feat(simulation): add quant simulation microservice with virtual backtest broker and replay engine

2026-08-24 21:36:20 +02:00
parent f43ce2b7e9
commit a4959658a2
22 changed files with 2600 additions and 0 deletions
@@ -0,0 +1,95 @@
+using System;
+using System.Collections.Generic;
+using System.Text.Json;
+using FinlyticCore.Database;
+using FinlyticCore.Dtos.Simulation;
+using FinlyticCore.Entities.Settings;
+using FinlyticSimulation.Database.Entities;
+using Microsoft.EntityFrameworkCore;
+using Microsoft.EntityFrameworkCore.Design;
+using Microsoft.EntityFrameworkCore.Storage.ValueConversion;
+
+namespace FinlyticSimulation.Database;
+
+public class SimulationDbContext : DbContext, ISettingsDbContext
+{
+    private static readonly JsonSerializerOptions JsonOptions = new()
+    {
+        PropertyNameCaseInsensitive = true,
+        PropertyNamingPolicy = JsonNamingPolicy.CamelCase,
+        WriteIndented = false
+    };
+
+    public SimulationDbContext(DbContextOptions<SimulationDbContext> options) : base(options)
+    {
+    }
+
+    public DbSet<SettingEntity> DynamicSettings => Set<SettingEntity>();
+    public DbSet<SimulationRunEntity> SimulationRuns => Set<SimulationRunEntity>();
+    public DbSet<SimulationStrategyMatrixEntity> StrategyMatrix => Set<SimulationStrategyMatrixEntity>();
+    public DbSet<SimulationStrategyParameterEntity> StrategyParameters => Set<SimulationStrategyParameterEntity>();
+
+    protected override void OnModelCreating(ModelBuilder modelBuilder)
+    {
+        base.OnModelCreating(modelBuilder);
+
+        // 1. Settings Table
+        modelBuilder.Entity<SettingEntity>(entity =>
+        {
+            entity.HasKey(e => e.Id);
+            entity.HasIndex(e => e.Key).IsUnique();
+        });
+
+        // 2. Report JSONB Converter
+        var reportConverter = new ValueConverter<BacktestReportDto, string>(
+            v => JsonSerializer.Serialize(v, JsonOptions),
+            v => JsonSerializer.Deserialize<BacktestReportDto>(v, JsonOptions) ?? new BacktestReportDto(
+                Guid.Empty, "", "", "", "", DateTime.UtcNow, DateTime.UtcNow, 0, 0, 0, 0m, 0m, 0m, 0m, 0m, 0m, 0m, TimeSpan.Zero, new List<BacktestTradeDto>(), new List<EquityPointDto>())
+        );
+
+        // 3. Simulation Runs Table
+        modelBuilder.Entity<SimulationRunEntity>(entity =>
+        {
+            entity.HasKey(e => e.Id);
+            entity.HasIndex(e => new { e.Isin, e.StrategyKey, e.Timeframe });
+            entity.HasIndex(e => e.CreatedAtUtc);
+
+            entity.Property(e => e.ReportJson)
+                .HasColumnType("jsonb")
+                .HasConversion(reportConverter);
+        });
+
+        // 4. Strategy Matrix Table
+        modelBuilder.Entity<SimulationStrategyMatrixEntity>(entity =>
+        {
+            entity.HasKey(e => new { e.Isin, e.StrategyKey, e.Timeframe });
+            entity.HasIndex(e => new { e.Isin, e.IsApproved });
+            entity.HasIndex(e => e.ReliabilityScore);
+        });
+
+        // 5. Saved Strategy Parameter Profiles Table
+        var parametersConverter = new ValueConverter<Dictionary<string, decimal>, string>(
+            v => JsonSerializer.Serialize(v, JsonOptions),
+            v => JsonSerializer.Deserialize<Dictionary<string, decimal>>(v, JsonOptions) ?? new Dictionary<string, decimal>()
+        );
+
+        modelBuilder.Entity<SimulationStrategyParameterEntity>(entity =>
+        {
+            entity.HasKey(e => new { e.Isin, e.StrategyKey });
+
+            entity.Property(e => e.Parameters)
+                .HasColumnType("jsonb")
+                .HasConversion(parametersConverter);
+        });
+    }
+}
+
+public class SimulationDbContextFactory : IDesignTimeDbContextFactory<SimulationDbContext>
+{
+    public SimulationDbContext CreateDbContext(string[] args)
+    {
+        var optionsBuilder = new DbContextOptionsBuilder<SimulationDbContext>();
+        optionsBuilder.UseNpgsql("Host=localhost;Database=finlytic_simulation;Username=postgres;Password=postgres");
+        return new SimulationDbContext(optionsBuilder.Options);
+    }
+}