feat(bot): add FinlyticBot autonomous paper trading microservice with Alpaca Markets API integration
This commit is contained in:
+15
-13
@@ -1,4 +1,4 @@
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Microsoft Visual Studio Solution File, Format Version 12.00
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "FinlyticAssets", "FinlyticAssets\FinlyticAssets.csproj", "{B5AC2C29-44D5-4538-815F-F02CDDE9D01F}"
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EndProject
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@@ -23,6 +23,8 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "FinlyticTrades", "FinlyticT
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "FinlyticBackend", "FinlyticBackend\FinlyticBackend.csproj", "{C1A924B8-904E-436D-B07E-4E621F51C1AA}"
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "FinlyticBot", "FinlyticBot\FinlyticBot.csproj", "{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
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@@ -69,18 +71,6 @@ Global
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{03B4D920-6173-44E8-A1E2-8945D8393CEA}.Release|x64.Build.0 = Release|Any CPU
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{03B4D920-6173-44E8-A1E2-8945D8393CEA}.Release|x86.ActiveCfg = Release|Any CPU
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{03B4D920-6173-44E8-A1E2-8945D8393CEA}.Release|x86.Build.0 = Release|Any CPU
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{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||
{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Debug|x64.ActiveCfg = Debug|Any CPU
|
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{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Debug|x64.Build.0 = Debug|Any CPU
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{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Debug|x86.ActiveCfg = Debug|Any CPU
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||||
{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Debug|x86.Build.0 = Debug|Any CPU
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||||
{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Release|Any CPU.ActiveCfg = Release|Any CPU
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||||
{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Release|Any CPU.Build.0 = Release|Any CPU
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{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Release|x64.ActiveCfg = Release|Any CPU
|
||||
{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Release|x64.Build.0 = Release|Any CPU
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||||
{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Release|x86.ActiveCfg = Release|Any CPU
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{999DB199-69C5-46D2-BDAD-59C84F5769F1}.Release|x86.Build.0 = Release|Any CPU
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{D458A1B3-16CF-45E8-859D-87542A4A83A7}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{D458A1B3-16CF-45E8-859D-87542A4A83A7}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{D458A1B3-16CF-45E8-859D-87542A4A83A7}.Debug|x64.ActiveCfg = Debug|Any CPU
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@@ -119,6 +109,18 @@ Global
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{C1A924B8-904E-436D-B07E-4E621F51C1AA}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{C1A924B8-904E-436D-B07E-4E621F51C1AA}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{C1A924B8-904E-436D-B07E-4E621F51C1AA}.Release|Any CPU.Build.0 = Release|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Debug|x64.ActiveCfg = Debug|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Debug|x64.Build.0 = Debug|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Debug|x86.ActiveCfg = Debug|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Debug|x86.Build.0 = Debug|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Release|Any CPU.Build.0 = Release|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Release|x64.ActiveCfg = Release|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Release|x64.Build.0 = Release|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Release|x86.ActiveCfg = Release|Any CPU
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{B39B0AD9-FB8A-4F5F-8652-73C3BD8E75F3}.Release|x86.Build.0 = Release|Any CPU
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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@@ -67,7 +67,8 @@ public class AdminSettingsController : ControllerBase
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["FinlyticSentiment"] = "sentiment",
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["FinlyticAnalyzer"] = "analyzer",
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["FinlyticTrades"] = "trades",
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["FinlyticAssets"] = "assets"
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["FinlyticAssets"] = "assets",
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["FinlyticBot"] = "bot"
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};
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private static readonly ConcurrentDictionary<string, List<ServiceConfigItem>> _inMemorySettings = new(StringComparer.OrdinalIgnoreCase);
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@@ -0,0 +1,45 @@
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using System;
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using FinlyticBot.Entities;
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using FinlyticCore.Database;
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using FinlyticCore.Entities.Settings;
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using Microsoft.EntityFrameworkCore;
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namespace FinlyticBot.Database;
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public class BotDbContext : DbContext, ISettingsDbContext
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{
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public BotDbContext(DbContextOptions<BotDbContext> options) : base(options) { }
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public DbSet<SettingEntity> DynamicSettings => Set<SettingEntity>();
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public DbSet<ExecutedPaperTradeEntity> ExecutedPaperTrades => Set<ExecutedPaperTradeEntity>();
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public DbSet<BotAuditLogEntity> BotAuditLogs => Set<BotAuditLogEntity>();
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protected override void OnModelCreating(ModelBuilder modelBuilder)
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{
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base.OnModelCreating(modelBuilder);
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modelBuilder.Entity<SettingEntity>(entity =>
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{
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entity.HasKey(e => e.Id);
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entity.HasIndex(e => e.Key).IsUnique();
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});
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modelBuilder.Entity<ExecutedPaperTradeEntity>(entity =>
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{
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entity.HasIndex(e => e.TradeId).IsUnique();
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entity.HasIndex(e => e.Symbol);
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entity.HasIndex(e => e.Isin);
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entity.HasIndex(e => e.AlpacaOrderId);
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entity.HasIndex(e => e.Status);
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entity.HasIndex(e => e.PlacedAt);
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});
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modelBuilder.Entity<BotAuditLogEntity>(entity =>
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{
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entity.HasIndex(e => e.TradeId);
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entity.HasIndex(e => e.Symbol);
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entity.HasIndex(e => e.Action);
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entity.HasIndex(e => e.Timestamp);
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});
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}
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}
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@@ -0,0 +1,16 @@
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FROM mcr.microsoft.com/dotnet/sdk:10.0 AS build
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WORKDIR /src
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COPY ["FinlyticCore/FinlyticCore.csproj", "FinlyticCore/"]
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COPY ["FinlyticBot/FinlyticBot.csproj", "FinlyticBot/"]
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RUN dotnet restore "FinlyticBot/FinlyticBot.csproj"
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COPY . .
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WORKDIR "/src/FinlyticBot"
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RUN dotnet build "FinlyticBot.csproj" -c Release -o /app/build
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FROM build AS publish
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RUN dotnet publish "FinlyticBot.csproj" -c Release -o /app/publish /p:UseAppHost=false
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FROM mcr.microsoft.com/dotnet/aspnet:10.0 AS final
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WORKDIR /app
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COPY --from=publish /app/publish .
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ENTRYPOINT ["dotnet", "FinlyticBot.dll"]
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@@ -0,0 +1,37 @@
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using System;
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using System.ComponentModel.DataAnnotations;
