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feat(metrics): Fix 3 — DB-computed metrics, stateless tracker, resolution tracking
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schema.sql
  trades:        + close_pnl, resolution (market outcome storage)
  metrics_daily: + unrealized_pnl_est, realized_pnl, open/closed/resolved_count

db.py
  close_paper_position(): accepts resolution; computes close_pnl in SQL
    BUY_YES: (resolution − entry_price) × shares
    BUY_NO:  ((1 − resolution) − entry_price) × shares
  save_daily_metrics(): persists new columns
  compute_metrics_from_db(): single DB query for all metrics; no in-memory state

tracker.py — complete rewrite (stateless)
  Removed self._trades, self._daily_returns, compute_metrics(), _compute_sharpe(),
  check_promotion_thresholds(), _empty_metrics()
  update_daily_summary() now reads compute_metrics_from_db() every cycle
  Safe across pod restarts: always reflects full DB history

paper.py
  close_position(): passes resolution to close_paper_position()

api/main.py  /api/summary
  Added unrealized_pnl_est (estimated, open trades) and realized_pnl (exact,
  closed+resolved) as separate fields alongside total_pnl
  win_rate: null if < 5 resolved trades (was proxy on entry_price < 0.5)
  calibration_score: Brier-based, null if < 10 resolved trades
  resolved_count exposed as field
  Each field annotated with: exact/estimated, source, null conditions

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
chemavx
2026-04-21 17:34:48 +00:00
parent 9b62636a3e
commit 9a5be27532
5 changed files with 268 additions and 160 deletions
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bot/data/schema.sql
+27
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@@ -108,3 +108,30 @@ ALTER TABLE trades ADD COLUMN IF NOT EXISTS closed_at TIMESTAMPTZ;
ALTER TABLE trades ADD COLUMN IF NOT EXISTS close_reason TEXT;
CREATE INDEX IF NOT EXISTS idx_trades_closed ON trades(closed_at) WHERE closed_at IS NOT NULL;
-- ─────────────────────────────────────────────────────────────────────────────
-- Fix 3: market resolution and realized P&L per trade
--
-- resolution: 1.0 if YES resolved, 0.0 if NO resolved, NULL if not yet settled.
-- close_pnl: realized P&L in USDC at close time.
-- BUY_YES: (resolution - entry_price) * shares
-- BUY_NO: ((1 - resolution) - entry_price) * shares
-- NULL if closed without a known resolution (legacy closes, inversion fixes).
-- ─────────────────────────────────────────────────────────────────────────────
ALTER TABLE trades ADD COLUMN IF NOT EXISTS close_pnl DOUBLE PRECISION;
ALTER TABLE trades ADD COLUMN IF NOT EXISTS resolution DOUBLE PRECISION;
-- ─────────────────────────────────────────────────────────────────────────────
-- Fix 3: extended metrics_daily columns for DB-computed metrics
--
-- unrealized_pnl_est: SUM(edge_net * net_cost - fee) on open trades with edge_net.
-- Estimated — uses model's own edge signal, not live market price.
-- realized_pnl: SUM(close_pnl) on closed trades with a known resolution.
-- Exact — derived from actual market outcome.
-- open_count / closed_count / resolved_count: trade counts at snapshot time.
-- ─────────────────────────────────────────────────────────────────────────────
ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS unrealized_pnl_est DOUBLE PRECISION;
ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS realized_pnl DOUBLE PRECISION;
ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS open_count INTEGER;
ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS closed_count INTEGER;
ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS resolved_count INTEGER;