onesecondtrader 0.55.0__py3-none-any.whl → 0.56.0__py3-none-any.whl

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Files changed (8) hide show
  1. onesecondtrader/orchestrator/__init__.py +8 -0
  2. onesecondtrader/orchestrator/orchestrator.py +161 -0
  3. onesecondtrader/orchestrator/run_recorder.py +759 -0
  4. onesecondtrader/orchestrator/runs_schema.sql +500 -0
  5. {onesecondtrader-0.55.0.dist-info → onesecondtrader-0.56.0.dist-info}/METADATA +1 -1
  6. {onesecondtrader-0.55.0.dist-info → onesecondtrader-0.56.0.dist-info}/RECORD +8 -4
  7. {onesecondtrader-0.55.0.dist-info → onesecondtrader-0.56.0.dist-info}/WHEEL +0 -0
  8. {onesecondtrader-0.55.0.dist-info → onesecondtrader-0.56.0.dist-info}/licenses/LICENSE +0 -0
onesecondtrader/orchestrator/runs_schema.sql ADDED
@@ -0,0 +1,500 @@
1
+ -- Runs database schema.
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+ --
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+ -- The schema stores metadata about trading system runs and all events that occurred during each run.
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+ -- Events are recorded by a runs_recorder subscriber listening to the event_bus.
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+ -- Each event type has a dedicated table with typed columns for efficient querying and charting.
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+ --
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+ -- | Table | Description |
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+ -- |----------------------------|----------------------------------------------------------------|
9
+ -- | `runs` | Registry of trading system runs with metadata. |
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+ -- | `bars` | Market data bars (BarReceived events). |
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+ -- | `bars_processed` | Processed bars with indicator values (BarProcessed events). |
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+ -- | `order_submissions` | Order submission requests. |
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+ -- | `order_cancellations` | Order cancellation requests. |
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+ -- | `order_modifications` | Order modification requests. |
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+ -- | `orders_accepted` | Broker order acceptance responses. |
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+ -- | `orders_rejected` | Broker order rejection responses. |
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+ -- | `cancellations_accepted` | Broker cancellation acceptance responses. |
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+ -- | `cancellations_rejected` | Broker cancellation rejection responses. |
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+ -- | `modifications_accepted` | Broker modification acceptance responses. |
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+ -- | `modifications_rejected` | Broker modification rejection responses. |
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+ -- | `fills` | Trade execution fill events. |
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+ -- | `expirations` | Order expiration events. |
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+
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+
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+
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+ -- Registry of trading system runs.
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+ --
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+ -- Each row represents a single execution of the trading system, whether a backtest or live session.
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+ -- A run is uniquely identified by `run_id` which is a UUID assigned at run creation.
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+ -- The `config` and `metadata` fields store JSON-encoded data for flexibility.
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+ --
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+ -- | Field | Type | Constraints | Description |
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+ -- |------------|-----------|----------------------------------------------------------|------------------------------------------------------------------------------------------|
34
+ -- | `run_id` | `TEXT` | `PRIMARY KEY` | Unique identifier for the run (UUID string). |
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+ -- | `name` | `TEXT` | `NOT NULL` | Human-readable name or label for the run. |
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+ -- | `ts_start` | `INTEGER` | `NOT NULL` | Start time of the run as nanoseconds since the UTC Unix epoch. |
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+ -- | `ts_end` | `INTEGER` | | End time of the run as nanoseconds since the UTC Unix epoch; NULL if still in progress. |
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+ -- | `status` | `TEXT` | `NOT NULL`, `CHECK IN ('running','completed','failed','cancelled')` | Current status of the run. |
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+ -- | `config` | `TEXT` | | JSON-encoded configuration used for the run. |
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+ -- | `metadata` | `TEXT` | | JSON-encoded additional metadata about the run. |
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+ --
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+ CREATE TABLE runs (
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+ run_id TEXT PRIMARY KEY,
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+ name TEXT NOT NULL,
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+ ts_start INTEGER NOT NULL,
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+ ts_end INTEGER,
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+ status TEXT NOT NULL CHECK(status IN ('running', 'completed', 'failed', 'cancelled')),
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+ config TEXT,
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+ metadata TEXT
50
+ );
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+
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+
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+ -- Stores market data bars received during a run.