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using System.ComponentModel.DataAnnotations.Schema;
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namespace FinlyticBot.Entities;
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[Table("BotAuditLogs")]
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public class BotAuditLogEntity
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{
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[Key]
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public Guid Id { get; set; } = Guid.NewGuid();
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[Required]
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[MaxLength(100)]
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public string TradeId { get; set; } = string.Empty;
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[Required]
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[MaxLength(30)]
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public string Symbol { get; set; } = string.Empty;
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[Required]
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[MaxLength(50)]
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public string Action { get; set; } = string.Empty; // "Evaluated", "Rejected", "OrderPlaced", "OrderFilled", "OrderClosed", "EmergencyStopped"
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public bool IsAccepted { get; set; }
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[MaxLength(500)]
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public string? Reason { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal? CalculatedSize { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal? AccountEquity { get; set; }
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public DateTime Timestamp { get; set; } = DateTime.UtcNow;
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}
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@@ -0,0 +1,78 @@
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using System;
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using System.ComponentModel.DataAnnotations;
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using System.ComponentModel.DataAnnotations.Schema;
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namespace FinlyticBot.Entities;
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[Table("ExecutedPaperTrades")]
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public class ExecutedPaperTradeEntity
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{
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[Key]
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public Guid Id { get; set; } = Guid.NewGuid();
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[Required]
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[MaxLength(100)]
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public string TradeId { get; set; } = string.Empty;
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[Required]
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[MaxLength(30)]
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public string Symbol { get; set; } = string.Empty;
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[MaxLength(30)]
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public string Isin { get; set; } = string.Empty;
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[MaxLength(200)]
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public string CompanyName { get; set; } = string.Empty;
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public Guid? AlpacaOrderId { get; set; }
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[MaxLength(20)]
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public string Side { get; set; } = "BUY"; // "BUY", "SELL"
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[Column(TypeName = "decimal(18,4)")]
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public decimal Quantity { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal SignalEntryPrice { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal? ActualFillPrice { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal StopLossPrice { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal TakeProfitPrice1 { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal? TakeProfitPrice2 { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal CalculatedCrv { get; set; }
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public double WinRate { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal? SlippagePercent { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal RealizedPnl { get; set; }
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[Column(TypeName = "decimal(18,4)")]
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public decimal? RealizedPnlPercent { get; set; }
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[Required]
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[MaxLength(30)]
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public string Status { get; set; } = "Proposed"; // "Proposed", "Submitted", "Accepted", "PartiallyFilled", "Filled", "Closed", "Rejected", "Canceled"
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[MaxLength(1000)]
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public string? RejectReason { get; set; }
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public DateTime PlacedAt { get; set; } = DateTime.UtcNow;
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public DateTime? FilledAt { get; set; }
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public DateTime? ClosedAt { get; set; }
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public DateTime UpdatedAt { get; set; } = DateTime.UtcNow;
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}
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@@ -0,0 +1,24 @@
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<Project Sdk="Microsoft.NET.Sdk.Web">
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<PropertyGroup>
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<TargetFramework>net10.0</TargetFramework>
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<ImplicitUsings>enable</ImplicitUsings>
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<Nullable>enable</Nullable>
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="Alpaca.Markets" Version="7.2.2" />
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<PackageReference Include="Microsoft.EntityFrameworkCore" Version="10.0.9" />
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<PackageReference Include="Microsoft.EntityFrameworkCore.Design" Version="10.0.9">
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<PrivateAssets>all</PrivateAssets>
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<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
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</PackageReference>
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<PackageReference Include="MQTTnet" Version="5.1.0.1559" />
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<PackageReference Include="Npgsql.EntityFrameworkCore.PostgreSQL" Version="10.0.2" />
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</ItemGroup>
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<ItemGroup>
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<ProjectReference Include="..\FinlyticCore\FinlyticCore.csproj" />
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</ItemGroup>
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</Project>
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@@ -0,0 +1,217 @@
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// <auto-generated />
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using System;
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using FinlyticBot.Database;
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using Microsoft.EntityFrameworkCore;
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using Microsoft.EntityFrameworkCore.Infrastructure;
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using Microsoft.EntityFrameworkCore.Migrations;
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using Microsoft.EntityFrameworkCore.Storage.ValueConversion;
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using Npgsql.EntityFrameworkCore.PostgreSQL.Metadata;
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#nullable disable
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namespace FinlyticBot.Migrations
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{
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[DbContext(typeof(BotDbContext))]
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[Migration("20260817142432_InitBotDatabase")]
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partial class InitBotDatabase
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{
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/// <inheritdoc />
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protected override void BuildTargetModel(ModelBuilder modelBuilder)
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{
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#pragma warning disable 612, 618
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modelBuilder
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.HasAnnotation("ProductVersion", "10.0.9")
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.HasAnnotation("Relational:MaxIdentifierLength", 63);
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NpgsqlModelBuilderExtensions.UseIdentityByDefaultColumns(modelBuilder);
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modelBuilder.Entity("FinlyticBot.Entities.BotAuditLogEntity", b =>
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||||
{
|
||||
b.Property<Guid>("Id")
|
||||
.ValueGeneratedOnAdd()
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<decimal?>("AccountEquity")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("Action")
|
||||
.IsRequired()
|
||||
.HasMaxLength(50)
|
||||
.HasColumnType("character varying(50)");
|
||||
|
||||
