feat: create consolidated proto/ directory at workspace root
Merge monitoring_service training metrics into trading_service system health monitoring.proto. All 11 proto files now in one canonical location. Merged monitoring.proto has 13 RPCs (10 system + 3 training) with all message types from both source protos preserved. Added cpu_percent, memory_used_mb, memory_total_mb fields to GetLiveTrainingMetricsResponse. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
jgrusewski
212
proto/broker_gateway.proto
Normal file
212
proto/broker_gateway.proto
Normal file
@@ -0,0 +1,212 @@
|
||||
// Broker Gateway Service - FIX Order Routing Protocol
|
||||
//
|
||||
// This service handles all broker communication via FIX 4.2/4.4 protocol
|
||||
// for order routing, execution management, and account state synchronization.
|
||||
|
||||
syntax = "proto3";
|
||||
|
||||
package broker_gateway;
|
||||
|
||||
// ============================================================================
|
||||
// Broker Gateway Service
|
||||
// ============================================================================
|
||||
|
||||
service BrokerGatewayService {
|
||||
// Route order to broker via FIX protocol
|
||||
rpc RouteOrder(RouteOrderRequest) returns (RouteOrderResponse);
|
||||
|
||||
// Cancel existing order
|
||||
rpc CancelOrder(CancelOrderRequest) returns (CancelOrderResponse);
|
||||
|
||||
// Get current account state (balance, margin, positions)
|
||||
rpc GetAccountState(GetAccountStateRequest) returns (GetAccountStateResponse);
|
||||
|
||||
// Get all positions for account
|
||||
rpc GetPositions(GetPositionsRequest) returns (GetPositionsResponse);
|
||||
|
||||
// Get FIX session status
|
||||
rpc GetSessionStatus(GetSessionStatusRequest) returns (GetSessionStatusResponse);
|
||||
|
||||
// Stream real-time executions from broker
|
||||
rpc StreamExecutions(StreamExecutionsRequest) returns (stream ExecutionEvent);
|
||||
|
||||
// Health check
|
||||
rpc HealthCheck(HealthCheckRequest) returns (HealthCheckResponse);
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Order Routing
|
||||
// ============================================================================
|
||||
|
||||
message RouteOrderRequest {
|
||||
string symbol = 1; // ES, NQ, etc.
|
||||
OrderSide side = 2; // BUY, SELL
|
||||
double quantity = 3; // Number of contracts
|
||||
OrderType order_type = 4; // MARKET, LIMIT, STOP, STOP_LIMIT
|
||||
optional double price = 5; // Limit price (required for LIMIT orders)
|
||||
optional double stop_price = 6; // Stop price (required for STOP orders)
|
||||
string account_id = 7; // AMP account identifier
|
||||
map<string, string> metadata = 8; // Strategy, model_name, etc.
|
||||
}
|
||||
|
||||
message RouteOrderResponse {
|
||||
string broker_order_id = 1; // Broker-assigned OrderID (Tag 37, filled after ack)
|
||||
string client_order_id = 2; // Our ClOrdID (Tag 11)
|
||||
OrderStatus status = 3; // PENDING_SUBMIT, SUBMITTED, etc.
|
||||
int64 submitted_at = 4; // Timestamp (nanoseconds)
|
||||
string message = 5; // Success/error message
|
||||
}
|
||||
|
||||
message CancelOrderRequest {
|
||||
string client_order_id = 1; // Order to cancel
|
||||
string account_id = 2; // Account verification
|
||||
}
|
||||
|
||||
message CancelOrderResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
OrderStatus new_status = 3; // CANCEL_PENDING, CANCELLED, etc.
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Account & Position Management
|
||||
// ============================================================================
|
||||
|
||||
message GetAccountStateRequest {
|
||||
string account_id = 1;
|
||||
}
|
||||
|
||||
message GetAccountStateResponse {
|
||||
string account_id = 1;
|
||||
double cash_balance = 2;
|
||||
double equity = 3;
|
||||
double margin_used = 4;
|
||||
double margin_available = 5;
|
||||
double buying_power = 6;
|
||||
double unrealized_pnl = 7;
|
||||
double realized_pnl = 8;
|
||||
int64 last_updated = 9; // Timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
message GetPositionsRequest {
|
||||
string account_id = 1;
|
||||
optional string symbol = 2; // Filter by symbol (optional)
|
||||
}
|
||||
|
||||
message GetPositionsResponse {
|
||||
repeated Position positions = 1;
|
||||
double total_equity = 2;
|
||||
double total_exposure = 3;
|
||||
double leverage_ratio = 4;
|
||||
int64 timestamp = 5;
|
||||
}
|
||||
|
||||
message Position {
|
||||
string symbol = 1;
|
||||
double quantity = 2; // Positive = long, negative = short
|
||||
double average_price = 3;
|
||||
double market_value = 4;
|
||||
double unrealized_pnl = 5;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Session Management
|
||||
// ============================================================================
|
||||
|
||||
message GetSessionStatusRequest {
|
||||
optional string session_id = 1; // Optional: default to active session
|
||||
}
|
||||
|
||||
message GetSessionStatusResponse {
|
||||
string session_id = 1;
|
||||
SessionState state = 2;
|
||||
int64 sender_seq_num = 3; // Current outgoing sequence
|
||||
int64 target_seq_num = 4; // Expected incoming sequence
|
||||
int64 last_heartbeat_sent = 5; // Timestamp (nanoseconds)
|
||||
int64 last_heartbeat_received = 6; // Timestamp (nanoseconds)
|
||||
double heartbeat_rtt_ms = 7; // Round-trip time in milliseconds
|
||||
int64 connected_at = 8; // Timestamp (nanoseconds)
|
||||
map<string, string> details = 9; // Additional session info
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Execution Streaming
|
||||
// ============================================================================
|
||||
|
||||
message StreamExecutionsRequest {
|
||||
optional string account_id = 1; // Filter by account
|
||||
optional string symbol = 2; // Filter by symbol
|
||||
}
|
||||
|
||||
message ExecutionEvent {
|
||||
string execution_id = 1; // ExecID (Tag 17)
|
||||
string broker_order_id = 2; // OrderID (Tag 37)
|
||||
string client_order_id = 3; // ClOrdID (Tag 11)
|
||||
string symbol = 4;
|
||||
OrderSide side = 5;
|
||||
ExecutionType exec_type = 6; // NEW, TRADE, CANCELED, REJECTED
|
||||
OrderStatus order_status = 7; // Order status after this execution
|
||||
double last_qty = 8; // Quantity filled (Tag 32)
|
||||
double last_price = 9; // Fill price (Tag 31)
|
||||
double cum_qty = 10; // Total filled (Tag 14)
|
||||
double avg_price = 11; // Average fill price (Tag 6)
|
||||
int64 transact_time = 12; // Execution timestamp
|
||||
optional string text = 13; // Reject reason (if applicable)
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Health Check
|
||||
// ============================================================================
|
||||
|
||||
message HealthCheckRequest {}
|
||||
|
||||
message HealthCheckResponse {
|
||||
bool healthy = 1;
|
||||
string message = 2;
|
||||
map<string, string> details = 3;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Enums
|
||||
// ============================================================================
|
||||
|
||||
enum OrderSide {
|
||||
ORDER_SIDE_UNSPECIFIED = 0;
|
||||
ORDER_SIDE_BUY = 1;
|
||||
ORDER_SIDE_SELL = 2;
|
||||
}
|
||||
|
||||
enum OrderType {
|
||||
ORDER_TYPE_UNSPECIFIED = 0;
|
||||
ORDER_TYPE_MARKET = 1;
|
||||
ORDER_TYPE_LIMIT = 2;
|
||||
ORDER_TYPE_STOP = 3;
|
||||
ORDER_TYPE_STOP_LIMIT = 4;
|
||||
}
|
||||
|
||||
enum OrderStatus {
|
||||
ORDER_STATUS_UNSPECIFIED = 0;
|
||||
ORDER_STATUS_PENDING_SUBMIT = 1;
|
||||
ORDER_STATUS_SUBMITTED = 2;
|
||||
ORDER_STATUS_PARTIALLY_FILLED = 3;
|
||||
ORDER_STATUS_FILLED = 4;
|
||||
ORDER_STATUS_CANCEL_PENDING = 5;
|
||||
ORDER_STATUS_CANCELLED = 6;
|
||||
ORDER_STATUS_REJECTED = 7;
|
||||
}
|
||||
|
||||
enum ExecutionType {
|
||||
EXECUTION_TYPE_UNSPECIFIED = 0;
|
||||
EXECUTION_TYPE_NEW = 1; // Order accepted
|
||||
EXECUTION_TYPE_TRADE = 2; // Partial or full fill
|
||||
EXECUTION_TYPE_CANCELED = 3; // Order canceled
|
||||
EXECUTION_TYPE_REJECTED = 4; // Order rejected
|
||||
}
|
||||
|
||||
enum SessionState {
|
||||
SESSION_STATE_DISCONNECTED = 0;
|
||||
SESSION_STATE_CONNECTED = 1;
|
||||
SESSION_STATE_LOGGING_IN = 2;
|
||||
SESSION_STATE_ACTIVE = 3;
|
||||
SESSION_STATE_LOGGING_OUT = 4;
|
||||
}
|
||||
326
proto/config.proto
Normal file
326
proto/config.proto
Normal file
@@ -0,0 +1,326 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package config;
|
||||
|
||||
// Configuration Service provides centralized, PostgreSQL-based configuration management with hot-reload capabilities.
