mcli-framework 7.2.0__py3-none-any.whl → 7.4.0__py3-none-any.whl

mcli/ml/trading/models.py

@@ -0,0 +1,418 @@
+"""Trading and portfolio models for the ML system"""
+
+from dataclasses import dataclass, field
+from datetime import datetime
+from decimal import Decimal
+from enum import Enum
+from typing import Any, Dict, List, Optional, Union
+from uuid import UUID, uuid4
+
+from sqlalchemy import (
+    Boolean, Column, DateTime, Enum as SQLEnum, Float, ForeignKey, 
+    Integer, String, Text, JSON, Numeric, Index
+)
+from sqlalchemy.dialects.postgresql import UUID as PostgresUUID
+from sqlalchemy.ext.declarative import declarative_base
+from sqlalchemy.orm import relationship
+from pydantic import BaseModel, Field
+
+Base = declarative_base()
+
+
+class OrderStatus(Enum):
+    """Order status enumeration"""
+    PENDING = "pending"
+    SUBMITTED = "submitted"
+    FILLED = "filled"
+    PARTIALLY_FILLED = "partially_filled"
+    CANCELLED = "cancelled"
+    REJECTED = "rejected"
+    EXPIRED = "expired"
+
+
+class OrderType(Enum):
+    """Order type enumeration"""
+    MARKET = "market"
+    LIMIT = "limit"
+    STOP = "stop"
+    STOP_LIMIT = "stop_limit"
+    TRAILING_STOP = "trailing_stop"
+
+
+class OrderSide(Enum):
+    """Order side enumeration"""
+    BUY = "buy"
+    SELL = "sell"
+
+
+class PositionSide(Enum):
+    """Position side enumeration"""
+    LONG = "long"
+    SHORT = "short"
+
+
+class PortfolioType(Enum):
+    """Portfolio type enumeration"""
+    TEST = "test"
+    LIVE = "live"
+    PAPER = "paper"
+
+
+class RiskLevel(Enum):
+    """Risk level enumeration"""
+    CONSERVATIVE = "conservative"
+    MODERATE = "moderate"
+    AGGRESSIVE = "aggressive"
+
+
+# Database Models
+class TradingAccount(Base):
+    """Trading account information"""
+    __tablename__ = "trading_accounts"
+    
+    id = Column(PostgresUUID(as_uuid=True), primary_key=True, default=uuid4)
+    user_id = Column(PostgresUUID(as_uuid=True), nullable=False)  # Remove foreign key for now
+    account_name = Column(String(100), nullable=False)
+    account_type = Column(SQLEnum(PortfolioType), nullable=False, default=PortfolioType.TEST)
+    
+    # Alpaca credentials (encrypted)
+    alpaca_api_key = Column(String(255), nullable=True)
+    alpaca_secret_key = Column(String(255), nullable=True)
+    alpaca_base_url = Column(String(255), nullable=True)
+    
+    # Account settings
+    paper_trading = Column(Boolean, default=True)
+    risk_level = Column(SQLEnum(RiskLevel), default=RiskLevel.MODERATE)
+    max_position_size = Column(Float, default=0.1)  # Max 10% per position
+    max_portfolio_risk = Column(Float, default=0.2)  # Max 20% portfolio risk
+    
+    # Metadata
+    created_at = Column(DateTime, default=datetime.utcnow)
+    updated_at = Column(DateTime, default=datetime.utcnow, onupdate=datetime.utcnow)
+    is_active = Column(Boolean, default=True)
+    
+    # Relationships
+    portfolios = relationship("Portfolio", back_populates="trading_account")
+    orders = relationship("TradingOrder", back_populates="trading_account")
+
+
+class Portfolio(Base):
+    """Portfolio information"""
+    __tablename__ = "portfolios"
+    
+    id = Column(PostgresUUID(as_uuid=True), primary_key=True, default=uuid4)
+    trading_account_id = Column(PostgresUUID(as_uuid=True), ForeignKey("trading_accounts.id"), nullable=False)
+    name = Column(String(100), nullable=False)
+    description = Column(Text, nullable=True)
+    
+    # Portfolio settings
+    initial_capital = Column(Numeric(15, 2), nullable=False, default=100000.00)
+    current_value = Column(Numeric(15, 2), nullable=False, default=100000.00)
+    cash_balance = Column(Numeric(15, 2), nullable=False, default=100000.00)
+    