b.Property<decimal?>("CalculatedSize")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<bool>("IsAccepted")
|
||||
.HasColumnType("boolean");
|
||||
|
||||
b.Property<string>("Reason")
|
||||
.HasMaxLength(500)
|
||||
.HasColumnType("character varying(500)");
|
||||
|
||||
b.Property<string>("Symbol")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<DateTime>("Timestamp")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("TradeId")
|
||||
.IsRequired()
|
||||
.HasMaxLength(100)
|
||||
.HasColumnType("character varying(100)");
|
||||
|
||||
b.HasKey("Id");
|
||||
|
||||
b.HasIndex("Action");
|
||||
|
||||
b.HasIndex("Symbol");
|
||||
|
||||
b.HasIndex("Timestamp");
|
||||
|
||||
b.HasIndex("TradeId");
|
||||
|
||||
b.ToTable("BotAuditLogs");
|
||||
});
|
||||
|
||||
modelBuilder.Entity("FinlyticBot.Entities.ExecutedPaperTradeEntity", b =>
|
||||
{
|
||||
b.Property<Guid>("Id")
|
||||
.ValueGeneratedOnAdd()
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<decimal?>("ActualFillPrice")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<Guid?>("AlpacaOrderId")
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<decimal>("CalculatedCrv")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<DateTime?>("ClosedAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("CompanyName")
|
||||
.IsRequired()
|
||||
.HasMaxLength(200)
|
||||
.HasColumnType("character varying(200)");
|
||||
|
||||
b.Property<DateTime?>("FilledAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("Isin")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<DateTime>("PlacedAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<decimal>("Quantity")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal>("RealizedPnl")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal?>("RealizedPnlPercent")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("RejectReason")
|
||||
.HasMaxLength(1000)
|
||||
.HasColumnType("character varying(1000)");
|
||||
|
||||
b.Property<string>("Side")
|
||||
.IsRequired()
|
||||
.HasMaxLength(20)
|
||||
.HasColumnType("character varying(20)");
|
||||
|
||||
b.Property<decimal>("SignalEntryPrice")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal?>("SlippagePercent")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("Status")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<decimal>("StopLossPrice")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("Symbol")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<decimal>("TakeProfitPrice1")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal?>("TakeProfitPrice2")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("TradeId")
|
||||
.IsRequired()
|
||||
.HasMaxLength(100)
|
||||
.HasColumnType("character varying(100)");
|
||||
|
||||
b.Property<DateTime>("UpdatedAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<double>("WinRate")
|
||||
.HasColumnType("double precision");
|
||||
|
||||
b.HasKey("Id");
|
||||
|
||||
b.HasIndex("AlpacaOrderId");
|
||||
|
||||
b.HasIndex("Isin");
|
||||
|
||||
b.HasIndex("PlacedAt");
|
||||
|
||||
b.HasIndex("Status");
|
||||
|
||||
b.HasIndex("Symbol");
|
||||
|
||||
b.HasIndex("TradeId")
|
||||
.IsUnique();
|
||||
|
||||
b.ToTable("ExecutedPaperTrades");
|
||||
});
|
||||
|
||||
modelBuilder.Entity("FinlyticCore.Entities.Settings.SettingEntity", b =>
|
||||
{
|
||||
b.Property<Guid>("Id")
|
||||
.ValueGeneratedOnAdd()
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<string>("Key")
|
||||
.IsRequired()
|
||||
.HasMaxLength(150)
|
||||
.HasColumnType("character varying(150)");
|
||||
|
||||
b.Property<DateTime>("LastUpdatedUtc")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("ServiceIdentifier")
|
||||
.IsRequired()
|
||||
.HasMaxLength(100)
|
||||
.HasColumnType("character varying(100)");
|
||||
|
||||
b.Property<string>("ValueJson")
|
||||
.IsRequired()
|
||||
.HasColumnType("text");
|
||||
|
||||
b.HasKey("Id");
|
||||
|
||||
b.HasIndex("Key")
|
||||
.IsUnique();
|
||||
|
||||
b.ToTable("DynamicSettings");
|
||||
});
|
||||
#pragma warning restore 612, 618
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,153 @@
|
||||
using System;
|
||||
using Microsoft.EntityFrameworkCore.Migrations;
|
||||
|
||||
#nullable disable
|
||||
|
||||
namespace FinlyticBot.Migrations
|
||||
{
|
||||
/// <inheritdoc />
|
||||
public partial class InitBotDatabase : Migration
|
||||
{
|
||||
/// <inheritdoc />
|
||||
protected override void Up(MigrationBuilder migrationBuilder)
|
||||
{
|
||||
migrationBuilder.CreateTable(
|
||||
name: "BotAuditLogs",
|
||||
columns: table => new
|
||||
{
|
||||
Id = table.Column<Guid>(type: "uuid", nullable: false),
|
||||
TradeId = table.Column<string>(type: "character varying(100)", maxLength: 100, nullable: false),
|
||||
Symbol = table.Column<string>(type: "character varying(30)", maxLength: 30, nullable: false),
|
||||
Action = table.Column<string>(type: "character varying(50)", maxLength: 50, nullable: false),
|
||||
IsAccepted = table.Column<bool>(type: "boolean", nullable: false),
|
||||
Reason = table.Column<string>(type: "character varying(500)", maxLength: 500, nullable: true),
|
||||
CalculatedSize = table.Column<decimal>(type: "numeric(18,4)", nullable: true),
|
||||
AccountEquity = table.Column<decimal>(type: "numeric(18,4)", nullable: true),
|
||||
Timestamp = table.Column<DateTime>(type: "timestamp with time zone", nullable: false)
|
||||
},
|
||||
constraints: table =>
|
||||
{
|
||||
table.PrimaryKey("PK_BotAuditLogs", x => x.Id);
|
||||
});
|
||||
|
||||
migrationBuilder.CreateTable(
|
||||
name: "DynamicSettings",
|
||||
columns: table => new
|
||||
{
|
||||
Id = table.Column<Guid>(type: "uuid", nullable: false),
|
||||
Key = table.Column<string>(type: "character varying(150)", maxLength: 150, nullable: false),
|
||||
ValueJson = table.Column<string>(type: "text", nullable: false),
|
||||
ServiceIdentifier = table.Column<string>(type: "character varying(100)", maxLength: 100, nullable: false),
|
||||
LastUpdatedUtc = table.Column<DateTime>(type: "timestamp with time zone", nullable: false)
|
||||
},
|
||||
constraints: table =>
|
||||
{
|
||||
table.PrimaryKey("PK_DynamicSettings", x => x.Id);
|
||||
});
|
||||
|
||||
migrationBuilder.CreateTable(
|
||||
name: "ExecutedPaperTrades",
|
||||
columns: table => new
|
||||
{
|
||||
Id = table.Column<Guid>(type: "uuid", nullable: false),
|
||||
TradeId = table.Column<string>(type: "character varying(100)", maxLength: 100, nullable: false),
|
||||
Symbol = table.Column<string>(type: "character varying(30)", maxLength: 30, nullable: false),
|
||||
Isin = table.Column<string>(type: "character varying(30)", maxLength: 30, nullable: false),
|
||||
CompanyName = table.Column<string>(type: "character varying(200)", maxLength: 200, nullable: false),
|
||||
AlpacaOrderId = table.Column<Guid>(type: "uuid", nullable: true),
|
||||
Side = table.Column<string>(type: "character varying(20)", maxLength: 20, nullable: false),
|
||||
Quantity = table.Column<decimal>(type: "numeric(18,4)", nullable: false),
|
||||
SignalEntryPrice = table.Column<decimal>(type: "numeric(18,4)", nullable: false),
|
||||
ActualFillPrice = table.Column<decimal>(type: "numeric(18,4)", nullable: true),
|
||||
StopLossPrice = table.Column<decimal>(type: "numeric(18,4)", nullable: false),
|
||||
TakeProfitPrice1 = table.Column<decimal>(type: "numeric(18,4)", nullable: false),
|
||||
TakeProfitPrice2 = table.Column<decimal>(type: "numeric(18,4)", nullable: true),
|
||||
CalculatedCrv = table.Column<decimal>(type: "numeric(18,4)", nullable: false),
|
||||
WinRate = table.Column<double>(type: "double precision", nullable: false),
|
||||
SlippagePercent = table.Column<decimal>(type: "numeric(18,4)", nullable: true),
|
||||
RealizedPnl = table.Column<decimal>(type: "numeric(18,4)", nullable: false),
|
||||
RealizedPnlPercent = table.Column<decimal>(type: "numeric(18,4)", nullable: true),
|
||||
Status = table.Column<string>(type: "character varying(30)", maxLength: 30, nullable: false),
|
||||
RejectReason = table.Column<string>(type: "character varying(1000)", maxLength: 1000, nullable: true),
|
||||
PlacedAt = table.Column<DateTime>(type: "timestamp with time zone", nullable: false),
|
||||
FilledAt = table.Column<DateTime>(type: "timestamp with time zone", nullable: true),
|
||||
ClosedAt = table.Column<DateTime>(type: "timestamp with time zone", nullable: true),
|
||||
UpdatedAt = table.Column<DateTime>(type: "timestamp with time zone", nullable: false)
|
||||
},
|
||||
constraints: table =>
|
||||
{
|
||||
table.PrimaryKey("PK_ExecutedPaperTrades", x => x.Id);
|
||||
});
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_BotAuditLogs_Action",
|
||||
table: "BotAuditLogs",
|
||||
column: "Action");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_BotAuditLogs_Symbol",
|
||||
table: "BotAuditLogs",
|
||||
column: "Symbol");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_BotAuditLogs_Timestamp",
|
||||
table: "BotAuditLogs",
|
||||
column: "Timestamp");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_BotAuditLogs_TradeId",
|
||||
table: "BotAuditLogs",
|
||||
column: "TradeId");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_DynamicSettings_Key",
|
||||
table: "DynamicSettings",
|
||||
column: "Key",
|
||||
unique: true);
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_ExecutedPaperTrades_AlpacaOrderId",
|
||||
table: "ExecutedPaperTrades",
|
||||
column: "AlpacaOrderId");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_ExecutedPaperTrades_Isin",
|
||||
table: "ExecutedPaperTrades",
|
||||
column: "Isin");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_ExecutedPaperTrades_PlacedAt",
|
||||
table: "ExecutedPaperTrades",
|
||||
column: "PlacedAt");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_ExecutedPaperTrades_Status",
|
||||
table: "ExecutedPaperTrades",
|
||||
column: "Status");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_ExecutedPaperTrades_Symbol",
|
||||
table: "ExecutedPaperTrades",
|
||||
column: "Symbol");
|
||||
|
||||
migrationBuilder.CreateIndex(
|
||||
name: "IX_ExecutedPaperTrades_TradeId",
|
||||
table: "ExecutedPaperTrades",
|
||||
column: "TradeId",
|
||||
unique: true);
|
||||
}
|
||||
|
||||
/// <inheritdoc />
|
||||
protected override void Down(MigrationBuilder migrationBuilder)