|
||||
// This service supports real-time configuration updates, validation, history tracking, and import/export functionality
|
||||
// for all trading system components with comprehensive audit trails and rollback capabilities.
|
||||
service ConfigService {
|
||||
// Configuration CRUD Operations
|
||||
// Get configuration settings by category, key, or environment
|
||||
rpc GetConfiguration(GetConfigurationRequest) returns (GetConfigurationResponse);
|
||||
|
||||
// Update configuration value with validation and audit logging
|
||||
rpc UpdateConfiguration(UpdateConfigurationRequest) returns (UpdateConfigurationResponse);
|
||||
|
||||
// Delete configuration setting with audit trail
|
||||
rpc DeleteConfiguration(DeleteConfigurationRequest) returns (DeleteConfigurationResponse);
|
||||
|
||||
// List available configuration categories
|
||||
rpc ListCategories(ListCategoriesRequest) returns (ListCategoriesResponse);
|
||||
|
||||
// Real-time Configuration Streaming
|
||||
// Stream real-time configuration changes with hot-reload support
|
||||
rpc StreamConfigChanges(StreamConfigChangesRequest) returns (stream ConfigChangeEvent);
|
||||
|
||||
// Configuration Management Operations
|
||||
// Validate configuration value against schema and rules
|
||||
rpc ValidateConfiguration(ValidateConfigurationRequest) returns (ValidateConfigurationResponse);
|
||||
|
||||
// Get configuration change history with audit details
|
||||
rpc GetConfigurationHistory(GetConfigurationHistoryRequest) returns (GetConfigurationHistoryResponse);
|
||||
|
||||
// Rollback configuration to previous value
|
||||
rpc RollbackConfiguration(RollbackConfigurationRequest) returns (RollbackConfigurationResponse);
|
||||
|
||||
// Export configuration data in various formats
|
||||
rpc ExportConfiguration(ExportConfigurationRequest) returns (ExportConfigurationResponse);
|
||||
|
||||
// Import configuration data with validation
|
||||
rpc ImportConfiguration(ImportConfigurationRequest) returns (ImportConfigurationResponse);
|
||||
|
||||
// Schema Management Operations
|
||||
// Get configuration schema definitions
|
||||
rpc GetConfigSchema(GetConfigSchemaRequest) returns (GetConfigSchemaResponse);
|
||||
|
||||
// Update configuration schema with validation rules
|
||||
rpc UpdateConfigSchema(UpdateConfigSchemaRequest) returns (UpdateConfigSchemaResponse);
|
||||
}
|
||||
|
||||
// Configuration CRUD Messages
|
||||
message GetConfigurationRequest {
|
||||
optional string category = 1;
|
||||
optional string key = 2;
|
||||
optional string environment = 3;
|
||||
}
|
||||
|
||||
message GetConfigurationResponse {
|
||||
repeated ConfigurationSetting settings = 1;
|
||||
}
|
||||
|
||||
message UpdateConfigurationRequest {
|
||||
string category = 1;
|
||||
string key = 2;
|
||||
string value = 3;
|
||||
string changed_by = 4;
|
||||
optional string change_reason = 5;
|
||||
optional string environment = 6;
|
||||
}
|
||||
|
||||
message UpdateConfigurationResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
optional ValidationResult validation_result = 3;
|
||||
int64 timestamp = 4;
|
||||
}
|
||||
|
||||
message DeleteConfigurationRequest {
|
||||
string category = 1;
|
||||
string key = 2;
|
||||
string deleted_by = 3;
|
||||
optional string delete_reason = 4;
|
||||
}
|
||||
|
||||
message DeleteConfigurationResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
message ListCategoriesRequest {
|
||||
optional string parent_category = 1;
|
||||
}
|
||||
|
||||
message ListCategoriesResponse {
|
||||
repeated ConfigurationCategory categories = 1;
|
||||
}
|
||||
|
||||
// Streaming Messages
|
||||
message StreamConfigChangesRequest {
|
||||
repeated string categories = 1;
|
||||
repeated string keys = 2;
|
||||
}
|
||||
|
||||
// Validation Messages
|
||||
message ValidateConfigurationRequest {
|
||||
string category = 1;
|
||||
string key = 2;
|
||||
string value = 3;
|
||||
}
|
||||
|
||||
message ValidateConfigurationResponse {
|
||||
bool is_valid = 1;
|
||||
ValidationResult validation_result = 2;
|
||||
}
|
||||
|
||||
// History Messages
|
||||
message GetConfigurationHistoryRequest {
|
||||
optional string category = 1;
|
||||
optional string key = 2;
|
||||
optional int64 start_time = 3;
|
||||
optional int64 end_time = 4;
|
||||
optional int32 limit = 5;
|
||||
}
|
||||
|
||||
message GetConfigurationHistoryResponse {
|
||||
repeated ConfigurationHistoryEntry history = 1;
|
||||
}
|
||||
|
||||
message RollbackConfigurationRequest {
|
||||
string category = 1;
|
||||
string key = 2;
|
||||
int64 rollback_to_timestamp = 3;
|
||||
string rolled_back_by = 4;
|
||||
optional string rollback_reason = 5;
|
||||
}
|
||||
|
||||
message RollbackConfigurationResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
ConfigurationSetting restored_setting = 3;
|
||||
int64 timestamp = 4;
|
||||
}
|
||||
|
||||
// Import/Export Messages
|
||||
message ExportConfigurationRequest {
|
||||
repeated string categories = 1;
|
||||
optional string environment = 2;
|
||||
ExportFormat format = 3;
|
||||
}
|
||||
|
||||
message ExportConfigurationResponse {
|
||||
string exported_data = 1;
|
||||
ExportFormat format = 2;
|
||||
int32 settings_count = 3;
|
||||
int64 exported_at = 4;
|
||||
}
|
||||
|
||||
message ImportConfigurationRequest {
|
||||
string imported_data = 1;
|
||||
ExportFormat format = 2;
|
||||
string imported_by = 3;
|
||||
bool dry_run = 4;
|
||||
bool overwrite_existing = 5;
|
||||
}
|
||||
|
||||
message ImportConfigurationResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
repeated ImportResult import_results = 3;
|
||||
int32 imported_count = 4;
|
||||
int32 skipped_count = 5;
|
||||
int32 error_count = 6;
|
||||
}
|
||||
|
||||
// Schema Messages
|
||||
message GetConfigSchemaRequest {
|
||||
optional string category = 1;
|
||||
}
|
||||
|
||||
message GetConfigSchemaResponse {
|
||||
repeated ConfigurationSchema schemas = 1;
|
||||
}
|
||||
|
||||
message UpdateConfigSchemaRequest {
|
||||
string schema_name = 1;
|
||||
string schema_definition = 2;
|
||||
string updated_by = 3;
|
||||
}
|
||||
|
||||
message UpdateConfigSchemaResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
// Core Data Types
|
||||
|
||||
// Complete configuration setting with metadata and validation rules
|
||||
message ConfigurationSetting {
|
||||
int64 id = 1; // Unique setting identifier
|
||||
string category = 2; // Configuration category (e.g., "trading.limits")
|
||||
string key = 3; // Configuration key (e.g., "max_position_size")
|
||||
string value = 4; // Current configuration value
|
||||
ConfigDataType data_type = 5; // Data type (string, number, boolean, etc.)