+    # Performance metrics
+    total_return = Column(Float, default=0.0)
+    total_return_pct = Column(Float, default=0.0)
+    daily_return = Column(Float, default=0.0)
+    daily_return_pct = Column(Float, default=0.0)
+    sharpe_ratio = Column(Float, default=0.0)
+    sortino_ratio = Column(Float, default=0.0)
+    max_drawdown = Column(Float, default=0.0)
+    max_drawdown_duration = Column(Integer, default=0)
+    volatility = Column(Float, default=0.0)
+    
+    # Risk metrics
+    var_95 = Column(Float, default=0.0)  # Value at Risk 95%
+    cvar_95 = Column(Float, default=0.0)  # Conditional Value at Risk 95%
+    beta = Column(Float, default=1.0)
+    
+    # Status
+    is_active = Column(Boolean, default=True)
+    created_at = Column(DateTime, default=datetime.utcnow)
+    updated_at = Column(DateTime, default=datetime.utcnow, onupdate=datetime.utcnow)
+    
+    # Relationships
+    trading_account = relationship("TradingAccount", back_populates="portfolios")
+    positions = relationship("Position", back_populates="portfolio")
+    orders = relationship("TradingOrder", back_populates="portfolio")
+    performance_snapshots = relationship("PortfolioPerformanceSnapshot", back_populates="portfolio")
+
+
+class Position(Base):
+    """Individual position in a portfolio"""
+    __tablename__ = "positions"
+    
+    id = Column(PostgresUUID(as_uuid=True), primary_key=True, default=uuid4)
+    portfolio_id = Column(PostgresUUID(as_uuid=True), ForeignKey("portfolios.id"), nullable=False)
+    symbol = Column(String(10), nullable=False, index=True)
+    
+    # Position details
+    quantity = Column(Integer, nullable=False)
+    side = Column(SQLEnum(PositionSide), nullable=False)
+    average_price = Column(Numeric(10, 4), nullable=False)
+    current_price = Column(Numeric(10, 4), nullable=False)
+    
+    # Financial metrics
+    market_value = Column(Numeric(15, 2), nullable=False)
+    cost_basis = Column(Numeric(15, 2), nullable=False)
+    unrealized_pnl = Column(Numeric(15, 2), nullable=False, default=0.0)
+    unrealized_pnl_pct = Column(Float, nullable=False, default=0.0)
+    realized_pnl = Column(Numeric(15, 2), nullable=False, default=0.0)
+    
+    # Position sizing
+    position_size_pct = Column(Float, nullable=False, default=0.0)  # % of portfolio
+    weight = Column(Float, nullable=False, default=0.0)  # Portfolio weight
+    
+    # Metadata
+    created_at = Column(DateTime, default=datetime.utcnow)
+    updated_at = Column(DateTime, default=datetime.utcnow, onupdate=datetime.utcnow)
+    
+    # Relationships
+    portfolio = relationship("Portfolio", back_populates="positions")
+    trades = relationship("TradingOrder", back_populates="position")
+    
+    # Indexes
+    __table_args__ = (
+        Index('idx_position_portfolio_symbol', 'portfolio_id', 'symbol'),
+    )
+
+
+class TradingOrder(Base):
+    """Trading order information"""
+    __tablename__ = "trading_orders"
+    
+    id = Column(PostgresUUID(as_uuid=True), primary_key=True, default=uuid4)
+    trading_account_id = Column(PostgresUUID(as_uuid=True), ForeignKey("trading_accounts.id"), nullable=False)
+    portfolio_id = Column(PostgresUUID(as_uuid=True), ForeignKey("portfolios.id"), nullable=False)
+    position_id = Column(PostgresUUID(as_uuid=True), ForeignKey("positions.id"), nullable=True)
+    
+    # Order details
+    symbol = Column(String(10), nullable=False, index=True)
+    side = Column(SQLEnum(OrderSide), nullable=False)
+    order_type = Column(SQLEnum(OrderType), nullable=False)
+    quantity = Column(Integer, nullable=False)
+    
+    # Pricing
+    limit_price = Column(Numeric(10, 4), nullable=True)
+    stop_price = Column(Numeric(10, 4), nullable=True)