|
||||
{
|
||||
migrationBuilder.DropTable(
|
||||
name: "BotAuditLogs");
|
||||
|
||||
migrationBuilder.DropTable(
|
||||
name: "DynamicSettings");
|
||||
|
||||
migrationBuilder.DropTable(
|
||||
name: "ExecutedPaperTrades");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,214 @@
|
||||
// <auto-generated />
|
||||
using System;
|
||||
using FinlyticBot.Database;
|
||||
using Microsoft.EntityFrameworkCore;
|
||||
using Microsoft.EntityFrameworkCore.Infrastructure;
|
||||
using Microsoft.EntityFrameworkCore.Storage.ValueConversion;
|
||||
using Npgsql.EntityFrameworkCore.PostgreSQL.Metadata;
|
||||
|
||||
#nullable disable
|
||||
|
||||
namespace FinlyticBot.Migrations
|
||||
{
|
||||
[DbContext(typeof(BotDbContext))]
|
||||
partial class BotDbContextModelSnapshot : ModelSnapshot
|
||||
{
|
||||
protected override void BuildModel(ModelBuilder modelBuilder)
|
||||
{
|
||||
#pragma warning disable 612, 618
|
||||
modelBuilder
|
||||
.HasAnnotation("ProductVersion", "10.0.9")
|
||||
.HasAnnotation("Relational:MaxIdentifierLength", 63);
|
||||
|
||||
NpgsqlModelBuilderExtensions.UseIdentityByDefaultColumns(modelBuilder);
|
||||
|
||||
modelBuilder.Entity("FinlyticBot.Entities.BotAuditLogEntity", b =>
|
||||
{
|
||||
b.Property<Guid>("Id")
|
||||
.ValueGeneratedOnAdd()
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<decimal?>("AccountEquity")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("Action")
|
||||
.IsRequired()
|
||||
.HasMaxLength(50)
|
||||
.HasColumnType("character varying(50)");
|
||||
|
||||
b.Property<decimal?>("CalculatedSize")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<bool>("IsAccepted")
|
||||
.HasColumnType("boolean");
|
||||
|
||||
b.Property<string>("Reason")
|
||||
.HasMaxLength(500)
|
||||
.HasColumnType("character varying(500)");
|
||||
|
||||
b.Property<string>("Symbol")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<DateTime>("Timestamp")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("TradeId")
|
||||
.IsRequired()
|
||||
.HasMaxLength(100)
|
||||
.HasColumnType("character varying(100)");
|
||||
|
||||
b.HasKey("Id");
|
||||
|
||||
b.HasIndex("Action");
|
||||
|
||||
b.HasIndex("Symbol");
|
||||
|
||||
b.HasIndex("Timestamp");
|
||||
|
||||
b.HasIndex("TradeId");
|
||||
|
||||
b.ToTable("BotAuditLogs");
|
||||
});
|
||||
|
||||
modelBuilder.Entity("FinlyticBot.Entities.ExecutedPaperTradeEntity", b =>
|
||||
{
|
||||
b.Property<Guid>("Id")
|
||||
.ValueGeneratedOnAdd()
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<decimal?>("ActualFillPrice")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<Guid?>("AlpacaOrderId")
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<decimal>("CalculatedCrv")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<DateTime?>("ClosedAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("CompanyName")
|
||||
.IsRequired()
|
||||
.HasMaxLength(200)
|
||||
.HasColumnType("character varying(200)");
|
||||
|
||||
b.Property<DateTime?>("FilledAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("Isin")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<DateTime>("PlacedAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<decimal>("Quantity")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal>("RealizedPnl")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal?>("RealizedPnlPercent")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("RejectReason")
|
||||
.HasMaxLength(1000)
|
||||
.HasColumnType("character varying(1000)");
|
||||
|
||||
b.Property<string>("Side")
|
||||
.IsRequired()
|
||||
.HasMaxLength(20)
|
||||
.HasColumnType("character varying(20)");
|
||||
|
||||
b.Property<decimal>("SignalEntryPrice")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal?>("SlippagePercent")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("Status")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<decimal>("StopLossPrice")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("Symbol")
|
||||
.IsRequired()
|
||||
.HasMaxLength(30)
|
||||
.HasColumnType("character varying(30)");
|
||||
|
||||
b.Property<decimal>("TakeProfitPrice1")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<decimal?>("TakeProfitPrice2")
|
||||
.HasColumnType("decimal(18,4)");
|
||||
|
||||
b.Property<string>("TradeId")
|
||||
.IsRequired()
|
||||
.HasMaxLength(100)
|
||||
.HasColumnType("character varying(100)");
|
||||
|
||||
b.Property<DateTime>("UpdatedAt")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<double>("WinRate")
|
||||
.HasColumnType("double precision");
|
||||
|
||||
b.HasKey("Id");
|
||||
|
||||
b.HasIndex("AlpacaOrderId");
|
||||
|
||||
b.HasIndex("Isin");
|
||||
|
||||
b.HasIndex("PlacedAt");
|
||||
|
||||
b.HasIndex("Status");
|
||||
|
||||
b.HasIndex("Symbol");
|
||||
|
||||
b.HasIndex("TradeId")
|
||||
.IsUnique();
|
||||
|
||||
b.ToTable("ExecutedPaperTrades");
|
||||
});
|
||||
|
||||
modelBuilder.Entity("FinlyticCore.Entities.Settings.SettingEntity", b =>
|
||||
{
|
||||
b.Property<Guid>("Id")
|
||||
.ValueGeneratedOnAdd()
|
||||
.HasColumnType("uuid");
|
||||
|
||||
b.Property<string>("Key")
|
||||
.IsRequired()
|
||||
.HasMaxLength(150)
|
||||
.HasColumnType("character varying(150)");
|
||||
|
||||
b.Property<DateTime>("LastUpdatedUtc")
|
||||
.HasColumnType("timestamp with time zone");
|
||||
|
||||
b.Property<string>("ServiceIdentifier")
|
||||
.IsRequired()
|
||||
.HasMaxLength(100)
|
||||
.HasColumnType("character varying(100)");
|
||||
|
||||
b.Property<string>("ValueJson")
|
||||
.IsRequired()
|
||||
.HasColumnType("text");
|
||||
|
||||
b.HasKey("Id");
|
||||
|
||||
b.HasIndex("Key")
|
||||
.IsUnique();
|
||||
|
||||
b.ToTable("DynamicSettings");
|
||||
});
|
||||
#pragma warning restore 612, 618
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,50 @@
|
||||
using System;
|
||||
using FinlyticBot.Database;
|
||||
using FinlyticBot.Services;
|
||||
using FinlyticBot.Util;
|
||||
using FinlyticCore.Database;
|
||||
using FinlyticCore.Services;
|
||||
using Microsoft.EntityFrameworkCore;
|
||||
using Microsoft.Extensions.Configuration;
|
||||
using Microsoft.Extensions.DependencyInjection;
|
||||
using Microsoft.Extensions.Hosting;
|
||||
|
||||
var builder = Host.CreateApplicationBuilder(args);
|
||||
|
||||
// 1. DbContext (Scoped)
|
||||
builder.Services.AddDbContext<BotDbContext>(options =>
|
||||
options.UseNpgsql(builder.Configuration.GetConnectionString("DefaultConnection")));
|
||||
builder.Services.AddScoped<ISettingsDbContext>(sp => sp.GetRequiredService<BotDbContext>());
|
||||
|
||||
// 2. Core Services
|
||||
builder.Services.AddSingleton<ISettingsService, SettingsService>();
|
||||
builder.Services.AddSingleton(typeof(IFinlyticLogger<>), typeof(FinlyticLogger<>));
|
||||
|
||||
// 3. Domain Services
|
||||
builder.Services.AddSingleton<IBotRiskSizingService, BotRiskSizingService>();
|
||||
builder.Services.AddSingleton<IAlpacaBrokerService, AlpacaBrokerService>();
|
||||
builder.Services.AddSingleton<IBotOrderExecutionService, BotOrderExecutionService>();
|
||||
|
||||
// 4. Hosted Services
|
||||
builder.Services.AddSingleton<BotMqttClient>();
|
||||
builder.Services.AddHostedService(sp => sp.GetRequiredService<BotMqttClient>());
|
||||
builder.Services.AddHostedService<AlpacaWebSocketMonitorWorker>();
|
||||
|
||||
var host = builder.Build();
|
||||
|
||||
// Run DB Migrations
|
||||
using (var scope = host.Services.CreateScope())
|
||||
{
|
||||
try
|
||||
{
|
||||
var context = scope.ServiceProvider.GetRequiredService<BotDbContext>();
|
||||
await context.Database.MigrateAsync();
|
||||
Console.WriteLine("Database migrations successfully executed for FinlyticBot.");
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
Console.WriteLine($"Critical error during database migration for FinlyticBot: {ex.Message}");
|
||||
}
|
||||
}
|
||||
|
||||
await host.RunAsync();
|
||||
@@ -0,0 +1,216 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using Alpaca.Markets;
|
||||
using FinlyticBot.Util;
|
||||
using FinlyticCore.Models.Trades;
|
||||
using FinlyticCore.Services;
|
||||
using Microsoft.Extensions.Configuration;
|
||||
|
||||
namespace FinlyticBot.Services;
|
||||
|
||||
public class AlpacaBrokerService : IAlpacaBrokerService
|
||||
{
|
||||
private readonly ISettingsService _settingsService;
|
||||
private readonly IConfiguration _configuration;
|
||||
private readonly IFinlyticLogger<AlpacaBrokerService> _finlyticLogger;
|
||||
|
||||
private IAlpacaTradingClient? _cachedClient;
|
||||
private string _lastInitKey = string.Empty;
|
||||
|
||||
public AlpacaBrokerService(
|
||||
ISettingsService settingsService,
|
||||
IConfiguration configuration,
|
||||
IFinlyticLogger<AlpacaBrokerService> finlyticLogger)
|
||||
{
|
||||
_settingsService = settingsService;
|
||||
_configuration = configuration;
|
||||
_finlyticLogger = finlyticLogger;
|
||||
}
|
||||
|
||||
private async Task<IAlpacaTradingClient?> GetClientAsync(CancellationToken ct = default)
|
||||
{
|
||||
string keyId = await _settingsService.GetSettingAsync(SettingKeys.AlpacaKeyId, ct);
|
||||
if (string.IsNullOrWhiteSpace(keyId))
|
||||
{
|
||||
keyId = _configuration["Alpaca:KeyId"] ?? _configuration["Alpaca__KeyId"] ?? string.Empty;
|
||||
}
|
||||
|
||||
string secretKey = await _settingsService.GetSettingAsync(SettingKeys.AlpacaSecretKey, ct);
|
||||
if (string.IsNullOrWhiteSpace(secretKey))
|
||||
{
|
||||
secretKey = _configuration["Alpaca:SecretKey"] ?? _configuration["Alpaca__SecretKey"] ?? string.Empty;
|
||||
}
|
||||
|
||||
bool isPaper = await _settingsService.GetSettingAsync(SettingKeys.AlpacaIsPaper, ct);
|
||||
if (string.IsNullOrWhiteSpace(keyId) || string.IsNullOrWhiteSpace(secretKey))
|
||||
{
|
||||
await _finlyticLogger.LogWarningAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaBroker] Alpaca API credentials (KeyId/SecretKey) are missing or empty.");
|
||||
return null;
|
||||
}
|
||||
|
||||
string currentInitKey = $"{keyId}_{secretKey}_{isPaper}";
|
||||
if (_cachedClient != null && _lastInitKey == currentInitKey)
|
||||
{
|
||||
return _cachedClient;
|
||||
}
|
||||
|
||||
var environment = isPaper ? Alpaca.Markets.Environments.Paper : Alpaca.Markets.Environments.Live;
|
||||