|
||||
bool hot_reload = 6; // Whether changes trigger hot-reload
|
||||
string description = 7; // Human-readable description
|
||||
optional string default_value = 8; // Default value if not set
|
||||
bool required = 9; // Whether this setting is required
|
||||
bool sensitive = 10; // Whether value contains sensitive data
|
||||
optional string validation_rule = 11; // Validation rule expression
|
||||
optional string environment_override = 12; // Environment-specific override
|
||||
optional double min_value = 13; // Minimum numeric value
|
||||
optional double max_value = 14; // Maximum numeric value
|
||||
optional string enum_values = 15; // Allowed enum values (comma-separated)
|
||||
repeated string depends_on = 16; // Dependencies on other settings
|
||||
repeated string tags = 17; // Tags for categorization
|
||||
int32 display_order = 18; // Display order in UI
|
||||
int64 created_at = 19; // Creation timestamp
|
||||
int64 modified_at = 20; // Last modification timestamp
|
||||
}
|
||||
|
||||
message ConfigurationCategory {
|
||||
int64 id = 1;
|
||||
string name = 2;
|
||||
string description = 3;
|
||||
optional int64 parent_id = 4;
|
||||
int32 display_order = 5;
|
||||
optional string icon = 6;
|
||||
int64 created_at = 7;
|
||||
repeated ConfigurationCategory children = 8;
|
||||
}
|
||||
|
||||
message ConfigurationHistoryEntry {
|
||||
int64 id = 1;
|
||||
int64 setting_id = 2;
|
||||
optional string old_value = 3;
|
||||
string new_value = 4;
|
||||
optional string change_reason = 5;
|
||||
string changed_by = 6;
|
||||
int64 changed_at = 7;
|
||||
string change_source = 8;
|
||||
optional ValidationResult validation_result = 9;
|
||||
optional int64 rollback_id = 10;
|
||||
}
|
||||
|
||||
message ConfigurationSchema {
|
||||
int64 id = 1;
|
||||
string name = 2;
|
||||
string schema_definition = 3;
|
||||
string description = 4;
|
||||
int64 created_at = 5;
|
||||
}
|
||||
|
||||
message ValidationResult {
|
||||
bool is_valid = 1;
|
||||
repeated ValidationError errors = 2;
|
||||
repeated ValidationWarning warnings = 3;
|
||||
}
|
||||
|
||||
message ValidationError {
|
||||
string field = 1;
|
||||
string message = 2;
|
||||
string error_code = 3;
|
||||
}
|
||||
|
||||
message ValidationWarning {
|
||||
string field = 1;
|
||||
string message = 2;
|
||||
string warning_code = 3;
|
||||
}
|
||||
|
||||
message ImportResult {
|
||||
string category = 1;
|
||||
string key = 2;
|
||||
ImportStatus status = 3;
|
||||
optional string error_message = 4;
|
||||
}
|
||||
|
||||
// Event Messages
|
||||
message ConfigChangeEvent {
|
||||
int64 setting_id = 1;
|
||||
string category = 2;
|
||||
string key = 3;
|
||||
string old_value = 4;
|
||||
string new_value = 5;
|
||||
string changed_by = 6;
|
||||
int64 timestamp = 7;
|
||||
ConfigChangeType change_type = 8;
|
||||
bool hot_reload = 9;
|
||||
}
|
||||
|
||||
// Enums
|
||||
|
||||
// Data types for configuration values
|
||||
enum ConfigDataType {
|
||||
CONFIG_DATA_TYPE_UNSPECIFIED = 0; // Default/unknown type
|
||||
CONFIG_DATA_TYPE_STRING = 1; // Text string value
|
||||
CONFIG_DATA_TYPE_NUMBER = 2; // Numeric value (int or float)
|
||||
CONFIG_DATA_TYPE_BOOLEAN = 3; // Boolean true/false value
|
||||
CONFIG_DATA_TYPE_JSON = 4; // JSON object or array
|
||||
CONFIG_DATA_TYPE_ENCRYPTED = 5; // Encrypted sensitive value
|
||||
}
|
||||
|
||||
enum ExportFormat {
|
||||
EXPORT_FORMAT_UNSPECIFIED = 0;
|
||||
EXPORT_FORMAT_JSON = 1;
|
||||
EXPORT_FORMAT_YAML = 2;
|
||||
EXPORT_FORMAT_TOML = 3;
|
||||
EXPORT_FORMAT_ENV = 4;
|
||||
}
|
||||
|
||||
enum ImportStatus {
|
||||
IMPORT_STATUS_UNSPECIFIED = 0;
|
||||
IMPORT_STATUS_SUCCESS = 1;
|
||||
IMPORT_STATUS_SKIPPED = 2;
|
||||
IMPORT_STATUS_ERROR = 3;
|
||||
IMPORT_STATUS_VALIDATION_FAILED = 4;
|
||||
}
|
||||
|
||||
enum ConfigChangeType {
|
||||
CONFIG_CHANGE_TYPE_UNSPECIFIED = 0;
|
||||
CONFIG_CHANGE_TYPE_CREATED = 1;
|
||||
CONFIG_CHANGE_TYPE_UPDATED = 2;
|
||||
CONFIG_CHANGE_TYPE_DELETED = 3;
|
||||
CONFIG_CHANGE_TYPE_ROLLBACK = 4;
|
||||
}
|
||||
81
proto/config_service.proto
Normal file
81
proto/config_service.proto
Normal file
@@ -0,0 +1,81 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package foxhunt.config;
|
||||
|
||||
// Configuration Management Service
|
||||
service ConfigurationService {
|
||||
// Get a single configuration value
|
||||
rpc GetConfig(GetConfigRequest) returns (GetConfigResponse);
|
||||
|
||||
// Update a configuration value
|
||||
rpc UpdateConfig(UpdateConfigRequest) returns (UpdateConfigResponse);
|
||||
|
||||
// List all configurations for a service scope
|
||||
rpc ListConfigs(ListConfigsRequest) returns (ListConfigsResponse);
|
||||
|
||||
// Trigger configuration reload
|
||||
rpc ReloadConfig(ReloadConfigRequest) returns (ReloadConfigResponse);
|
||||
}
|
||||
|
||||
// Get configuration request
|
||||
message GetConfigRequest {
|
||||
string service_scope = 1;
|
||||
string config_key = 2;
|
||||
}
|
||||
|
||||
// Get configuration response
|
||||
message GetConfigResponse {
|
||||
string config_value = 1; // JSON-serialized value
|
||||
string data_type = 2;
|
||||
string description = 3;
|
||||
int64 updated_at = 4; // Unix timestamp
|
||||
string updated_by = 5;
|
||||
}
|
||||
|
||||
// Update configuration request
|
||||
message UpdateConfigRequest {
|
||||
string service_scope = 1;
|
||||
string config_key = 2;
|
||||
string new_value = 3; // JSON-serialized value
|
||||
string updated_by = 4;
|
||||
}
|
||||
|
||||
// Update configuration response
|
||||
message UpdateConfigResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
|
||||
// List configurations request
|
||||
message ListConfigsRequest {
|
||||
optional string service_scope = 1; // If not provided, lists all scopes
|
||||
}
|
||||
|
||||
// Configuration item
|
||||
message ConfigItem {
|
||||
string service_scope = 1;
|
||||
string config_key = 2;
|
||||
string config_value = 3; // JSON-serialized value
|
||||
string data_type = 4;
|
||||
string description = 5;
|
||||
int64 created_at = 6;
|
||||
int64 updated_at = 7;
|
||||
string updated_by = 8;
|
||||
}
|
||||
|
||||
// List configurations response
|
||||
message ListConfigsResponse {
|
||||
repeated ConfigItem configs = 1;
|
||||
}
|
||||
|
||||
// Reload configuration request
|
||||
message ReloadConfigRequest {
|
||||
optional string service_scope = 1;
|
||||
optional string config_key = 2;
|
||||
}
|
||||
|
||||
// Reload configuration response
|
||||
message ReloadConfigResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
177
proto/data_acquisition.proto
Normal file
177
proto/data_acquisition.proto
Normal file
@@ -0,0 +1,177 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package data_acquisition;
|
||||
|
||||
// Data Acquisition Service provides automated Databento data downloading and storage.