+    average_fill_price = Column(Numeric(10, 4), nullable=True)
+    
+    # Status and execution
+    status = Column(SQLEnum(OrderStatus), nullable=False, default=OrderStatus.PENDING)
+    filled_quantity = Column(Integer, nullable=False, default=0)
+    remaining_quantity = Column(Integer, nullable=False)
+    
+    # Timestamps
+    created_at = Column(DateTime, default=datetime.utcnow)
+    submitted_at = Column(DateTime, nullable=True)
+    filled_at = Column(DateTime, nullable=True)
+    cancelled_at = Column(DateTime, nullable=True)
+    
+    # Additional info
+    time_in_force = Column(String(20), default="day")
+    extended_hours = Column(Boolean, default=False)
+    client_order_id = Column(String(100), nullable=True)
+    alpaca_order_id = Column(String(100), nullable=True, index=True)
+    
+    # Relationships
+    trading_account = relationship("TradingAccount", back_populates="orders")
+    portfolio = relationship("Portfolio", back_populates="orders")
+    position = relationship("Position", back_populates="trades")
+    
+    # Indexes
+    __table_args__ = (
+        Index('idx_order_portfolio_status', 'portfolio_id', 'status'),
+        Index('idx_order_symbol_status', 'symbol', 'status'),
+    )
+
+
+class PortfolioPerformanceSnapshot(Base):
+    """Daily portfolio performance snapshots"""
+    __tablename__ = "portfolio_performance_snapshots"
+    
+    id = Column(PostgresUUID(as_uuid=True), primary_key=True, default=uuid4)
+    portfolio_id = Column(PostgresUUID(as_uuid=True), ForeignKey("portfolios.id"), nullable=False)
+    
+    # Snapshot data
+    snapshot_date = Column(DateTime, nullable=False, index=True)
+    portfolio_value = Column(Numeric(15, 2), nullable=False)
+    cash_balance = Column(Numeric(15, 2), nullable=False)
+    
+    # Daily performance
+    daily_return = Column(Numeric(15, 2), nullable=False, default=0.0)
+    daily_return_pct = Column(Float, nullable=False, default=0.0)
+    
+    # Cumulative performance
+    total_return = Column(Numeric(15, 2), nullable=False, default=0.0)
+    total_return_pct = Column(Float, nullable=False, default=0.0)
+    
+    # Risk metrics
+    volatility = Column(Float, nullable=False, default=0.0)
+    sharpe_ratio = Column(Float, nullable=False, default=0.0)
+    max_drawdown = Column(Float, nullable=False, default=0.0)
+    
+    # Position data (JSON)
+    positions_data = Column(JSON, nullable=True)
+    
+    # Metadata
+    created_at = Column(DateTime, default=datetime.utcnow)
+    
+    # Relationships
+    portfolio = relationship("Portfolio", back_populates="performance_snapshots")
+    
+    # Indexes
+    __table_args__ = (
+        Index('idx_snapshot_portfolio_date', 'portfolio_id', 'snapshot_date'),
+    )
+
+
+class TradingSignal(Base):
+    """Trading signals generated by ML models"""
+    __tablename__ = "trading_signals"
+    
+    id = Column(PostgresUUID(as_uuid=True), primary_key=True, default=uuid4)
+    portfolio_id = Column(PostgresUUID(as_uuid=True), ForeignKey("portfolios.id"), nullable=False)
+    
+    # Signal details
+    symbol = Column(String(10), nullable=False, index=True)
+    signal_type = Column(String(20), nullable=False)  # "buy", "sell", "hold"
+    confidence = Column(Float, nullable=False)
+    strength = Column(Float, nullable=False)  # Signal strength 0-1
+    
+    # ML model info
+    model_id = Column(String(100), nullable=True)
+    model_version = Column(String(50), nullable=True)
+    prediction_id = Column(PostgresUUID(as_uuid=True), nullable=True)
+    
+    # Signal parameters
+    target_price = Column(Numeric(10, 4), nullable=True)
+    stop_loss = Column(Numeric(10, 4), nullable=True)
+    take_profit = Column(Numeric(10, 4), nullable=True)