_cachedClient = environment.GetAlpacaTradingClient(new SecretKey(keyId, secretKey));
|
||||
_lastInitKey = currentInitKey;
|
||||
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaBroker] Initialized Alpaca Trading Client (Environment: {Env})", isPaper ? "Paper" : "Live");
|
||||
|
||||
return _cachedClient;
|
||||
}
|
||||
|
||||
public async Task<BrokerAccountInfo?> GetAccountInfoAsync(CancellationToken ct = default)
|
||||
{
|
||||
var client = await GetClientAsync(ct);
|
||||
if (client == null) return null;
|
||||
|
||||
try
|
||||
{
|
||||
var account = await client.GetAccountAsync(ct);
|
||||
return new BrokerAccountInfo(
|
||||
Equity: account.Equity ?? 0m,
|
||||
BuyingPower: account.BuyingPower ?? 0m,
|
||||
Cash: account.TradableCash,
|
||||
Currency: account.Currency ?? "USD",
|
||||
IsBlocked: account.IsTradingBlocked
|
||||
);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
await _finlyticLogger.LogErrorAsync(SettingKeys.BotChannel, ex,
|
||||
"[AlpacaBroker] Failed to fetch account information from Alpaca.");
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
public async Task<IAsset?> GetAssetAsync(string symbol, CancellationToken ct = default)
|
||||
{
|
||||
var client = await GetClientAsync(ct);
|
||||
if (client == null) return null;
|
||||
|
||||
try
|
||||
{
|
||||
return await client.GetAssetAsync(symbol, ct);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
await _finlyticLogger.LogWarningAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaBroker] Asset {Symbol} not found or query error: {Msg}", symbol, ex.Message);
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
public async Task<IClock?> GetMarketClockAsync(CancellationToken ct = default)
|
||||
{
|
||||
var client = await GetClientAsync(ct);
|
||||
if (client == null) return null;
|
||||
|
||||
try
|
||||
{
|
||||
return await client.GetClockAsync(ct);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
await _finlyticLogger.LogWarningAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaBroker] Failed to query market clock: {Msg}", ex.Message);
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
public async Task<IOrder?> PlaceBracketOrderAsync(
|
||||
TradeProposalDto proposal,
|
||||
decimal quantity,
|
||||
string orderType = "Limit",
|
||||
CancellationToken ct = default)
|
||||
{
|
||||
var client = await GetClientAsync(ct);
|
||||
if (client == null) return null;
|
||||
|
||||
var side = string.Equals(proposal.SignalType, "SELL", StringComparison.OrdinalIgnoreCase)
|
||||
? OrderSide.Sell
|
||||
: OrderSide.Buy;
|
||||
|
||||
OrderQuantity orderQty = OrderQuantity.Fractional(quantity);
|
||||
OrderBase baseOrder;
|
||||
|
||||
if (string.Equals(orderType, "Market", StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
baseOrder = (side == OrderSide.Buy
|
||||
? MarketOrder.Buy(proposal.Symbol, orderQty)
|
||||
: MarketOrder.Sell(proposal.Symbol, orderQty))
|
||||
.Bracket(proposal.TakeProfit, proposal.StopLoss);
|
||||
}
|
||||
else
|
||||
{
|
||||
baseOrder = (side == OrderSide.Buy
|
||||
? LimitOrder.Buy(proposal.Symbol, orderQty, proposal.EntryPrice)
|
||||
: LimitOrder.Sell(proposal.Symbol, orderQty, proposal.EntryPrice))
|
||||
.Bracket(proposal.TakeProfit, proposal.StopLoss);
|
||||
}
|
||||
|
||||
baseOrder.Duration = TimeInForce.Gtc;
|
||||
|
||||
try
|
||||
{
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaBroker] Placing Bracket Order for {Symbol}: Side={Side}, Qty={Qty}, Entry=${Entry:F2}, SL=${SL:F2}, TP=${TP:F2}",
|
||||
proposal.Symbol, side, quantity, proposal.EntryPrice, proposal.StopLoss, proposal.TakeProfit);
|
||||
|
||||
var placedOrder = await client.PostOrderAsync(baseOrder, ct);
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaBroker] Bracket Order successfully placed with Alpaca! OrderId: {OrderId}, Status: {Status}",
|
||||
placedOrder.OrderId, placedOrder.OrderStatus);
|
||||
|
||||
return placedOrder;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
await _finlyticLogger.LogErrorAsync(SettingKeys.BotChannel, ex,
|
||||
"[AlpacaBroker] Failed to place bracket order for {Symbol} on Alpaca.", proposal.Symbol);
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
public async Task<bool> CancelOrderAsync(Guid orderId, CancellationToken ct = default)
|
||||
{
|
||||
var client = await GetClientAsync(ct);
|
||||
if (client == null) return false;
|
||||
|
||||
try
|
||||
{
|
||||
return await client.CancelOrderAsync(orderId, ct);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
await _finlyticLogger.LogErrorAsync(SettingKeys.BotChannel, ex,
|
||||
"[AlpacaBroker] Failed to cancel order {OrderId} on Alpaca.", orderId);
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
public async Task<IReadOnlyList<IOrder>> GetOpenOrdersAsync(CancellationToken ct = default)
|
||||
{
|
||||
var client = await GetClientAsync(ct);
|
||||
if (client == null) return Array.Empty<IOrder>();
|
||||
|
||||
try
|
||||
{
|
||||
var req = new ListOrdersRequest { OrderStatusFilter = OrderStatusFilter.Open };
|
||||
return await client.ListOrdersAsync(req, ct);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
await _finlyticLogger.LogErrorAsync(SettingKeys.BotChannel, ex,
|
||||
"[AlpacaBroker] Failed to list open orders from Alpaca.");
|
||||
return Array.Empty<IOrder>();
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,208 @@
|
||||
using System;
|
||||
using System.Linq;
|
||||
using System.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using Alpaca.Markets;
|
||||
using FinlyticBot.Database;
|
||||
using FinlyticBot.Util;
|
||||
using FinlyticCore.Services;
|
||||
using Microsoft.EntityFrameworkCore;
|
||||
using Microsoft.Extensions.Configuration;
|
||||
using Microsoft.Extensions.DependencyInjection;
|
||||
using Microsoft.Extensions.Hosting;
|
||||
|
||||
namespace FinlyticBot.Services;
|
||||
|
||||
public class AlpacaWebSocketMonitorWorker : BackgroundService
|
||||
{
|
||||
private readonly IServiceScopeFactory _scopeFactory;
|
||||
private readonly ISettingsService _settingsService;
|
||||
private readonly BotMqttClient _mqttClient;
|
||||
private readonly IConfiguration _configuration;
|
||||
private readonly IFinlyticLogger<AlpacaWebSocketMonitorWorker> _finlyticLogger;
|
||||
|
||||
private IAlpacaStreamingClient? _streamingClient;
|
||||
|
||||
public AlpacaWebSocketMonitorWorker(
|
||||
IServiceScopeFactory scopeFactory,
|
||||
ISettingsService settingsService,
|
||||
BotMqttClient mqttClient,
|
||||
IConfiguration configuration,
|
||||
IFinlyticLogger<AlpacaWebSocketMonitorWorker> finlyticLogger)
|
||||
{
|
||||
_scopeFactory = scopeFactory;
|
||||
_settingsService = settingsService;
|
||||
_mqttClient = mqttClient;
|
||||
_configuration = configuration;
|
||||
_finlyticLogger = finlyticLogger;
|
||||
}
|
||||
|
||||
protected override async Task ExecuteAsync(CancellationToken stoppingToken)
|
||||
{
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaWebSocketMonitor] Starting Alpaca Trade Update Stream Monitor...");
|
||||
|
||||
while (!stoppingToken.IsCancellationRequested)
|
||||
{
|
||||
try
|
||||
{
|
||||
string keyId = await _settingsService.GetSettingAsync(SettingKeys.AlpacaKeyId, stoppingToken);
|
||||
if (string.IsNullOrWhiteSpace(keyId))
|
||||
{
|
||||
keyId = _configuration["Alpaca:KeyId"] ?? _configuration["Alpaca__KeyId"] ?? string.Empty;
|
||||
}
|
||||
|
||||
string secretKey = await _settingsService.GetSettingAsync(SettingKeys.AlpacaSecretKey, stoppingToken);
|
||||
if (string.IsNullOrWhiteSpace(secretKey))
|
||||
{
|
||||
secretKey = _configuration["Alpaca:SecretKey"] ?? _configuration["Alpaca__SecretKey"] ?? string.Empty;
|
||||
}
|
||||
|
||||
bool isPaper = await _settingsService.GetSettingAsync(SettingKeys.AlpacaIsPaper, stoppingToken);
|
||||
|
||||
if (string.IsNullOrWhiteSpace(keyId) || string.IsNullOrWhiteSpace(secretKey))
|
||||
{
|
||||
await Task.Delay(TimeSpan.FromSeconds(15), stoppingToken);
|
||||
continue;
|
||||
}
|
||||
|
||||
var environment = isPaper ? Alpaca.Markets.Environments.Paper : Alpaca.Markets.Environments.Live;
|
||||
_streamingClient = environment.GetAlpacaStreamingClient(new SecretKey(keyId, secretKey));
|
||||
|
||||
_streamingClient.OnTradeUpdate += HandleTradeUpdate;
|
||||
|
||||
var authStatus = await _streamingClient.ConnectAndAuthenticateAsync(stoppingToken);
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaWebSocketMonitor] Connected & Authenticated to Alpaca Streaming WS. Status: {Status}", authStatus.ToString());
|
||||
|
||||
// Keep connection alive until cancellation
|
||||
var tcs = new TaskCompletionSource<bool>();
|
||||
using (stoppingToken.Register(() => tcs.TrySetResult(true)))
|
||||
{
|
||||
await tcs.Task;
|
||||
}
|
||||
|
||||
await _streamingClient.DisconnectAsync(CancellationToken.None);
|
||||
}
|
||||
catch (Exception ex) when (!stoppingToken.IsCancellationRequested)
|
||||
{
|
||||
await _finlyticLogger.LogWarningAsync(SettingKeys.BotChannel, ex,
|
||||
"[AlpacaWebSocketMonitor] Streaming WebSocket disconnected. Retrying in 10s...");
|
||||
await Task.Delay(TimeSpan.FromSeconds(10), stoppingToken);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void HandleTradeUpdate(ITradeUpdate update)
|
||||
{
|
||||
_ = Task.Run(async () =>
|
||||
{
|
||||
try
|
||||
{
|
||||
using var scope = _scopeFactory.CreateScope();
|
||||
var dbContext = scope.ServiceProvider.GetRequiredService<BotDbContext>();
|
||||
|
||||
var order = update.Order;
|
||||
if (order == null) return;
|
||||
|
||||
var trade = await dbContext.ExecutedPaperTrades
|
||||
.FirstOrDefaultAsync(t => t.AlpacaOrderId == order.OrderId);
|
||||
|
||||
if (trade == null)
|
||||
{
|
||||
// Check if it's a child order (SL / TP) of an existing trade
|
||||
trade = await dbContext.ExecutedPaperTrades
|
||||
.Where(t => t.Symbol == order.Symbol && t.Status == "Filled")
|
||||
.OrderByDescending(t => t.PlacedAt)
|
||||
.FirstOrDefaultAsync();
|
||||
}
|
||||
|
||||
if (trade == null) return;
|
||||
|
||||
if (update.Event == TradeEvent.Fill)
|
||||
{
|
||||
decimal fillPrice = update.Price ?? order.AverageFillPrice ?? trade.SignalEntryPrice;
|
||||
trade.ActualFillPrice = fillPrice;
|
||||
trade.Status = "Filled";
|
||||
trade.FilledAt = DateTime.UtcNow;
|
||||
|
||||