|
||||
// This service handles scheduled downloads, cost tracking, quality validation, and automatic MinIO upload.
|
||||
service DataAcquisitionService {
|
||||
// Download Management
|
||||
// Schedule a new data download from Databento
|
||||
rpc ScheduleDownload(ScheduleDownloadRequest) returns (ScheduleDownloadResponse);
|
||||
|
||||
// Get status of a download job
|
||||
rpc GetDownloadStatus(GetDownloadStatusRequest) returns (GetDownloadStatusResponse);
|
||||
|
||||
// Cancel a running or pending download job
|
||||
rpc CancelDownload(CancelDownloadRequest) returns (CancelDownloadResponse);
|
||||
|
||||
// List all download jobs with optional filters
|
||||
rpc ListDownloadJobs(ListDownloadJobsRequest) returns (ListDownloadJobsResponse);
|
||||
|
||||
// Service Health and Status
|
||||
// Check service health and resource availability
|
||||
rpc HealthCheck(HealthCheckRequest) returns (HealthCheckResponse);
|
||||
}
|
||||
|
||||
// --- Core Request/Response Messages ---
|
||||
|
||||
// Request to schedule a new data download
|
||||
message ScheduleDownloadRequest {
|
||||
// Databento dataset (e.g., "GLBX.MDP3" for CME futures)
|
||||
string dataset = 1;
|
||||
|
||||
// List of symbols to download (e.g., ["ES.FUT", "NQ.FUT"])
|
||||
repeated string symbols = 2;
|
||||
|
||||
// Start date in YYYY-MM-DD format
|
||||
string start_date = 3;
|
||||
|
||||
// End date in YYYY-MM-DD format
|
||||
string end_date = 4;
|
||||
|
||||
// Schema type (e.g., "ohlcv-1m", "mbp-10", "trades")
|
||||
string schema = 5;
|
||||
|
||||
// Optional description for this download
|
||||
string description = 6;
|
||||
|
||||
// Optional tags for categorization
|
||||
map<string, string> tags = 7;
|
||||
|
||||
// Priority level (1=low, 5=high)
|
||||
uint32 priority = 8;
|
||||
}
|
||||
|
||||
message ScheduleDownloadResponse {
|
||||
// Unique job identifier
|
||||
string job_id = 1;
|
||||
|
||||
// Initial job status
|
||||
DownloadStatus status = 2;
|
||||
|
||||
// Estimated cost in USD
|
||||
double estimated_cost_usd = 3;
|
||||
|
||||
// Human-readable message
|
||||
string message = 4;
|
||||
}
|
||||
|
||||
message GetDownloadStatusRequest {
|
||||
string job_id = 1;
|
||||
}
|
||||
|
||||
message GetDownloadStatusResponse {
|
||||
DownloadJobDetails job_details = 1;
|
||||
}
|
||||
|
||||
message CancelDownloadRequest {
|
||||
string job_id = 1;
|
||||
string reason = 2; // Optional cancellation reason
|
||||
}
|
||||
|
||||
message CancelDownloadResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
|
||||
message ListDownloadJobsRequest {
|
||||
uint32 page = 1;
|
||||
uint32 page_size = 2;
|
||||
DownloadStatus status_filter = 3;
|
||||
int64 start_time = 4; // Unix timestamp
|
||||
int64 end_time = 5; // Unix timestamp
|
||||
}
|
||||
|
||||
message ListDownloadJobsResponse {
|
||||
repeated DownloadJobSummary jobs = 1;
|
||||
uint32 total_count = 2;
|
||||
uint32 page = 3;
|
||||
uint32 page_size = 4;
|
||||
}
|
||||
|
||||
message HealthCheckRequest {}
|
||||
|
||||
message HealthCheckResponse {
|
||||
bool healthy = 1;
|
||||
string message = 2;
|
||||
map<string, string> details = 3;
|
||||
}
|
||||
|
||||
// --- Status and Details Messages ---
|
||||
|
||||
enum DownloadStatus {
|
||||
DOWNLOAD_STATUS_UNKNOWN = 0;
|
||||
PENDING = 1; // Queued, waiting to start
|
||||
DOWNLOADING = 2; // Actively downloading from Databento
|
||||
VALIDATING = 3; // Validating data quality
|
||||
UPLOADING = 4; // Uploading to MinIO
|
||||
COMPLETED = 5; // Successfully completed
|
||||
FAILED = 6; // Failed with errors
|
||||
CANCELLED = 7; // Cancelled by user
|
||||
}
|
||||
|
||||
message DownloadJobDetails {
|
||||
string job_id = 1;
|
||||
DownloadStatus status = 2;
|
||||
string dataset = 3;
|
||||
repeated string symbols = 4;
|
||||
string start_date = 5;
|
||||
string end_date = 6;
|
||||
string schema = 7;
|
||||
string description = 8;
|
||||
map<string, string> tags = 9;
|
||||
uint32 priority = 10;
|
||||
|
||||
// Progress tracking
|
||||
float progress_percentage = 11; // 0.0 to 100.0
|
||||
uint64 bytes_downloaded = 12;
|
||||
uint64 total_bytes = 13;
|
||||
|
||||
// Cost tracking
|
||||
double estimated_cost_usd = 14;
|
||||
double actual_cost_usd = 15;
|
||||
|
||||
// Quality metrics
|
||||
uint64 records_count = 16;
|
||||
uint64 invalid_records = 17;
|
||||
double data_quality_score = 18; // 0.0 to 1.0
|
||||
|
||||
// Storage paths
|
||||
string local_path = 19;
|
||||
string minio_path = 20;
|
||||
|
||||
// Timestamps
|
||||
int64 created_at = 21; // Unix timestamp
|
||||
int64 started_at = 22;
|
||||
int64 completed_at = 23;
|
||||
|
||||
// Error information
|
||||
string error_message = 24;
|
||||
uint32 retry_count = 25;
|
||||
|
||||
// Metadata
|
||||
string created_by = 26;
|
||||
}
|
||||
|
||||
message DownloadJobSummary {
|
||||
string job_id = 1;
|
||||
DownloadStatus status = 2;
|
||||
string dataset = 3;
|
||||
repeated string symbols = 4;
|
||||
string start_date = 5;
|
||||
string end_date = 6;
|
||||
float progress_percentage = 7;
|
||||
double actual_cost_usd = 8;
|
||||
int64 created_at = 9;
|
||||
int64 completed_at = 10;
|
||||
}
|
||||
32
proto/health.proto
Normal file
32
proto/health.proto
Normal file
@@ -0,0 +1,32 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package grpc.health.v1;
|
||||
|
||||
// Health check service definition
|
||||
service Health {
|
||||
// Check the health status of the service
|
||||
rpc Check(HealthCheckRequest) returns (HealthCheckResponse);
|
||||
|
||||
// Watch for health status changes
|
||||
rpc Watch(HealthCheckRequest) returns (stream HealthCheckResponse);
|
||||
}
|
||||
|
||||
// Health check request
|
||||
message HealthCheckRequest {
|
||||
// Service name to check (empty for overall service health)
|
||||
string service = 1;
|
||||
}
|
||||
|
||||
// Health check response
|
||||
message HealthCheckResponse {
|
||||
// Health status
|
||||
ServingStatus status = 1;
|
||||
}
|
||||
|
||||
// Serving status enum
|
||||
enum ServingStatus {
|
||||
UNKNOWN = 0;
|
||||
SERVING = 1;
|
||||
NOT_SERVING = 2;
|
||||
SERVICE_UNKNOWN = 3; // Used when the requested service is unknown
|
||||
}
|
||||
344
proto/ml.proto
Normal file
344
proto/ml.proto
Normal file
@@ -0,0 +1,344 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package ml;
|
||||
|
||||
// ML Service provides machine learning model management, predictions, and insights for trading decisions.