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+ --
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+ -- Each row represents a BarReceived event captured from the event bus.
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+ -- Bars are time-aggregated OHLCV data from a market data source or resampling process.
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+ --
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+ -- | Field | Type | Constraints | Description |
59
+ -- |---------------|-----------|------------------|------------------------------------------------------------------------------------------|
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+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the bar record. |
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+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this bar belongs to. |
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+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the bar was observed by the system, as nanoseconds since UTC Unix epoch. |
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+ -- | `ts_created_ns`| `INTEGER`| `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
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+ -- | `symbol` | `TEXT` | `NOT NULL` | Identifier of the traded instrument. |
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+ -- | `bar_period` | `TEXT` | `NOT NULL` | Time interval represented by the bar (e.g. 'SECOND', 'MINUTE', 'HOUR', 'DAY'). |
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+ -- | `open` | `REAL` | `NOT NULL` | Opening price of the bar period. |
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+ -- | `high` | `REAL` | `NOT NULL` | Highest traded price during the bar period. |
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+ -- | `low` | `REAL` | `NOT NULL` | Lowest traded price during the bar period. |
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+ -- | `close` | `REAL` | `NOT NULL` | Closing price of the bar period. |
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+ -- | `volume` | `INTEGER` | | Traded volume during the bar period; may be NULL if not available. |
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+ --
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+ CREATE TABLE bars (
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+ id INTEGER PRIMARY KEY,
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+ run_id TEXT NOT NULL,
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+ ts_event_ns INTEGER NOT NULL,
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+ ts_created_ns INTEGER NOT NULL,
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+ symbol TEXT NOT NULL,
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+ bar_period TEXT NOT NULL,
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+ open REAL NOT NULL,
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+ high REAL NOT NULL,
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+ low REAL NOT NULL,
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+ close REAL NOT NULL,
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+ volume INTEGER,
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+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
85
+ );
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+
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+ CREATE INDEX idx_bars_run_symbol_ts ON bars(run_id, symbol, ts_event_ns);
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+
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+
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+ -- Stores processed market data bars with computed indicator values.
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+ --
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+ -- Each row represents a BarProcessed event captured from the event bus.
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+ -- This extends BarReceived by attaching indicator values derived from the bar data.
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+ --
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+ -- | Field | Type | Constraints | Description |
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+ -- |---------------|-----------|------------------|------------------------------------------------------------------------------------------|
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+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the bar record. |
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+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this bar belongs to. |
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+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the bar was observed by the system, as nanoseconds since UTC Unix epoch. |
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+ -- | `ts_created_ns`| `INTEGER`| `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
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+ -- | `symbol` | `TEXT` | `NOT NULL` | Identifier of the traded instrument. |
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+ -- | `bar_period` | `TEXT` | `NOT NULL` | Time interval represented by the bar (e.g. 'SECOND', 'MINUTE', 'HOUR', 'DAY'). |
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+ -- | `open` | `REAL` | `NOT NULL` | Opening price of the bar period. |
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+ -- | `high` | `REAL` | `NOT NULL` | Highest traded price during the bar period. |
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+ -- | `low` | `REAL` | `NOT NULL` | Lowest traded price during the bar period. |
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+ -- | `close` | `REAL` | `NOT NULL` | Closing price of the bar period. |
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+ -- | `volume` | `INTEGER` | | Traded volume during the bar period; may be NULL if not available. |
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+ -- | `indicators` | `TEXT` | `NOT NULL` | JSON-encoded mapping of indicator names to computed values. |
109
+ --
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+ CREATE TABLE bars_processed (
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+ id INTEGER PRIMARY KEY,
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+ run_id TEXT NOT NULL,
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+ ts_event_ns INTEGER NOT NULL,
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+ ts_created_ns INTEGER NOT NULL,
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+ symbol TEXT NOT NULL,
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+ bar_period TEXT NOT NULL,
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+ open REAL NOT NULL,
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+ high REAL NOT NULL,
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+ low REAL NOT NULL,
120
+ close REAL NOT NULL,
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+ volume INTEGER,
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+ indicators TEXT NOT NULL,
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+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
124
+ );
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+
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+ CREATE INDEX idx_bars_processed_run_symbol_ts ON bars_processed(run_id, symbol, ts_event_ns);
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+
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+
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+ -- Stores order submission requests issued by strategies.