if (trade.SignalEntryPrice > 0)
|
||||
{
|
||||
trade.SlippagePercent = Math.Round(((fillPrice - trade.SignalEntryPrice) / trade.SignalEntryPrice) * 100m, 3);
|
||||
}
|
||||
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaTradeUpdate] Order FILLED for {Symbol}: FillPrice=${Price:F2} (Signal: ${SigPrice:F2}, Slippage: {Slip:F3}%)",
|
||||
trade.Symbol, fillPrice, trade.SignalEntryPrice, trade.SlippagePercent ?? 0m);
|
||||
}
|
||||
else if (update.Event == TradeEvent.PartialFill)
|
||||
{
|
||||
trade.Status = "PartiallyFilled";
|
||||
}
|
||||
else if (update.Event == TradeEvent.Canceled || update.Event == TradeEvent.Expired || update.Event == TradeEvent.Rejected)
|
||||
{
|
||||
trade.Status = update.Event.ToString();
|
||||
trade.ClosedAt = DateTime.UtcNow;
|
||||
}
|
||||
else if (update.Event == TradeEvent.Stopped || update.Event == TradeEvent.Calculated)
|
||||
{
|
||||
// Position closed by Stop Loss or Take Profit
|
||||
trade.Status = "Closed";
|
||||
trade.ClosedAt = DateTime.UtcNow;
|
||||
|
||||
decimal exitPrice = update.Price ?? trade.ActualFillPrice ?? trade.SignalEntryPrice;
|
||||
if (trade.ActualFillPrice.HasValue && update.Price.HasValue)
|
||||
{
|
||||
exitPrice = update.Price.Value;
|
||||
decimal diff = trade.Side == "BUY" ? (exitPrice - trade.ActualFillPrice.Value) : (trade.ActualFillPrice.Value - exitPrice);
|
||||
trade.RealizedPnl = diff * trade.Quantity;
|
||||
if (trade.ActualFillPrice.Value > 0)
|
||||
{
|
||||
trade.RealizedPnlPercent = Math.Round((diff / trade.ActualFillPrice.Value) * 100m, 2);
|
||||
}
|
||||
}
|
||||
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaTradeUpdate] Position CLOSED for {Symbol}: Realized PnL: ${Pnl:F2} ({Pct:F2}%)",
|
||||
trade.Symbol, trade.RealizedPnl, trade.RealizedPnlPercent ?? 0m);
|
||||
|
||||
// Publish Closed Trade to MQTT for WinRate calibration & AI feedback loop
|
||||
bool isWin = trade.RealizedPnl > 0;
|
||||
var feedbackDto = new FinlyticCore.Models.Trades.TradeProposalDto
|
||||
{
|
||||
TradeId = trade.TradeId,
|
||||
Symbol = trade.Symbol,
|
||||
Isin = trade.Isin,
|
||||
CompanyName = trade.CompanyName,
|
||||
EntryPrice = trade.SignalEntryPrice,
|
||||
ActualEntryPrice = trade.ActualFillPrice,
|
||||
CurrentPrice = exitPrice,
|
||||
StopLoss = trade.StopLossPrice,
|
||||
TakeProfit = trade.TakeProfitPrice1,
|
||||
Status = isWin ? "Closed_Profit" : "Closed_Loss",
|
||||
SignalType = trade.Side,
|
||||
WinRate = trade.WinRate,
|
||||
PnlAbsolute = trade.RealizedPnl,
|
||||
PnlPercent = trade.RealizedPnlPercent,
|
||||
CloseReason = isWin ? "TakeProfit_Hit" : "StopLoss_Hit",
|
||||
UserExitTimestamp = trade.ClosedAt,
|
||||
CreatedAt = trade.PlacedAt
|
||||
};
|
||||
|
||||
await _mqttClient.PublishAsync($"finlytic/trades/closed/{trade.TradeId}", feedbackDto);
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[AlpacaTradeUpdate] Dispatched closed trade feedback event to MQTT for {TradeId} (Win: {IsWin})",
|
||||
trade.TradeId, isWin);
|
||||
}
|
||||
|
||||
trade.UpdatedAt = DateTime.UtcNow;
|
||||
await dbContext.SaveChangesAsync();
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
_ = _finlyticLogger.LogErrorAsync(SettingKeys.BotChannel, ex,
|
||||
"[AlpacaWebSocketMonitor] Error processing TradeUpdate event.");
|
||||
}
|
||||
});
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,191 @@
|
||||
using System;
|
||||
using System.Linq;
|
||||
using System.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using Alpaca.Markets;
|
||||
using FinlyticBot.Database;
|
||||
using FinlyticBot.Entities;
|
||||
using FinlyticBot.Util;
|
||||
using FinlyticCore.Models.Trades;
|
||||
using FinlyticCore.Services;
|
||||
using Microsoft.EntityFrameworkCore;
|
||||
using Microsoft.Extensions.DependencyInjection;
|
||||
|
||||
namespace FinlyticBot.Services;
|
||||
|
||||
public interface IBotOrderExecutionService
|
||||
{
|
||||
Task ProcessTradeProposalAsync(TradeProposalDto proposal, CancellationToken ct = default);
|
||||
}
|
||||
|
||||
public class BotOrderExecutionService : IBotOrderExecutionService
|
||||
{
|
||||
private readonly IServiceScopeFactory _scopeFactory;
|
||||
private readonly IAlpacaBrokerService _brokerService;
|
||||
private readonly IBotRiskSizingService _sizingService;
|
||||
private readonly ISettingsService _settingsService;
|
||||
private readonly IFinlyticLogger<BotOrderExecutionService> _finlyticLogger;
|
||||
|
||||
public BotOrderExecutionService(
|
||||
IServiceScopeFactory scopeFactory,
|
||||
IAlpacaBrokerService brokerService,
|
||||
IBotRiskSizingService sizingService,
|
||||
ISettingsService settingsService,
|
||||
IFinlyticLogger<BotOrderExecutionService> finlyticLogger)
|
||||
{
|
||||
_scopeFactory = scopeFactory;
|
||||
_brokerService = brokerService;
|
||||
_sizingService = sizingService;
|
||||
_settingsService = settingsService;
|
||||
_finlyticLogger = finlyticLogger;
|
||||
}
|
||||
|
||||
public async Task ProcessTradeProposalAsync(TradeProposalDto proposal, CancellationToken ct = default)
|
||||
{
|
||||
ArgumentNullException.ThrowIfNull(proposal);
|
||||
|
||||
if (string.IsNullOrWhiteSpace(proposal.Symbol))
|
||||
{
|
||||
await _finlyticLogger.LogWarningAsync(SettingKeys.BotChannel,
|
||||
"[BotExecution] Trade proposal has no valid Symbol. Skipping.");
|
||||
return;
|
||||
}
|
||||
|
||||
using var scope = _scopeFactory.CreateScope();
|
||||
var dbContext = scope.ServiceProvider.GetRequiredService<BotDbContext>();
|
||||
|
||||
// 1. Check if trade was already processed
|
||||
bool alreadyExists = await dbContext.ExecutedPaperTrades
|
||||
.AnyAsync(t => t.TradeId == proposal.TradeId, ct);
|
||||
if (alreadyExists)
|
||||
{
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[BotExecution] Trade proposal {TradeId} ({Symbol}) already processed. Skipping duplicate.",
|
||||
proposal.TradeId, proposal.Symbol);
|
||||
return;
|
||||
}
|
||||
|
||||
// 2. Validate asset on Alpaca
|
||||
var asset = await _brokerService.GetAssetAsync(proposal.Symbol, ct);
|
||||
if (asset == null || !asset.IsTradable)
|
||||
{
|
||||
string reason = $"Asset '{proposal.Symbol}' is not tradeable on Alpaca.";
|
||||
await _finlyticLogger.LogWarningAsync(SettingKeys.BotChannel,
|
||||
"[BotExecution] Trade {TradeId} ({Symbol}) rejected: {Reason}", proposal.TradeId, proposal.Symbol, reason);
|
||||
|
||||
await RecordAuditLogAsync(dbContext, proposal, "Rejected", false, reason, 0, 0, ct);
|
||||
return;
|
||||
}
|
||||
|
||||
// 3. Query Account Equity from Alpaca
|
||||
var account = await _brokerService.GetAccountInfoAsync(ct);
|
||||
if (account == null)
|
||||
{
|
||||
string reason = "Failed to query account information from Alpaca API.";
|
||||
await RecordAuditLogAsync(dbContext, proposal, "Rejected", false, reason, 0, 0, ct);
|
||||
return;
|
||||
}
|
||||
|
||||
if (account.IsBlocked)
|
||||
{
|
||||
string reason = "Alpaca trading account is currently blocked.";
|
||||
await RecordAuditLogAsync(dbContext, proposal, "Rejected", false, reason, 0, account.Equity, ct);
|
||||
return;
|
||||
}
|
||||
|
||||
// 4. Calculate stats (current open trades and today's loss)
|
||||
int openTradesCount = await dbContext.ExecutedPaperTrades
|
||||
.CountAsync(t => t.Status == "Submitted" || t.Status == "Filled" || t.Status == "PartiallyFilled", ct);
|
||||
|
||||
var todayUtc = DateTime.UtcNow.Date;
|
||||
var todayClosedTrades = await dbContext.ExecutedPaperTrades
|
||||
.Where(t => t.ClosedAt >= todayUtc && t.Status == "Closed")
|
||||
.ToListAsync(ct);
|
||||
|
||||
decimal todayRealizedLoss = todayClosedTrades.Where(t => t.RealizedPnl < 0).Sum(t => Math.Abs(t.RealizedPnl));
|
||||
decimal todayLossPercent = account.Equity > 0 ? (todayRealizedLoss / account.Equity) * 100m : 0m;
|
||||
|
||||
// 5. Evaluate through Risk & Sizing Engine
|
||||
var sizing = await _sizingService.EvaluateAndSizeTradeAsync(
|
||||
proposal,
|
||||
account.Equity,
|
||||
openTradesCount,
|
||||
todayLossPercent,
|
||||
ct
|
||||
);
|
||||
|
||||
if (!sizing.IsApproved)
|
||||
{
|
||||
await RecordAuditLogAsync(dbContext, proposal, "Rejected", false, sizing.RejectReason, 0, account.Equity, ct);
|
||||
return;
|
||||
}
|
||||
|
||||
// 6. Submit Order to Alpaca
|
||||
string orderType = await _settingsService.GetSettingAsync(SettingKeys.ExecutionOrderType, ct);
|
||||
var placedOrder = await _brokerService.PlaceBracketOrderAsync(proposal, sizing.Quantity, orderType, ct);
|
||||
|
||||
if (placedOrder == null)
|
||||
{
|
||||
string reason = "Alpaca API rejected bracket order placement.";
|
||||
await RecordAuditLogAsync(dbContext, proposal, "OrderFailed", false, reason, sizing.Quantity, account.Equity, ct);
|
||||
return;
|
||||
}
|
||||
|
||||
// 7. Persist Executed Paper Trade
|
||||
var executedTrade = new ExecutedPaperTradeEntity
|
||||
{
|
||||
TradeId = proposal.TradeId,
|
||||
Symbol = proposal.Symbol,
|
||||
Isin = proposal.Isin,
|
||||
CompanyName = proposal.CompanyName,
|
||||
AlpacaOrderId = placedOrder.OrderId,
|
||||
Side = string.Equals(proposal.SignalType, "SELL", StringComparison.OrdinalIgnoreCase) ? "SELL" : "BUY",
|
||||
Quantity = sizing.Quantity,
|
||||
SignalEntryPrice = proposal.EntryPrice,
|
||||
StopLossPrice = proposal.StopLoss,
|
||||
TakeProfitPrice1 = proposal.TakeProfit,
|
||||
TakeProfitPrice2 = proposal.TakeProfitTargets != null && proposal.TakeProfitTargets.Count > 1 ? proposal.TakeProfitTargets[1] : null,
|
||||
CalculatedCrv = sizing.CalculatedCrv,
|
||||
WinRate = proposal.WinRate,
|
||||
Status = placedOrder.OrderStatus == OrderStatus.Filled ? "Filled" : "Submitted",
|
||||
PlacedAt = DateTime.UtcNow,
|
||||
FilledAt = placedOrder.OrderStatus == OrderStatus.Filled ? DateTime.UtcNow : null,
|
||||
ActualFillPrice = placedOrder.AverageFillPrice ?? (placedOrder.OrderStatus == OrderStatus.Filled ? proposal.EntryPrice : null)
|
||||
};
|
||||
|
||||
dbContext.ExecutedPaperTrades.Add(executedTrade);
|
||||
await RecordAuditLogAsync(dbContext, proposal, "OrderPlaced", true, $"Bracket Order placed with Alpaca. OrderId: {placedOrder.OrderId}", sizing.Quantity, account.Equity, ct);
|
||||
|
||||
await dbContext.SaveChangesAsync(ct);
|
||||
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[BotExecution] Trade {Symbol} successfully recorded in database with Alpaca OrderId {OrderId}.",