|
||||
// This service integrates multiple ML models including MAMBA-2, TLOB transformers, DQN, and PPO models
|
||||
// to provide real-time predictions, ensemble voting, and model performance monitoring.
|
||||
service MLService {
|
||||
// Model Predictions and Inference
|
||||
// Get single prediction from a specific model
|
||||
rpc GetPrediction(GetPredictionRequest) returns (GetPredictionResponse);
|
||||
|
||||
// Stream real-time predictions from multiple models
|
||||
rpc StreamPredictions(StreamPredictionsRequest) returns (stream PredictionEvent);
|
||||
|
||||
// Get ensemble voting results from multiple models
|
||||
rpc GetEnsembleVote(GetEnsembleVoteRequest) returns (GetEnsembleVoteResponse);
|
||||
|
||||
// Model Lifecycle Management
|
||||
// Get current status of ML models (health, performance, etc.)
|
||||
rpc GetModelStatus(GetModelStatusRequest) returns (GetModelStatusResponse);
|
||||
|
||||
// List all available models and their capabilities
|
||||
rpc GetAvailableModels(GetAvailableModelsRequest) returns (GetAvailableModelsResponse);
|
||||
|
||||
// Trigger model retraining with new data
|
||||
rpc RetrainModel(RetrainModelRequest) returns (RetrainModelResponse);
|
||||
|
||||
// Model Performance and Analytics
|
||||
// Get comprehensive performance metrics for a model
|
||||
rpc GetModelPerformance(GetModelPerformanceRequest) returns (GetModelPerformanceResponse);
|
||||
|
||||
// Stream real-time model performance metrics
|
||||
rpc StreamModelMetrics(StreamModelMetricsRequest) returns (stream ModelMetricsEvent);
|
||||
|
||||
// Feature Analysis and Signal Intelligence
|
||||
// Get feature importance analysis for model interpretation
|
||||
rpc GetFeatureImportance(GetFeatureImportanceRequest) returns (GetFeatureImportanceResponse);
|
||||
|
||||
// Stream real-time signal strength indicators across models
|
||||
rpc StreamSignalStrength(StreamSignalStrengthRequest) returns (stream SignalStrengthEvent);
|
||||
}
|
||||
|
||||
// Prediction Messages
|
||||
|
||||
// Request for model prediction
|
||||
message GetPredictionRequest {
|
||||
string model_name = 1; // Model to use (e.g., "mamba2", "tlob-transformer")
|
||||
string symbol = 2; // Trading symbol to predict
|
||||
optional int32 horizon_minutes = 3; // Prediction horizon in minutes
|
||||
map<string, double> features = 4; // Input features for prediction
|
||||
}
|
||||
|
||||
// Response containing model prediction
|
||||
message GetPredictionResponse {
|
||||
Prediction prediction = 1; // Model prediction with details
|
||||
double confidence = 2; // Prediction confidence (0.0 to 1.0)
|
||||
int64 timestamp = 3; // Prediction timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
message StreamPredictionsRequest {
|
||||
repeated string model_names = 1;
|
||||
repeated string symbols = 2;
|
||||
optional int32 update_frequency_seconds = 3;
|
||||
}
|
||||
|
||||
message GetEnsembleVoteRequest {
|
||||
string symbol = 1;
|
||||
optional int32 horizon_minutes = 2;
|
||||
repeated string model_names = 3;
|
||||
}
|
||||
|
||||
message GetEnsembleVoteResponse {
|
||||
EnsembleVote ensemble_vote = 1;
|
||||
repeated ModelVote individual_votes = 2;
|
||||
double overall_confidence = 3;
|
||||
int64 timestamp = 4;
|
||||
}
|
||||
|
||||
// Model Management Messages
|
||||
message GetModelStatusRequest {
|
||||
optional string model_name = 1;
|
||||
}
|
||||
|
||||
message GetModelStatusResponse {
|
||||
repeated ModelStatus model_statuses = 1;
|
||||
}
|
||||
|
||||
message GetAvailableModelsRequest {}
|
||||
|
||||
message GetAvailableModelsResponse {
|
||||
repeated ModelInfo available_models = 1;
|
||||
}
|
||||
|
||||
message RetrainModelRequest {
|
||||
string model_name = 1;
|
||||
optional int64 start_time = 2;
|
||||
optional int64 end_time = 3;
|
||||
map<string, string> parameters = 4;
|
||||
}
|
||||
|
||||
message RetrainModelResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
optional string job_id = 3;
|
||||
int64 started_at = 4;
|
||||
}
|
||||
|
||||
// Performance Messages
|
||||
message GetModelPerformanceRequest {
|
||||
string model_name = 1;
|
||||
optional int64 start_time = 2;
|
||||
optional int64 end_time = 3;
|
||||
}
|
||||
|
||||
message GetModelPerformanceResponse {
|
||||
ModelPerformance performance = 1;
|
||||
}
|
||||
|
||||
message StreamModelMetricsRequest {
|
||||
repeated string model_names = 1;
|
||||
optional int32 update_frequency_seconds = 2;
|
||||
}
|
||||
|
||||
// Feature Analysis Messages
|
||||
message GetFeatureImportanceRequest {
|
||||
string model_name = 1;
|
||||
optional string symbol = 2;
|
||||
}
|
||||
|
||||
message GetFeatureImportanceResponse {
|
||||
repeated FeatureImportance feature_importances = 1;
|
||||
string model_name = 2;
|
||||
int64 calculated_at = 3;
|
||||
}
|
||||
|
||||
message StreamSignalStrengthRequest {
|
||||
repeated string symbols = 1;
|
||||
optional int32 update_frequency_seconds = 2;
|
||||
}
|
||||
|
||||
// Core ML Data Types
|
||||
|
||||
// Complete prediction information from a model
|
||||
message Prediction {
|
||||
string model_name = 1; // Model that generated prediction
|
||||
string symbol = 2; // Trading symbol
|
||||
PredictionType prediction_type = 3; // Type of prediction (buy/sell/hold/price direction)
|
||||
double value = 4; // Predicted value (price change, probability, etc.)
