feat: add autonomous paper-trading and calibration pipeline

2026-08-03 14:03:27 +01:00
parent 5a9a2e4c6d
commit c4028cc394
46 changed files with 2246 additions and 115 deletions
@@ -0,0 +1,192 @@
+const AUTONOMY_SCHEMA_VERSION = 1;
+
+function initAutonomySchema(db) {
+  db.exec(`
+    CREATE TABLE IF NOT EXISTS autonomy_schema (
+      version INTEGER PRIMARY KEY,
+      applied_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_jobs (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      job_type TEXT NOT NULL,
+      lane TEXT NOT NULL CHECK (lane IN ('live', 'historical', 'maintenance')),
+      priority INTEGER NOT NULL DEFAULT 0,
+      entity_type TEXT NOT NULL,
+      entity_id TEXT NOT NULL,
+      idempotency_key TEXT NOT NULL UNIQUE,
+      status TEXT NOT NULL DEFAULT 'pending'
+        CHECK (status IN ('pending', 'leased', 'complete', 'failed', 'dead_letter')),
+      attempts INTEGER NOT NULL DEFAULT 0,
+      available_at TEXT NOT NULL DEFAULT (datetime('now')),
+      leased_by TEXT,
+      lease_expires_at TEXT,
+      last_error TEXT,
+      created_at TEXT NOT NULL DEFAULT (datetime('now')),
+      completed_at TEXT
+    );
+    CREATE INDEX IF NOT EXISTS idx_autonomy_jobs_claim
+      ON autonomy_jobs(status, lane, priority DESC, available_at);
+
+    CREATE TABLE IF NOT EXISTS autonomy_cursors (
+      key TEXT PRIMARY KEY,
+      value INTEGER NOT NULL DEFAULT 0,
+      updated_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_proposals (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      event_id INTEGER,
+      payload TEXT NOT NULL,
+      information_cutoff TEXT NOT NULL,
+      coordinator_model TEXT,
+      prompt_version TEXT,
+      status TEXT NOT NULL DEFAULT 'candidate'
+        CHECK (status IN ('candidate', 'accepted', 'rejected', 'superseded')),
+      rejection_reason TEXT,
+      created_at TEXT NOT NULL DEFAULT (datetime('now')),
+      reviewed_at TEXT
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_instruments (
+      symbol TEXT PRIMARY KEY,
+      broker TEXT NOT NULL,
+      asset_class TEXT NOT NULL DEFAULT 'us_equity',
+      active INTEGER NOT NULL DEFAULT 0,
+      tradable INTEGER NOT NULL DEFAULT 0,
+      shortable INTEGER NOT NULL DEFAULT 0,
+      fractionable INTEGER NOT NULL DEFAULT 0,
+      updated_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_legacy_records (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      source_table TEXT NOT NULL,
+      source_id INTEGER NOT NULL,
+      payload TEXT NOT NULL,
+      calibration_eligible INTEGER NOT NULL DEFAULT 0,
+      imported_at TEXT NOT NULL DEFAULT (datetime('now')),
+      UNIQUE(source_table, source_id)
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_predictions (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      proposal_id INTEGER NOT NULL REFERENCES autonomy_proposals(id),
+      event_id INTEGER,
+      instrument TEXT NOT NULL,
+      direction TEXT NOT NULL CHECK (direction IN ('positive', 'negative')),
+      event_type TEXT NOT NULL,
+      causal_channel TEXT,
+      horizon_days INTEGER NOT NULL,
+      information_cutoff TEXT NOT NULL,
+      evidence_article_ids TEXT NOT NULL,
+      invalidation_condition TEXT,
+      learning_eligible INTEGER NOT NULL DEFAULT 0,
+      strategy_version TEXT NOT NULL,
+      status TEXT NOT NULL DEFAULT 'open'
+        CHECK (status IN ('open', 'resolved', 'unresolvable', 'invalidated')),
+      created_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+    CREATE INDEX IF NOT EXISTS idx_autonomy_predictions_resolution
+      ON autonomy_predictions(status, information_cutoff, instrument);
+
+    CREATE TABLE IF NOT EXISTS autonomy_outcomes (