|
||||
proposal.Symbol, placedOrder.OrderId);
|
||||
}
|
||||
|
||||
private static async Task RecordAuditLogAsync(
|
||||
BotDbContext dbContext,
|
||||
TradeProposalDto proposal,
|
||||
string action,
|
||||
bool isAccepted,
|
||||
string? reason,
|
||||
decimal calculatedSize,
|
||||
decimal accountEquity,
|
||||
CancellationToken ct)
|
||||
{
|
||||
var audit = new BotAuditLogEntity
|
||||
{
|
||||
TradeId = proposal.TradeId,
|
||||
Symbol = proposal.Symbol,
|
||||
Action = action,
|
||||
IsAccepted = isAccepted,
|
||||
Reason = reason,
|
||||
CalculatedSize = calculatedSize,
|
||||
AccountEquity = accountEquity,
|
||||
Timestamp = DateTime.UtcNow
|
||||
};
|
||||
|
||||
dbContext.BotAuditLogs.Add(audit);
|
||||
await dbContext.SaveChangesAsync(ct);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,142 @@
|
||||
using System;
|
||||
using System.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using FinlyticBot.Util;
|
||||
using FinlyticCore.Models.Trades;
|
||||
using FinlyticCore.Services;
|
||||
|
||||
namespace FinlyticBot.Services;
|
||||
|
||||
public class BotRiskSizingService : IBotRiskSizingService
|
||||
{
|
||||
private readonly ISettingsService _settingsService;
|
||||
private readonly IFinlyticLogger<BotRiskSizingService> _finlyticLogger;
|
||||
|
||||
public BotRiskSizingService(
|
||||
ISettingsService settingsService,
|
||||
IFinlyticLogger<BotRiskSizingService> finlyticLogger)
|
||||
{
|
||||
_settingsService = settingsService;
|
||||
_finlyticLogger = finlyticLogger;
|
||||
}
|
||||
|
||||
public async Task<SizingResult> EvaluateAndSizeTradeAsync(
|
||||
TradeProposalDto proposal,
|
||||
decimal accountEquity,
|
||||
int currentOpenTradesCount,
|
||||
decimal todayRealizedLossPercent,
|
||||
CancellationToken ct = default)
|
||||
{
|
||||
ArgumentNullException.ThrowIfNull(proposal);
|
||||
|
||||
// 1. Check Master Bot Switch
|
||||
bool isEnabled = await _settingsService.GetSettingAsync(SettingKeys.IsEnabled, ct);
|
||||
if (!isEnabled)
|
||||
{
|
||||
return new SizingResult(false, "FinlyticBot is currently disabled in settings.", 0, 0, 0, 0);
|
||||
}
|
||||
|
||||
// 2. Check Daily Drawdown Circuit Breaker
|
||||
double dailyLossLimit = await _settingsService.GetSettingAsync(SettingKeys.DailyLossLimitPercent, ct);
|
||||
if (todayRealizedLossPercent >= (decimal)dailyLossLimit)
|
||||
{
|
||||
await _finlyticLogger.LogWarningAsync(SettingKeys.BotChannel,
|
||||
"[RiskEngine] Circuit breaker triggered! Today's realized loss {Loss:F2}% >= limit {Limit:F2}%. Rejecting trade {TradeId}.",
|
||||
todayRealizedLossPercent, dailyLossLimit, proposal.TradeId);
|
||||
return new SizingResult(false, $"Daily loss limit reached ({todayRealizedLossPercent:F2}% >= {dailyLossLimit:F2}%).", 0, 0, 0, 0);
|
||||
}
|
||||
|
||||
// 3. Check Max Open Trades Limit
|
||||
int maxOpenTrades = await _settingsService.GetSettingAsync(SettingKeys.MaxOpenTrades, ct);
|
||||
if (currentOpenTradesCount >= maxOpenTrades)
|
||||
{
|
||||
return new SizingResult(false, $"Max concurrent open positions reached ({currentOpenTradesCount}/{maxOpenTrades}).", 0, 0, 0, 0);
|
||||
}
|
||||
|
||||
// 4. Validate CRV (Chance-Risiko-Verhältnis)
|
||||
double minCrv = await _settingsService.GetSettingAsync(SettingKeys.MinCrv, ct);
|
||||
decimal calculatedCrv = proposal.RiskRewardRatio ?? 0;
|
||||
if (calculatedCrv <= 0 && proposal.EntryPrice > 0 && proposal.StopLoss > 0 && proposal.TakeProfit > 0)
|
||||
{
|
||||
decimal slDist = Math.Abs(proposal.EntryPrice - proposal.StopLoss);
|
||||
decimal tpDist = Math.Abs(proposal.TakeProfit - proposal.EntryPrice);
|
||||
if (slDist > 0)
|
||||
{
|
||||
calculatedCrv = Math.Round(tpDist / slDist, 2);
|
||||
}
|
||||
}
|
||||
|
||||
if (calculatedCrv < (decimal)minCrv)
|
||||
{
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[RiskEngine] Trade {Symbol} rejected: CRV {Crv:F2} below threshold {MinCrv:F2}",
|
||||
proposal.Symbol, calculatedCrv, minCrv);
|
||||
return new SizingResult(false, $"CRV {calculatedCrv:F2} below minimum threshold {minCrv:F2}.", 0, 0, 0, calculatedCrv);
|
||||
}
|
||||
|
||||
// 5. Validate Win-Rate
|
||||
double minWinRate = await _settingsService.GetSettingAsync(SettingKeys.MinWinRate, ct);
|
||||
if (proposal.WinRate < minWinRate)
|
||||
{
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[RiskEngine] Trade {Symbol} rejected: Win-Rate {WinRate:F1}% below threshold {MinWinRate:F1}%",
|
||||
proposal.Symbol, proposal.WinRate, minWinRate);
|
||||
return new SizingResult(false, $"Win-Rate {proposal.WinRate:F1}% below minimum threshold {minWinRate:F1}%.", 0, 0, 0, calculatedCrv);
|
||||
}
|
||||
|
||||
// 6. Validate VIX Threshold
|
||||
double maxVix = await _settingsService.GetSettingAsync(SettingKeys.MaxVixThreshold, ct);
|
||||
if (proposal.VixValue > (decimal)maxVix)
|
||||
{
|
||||
return new SizingResult(false, $"VIX {proposal.VixValue:F1} exceeds maximum volatility threshold {maxVix:F1}.", 0, 0, 0, calculatedCrv);
|
||||
}
|
||||
|
||||
// 7. Calculate Position Sizing (Fixed Fractional Sizing)
|
||||
if (accountEquity <= 0)
|
||||
{
|
||||
return new SizingResult(false, "Account equity is zero or negative.", 0, 0, 0, calculatedCrv);
|
||||
}
|
||||
|
||||
double riskPercent = await _settingsService.GetSettingAsync(SettingKeys.RiskPerTradePercent, ct);
|
||||
decimal maxRiskAmount = accountEquity * ((decimal)riskPercent / 100m);
|
||||
decimal priceRiskPerUnit = Math.Abs(proposal.EntryPrice - proposal.StopLoss);
|
||||
|
||||
if (priceRiskPerUnit <= 0)
|
||||
{
|
||||
return new SizingResult(false, "Stop loss cannot be identical to entry price.", 0, 0, 0, calculatedCrv);
|
||||
}
|
||||
|
||||
decimal calculatedQty = Math.Floor(maxRiskAmount / priceRiskPerUnit);
|
||||
if (calculatedQty <= 0)
|
||||
{
|
||||
// Allow fractional share if total position is at least 10$
|
||||
calculatedQty = Math.Round(maxRiskAmount / priceRiskPerUnit, 2);
|
||||
if (calculatedQty <= 0)
|
||||
{
|
||||
return new SizingResult(false, "Calculated order quantity is 0 (account equity too small for Stop Loss distance).", 0, 0, 0, calculatedCrv);
|
||||
}
|
||||
}
|
||||
|
||||
decimal totalPositionValue = calculatedQty * proposal.EntryPrice;
|
||||
|
||||
// 8. Cap against Max Single Position Cap
|
||||
double maxCap = await _settingsService.GetSettingAsync(SettingKeys.MaxSinglePositionCap, ct);
|
||||
if (totalPositionValue > (decimal)maxCap && proposal.EntryPrice > 0)
|
||||
{
|
||||
calculatedQty = Math.Floor((decimal)maxCap / proposal.EntryPrice);
|
||||
totalPositionValue = calculatedQty * proposal.EntryPrice;
|
||||
if (calculatedQty <= 0)
|
||||
{
|
||||
return new SizingResult(false, "Position size exceeds maximum position cap.", 0, 0, 0, calculatedCrv);
|
||||
}
|
||||
}
|
||||
|
||||
decimal actualRiskAmount = calculatedQty * priceRiskPerUnit;
|
||||
|
||||
await _finlyticLogger.LogInfoAsync(SettingKeys.BotChannel,
|
||||
"[RiskEngine] Sizing APPROVED for {Symbol}: Qty={Qty}, PositionVal=${PosVal:F2}, Risk=${Risk:F2} ({RiskPct:F1}%), CRV={Crv:F2}",
|
||||
proposal.Symbol, calculatedQty, totalPositionValue, actualRiskAmount, riskPercent, calculatedCrv);
|
||||
|
||||
return new SizingResult(true, null, calculatedQty, totalPositionValue, actualRiskAmount, calculatedCrv);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,26 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using Alpaca.Markets;
|
||||
using FinlyticCore.Models.Trades;
|
||||
|
||||
namespace FinlyticBot.Services;
|
||||
|
||||
public record BrokerAccountInfo(
|
||||
decimal Equity,
|
||||
decimal BuyingPower,
|
||||
decimal Cash,
|
||||
string Currency,
|
||||
bool IsBlocked
|
||||
);
|
||||
|
||||
public interface IAlpacaBrokerService
|
||||
{
|
||||
Task<BrokerAccountInfo?> GetAccountInfoAsync(CancellationToken ct = default);
|
||||
Task<IAsset?> GetAssetAsync(string symbol, CancellationToken ct = default);
|
||||
Task<IClock?> GetMarketClockAsync(CancellationToken ct = default);
|
||||
Task<IOrder?> PlaceBracketOrderAsync(TradeProposalDto proposal, decimal quantity, string orderType = "Limit", CancellationToken ct = default);
|
||||
Task<bool> CancelOrderAsync(Guid orderId, CancellationToken ct = default);
|
||||
Task<IReadOnlyList<IOrder>> GetOpenOrdersAsync(CancellationToken ct = default);
|
||||
}
|
||||
@@ -0,0 +1,25 @@
|
||||
using System;
|
||||
using System.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using FinlyticCore.Models.Trades;
|
||||
|
||||
namespace FinlyticBot.Services;
|
||||
|
||||
public record SizingResult(
|
||||
bool IsApproved,
|
||||
string? RejectReason,
|
||||
decimal Quantity,
|
||||
decimal TotalPositionValue,
|
||||
decimal RiskAmount,
|
||||
decimal CalculatedCrv
|
||||
);
|
||||
|
||||
public interface IBotRiskSizingService
|
||||
{
|
||||
Task<SizingResult> EvaluateAndSizeTradeAsync(
|
||||
TradeProposalDto proposal,
|
||||
decimal accountEquity,
|
||||
int currentOpenTradesCount,
|
||||
decimal todayRealizedLossPercent,
|
||||
CancellationToken ct = default);
|
||||
}
|
||||
@@ -0,0 +1,192 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Text.Json;
|
||||
using System.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using FinlyticBot.Services;
|
||||
using FinlyticCore.Dtos;
|
||||
using FinlyticCore.Dtos.Settings;
|
||||
using FinlyticCore.Models;
|
||||
using FinlyticCore.Models.Trades;
|
||||
using FinlyticCore.Services;
|
||||
using FinlyticCore.Util;
|
||||
using Microsoft.Extensions.Configuration;
|
||||
using Microsoft.Extensions.DependencyInjection;
|
||||
using Microsoft.Extensions.Hosting;
|
||||
using Microsoft.Extensions.Logging;
|
||||
|
||||
namespace FinlyticBot.Util;
|
||||
|
||||
public class BotMqttClient : ManagedMqttClient, IHostedService
|
||||
{
|
||||
private readonly IConfiguration _configuration;
|
||||
private readonly IServiceScopeFactory _scopeFactory;
|
||||
private readonly ILogger<BotMqttClient> _logger;
|
||||
|
||||
public BotMqttClient(
|
||||
IConfiguration configuration,
|
||||
IServiceScopeFactory scopeFactory,
|
||||
ILogger<BotMqttClient> logger) : base(logger)
|
||||
{
|
||||
_configuration = configuration;
|
||||
_scopeFactory = scopeFactory;
|
||||
_logger = logger;
|
||||
}
|
||||
|