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+ --
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+ -- Each row represents an OrderSubmissionRequest event captured from the event bus.
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+ -- This records the intent to submit a new order to the broker.
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+ --
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+ -- | Field | Type | Constraints | Description |
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+ -- |------------------|-----------|------------------|------------------------------------------------------------------------------------------|
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+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
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+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
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+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the request was issued, as nanoseconds since UTC Unix epoch. |
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+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
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+ -- | `system_order_id`| `TEXT` | `NOT NULL` | System-assigned unique identifier for the order (UUID string). |
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+ -- | `symbol` | `TEXT` | `NOT NULL` | Identifier of the traded instrument. |
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+ -- | `order_type` | `TEXT` | `NOT NULL` | Execution constraint of the order (e.g. 'MARKET', 'LIMIT', 'STOP', 'STOP_LIMIT'). |
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+ -- | `side` | `TEXT` | `NOT NULL` | Direction of the trade (e.g. 'BUY', 'SELL'). |
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+ -- | `quantity` | `REAL` | `NOT NULL` | Requested order quantity. |
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+ -- | `limit_price` | `REAL` | | Limit price, if applicable to the order type. |
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+ -- | `stop_price` | `REAL` | | Stop price, if applicable to the order type. |
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+ -- | `action` | `TEXT` | | Intent of the order from the strategy's perspective (e.g. 'ENTRY', 'EXIT'). |
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+ -- | `signal` | `TEXT` | | Optional signal name or identifier that triggered this order. |
149
+ --
150
+ CREATE TABLE order_submissions (
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+ id INTEGER PRIMARY KEY,
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+ run_id TEXT NOT NULL,
153
+ ts_event_ns INTEGER NOT NULL,
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+ ts_created_ns INTEGER NOT NULL,
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+ system_order_id TEXT NOT NULL,
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+ symbol TEXT NOT NULL,
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+ order_type TEXT NOT NULL,
158
+ side TEXT NOT NULL,
159
+ quantity REAL NOT NULL,
160
+ limit_price REAL,
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+ stop_price REAL,
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+ action TEXT,
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+ signal TEXT,
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+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
165
+ );
166
+
167
+ CREATE INDEX idx_order_submissions_run_ts ON order_submissions(run_id, ts_event_ns);
168
+ CREATE INDEX idx_order_submissions_order_id ON order_submissions(system_order_id);
169
+
170
+
171
+ -- Stores order cancellation requests issued by strategies.
172
+ --
173
+ -- Each row represents an OrderCancellationRequest event captured from the event bus.
174
+ -- This records the intent to cancel an existing order.
175
+ --
176
+ -- | Field | Type | Constraints | Description |
177
+ -- |------------------|-----------|------------------|------------------------------------------------------------------------------------------|
178
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
179
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
180
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the request was issued, as nanoseconds since UTC Unix epoch. |
181
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
182
+ -- | `system_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the order to be cancelled (UUID string). |
183
+ -- | `symbol` | `TEXT` | `NOT NULL` | Identifier of the traded instrument. |
184
+ --
185
+ CREATE TABLE order_cancellations (
186
+ id INTEGER PRIMARY KEY,
187
+ run_id TEXT NOT NULL,
188
+ ts_event_ns INTEGER NOT NULL,
189
+ ts_created_ns INTEGER NOT NULL,
190
+ system_order_id TEXT NOT NULL,
191
+ symbol TEXT NOT NULL,
192
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
193
+ );
194
+
195
+ CREATE INDEX idx_order_cancellations_run_ts ON order_cancellations(run_id, ts_event_ns);
196
+ CREATE INDEX idx_order_cancellations_order_id ON order_cancellations(system_order_id);
197
+
198
+
199
+ -- Stores order modification requests issued by strategies.
200
+ --
201
+ -- Each row represents an OrderModificationRequest event captured from the event bus.
202
+ -- This records the intent to modify an existing order's parameters.