|
||||
double confidence = 5; // Model confidence in prediction (0.0 to 1.0)
|
||||
int32 horizon_minutes = 6; // Prediction time horizon
|
||||
repeated Feature features = 7; // Input features used for prediction
|
||||
int64 timestamp = 8; // Prediction generation timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
message EnsembleVote {
|
||||
string symbol = 1;
|
||||
PredictionType consensus_prediction = 2;
|
||||
double consensus_confidence = 3;
|
||||
int32 votes_buy = 4;
|
||||
int32 votes_sell = 5;
|
||||
int32 votes_hold = 6;
|
||||
int32 total_models = 7;
|
||||
SignalStrength signal_strength = 8;
|
||||
}
|
||||
|
||||
message ModelVote {
|
||||
string model_name = 1;
|
||||
PredictionType prediction = 2;
|
||||
double confidence = 3;
|
||||
double weight = 4;
|
||||
}
|
||||
|
||||
message ModelStatus {
|
||||
string model_name = 1;
|
||||
ModelState state = 2;
|
||||
optional string error_message = 3;
|
||||
int64 last_updated = 4;
|
||||
int64 last_prediction = 5;
|
||||
ModelHealth health = 6;
|
||||
map<string, string> metadata = 7;
|
||||
}
|
||||
|
||||
message ModelInfo {
|
||||
string model_name = 1;
|
||||
string model_type = 2;
|
||||
string description = 3;
|
||||
repeated string supported_symbols = 4;
|
||||
repeated int32 supported_horizons = 5;
|
||||
ModelCapabilities capabilities = 6;
|
||||
map<string, string> parameters = 7;
|
||||
}
|
||||
|
||||
message ModelPerformance {
|
||||
string model_name = 1;
|
||||
double accuracy = 2;
|
||||
double precision = 3;
|
||||
double recall = 4;
|
||||
double f1_score = 5;
|
||||
double sharpe_ratio = 6;
|
||||
double win_rate = 7;
|
||||
double avg_return = 8;
|
||||
double max_drawdown = 9;
|
||||
int32 total_predictions = 10;
|
||||
int64 performance_period_start = 11;
|
||||
int64 performance_period_end = 12;
|
||||
repeated DailyPerformance daily_performance = 13;
|
||||
}
|
||||
|
||||
message DailyPerformance {
|
||||
string date = 1;
|
||||
double accuracy = 2;
|
||||
double return_pct = 3;
|
||||
int32 predictions_count = 4;
|
||||
double sharpe_ratio = 5;
|
||||
}
|
||||
|
||||
message FeatureImportance {
|
||||
string feature_name = 1;
|
||||
double importance_score = 2;
|
||||
FeatureType feature_type = 3;
|
||||
double contribution_pct = 4;
|
||||
}
|
||||
|
||||
message Feature {
|
||||
string name = 1;
|
||||
double value = 2;
|
||||
FeatureType feature_type = 3;
|
||||
double normalized_value = 4;
|
||||
}
|
||||
|
||||
message ModelCapabilities {
|
||||
bool supports_streaming = 1;
|
||||
bool supports_retraining = 2;
|
||||
bool supports_feature_importance = 3;
|
||||
bool supports_confidence_intervals = 4;
|
||||
repeated string supported_asset_classes = 5;
|
||||
}
|
||||
|
||||
// Event Messages
|
||||
message PredictionEvent {
|
||||
string model_name = 1;
|
||||
string symbol = 2;
|
||||
Prediction prediction = 3;
|
||||
PredictionEventType event_type = 4;
|
||||
int64 timestamp = 5;
|
||||
}
|
||||
|
||||
message ModelMetricsEvent {
|
||||
string model_name = 1;
|
||||
ModelMetrics metrics = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
message SignalStrengthEvent {
|
||||
string symbol = 1;
|
||||
SignalStrength signal_strength = 2;
|
||||
repeated ModelSignal model_signals = 3;
|
||||
int64 timestamp = 4;
|
||||
}
|
||||
|
||||
message ModelMetrics {
|
||||
string model_name = 1;
|
||||
double cpu_usage = 2;
|
||||
double memory_usage_mb = 3;
|
||||
double gpu_usage = 4;
|
||||
double predictions_per_second = 5;
|
||||
double avg_inference_time_ms = 6;
|
||||
int32 queue_size = 7;
|
||||
ModelHealth health = 8;
|
||||
}
|
||||
|
||||
message ModelSignal {
|
||||
string model_name = 1;
|
||||
double signal_strength = 2;
|
||||
PredictionType direction = 3;
|
||||
double confidence = 4;
|
||||
}
|
||||
|
||||
// Enums
|
||||
|
||||
// Types of predictions that ML models can generate
|
||||
enum PredictionType {
|
||||
PREDICTION_TYPE_UNSPECIFIED = 0; // Default/unknown prediction type
|
||||
PREDICTION_TYPE_BUY = 1; // Recommendation to buy (go long)
|
||||
PREDICTION_TYPE_SELL = 2; // Recommendation to sell (go short)
|
||||
PREDICTION_TYPE_HOLD = 3; // Recommendation to hold position
|
||||
PREDICTION_TYPE_PRICE_UP = 4; // Price expected to increase
|
||||
PREDICTION_TYPE_PRICE_DOWN = 5; // Price expected to decrease
|
||||
PREDICTION_TYPE_VOLATILITY_HIGH = 6; // High volatility expected
|
||||
PREDICTION_TYPE_VOLATILITY_LOW = 7; // Low volatility expected
|
||||
}
|
||||
|
||||
// Current operational state of ML models
|
||||
enum ModelState {
|
||||
MODEL_STATE_UNSPECIFIED = 0; // Default/unknown state
|
||||
MODEL_STATE_LOADING = 1; // Model is loading from storage
|
||||
MODEL_STATE_READY = 2; // Model loaded and ready for predictions
|
||||
MODEL_STATE_PREDICTING = 3; // Model actively making predictions
|
||||
MODEL_STATE_TRAINING = 4; // Model is being retrained
|
||||
MODEL_STATE_ERROR = 5; // Model encountered an error
|
||||
MODEL_STATE_OFFLINE = 6; // Model is offline/disabled
|
||||
}
|
||||
|
||||
// Health status of ML models
|
||||
enum ModelHealth {
|
||||
MODEL_HEALTH_UNSPECIFIED = 0; // Default/unknown health
|
||||
MODEL_HEALTH_HEALTHY = 1; // Model operating normally
|
||||
MODEL_HEALTH_DEGRADED = 2; // Model performance degraded
|
||||
MODEL_HEALTH_UNHEALTHY = 3; // Model not performing well
|
||||
MODEL_HEALTH_CRITICAL = 4; // Model in critical state
|
||||
}
|
||||
|
||||
// Types of features used in ML models
|
||||
enum FeatureType {
|
||||
FEATURE_TYPE_UNSPECIFIED = 0; // Default/unknown feature type
|
||||
FEATURE_TYPE_PRICE = 1; // Price-based features (OHLC, etc.)
|
||||
FEATURE_TYPE_VOLUME = 2; // Volume-based features
|
||||
FEATURE_TYPE_TECHNICAL = 3; // Technical indicators (RSI, MACD, etc.)
|
||||
FEATURE_TYPE_FUNDAMENTAL = 4; // Fundamental analysis features
|
||||
FEATURE_TYPE_SENTIMENT = 5; // Market sentiment features
|
||||
FEATURE_TYPE_MACRO = 6; // Macroeconomic features
|
||||
FEATURE_TYPE_TIME = 7; // Time-based features
|
||||
FEATURE_TYPE_ORDERBOOK = 8; // Order book depth and microstructure features
|
||||
FEATURE_TYPE_MICROSTRUCTURE = 9; // Market microstructure and flow features
|
||||
}
|
||||
|
||||
// Signal strength levels for predictions
|
||||
enum SignalStrength {
|
||||
SIGNAL_STRENGTH_UNSPECIFIED = 0; // Default/unknown strength
|
||||
SIGNAL_STRENGTH_VERY_WEAK = 1; // Very weak signal confidence
|
||||
SIGNAL_STRENGTH_WEAK = 2; // Weak signal confidence
|
||||
SIGNAL_STRENGTH_MODERATE = 3; // Moderate signal confidence
|
||||
SIGNAL_STRENGTH_STRONG = 4; // Strong signal confidence
|
||||
SIGNAL_STRENGTH_VERY_STRONG = 5; // Very strong signal confidence
|
||||
}
|
||||
|
||||
enum PredictionEventType {
|
||||
PREDICTION_EVENT_TYPE_UNSPECIFIED = 0;
|
||||
PREDICTION_EVENT_TYPE_NEW = 1;
|
||||
PREDICTION_EVENT_TYPE_UPDATED = 2;
|
||||
PREDICTION_EVENT_TYPE_EXPIRED = 3;
|
||||
PREDICTION_EVENT_TYPE_CONFIRMED = 4;
|
||||
}
|
||||
612
proto/ml_training.proto
Normal file
612
proto/ml_training.proto
Normal file
@@ -0,0 +1,612 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package ml_training;
|
||||
|
||||
// ML Training Service provides comprehensive machine learning model training capabilities for HFT systems.
