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Implement Trader V4 training artifact pipeline

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Codex
2026-06-27 16:15:23 +08:00
parent dad6b831b4
commit e58e4a5572
113 changed files with 7959 additions and 477 deletions
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src/main/java/com/quantai/trader/persistence/JdbcTraderDecisionTraceWriter.java
+68 -4
View File
@@ -30,10 +30,16 @@ public class JdbcTraderDecisionTraceWriter implements TraderDecisionTraceWriter
TraderMarketSnapshot snapshot,
TraderModelOutput modelOutput,
TraderPositionState positionState,
TraderAccountState accountState,
TraderExecutionState executionState,
TraderPositionManagerDecision pmDecision,
TraderRiskDecision riskDecision,
TraderAction action) {
upsertRun(cycle);
insertMarketSnapshot(snapshot);
insertPositionState(positionState, "PM_INPUT");
insertAccountState(accountState, "PM_INPUT");
insertExecutionState(executionState, "PM_INPUT");
insertCycle(cycle, positionState, riskDecision);
insertModelOutput(modelOutput, snapshot);
insertPmDecision(pmDecision);
@@ -66,6 +72,63 @@ public class JdbcTraderDecisionTraceWriter implements TraderDecisionTraceWriter
Timestamp.from(cycle.cycleTime()));
}
void insertMarketSnapshot(TraderMarketSnapshot snapshot) {
jdbcTemplate.update("""
insert into trader_market_snapshot
(run_id, cycle_id, snapshot_id, symbol, snapshot_time, feature_version,
mark_price, index_price, spread_bps, funding_rate_bps,
depth_notional_5bps, depth_notional_10bps, depth_notional_25bps,
data_ready, feature_json, data_quality_json)
values (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
""",
snapshot.runId(), snapshot.cycleId(), snapshot.snapshotId(), snapshot.symbol(),
Timestamp.from(snapshot.snapshotTime()), snapshot.featureVersion(), snapshot.markPrice(),
snapshot.indexPrice(), snapshot.spreadBps(), snapshot.fundingRateBps(),
snapshot.depthNotional5Bps(), snapshot.depthNotional10Bps(), snapshot.depthNotional25Bps(),
snapshot.dataReady(), jsonCodec.toJson(snapshot.featureJson()), jsonCodec.toJson(snapshot.dataQualityJson()));
}
void insertPositionState(TraderPositionState state, String role) {
jdbcTemplate.update("""
insert into trader_position_state
(run_id, cycle_id, position_state_id, state_role, symbol, side, position_ratio,
average_entry_price, current_price, unrealized_pnl_bps, liquidation_buffer_bps,
add_count, remaining_add_capacity, last_add_time)
values (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
""",
state.runId(), state.cycleId(), state.positionStateId(), role, state.symbol(), state.side().name(),
state.positionRatio(), state.averageEntryPrice(), state.currentPrice(), state.unrealizedPnlBps(),
state.liquidationBufferBps(), state.addCount(), state.remainingAddCapacity(),
state.lastAddTime() == null ? null : Timestamp.from(state.lastAddTime()));
}
void insertAccountState(TraderAccountState state, String role) {
jdbcTemplate.update("""
insert into trader_account_state
(run_id, cycle_id, account_state_id, state_role, daily_drawdown_bps,
portfolio_exposure_ratio, remaining_symbol_capacity_ratio, consecutive_losses)
values (?, ?, ?, ?, ?, ?, ?, ?)
""",
state.runId(), state.cycleId(), state.accountStateId(), role, state.dailyDrawdownBps(),
state.portfolioExposureRatio(), state.remainingSymbolCapacityRatio(), state.consecutiveLosses());
}
void insertExecutionState(TraderExecutionState state, String role) {
jdbcTemplate.update("""
insert into trader_execution_state
(run_id, cycle_id, execution_state_id, state_role, symbol, open_orders_json,
expected_slippage_bps, exchange_latency_ms, api_error_count, maker_fee_bps,
taker_fee_bps, min_notional, price_tick_size, lot_size_step_size,
market_lot_size_step_size, liquidity_capacity_ratio)
values (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
""",
state.runId(), state.cycleId(), state.executionStateId(), role, state.symbol(),
jsonCodec.toJson(state.openOrders()), state.expectedSlippageBps(), state.exchangeLatencyMs(),
state.apiErrorCount(), state.makerFeeBps(), state.takerFeeBps(), state.minNotional(),
state.priceTickSize(), state.lotSizeStepSize(), state.marketLotSizeStepSize(),
state.liquidityCapacityRatio());
}
void insertCycle(TraderDecisionCycle cycle, TraderPositionState positionState, TraderRiskDecision riskDecision) {
jdbcTemplate.update("""
insert into trader_decision_cycle
@@ -83,14 +146,15 @@ public class JdbcTraderDecisionTraceWriter implements TraderDecisionTraceWriter
insert into trader_model_output
(run_id, cycle_id, model_output_id, model_bundle_version, calibration_bundle_version,
direction_json, entry_json, continue_json, exit_json, risk_json,
uncertainty, ood_score, usable, blocker)
values (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
metadata_json, uncertainty, ood_score, usable, blocker)
values (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
""",
modelOutput.runId(), modelOutput.cycleId(), modelOutput.modelOutputId(),
modelOutput.modelBundleVersion(), modelOutput.calibrationBundleVersion(),
modelOutput.metadata().modelBundleVersion(), modelOutput.metadata().calibrationBundleVersion(),
jsonCodec.toJson(modelOutput.direction()), jsonCodec.toJson(modelOutput.entry()),
jsonCodec.toJson(modelOutput.continuation()), jsonCodec.toJson(modelOutput.exit()),
jsonCodec.toJson(modelOutput.risk()), modelOutput.uncertainty(), modelOutput.oodScore(),
jsonCodec.toJson(modelOutput.risk()), jsonCodec.toJson(modelOutput.metadata()),
modelOutput.metadata().uncertainty(), modelOutput.metadata().oodScore(),
snapshot.dataReady(), snapshot.dataReady() ? null : "DATA_NOT_READY");
}
src/main/java/com/quantai/trader/persistence/TraderDecisionTraceWriter.java
+2
View File
@@ -7,6 +7,8 @@ public interface TraderDecisionTraceWriter {
TraderMarketSnapshot snapshot,
TraderModelOutput modelOutput,
TraderPositionState positionState,
TraderAccountState accountState,
TraderExecutionState executionState,
TraderPositionManagerDecision pmDecision,
TraderRiskDecision riskDecision,
TraderAction action);