203
+ --
204
+ -- | Field | Type | Constraints | Description |
205
+ -- |------------------|-----------|------------------|------------------------------------------------------------------------------------------|
206
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
207
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
208
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the request was issued, as nanoseconds since UTC Unix epoch. |
209
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
210
+ -- | `system_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the order to be modified (UUID string). |
211
+ -- | `symbol` | `TEXT` | `NOT NULL` | Identifier of the traded instrument. |
212
+ -- | `quantity` | `REAL` | | Updated order quantity, if modified. |
213
+ -- | `limit_price` | `REAL` | | Updated limit price, if modified. |
214
+ -- | `stop_price` | `REAL` | | Updated stop price, if modified. |
215
+ --
216
+ CREATE TABLE order_modifications (
217
+ id INTEGER PRIMARY KEY,
218
+ run_id TEXT NOT NULL,
219
+ ts_event_ns INTEGER NOT NULL,
220
+ ts_created_ns INTEGER NOT NULL,
221
+ system_order_id TEXT NOT NULL,
222
+ symbol TEXT NOT NULL,
223
+ quantity REAL,
224
+ limit_price REAL,
225
+ stop_price REAL,
226
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
227
+ );
228
+
229
+ CREATE INDEX idx_order_modifications_run_ts ON order_modifications(run_id, ts_event_ns);
230
+ CREATE INDEX idx_order_modifications_order_id ON order_modifications(system_order_id);
231
+
232
+
233
+ -- Stores broker order acceptance responses.
234
+ --
235
+ -- Each row represents an OrderAccepted event captured from the event bus.
236
+ -- This indicates that an order has been accepted by the broker and is active at the execution venue.
237
+ --
238
+ -- | Field | Type | Constraints | Description |
239
+ -- |---------------------|-----------|------------------|------------------------------------------------------------------------------------------|
240
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
241
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
242
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the acceptance was observed by the system, as nanoseconds since UTC epoch. |
243
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
244
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the acceptance, as nanoseconds since UTC Unix epoch. |
245
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the accepted order (UUID string). |
246
+ -- | `broker_order_id` | `TEXT` | | Broker-assigned identifier of the accepted order, if reported. |
247
+ --
248
+ CREATE TABLE orders_accepted (
249
+ id INTEGER PRIMARY KEY,
250
+ run_id TEXT NOT NULL,
251
+ ts_event_ns INTEGER NOT NULL,
252
+ ts_created_ns INTEGER NOT NULL,
253
+ ts_broker_ns INTEGER NOT NULL,
254
+ associated_order_id TEXT NOT NULL,
255
+ broker_order_id TEXT,
256
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
257
+ );
258
+
259
+ CREATE INDEX idx_orders_accepted_run_ts ON orders_accepted(run_id, ts_event_ns);
260
+ CREATE INDEX idx_orders_accepted_order_id ON orders_accepted(associated_order_id);
261
+
262
+
263
+ -- Stores broker order rejection responses.
264
+ --
265
+ -- Each row represents an OrderRejected event captured from the event bus.
266
+ -- This indicates that an order has been rejected by the broker.
267
+ --
268
+ -- | Field | Type | Constraints | Description |
269
+ -- |---------------------|-----------|------------------|------------------------------------------------------------------------------------------|
270
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
271
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
272
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the rejection was observed by the system, as nanoseconds since UTC epoch. |
273
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
274
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the rejection, as nanoseconds since UTC Unix epoch. |
275
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the rejected order (UUID string). |
276
+ -- | `rejection_reason` | `TEXT` | `NOT NULL` | Canonical classification of the rejection cause (e.g. 'INSUFFICIENT_FUNDS'). |
277
+ -- | `rejection_message` | `TEXT` | `NOT NULL` | Human-readable explanation provided by the broker. |
278
+ --
279
+ CREATE TABLE orders_rejected (
280
+ id INTEGER PRIMARY KEY,
281
+ run_id TEXT NOT NULL,
282
+ ts_event_ns INTEGER NOT NULL,
283
+ ts_created_ns INTEGER NOT NULL,
284
+ ts_broker_ns INTEGER NOT NULL,
285
+ associated_order_id TEXT NOT NULL,
286
+ rejection_reason TEXT NOT NULL,
287
+ rejection_message TEXT NOT NULL,
288
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
289
+ );
290
+
291
+ CREATE INDEX idx_orders_rejected_run_ts ON orders_rejected(run_id, ts_event_ns);
292
+ CREATE INDEX idx_orders_rejected_order_id ON orders_rejected(associated_order_id);
293
+
294
+
295
+ -- Stores broker cancellation acceptance responses.