+      prediction_id INTEGER PRIMARY KEY REFERENCES autonomy_predictions(id),
+      price_0 REAL,
+      price_horizon REAL,
+      benchmark_0 REAL,
+      benchmark_horizon REAL,
+      excess_return REAL,
+      direction_correct INTEGER,
+      error_type TEXT,
+      evaluated_at TEXT NOT NULL DEFAULT (datetime('now')),
+      notes TEXT
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_calibration_snapshots (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      cohort_key TEXT NOT NULL,
+      sample_size INTEGER NOT NULL,
+      effective_sample_size REAL NOT NULL,
+      directional_probability REAL NOT NULL,
+      expected_excess_return REAL,
+      lower_return REAL,
+      upper_return REAL,
+      parent_cohort_key TEXT,
+      version TEXT NOT NULL,
+      created_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+    CREATE INDEX IF NOT EXISTS idx_autonomy_calibration_lookup
+      ON autonomy_calibration_snapshots(cohort_key, created_at DESC);
+
+    CREATE TABLE IF NOT EXISTS autonomy_decisions (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      prediction_id INTEGER NOT NULL REFERENCES autonomy_predictions(id),
+      action TEXT NOT NULL CHECK (action IN ('BUY', 'SELL', 'HOLD', 'ABSTAIN')),
+      calibrated_probability REAL,
+      expected_excess_return REAL,
+      rationale TEXT NOT NULL,
+      strategy_version TEXT NOT NULL,
+      created_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_order_intents (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      decision_id INTEGER NOT NULL REFERENCES autonomy_decisions(id),
+      client_order_id TEXT NOT NULL UNIQUE,
+      instrument TEXT NOT NULL,
+      side TEXT NOT NULL CHECK (side IN ('buy', 'sell')),
+      notional REAL NOT NULL CHECK (notional > 0),
+      status TEXT NOT NULL DEFAULT 'shadow'
+        CHECK (status IN ('shadow', 'pending', 'submitted', 'filled', 'partially_filled', 'rejected', 'cancelled')),
+      broker_order_id TEXT,
+      attempts INTEGER NOT NULL DEFAULT 0,
+      last_error TEXT,
+      created_at TEXT NOT NULL DEFAULT (datetime('now')),
+      updated_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_broker_events (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      broker TEXT NOT NULL,
+      event_type TEXT NOT NULL,
+      broker_id TEXT,
+      payload TEXT NOT NULL,
+      occurred_at TEXT NOT NULL DEFAULT (datetime('now')),
+      UNIQUE(broker, event_type, broker_id, occurred_at)
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_account_snapshots (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      broker TEXT NOT NULL,
+      account_id TEXT,
+      equity REAL,
+      cash REAL,
+      buying_power REAL,
+      payload TEXT NOT NULL,
+      captured_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+
+    CREATE TABLE IF NOT EXISTS autonomy_position_snapshots (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      broker TEXT NOT NULL,
+      instrument TEXT NOT NULL,
+      quantity REAL,
+      market_value REAL,
+      unrealized_pl REAL,
+      payload TEXT NOT NULL,
+      captured_at TEXT NOT NULL DEFAULT (datetime('now'))
+    );
+
+    INSERT OR IGNORE INTO autonomy_schema(version) VALUES (${AUTONOMY_SCHEMA_VERSION});
+  `);
+  for (const statement of [
+    'ALTER TABLE autonomy_order_intents ADD COLUMN attempts INTEGER NOT NULL DEFAULT 0',
+    'ALTER TABLE autonomy_order_intents ADD COLUMN last_error TEXT',
+    'ALTER TABLE autonomy_predictions ADD COLUMN learning_eligible INTEGER NOT NULL DEFAULT 0',
+  ]) {
+    try { db.exec(statement); } catch (_) {}
+  }
+}
+
+module.exports = { AUTONOMY_SCHEMA_VERSION, initAutonomySchema };