|
||||
// This service manages training jobs for MAMBA-2, TLOB transformers, DQN, PPO, Liquid Networks, and TFT models
|
||||
// with real-time progress monitoring, resource management, and performance tracking.
|
||||
service MLTrainingService {
|
||||
// Training Job Management
|
||||
// Initiates a new training job and returns job ID immediately
|
||||
rpc StartTraining(StartTrainingRequest) returns (StartTrainingResponse);
|
||||
|
||||
// Subscribe to real-time training progress and status updates
|
||||
rpc SubscribeToTrainingStatus(SubscribeToTrainingStatusRequest) returns (stream TrainingStatusUpdate);
|
||||
|
||||
// Stop a running training job (idempotent operation)
|
||||
rpc StopTraining(StopTrainingRequest) returns (StopTrainingResponse);
|
||||
|
||||
// Model and Job Discovery
|
||||
// List available ML models with their training parameters
|
||||
rpc ListAvailableModels(ListAvailableModelsRequest) returns (ListAvailableModelsResponse);
|
||||
|
||||
// Get paginated list of training job history
|
||||
rpc ListTrainingJobs(ListTrainingJobsRequest) returns (ListTrainingJobsResponse);
|
||||
|
||||
// Get comprehensive details for a specific training job
|
||||
rpc GetTrainingJobDetails(GetTrainingJobDetailsRequest) returns (GetTrainingJobDetailsResponse);
|
||||
|
||||
// Service Health and Status
|
||||
// Check service health and resource availability
|
||||
rpc HealthCheck(HealthCheckRequest) returns (HealthCheckResponse);
|
||||
|
||||
// Hyperparameter Tuning Management
|
||||
// Start a new hyperparameter tuning job using Optuna
|
||||
rpc StartTuningJob(StartTuningJobRequest) returns (StartTuningJobResponse);
|
||||
|
||||
// Get current status and best parameters from a tuning job
|
||||
rpc GetTuningJobStatus(GetTuningJobStatusRequest) returns (GetTuningJobStatusResponse);
|
||||
|
||||
// Stop a running hyperparameter tuning job
|
||||
rpc StopTuningJob(StopTuningJobRequest) returns (StopTuningJobResponse);
|
||||
|
||||
// INTERNAL: Train a single model instance with specific hyperparameters (called by Optuna subprocess)
|
||||
rpc TrainModel(TrainModelRequest) returns (TrainModelResponse);
|
||||
|
||||
// Stream real-time tuning progress updates (trial completion events)
|
||||
rpc StreamTuningProgress(StreamProgressRequest) returns (stream ProgressUpdate);
|
||||
|
||||
// Batch Tuning Management
|
||||
// Start batch tuning job for multiple models with automatic dependency resolution
|
||||
rpc BatchStartTuningJobs(BatchStartTuningJobsRequest) returns (BatchStartTuningJobsResponse);
|
||||
|
||||
// Get batch tuning job status with per-model results
|
||||
rpc GetBatchTuningStatus(GetBatchTuningStatusRequest) returns (GetBatchTuningStatusResponse);
|
||||
|
||||
// Stop a running batch tuning job
|
||||
rpc StopBatchTuningJob(StopBatchTuningJobRequest) returns (StopBatchTuningJobResponse);
|
||||
|
||||
// Job Completion Callback (called by training-uploader sidecar)
|
||||
rpc ReportJobCompletion(JobCompletionReport) returns (JobCompletionAck);
|
||||
|
||||
// Model Promotion Management
|
||||
rpc ListPendingPromotions(ListPendingPromotionsRequest) returns (ListPendingPromotionsResponse);
|
||||
rpc ApprovePromotion(ApprovePromotionRequest) returns (ApprovePromotionResponse);
|
||||
rpc RejectPromotion(RejectPromotionRequest) returns (RejectPromotionResponse);
|
||||
|
||||
// Model approval / rejection (dashboard-facing, delegates to promotion pipeline)
|
||||
rpc ApproveModel(ApproveModelRequest) returns (ApproveModelResponse);
|
||||
rpc RejectModel(RejectModelRequest) returns (RejectModelResponse);
|
||||
}
|
||||
|
||||
// --- Core Request/Response Messages ---
|
||||
|
||||
// Training mode selection
|
||||
enum TrainingMode {
|
||||
TRAINING_MODE_FULL = 0; // Full training from scratch (default, backward-compatible)
|
||||
TRAINING_MODE_FINE_TUNE = 1; // Fine-tune from existing checkpoint
|
||||
}
|
||||
|
||||
// Request to start a new model training job
|
||||
message StartTrainingRequest {
|
||||
string model_type = 1; // Model type ("TLOB", "MAMBA_2", "DQN", "PPO", "LIQUID", "TFT")
|
||||
DataSource data_source = 2; // Training data source configuration
|
||||
Hyperparameters hyperparameters = 3; // Model-specific training parameters
|
||||
bool use_gpu = 4; // Whether to use GPU acceleration
|
||||
string description = 5; // Optional job description
|
||||
map<string, string> tags = 6; // Optional categorization tags
|
||||
TrainingMode mode = 7; // FULL (default) or FINE_TUNE
|
||||
string resume_checkpoint_path = 8; // Path to checkpoint for fine-tune
|
||||
uint32 max_epochs = 9; // Override epoch count (0 = use default)
|
||||
}
|
||||
|
||||
message StartTrainingResponse {
|
||||
string job_id = 1;
|
||||
TrainingStatus status = 2;
|
||||
string message = 3;
|
||||
}
|
||||
|
||||
message SubscribeToTrainingStatusRequest {
|
||||
string job_id = 1;
|
||||
}
|
||||
|
||||
// Real-time training progress update streamed from server
|
||||
message TrainingStatusUpdate {
|
||||
string job_id = 1; // Training job identifier
|
||||
TrainingStatus status = 2; // Current job status
|
||||
float progress_percentage = 3; // Training progress (0.0 to 100.0)
|
||||
uint32 current_epoch = 4; // Current training epoch
|
||||
uint32 total_epochs = 5; // Total epochs planned
|
||||
map<string, float> metrics = 6; // Training metrics (loss, accuracy, sharpe_ratio, etc.)
|
||||
string message = 7; // Human-readable status message
|
||||
int64 timestamp = 8; // Update timestamp (Unix seconds)
|
||||
FinancialMetrics financial_metrics = 9; // Financial performance metrics
|
||||
ResourceUsage resource_usage = 10; // Current resource utilization
|
||||
}
|
||||
|
||||
message StopTrainingRequest {
|
||||
string job_id = 1;
|
||||
string reason = 2; // Optional reason for stopping
|
||||
}
|
||||
|
||||
message StopTrainingResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
|
||||
message ListAvailableModelsRequest {}
|
||||
|
||||
message ListAvailableModelsResponse {
|
||||
repeated ModelDefinition models = 1;
|
||||
}
|
||||
|
||||
message ListTrainingJobsRequest {
|
||||
uint32 page = 1;
|
||||
uint32 page_size = 2;
|
||||
TrainingStatus status_filter = 3;
|
||||
string model_type_filter = 4;
|
||||
int64 start_time = 5; // Unix timestamp in seconds
|
||||
int64 end_time = 6; // Unix timestamp in seconds
|
||||
}
|
||||
|
||||
message ListTrainingJobsResponse {
|
||||
repeated TrainingJobSummary jobs = 1;
|
||||
uint32 total_count = 2;
|
||||
uint32 page = 3;
|
||||
uint32 page_size = 4;
|
||||
}
|
||||
|
||||
message GetTrainingJobDetailsRequest {
|
||||
string job_id = 1;
|
||||
}
|
||||
|
||||
message GetTrainingJobDetailsResponse {
|
||||
TrainingJobDetails job_details = 1;
|
||||
}
|
||||
|
||||
message HealthCheckRequest {}
|
||||
|
||||
message HealthCheckResponse {
|
||||
bool healthy = 1;
|
||||
string message = 2;
|
||||
map<string, string> details = 3;
|
||||
}
|
||||
|
||||
// Request to start hyperparameter tuning job
|
||||
message StartTuningJobRequest {
|
||||
string model_type = 1; // Model type to tune ("TLOB", "MAMBA_2", "DQN", "PPO", "LIQUID", "TFT")
|
||||
uint32 num_trials = 2; // Number of tuning trials to run
|
||||
string config_path = 3; // Path to tuning configuration file (search space, objectives)
|
||||
DataSource data_source = 4; // Training data source for all trials
|
||||
bool use_gpu = 5; // Whether to use GPU acceleration
|
||||
string description = 6; // Optional job description
|
||||
map<string, string> tags = 7; // Optional categorization tags
|
||||
}
|
||||
|
||||
message StartTuningJobResponse {
|
||||
string job_id = 1; // Unique tuning job identifier
|
||||
TuningJobStatus status = 2; // Initial job status
|
||||
string message = 3; // Human-readable status message
|
||||
}
|
||||
|
||||
// Request to query tuning job status
|
||||
message GetTuningJobStatusRequest {
|
||||
string job_id = 1; // Tuning job identifier
|
||||
}
|
||||
|
||||
message GetTuningJobStatusResponse {
|
||||
string job_id = 1; // Tuning job identifier
|
||||
TuningJobStatus status = 2; // Current job status
|
||||
uint32 current_trial = 3; // Current trial number (0-indexed)
|
||||
uint32 total_trials = 4; // Total number of trials
|
||||
map<string, float> best_params = 5; // Best hyperparameters found so far
|
||||
map<string, float> best_metrics = 6; // Metrics for best parameters (sharpe_ratio, training_loss, etc.)