296
+ --
297
+ -- Each row represents a CancellationAccepted event captured from the event bus.
298
+ -- This indicates that an order cancellation has been acknowledged and the order is no longer active.
299
+ --
300
+ -- | Field | Type | Constraints | Description |
301
+ -- |---------------------|-----------|------------------|--------------------------------------------------------------------------------------------|
302
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
303
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
304
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the cancellation was observed by the system, as nanoseconds since UTC epoch. |
305
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
306
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the cancellation, as nanoseconds since UTC Unix epoch. |
307
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the cancelled order (UUID string). |
308
+ -- | `broker_order_id` | `TEXT` | | Broker-assigned identifier of the cancelled order, if reported. |
309
+ --
310
+ CREATE TABLE cancellations_accepted (
311
+ id INTEGER PRIMARY KEY,
312
+ run_id TEXT NOT NULL,
313
+ ts_event_ns INTEGER NOT NULL,
314
+ ts_created_ns INTEGER NOT NULL,
315
+ ts_broker_ns INTEGER NOT NULL,
316
+ associated_order_id TEXT NOT NULL,
317
+ broker_order_id TEXT,
318
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
319
+ );
320
+
321
+ CREATE INDEX idx_cancellations_accepted_run_ts ON cancellations_accepted(run_id, ts_event_ns);
322
+ CREATE INDEX idx_cancellations_accepted_order_id ON cancellations_accepted(associated_order_id);
323
+
324
+
325
+ -- Stores broker cancellation rejection responses.
326
+ --
327
+ -- Each row represents a CancellationRejected event captured from the event bus.
328
+ -- This indicates that an order cancellation request has been rejected by the broker.
329
+ --
330
+ -- | Field | Type | Constraints | Description |
331
+ -- |---------------------|-----------|------------------|------------------------------------------------------------------------------------------|
332
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
333
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
334
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the rejection was observed by the system, as nanoseconds since UTC epoch. |
335
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
336
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the rejection, as nanoseconds since UTC Unix epoch. |
337
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the order associated with the rejected cancellation. |
338
+ -- | `rejection_reason` | `TEXT` | `NOT NULL` | Canonical classification of the cancellation rejection cause. |
339
+ -- | `rejection_message` | `TEXT` | `NOT NULL` | Human-readable explanation provided by the broker. |
340
+ --
341
+ CREATE TABLE cancellations_rejected (
342
+ id INTEGER PRIMARY KEY,
343
+ run_id TEXT NOT NULL,
344
+ ts_event_ns INTEGER NOT NULL,
345
+ ts_created_ns INTEGER NOT NULL,
346
+ ts_broker_ns INTEGER NOT NULL,
347
+ associated_order_id TEXT NOT NULL,
348
+ rejection_reason TEXT NOT NULL,
349
+ rejection_message TEXT NOT NULL,
350
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
351
+ );
352
+
353
+ CREATE INDEX idx_cancellations_rejected_run_ts ON cancellations_rejected(run_id, ts_event_ns);
354
+ CREATE INDEX idx_cancellations_rejected_order_id ON cancellations_rejected(associated_order_id);
355
+
356
+
357
+ -- Stores broker modification acceptance responses.
358
+ --
359
+ -- Each row represents a ModificationAccepted event captured from the event bus.
360
+ -- This indicates that an order modification has been acknowledged and the updated parameters are active.