+    position_size = Column(Float, nullable=True)  # Suggested position size as % of portfolio
+    
+    # Metadata
+    created_at = Column(DateTime, default=datetime.utcnow)
+    expires_at = Column(DateTime, nullable=True)
+    is_active = Column(Boolean, default=True)
+    
+    # Relationships
+    portfolio = relationship("Portfolio")
+    
+    # Indexes
+    __table_args__ = (
+        Index('idx_signal_portfolio_symbol', 'portfolio_id', 'symbol'),
+        Index('idx_signal_created_active', 'created_at', 'is_active'),
+    )
+
+
+# Pydantic Models for API
+class TradingAccountCreate(BaseModel):
+    """Create trading account request"""
+    account_name: str = Field(..., min_length=1, max_length=100)
+    account_type: PortfolioType = Field(default=PortfolioType.TEST)
+    alpaca_api_key: Optional[str] = None
+    alpaca_secret_key: Optional[str] = None
+    paper_trading: bool = Field(default=True)
+    risk_level: RiskLevel = Field(default=RiskLevel.MODERATE)
+    max_position_size: float = Field(default=0.1, ge=0.01, le=1.0)
+    max_portfolio_risk: float = Field(default=0.2, ge=0.01, le=1.0)
+
+
+class PortfolioCreate(BaseModel):
+    """Create portfolio request"""
+    name: str = Field(..., min_length=1, max_length=100)
+    description: Optional[str] = None
+    initial_capital: float = Field(default=100000.0, gt=0)
+
+
+class OrderCreate(BaseModel):
+    """Create order request"""
+    symbol: str = Field(..., min_length=1, max_length=10)
+    side: OrderSide
+    order_type: OrderType
+    quantity: int = Field(..., gt=0)
+    limit_price: Optional[float] = Field(None, gt=0)
+    stop_price: Optional[float] = Field(None, gt=0)
+    time_in_force: str = Field(default="day")
+    extended_hours: bool = Field(default=False)
+
+
+class PositionResponse(BaseModel):
+    """Position response model"""
+    id: UUID
+    symbol: str
+    quantity: int
+    side: PositionSide
+    average_price: float
+    current_price: float
+    market_value: float
+    cost_basis: float
+    unrealized_pnl: float
+    unrealized_pnl_pct: float
+    realized_pnl: float
+    position_size_pct: float
+    weight: float
+    created_at: datetime
+    updated_at: datetime
+
+
+class OrderResponse(BaseModel):
+    """Order response model"""
+    id: UUID
+    symbol: str
+    side: OrderSide
+    order_type: OrderType
+    quantity: int
+    limit_price: Optional[float]
+    stop_price: Optional[float]
+    average_fill_price: Optional[float]
+    status: OrderStatus
+    filled_quantity: int
+    remaining_quantity: int
+    created_at: datetime
+    submitted_at: Optional[datetime]
+    filled_at: Optional[datetime]
+    cancelled_at: Optional[datetime]
+    time_in_force: str
+    extended_hours: bool
+    alpaca_order_id: Optional[str]
+
+
+class PortfolioResponse(BaseModel):
+    """Portfolio response model"""
+    id: UUID
+    name: str
+    description: Optional[str]
+    initial_capital: float
+    current_value: float
+    cash_balance: float
+    total_return: float
+    total_return_pct: float
+    daily_return: float
+    daily_return_pct: float
+    sharpe_ratio: float
+    sortino_ratio: float
+    max_drawdown: float
+    volatility: float
+    is_active: bool
+    created_at: datetime
+    updated_at: datetime
+    positions: List[PositionResponse] = []
+
+
+class TradingSignalResponse(BaseModel):
+    """Trading signal response model"""
+    id: UUID
+    symbol: str
+    signal_type: str
+    confidence: float
+    strength: float
+    model_id: Optional[str]
+    model_version: Optional[str]
+    target_price: Optional[float]
+    stop_loss: Optional[float]
+    take_profit: Optional[float]
+    position_size: Optional[float]
+    created_at: datetime
+    expires_at: Optional[datetime]
+    is_active: bool