||||
public async Task StartAsync(CancellationToken cancellationToken)
|
||||
{
|
||||
var config = new MqttConfiguration
|
||||
{
|
||||
Host = _configuration["MQTT:Host"] ?? _configuration["MQTT__Host"] ?? "localhost",
|
||||
Port = Convert.ToInt32(_configuration["MQTT:Port"] ?? _configuration["MQTT__Port"] ?? "1883"),
|
||||
Username = _configuration["MQTT:Username"] ?? _configuration["MQTT__Username"],
|
||||
Password = _configuration["MQTT:Password"] ?? _configuration["MQTT__Password"],
|
||||
ClientId = $"{(_configuration["MQTT:ClientId"] ?? _configuration["MQTT__ClientId"] ?? "finlytic_bot")}_{Guid.NewGuid():N}"
|
||||
};
|
||||
|
||||
_logger.LogInformation("Starting FinlyticBot MQTT Client. Host: {Host}, ClientId: {ClientId}", config.Host, config.ClientId);
|
||||
await ConnectAsync(config);
|
||||
}
|
||||
|
||||
public async Task StopAsync(CancellationToken cancellationToken)
|
||||
{
|
||||
_logger.LogInformation("Stopping FinlyticBot MQTT Client.");
|
||||
await DisconnectAsync();
|
||||
}
|
||||
|
||||
protected override async Task OnConnectedAsync()
|
||||
{
|
||||
_logger.LogInformation("FinlyticBot MQTT Client connected. Subscribing to topics...");
|
||||
|
||||
await SubscribeAsync("services/events/trades/proposal");
|
||||
await SubscribeAsync("finlytic/trades/proposed/#");
|
||||
await SubscribeAsync("services/events/analyzer/trade_proposed");
|
||||
await SubscribeAsync("services/request/bot_Settings_GetAll/#");
|
||||
await SubscribeAsync("services/request/bot_Settings_Update/#");
|
||||
await SubscribeAsync("services/request/health_Ping/#");
|
||||
|
||||
FinlyticCore.Services.FinlyticLogBroadcaster.OnLogPublished = async (logDto) =>
|
||||
{
|
||||
if (IsConnected && string.Equals(logDto.ServiceName, "FinlyticBot", StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
await PublishAsync("finlytic/logs/FinlyticBot", logDto);
|
||||
}
|
||||
};
|
||||
|
||||
_logger.LogInformation("Successfully subscribed to FinlyticBot event and RPC channels.");
|
||||
}
|
||||
|
||||
protected override async Task OnMessageReceivedAsync(string topic, string payloadStr)
|
||||
{
|
||||
try
|
||||
{
|
||||
if (topic.Contains("health_Ping", StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
var segments = topic.Split('/');
|
||||
bool isForMe = segments.Length >= 5
|
||||
? segments[3].Equals("FinlyticBot", StringComparison.OrdinalIgnoreCase)
|
||||
: topic.Contains("FinlyticBot", StringComparison.OrdinalIgnoreCase);
|
||||
|
||||
if (isForMe)
|
||||
{
|
||||
string correlationId = segments[^1];
|
||||
string respTopic = $"services/response/health_Ping/{correlationId}";
|
||||
await PublishAsync(respTopic, new ServiceHealthResponse("FinlyticBot", "Online", DateTime.UtcNow, "Connected"));
|
||||
|
||||
using var scope = _scopeFactory.CreateScope();
|
||||
var finlyticLogger = scope.ServiceProvider.GetRequiredService<IFinlyticLogger<BotMqttClient>>();
|
||||
await finlyticLogger.LogInfoAsync(SettingKeys.HealthPingChannel,
|
||||
"[FinlyticBot] Responded to live health_Ping RPC [CorrelationId: {CorrelationId}].", correlationId);
|
||||
}
|
||||
return;
|
||||
}
|
||||
|
||||
if (topic.StartsWith("services/request/bot_Settings_GetAll/", StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
var correlationId = topic.Split('/')[^1];
|
||||
await HandleSettingsGetAllAsync(correlationId);
|
||||
return;
|
||||
}
|
||||
|
||||
if (topic.StartsWith("services/request/bot_Settings_Update/", StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
var correlationId = topic.Split('/')[^1];
|
||||
await HandleSettingsUpdateAsync(correlationId, payloadStr);
|
||||
return;
|
||||
}
|
||||
|
||||
if (topic.Equals("services/events/trades/proposal", StringComparison.OrdinalIgnoreCase) ||
|
||||
topic.StartsWith("finlytic/trades/proposed/", StringComparison.OrdinalIgnoreCase) ||
|
||||
topic.Equals("services/events/analyzer/trade_proposed", StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
await HandleTradeProposalEventAsync(payloadStr);
|
||||
return;
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
_logger.LogError(ex, "Error processing incoming MQTT message on topic {Topic}", topic);
|
||||
}
|
||||
}
|
||||
|
||||
private async Task HandleTradeProposalEventAsync(string payloadStr)
|
||||
{
|
||||
if (string.IsNullOrWhiteSpace(payloadStr)) return;
|
||||
|
||||
TradeProposalDto? proposal = null;
|
||||
try
|
||||
{
|
||||
proposal = JsonSerializer.Deserialize<TradeProposalDto>(payloadStr, FinlyticJsonSerializerContext.Default.TradeProposalDto);
|
||||
}
|
||||
catch
|
||||
{
|
||||
proposal = JsonSerializer.Deserialize<TradeProposalDto>(payloadStr);
|
||||
}
|
||||
|
||||
if (proposal == null) return;
|
||||
|
||||
using var scope = _scopeFactory.CreateScope();
|
||||
var executionService = scope.ServiceProvider.GetRequiredService<IBotOrderExecutionService>();
|
||||
await executionService.ProcessTradeProposalAsync(proposal);
|
||||
}
|
||||
|
||||
private async Task HandleSettingsGetAllAsync(string correlationId)
|
||||
{
|
||||
using var scope = _scopeFactory.CreateScope();
|
||||
var settingsService = scope.ServiceProvider.GetRequiredService<ISettingsService>();
|
||||
var settings = await settingsService.GetAllRegisteredSettingsAsync(new[] { typeof(SettingKeys) });
|
||||
|
||||
var responseTopic = $"services/response/bot_Settings_GetAll/{correlationId}";
|
||||
await PublishAsync(responseTopic, settings);
|
||||
}
|
||||
|
||||
private async Task HandleSettingsUpdateAsync(string correlationId, string payload)
|
||||
{
|
||||
using var scope = _scopeFactory.CreateScope();
|
||||
var settingsService = scope.ServiceProvider.GetRequiredService<ISettingsService>();
|
||||
|
||||
Dictionary<string, object?>? updates = null;
|
||||
try
|
||||
{
|
||||
updates = JsonSerializer.Deserialize<Dictionary<string, object?>>(payload);
|
||||
}
|
||||
catch
|
||||
{
|
||||
var list = JsonSerializer.Deserialize<List<DynamicSettingDto>>(payload);
|
||||
if (list != null)
|
||||
{
|
||||
updates = new Dictionary<string, object?>();
|
||||
foreach (var item in list) updates[item.Key] = item.Value;
|
||||
}
|
||||
}
|
||||
|
||||
if (updates != null && updates.Count > 0)
|
||||
{
|
||||
await settingsService.UpdateSettingsAsync(updates);
|
||||
}
|
||||
|
||||
var currentSettings = await settingsService.GetAllRegisteredSettingsAsync(new[] { typeof(SettingKeys) });
|
||||
var responseTopic = $"services/response/bot_Settings_Update/{correlationId}";
|
||||
await PublishAsync(responseTopic, currentSettings);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,36 @@
|
||||
using FinlyticCore.Models.Settings;
|
||||
|
||||
namespace FinlyticBot.Util;
|
||||
|
||||
public static class SettingKeys
|
||||
{
|
||||
// --- Logging-Kanäle ---
|
||||
public static readonly SettingKey<bool> BotChannel = new("Logging.Channel.Bot", true);
|
||||
public static readonly SettingKey<bool> MqttChannel = new("Logging.Channel.MQTT", true);
|
||||
public static readonly SettingKey<bool> HealthPingChannel = new("Logging.Channel.Health", true);
|
||||
|
||||
// --- Master Bot Control ---
|
||||
public static readonly SettingKey<bool> IsEnabled = new("Bot.IsEnabled", false);
|
||||
|
||||
// --- Filter & Zulassungskriterien ---
|
||||
public static readonly SettingKey<double> MinCrv = new("Bot.MinCrv", 1.50);
|
||||
public static readonly SettingKey<double> MinWinRate = new("Bot.MinWinRate", 65.0);
|
||||
public static readonly SettingKey<double> MaxVixThreshold = new("Bot.MaxVixThreshold", 25.0);
|
||||
public static readonly SettingKey<double> MaxEntryDeviationPercent = new("Bot.MaxEntryDeviationPercent", 0.75);
|
||||
|
||||
// --- Risiko-Management & Positionsgrößen ---
|
||||
public static readonly SettingKey<double> RiskPerTradePercent = new("Bot.RiskPerTradePercent", 1.0);
|
||||
public static readonly SettingKey<double> MaxSinglePositionCap = new("Bot.MaxSinglePositionCap", 5000.0);
|
||||
public static readonly SettingKey<int> MaxOpenTrades = new("Bot.MaxOpenTrades", 5);
|
||||
public static readonly SettingKey<double> DailyLossLimitPercent = new("Bot.DailyLossLimitPercent", 3.0);
|
||||
public static readonly SettingKey<int> MaxConsecutiveLosses = new("Bot.MaxConsecutiveLosses", 3);
|
||||
|
||||
// --- Order Execution Strategie ---
|
||||
public static readonly SettingKey<string> TakeProfitMode = new("Bot.TakeProfitMode", "Split50_50"); // "TP1_Only", "TP2_Only", "Split50_50"
|
||||
public static readonly SettingKey<string> ExecutionOrderType = new("Bot.ExecutionOrderType", "Limit"); // "Limit", "Market"
|
||||
|
||||
// --- Alpaca API Konfiguration (Optional live im UI überschreibbar) ---
|
||||
public static readonly SettingKey<string> AlpacaKeyId = new("Alpaca.KeyId", "");
|
||||
public static readonly SettingKey<string> AlpacaSecretKey = new("Alpaca.SecretKey", "");
|
||||
public static readonly SettingKey<bool> AlpacaIsPaper = new("Alpaca.IsPaper", true);
|
||||
}
|
||||
@@ -0,0 +1,21 @@
|
||||
{
|
||||
"Logging": {
|
||||
"LogLevel": {
|
||||
"Default": "Information",
|
||||
"Microsoft.Hosting.Lifetime": "Information"
|
||||
}
|
||||
},
|
||||
"ConnectionStrings": {
|
||||
"DefaultConnection": "Host=OmniDB;Database=finlytic_bot;Username=admin;Password=YourPasswordHere"
|
||||
},
|
||||
"MQTT": {
|
||||
"Host": "localhost",
|
||||
"Port": 1883,
|
||||
"ClientId": "finlytic_bot"
|
||||
},
|
||||
"Alpaca": {
|
||||
"KeyId": "",
|
||||
"SecretKey": "",
|
||||
"IsPaper": true
|
||||
}
|
||||
}
|
||||
@@ -111,6 +111,22 @@ services:
|
||||
volumes:
|
||||
- C:\Users\larsh\Documents\docker\finlytic\data\feedback:/app/data/feedback
|
||||
|
||||
finlyticbot:
|
||||
image: finlyticbot
|
||||
build:
|
||||
context: .
|
||||
dockerfile: FinlyticBot/Dockerfile
|
||||
networks:
|
||||
- postgres-network
|
||||
environment:
|
||||
- ConnectionStrings__DefaultConnection=Host=OmniDB;Database=finlytic_bot;Username=admin;Password=${DB_PASSWORD}
|
||||
- MQTT__Host=host.docker.internal
|
||||
- MQTT__Port=4545
|
||||
- MQTT__ClientId=finlytic_bot
|
||||
- Alpaca__KeyId=${ALPACA_KEY_ID:-}
|
||||
- Alpaca__SecretKey=${ALPACA_SECRET_KEY:-}
|
||||
- Alpaca__IsPaper=true
|
||||
|
||||
finlyticbackend:
|
||||
image: finlyticbackend
|
||||
build:
|
||||
|
||||
Reference in New Issue
Block a user