361
+ --
362
+ -- | Field | Type | Constraints | Description |
363
+ -- |---------------------|-----------|------------------|----------------------------------------------------------------------------------------------|
364
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
365
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
366
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the acceptance was observed by the system, as nanoseconds since UTC epoch. |
367
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
368
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the modification acceptance, as nanoseconds since UTC epoch. |
369
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the modified order (UUID string). |
370
+ -- | `broker_order_id` | `TEXT` | | Broker-assigned identifier of the order after modification, if reported. |
371
+ --
372
+ CREATE TABLE modifications_accepted (
373
+ id INTEGER PRIMARY KEY,
374
+ run_id TEXT NOT NULL,
375
+ ts_event_ns INTEGER NOT NULL,
376
+ ts_created_ns INTEGER NOT NULL,
377
+ ts_broker_ns INTEGER NOT NULL,
378
+ associated_order_id TEXT NOT NULL,
379
+ broker_order_id TEXT,
380
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
381
+ );
382
+
383
+ CREATE INDEX idx_modifications_accepted_run_ts ON modifications_accepted(run_id, ts_event_ns);
384
+ CREATE INDEX idx_modifications_accepted_order_id ON modifications_accepted(associated_order_id);
385
+
386
+
387
+ -- Stores broker modification rejection responses.
388
+ --
389
+ -- Each row represents a ModificationRejected event captured from the event bus.
390
+ -- This indicates that an order modification request has been rejected by the broker.
391
+ --
392
+ -- | Field | Type | Constraints | Description |
393
+ -- |---------------------|-----------|------------------|------------------------------------------------------------------------------------------|
394
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
395
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
396
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the rejection was observed by the system, as nanoseconds since UTC epoch. |
397
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
398
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the rejection, as nanoseconds since UTC Unix epoch. |
399
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the order associated with the rejected modification. |
400
+ -- | `rejection_reason` | `TEXT` | `NOT NULL` | Canonical classification of the modification rejection cause. |
401
+ -- | `rejection_message` | `TEXT` | `NOT NULL` | Human-readable explanation provided by the broker. |
402
+ --
403
+ CREATE TABLE modifications_rejected (
404
+ id INTEGER PRIMARY KEY,
405
+ run_id TEXT NOT NULL,
406
+ ts_event_ns INTEGER NOT NULL,
407
+ ts_created_ns INTEGER NOT NULL,
408
+ ts_broker_ns INTEGER NOT NULL,
409
+ associated_order_id TEXT NOT NULL,
410
+ rejection_reason TEXT NOT NULL,
411
+ rejection_message TEXT NOT NULL,
412
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
413
+ );
414
+
415
+ CREATE INDEX idx_modifications_rejected_run_ts ON modifications_rejected(run_id, ts_event_ns);
416
+ CREATE INDEX idx_modifications_rejected_order_id ON modifications_rejected(associated_order_id);
417
+
418
+
419
+ -- Stores trade execution fill events.
420
+ --
421
+ -- Each row represents a FillEvent captured from the event bus.
422
+ -- A fill records the execution of a quantity of an order at a specific price.
423
+ -- Multiple fills may be associated with the same order in the case of partial execution.
424
+ --
425
+ -- | Field | Type | Constraints | Description |
426
+ -- |---------------------|-----------|------------------|------------------------------------------------------------------------------------------|
427
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
428
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
429
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the fill was observed by the system, as nanoseconds since UTC epoch. |
430
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
431
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the fill, as nanoseconds since UTC Unix epoch. |
