDiagnosticCode = KernelDiagnosticCode.OK
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severity: KernelSeverity = KernelSeverity.INFO
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transitions: Tuple[KernelTransition, ...] = ()
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emitted_events: Tuple[VenueEvent, ...] = ()
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details: Dict[str, Any] = field(default_factory=dict)
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