432
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the order associated with the fill (UUID string). |
433
+ -- | `broker_order_id` | `TEXT` | | Broker-assigned identifier of the order, if available. |
434
+ -- | `symbol` | `TEXT` | `NOT NULL` | Identifier of the traded instrument. |
435
+ -- | `fill_id` | `TEXT` | `NOT NULL` | System-assigned unique identifier of the fill event (UUID string). |
436
+ -- | `broker_fill_id` | `TEXT` | | Broker-assigned identifier of the execution record, if available. |
437
+ -- | `side` | `TEXT` | `NOT NULL` | Trade direction of the executed quantity (e.g. 'BUY', 'SELL'). |
438
+ -- | `quantity_filled` | `REAL` | `NOT NULL` | Quantity executed in this fill. |
439
+ -- | `fill_price` | `REAL` | `NOT NULL` | Execution price of the fill. |
440
+ -- | `commission` | `REAL` | `NOT NULL` | Commission or fee associated with the fill. |
441
+ -- | `exchange` | `TEXT` | `NOT NULL` | Identifier of the execution venue. |
442
+ --
443
+ CREATE TABLE fills (
444
+ id INTEGER PRIMARY KEY,
445
+ run_id TEXT NOT NULL,
446
+ ts_event_ns INTEGER NOT NULL,
447
+ ts_created_ns INTEGER NOT NULL,
448
+ ts_broker_ns INTEGER NOT NULL,
449
+ associated_order_id TEXT NOT NULL,
450
+ broker_order_id TEXT,
451
+ symbol TEXT NOT NULL,
452
+ fill_id TEXT NOT NULL,
453
+ broker_fill_id TEXT,
454
+ side TEXT NOT NULL,
455
+ quantity_filled REAL NOT NULL,
456
+ fill_price REAL NOT NULL,
457
+ commission REAL NOT NULL,
458
+ exchange TEXT NOT NULL,
459
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
460
+ );
461
+
462
+ CREATE INDEX idx_fills_run_ts ON fills(run_id, ts_event_ns);
463
+ CREATE INDEX idx_fills_run_symbol_ts ON fills(run_id, symbol, ts_event_ns);
464
+ CREATE INDEX idx_fills_order_id ON fills(associated_order_id);
465
+
466
+
467
+ -- Stores order expiration events.
468
+ --
469
+ -- Each row represents an OrderExpired event captured from the event bus.
470
+ -- This indicates that an order is no longer active due to expiration according to broker or venue rules
471
+ -- (e.g. time-in-force constraints).
472
+ --
473
+ -- | Field | Type | Constraints | Description |
474
+ -- |---------------------|-----------|------------------|------------------------------------------------------------------------------------------|
475
+ -- | `id` | `INTEGER` | `PRIMARY KEY` | Auto-incrementing surrogate key for the record. |
476
+ -- | `run_id` | `TEXT` | `NOT NULL`, `FK` | Foreign key reference to `runs.run_id`, identifying the run this event belongs to. |
477
+ -- | `ts_event_ns` | `INTEGER` | `NOT NULL` | Time at which the expiration was observed by the system, as nanoseconds since UTC epoch. |
478
+ -- | `ts_created_ns` | `INTEGER` | `NOT NULL` | Time at which the event object was created, as nanoseconds since UTC Unix epoch. |
479
+ -- | `ts_broker_ns` | `INTEGER` | `NOT NULL` | Time reported by the broker for the expiration, as nanoseconds since UTC Unix epoch. |
480
+ -- | `associated_order_id`| `TEXT` | `NOT NULL` | System-assigned identifier of the expired order (UUID string). |
481
+ -- | `broker_order_id` | `TEXT` | | Broker-assigned identifier of the expired order, if reported. |
482
+ -- | `symbol` | `TEXT` | `NOT NULL` | Identifier of the traded instrument. |
483
+ --
484
+ CREATE TABLE expirations (
485
+ id INTEGER PRIMARY KEY,
486
+ run_id TEXT NOT NULL,
487
+ ts_event_ns INTEGER NOT NULL,
488
+ ts_created_ns INTEGER NOT NULL,
489
+ ts_broker_ns INTEGER NOT NULL,
490
+ associated_order_id TEXT NOT NULL,
491
+ broker_order_id TEXT,
492
+ symbol TEXT NOT NULL,
493
+ FOREIGN KEY (run_id) REFERENCES runs(run_id)
494
+ );
495
+
496
+ CREATE INDEX idx_expirations_run_ts ON expirations(run_id, ts_event_ns);
497
+ CREATE INDEX idx_expirations_order_id ON expirations(associated_order_id);
498
+
499
+
500
+ PRAGMA user_version = 1;
{onesecondtrader-0.55.0.dist-info → onesecondtrader-0.56.0.dist-info}/METADATA RENAMED
@@ -1,6 +1,6 @@
1
1
  Metadata-Version: 2.4
2
2
  Name: onesecondtrader
3
- Version: 0.55.0
3
+ Version: 0.56.0
4
4
  Summary: The Trading Infrastructure Toolkit for Python. Research, simulate, and deploy algorithmic trading strategies — all in one place.
5
5
  License-File: LICENSE
6
6
  Author: Nils P. Kujath
{onesecondtrader-0.55.0.dist-info → onesecondtrader-0.56.0.dist-info}/RECORD RENAMED
@@ -38,6 +38,10 @@ onesecondtrader/models/bar_period.py,sha256=J8ncVtcAxR52uD0nbC8Knds_GUP5wiuNj5rA
38
38
  onesecondtrader/models/order_types.py,sha256=SiJamarLQ7zkHzHLLbd86I_TeZrQJ4QEIMqNHj4dxXU,737
39
39
  onesecondtrader/models/rejection_reasons.py,sha256=Avp1JYf413_aUQQkEeswI-9EJBmQdd7B6bnQ1MslDNE,2132
40
40
  onesecondtrader/models/trade_sides.py,sha256=Pf9BpxoUxqgKC_EKAExfSqgfIIK9NW-RpJES0XHRF-8,583
41
+ onesecondtrader/orchestrator/__init__.py,sha256=PUXo0UqvCCgTH1FVuuDR05QLjjGvAuH9fY7K73Q-gj8,218
42
+ onesecondtrader/orchestrator/orchestrator.py,sha256=qrTzxyQnXQ_Uc47McaV9iCCwB5UZ3CVQou5nnGG-eXI,5470
43
+ onesecondtrader/orchestrator/run_recorder.py,sha256=p_-UMlPgDRudThURFudCamdHEgWgIbQ9UO0lNQUun-A,25911
44
+ onesecondtrader/orchestrator/runs_schema.sql,sha256=MLgj-6jYxAtMq5wZbpb9KBVr6yBNE852b18yiSfzYgo,35364
41
45
  onesecondtrader/secmaster/__init__.py,sha256=XAouFrbRTpWWp8U43LQUkj8EZvJR9ydlI9fVdJjH1BY,294
42
46
  onesecondtrader/secmaster/schema_versions/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
43
47
  onesecondtrader/secmaster/schema_versions/secmaster_schema_v1.sql,sha256=E41rVhpYlXiC_GR4cw1bNQW_8Fdy8d-s1RJASIUCijM,12974
@@ -45,7 +49,7 @@ onesecondtrader/secmaster/utils.py,sha256=d8PMSNLWVr10G0CSdL9vF-j_9jTfvOLxC-6k42
45
49
  onesecondtrader/strategies/__init__.py,sha256=PPnXOT-dwchYlIQkrA6FpuZaRCsVs1qPNiTI8gOk6ME,224
46
50
  onesecondtrader/strategies/base.py,sha256=lxX3HVr-6XQMohayEL0JExMgdd73rMTeu7v26qaMXkE,20139
47
51
  onesecondtrader/strategies/examples.py,sha256=OWYsXg79NecPcK9K2_eFY377paYGDsDaw7ecnFaLdIc,1828
48
- onesecondtrader-0.55.0.dist-info/METADATA,sha256=c91IXXZuAMjsrRF3j7BdaFoxWS3xTQngqaVB4kz_trc,9951
49
- onesecondtrader-0.55.0.dist-info/WHEEL,sha256=kJCRJT_g0adfAJzTx2GUMmS80rTJIVHRCfG0DQgLq3o,88
50
- onesecondtrader-0.55.0.dist-info/licenses/LICENSE,sha256=OXLcl0T2SZ8Pmy2_dmlvKuetivmyPd5m1q-Gyd-zaYY,35149
51
- onesecondtrader-0.55.0.dist-info/RECORD,,
52
+ onesecondtrader-0.56.0.dist-info/METADATA,sha256=SxiW6mjAwaR8YSDWV0i5bVYP67JvB6MNtOFcHgGVRVY,9951
53
+ onesecondtrader-0.56.0.dist-info/WHEEL,sha256=kJCRJT_g0adfAJzTx2GUMmS80rTJIVHRCfG0DQgLq3o,88
54
+ onesecondtrader-0.56.0.dist-info/licenses/LICENSE,sha256=OXLcl0T2SZ8Pmy2_dmlvKuetivmyPd5m1q-Gyd-zaYY,35149
55
+ onesecondtrader-0.56.0.dist-info/RECORD,,