|
||||
repeated TrialResult trial_history = 7; // Complete trial history
|
||||
string message = 8; // Human-readable status message
|
||||
int64 started_at = 9; // Job start time (Unix timestamp in seconds)
|
||||
int64 updated_at = 10; // Last update time (Unix timestamp in seconds)
|
||||
}
|
||||
|
||||
// Request to stop a tuning job
|
||||
message StopTuningJobRequest {
|
||||
string job_id = 1; // Tuning job identifier
|
||||
string reason = 2; // Optional reason for stopping
|
||||
}
|
||||
|
||||
message StopTuningJobResponse {
|
||||
bool success = 1; // Whether stop was successful
|
||||
string message = 2; // Human-readable status message
|
||||
TuningJobStatus final_status = 3; // Final job status after stopping
|
||||
}
|
||||
|
||||
// INTERNAL: Request to train a model with specific hyperparameters (called by Optuna)
|
||||
message TrainModelRequest {
|
||||
string model_type = 1; // Model type ("TLOB", "MAMBA_2", "DQN", "PPO", "LIQUID", "TFT")
|
||||
map<string, float> hyperparameters = 2; // Hyperparameters to use for this trial
|
||||
DataSource data_source = 3; // Training data source
|
||||
bool use_gpu = 4; // Whether to use GPU acceleration
|
||||
string trial_id = 5; // Optuna trial identifier for tracking
|
||||
}
|
||||
|
||||
message TrainModelResponse {
|
||||
bool success = 1; // Whether training succeeded
|
||||
float sharpe_ratio = 2; // Primary optimization objective (Sharpe ratio)
|
||||
float training_loss = 3; // Final training loss
|
||||
map<string, float> validation_metrics = 4; // Additional validation metrics
|
||||
string error_message = 5; // Error message if training failed
|
||||
int64 training_duration_seconds = 6; // Total training time
|
||||
}
|
||||
|
||||
// Individual trial result for tuning job history
|
||||
message TrialResult {
|
||||
uint32 trial_number = 1; // Trial index
|
||||
map<string, float> params = 2; // Hyperparameters tested
|
||||
float objective_value = 3; // Objective metric (e.g., Sharpe ratio)
|
||||
map<string, float> metrics = 4; // Additional metrics
|
||||
TrialState state = 5; // Trial outcome state
|
||||
int64 started_at = 6; // Trial start time (Unix timestamp in seconds)
|
||||
int64 completed_at = 7; // Trial completion time (Unix timestamp in seconds)
|
||||
}
|
||||
|
||||
// Request to stream tuning progress updates
|
||||
message StreamProgressRequest {
|
||||
string job_id = 1; // Tuning job identifier to subscribe to
|
||||
}
|
||||
|
||||
// Real-time progress update streamed after each trial completes
|
||||
message ProgressUpdate {
|
||||
string job_id = 1; // Tuning job identifier
|
||||
uint32 current_trial = 2; // Current trial number (0-indexed)
|
||||
uint32 total_trials = 3; // Total number of trials
|
||||
map<string, string> trial_params = 4; // Current trial hyperparameters (as strings for display)
|
||||
float trial_sharpe = 5; // Current trial's Sharpe ratio (objective value)
|
||||
float best_sharpe_so_far = 6; // Best Sharpe ratio achieved so far
|
||||
uint32 estimated_time_remaining = 7; // Estimated seconds until completion
|
||||
TuningJobStatus status = 8; // Current job status
|
||||
string message = 9; // Human-readable status message
|
||||
int64 timestamp = 10; // Update timestamp (Unix seconds)
|
||||
UpdateType update_type = 11; // Type of update (trial completion, heartbeat, job complete)
|
||||
}
|
||||
|
||||
// Type of progress update
|
||||
enum UpdateType {
|
||||
UPDATE_UNKNOWN = 0; // Unknown/unspecified
|
||||
UPDATE_TRIAL_COMPLETE = 1; // Trial completed
|
||||
UPDATE_HEARTBEAT = 2; // Keepalive heartbeat (no trial change)
|
||||
UPDATE_JOB_COMPLETE = 3; // Job completed/stopped/failed
|
||||
}
|
||||
|
||||
// --- Enums ---
|
||||
|
||||
// Current status of a training job
|
||||
enum TrainingStatus {
|
||||
UNKNOWN = 0; // Default/unknown status
|
||||
PENDING = 1; // Job queued, waiting to start
|
||||
RUNNING = 2; // Job currently executing
|
||||
COMPLETED = 3; // Job finished successfully
|
||||
FAILED = 4; // Job failed with error
|
||||
STOPPED = 5; // Job manually stopped
|
||||
PAUSED = 6; // Job temporarily paused
|
||||
}
|
||||
|
||||
// Status of a hyperparameter tuning job
|
||||
enum TuningJobStatus {
|
||||
TUNING_UNKNOWN = 0; // Default/unknown status
|
||||
TUNING_PENDING = 1; // Job queued, waiting to start
|
||||
TUNING_RUNNING = 2; // Job currently executing trials
|
||||
TUNING_COMPLETED = 3; // Job finished all trials successfully
|
||||
TUNING_FAILED = 4; // Job failed with error
|
||||
TUNING_STOPPED = 5; // Job manually stopped before completion
|
||||
}
|
||||
|
||||
// Outcome state of an individual trial
|
||||
enum TrialState {
|
||||
TRIAL_UNKNOWN = 0; // Default/unknown state
|
||||
TRIAL_RUNNING = 1; // Trial currently executing
|
||||
TRIAL_COMPLETE = 2; // Trial completed successfully
|
||||
TRIAL_PRUNED = 3; // Trial pruned by Optuna (early stopping)
|
||||
TRIAL_FAILED = 4; // Trial failed with error
|
||||
}
|
||||
|
||||
// --- Data Structures ---
|
||||
|
||||
message DataSource {
|
||||
oneof source {
|
||||
string historical_db_query = 1;
|
||||
string real_time_stream_topic = 2;
|
||||
string file_path = 3;
|
||||
}
|
||||
int64 start_time = 4; // Unix timestamp in seconds
|
||||
int64 end_time = 5; // Unix timestamp in seconds
|
||||
}
|
||||
|
||||
// Provides type-safe hyperparameter configuration.
|
||||
message Hyperparameters {
|
||||
oneof model_params {
|
||||
TlobParams tlob_params = 1;
|
||||
MambaParams mamba_params = 2;
|
||||
DqnParams dqn_params = 3;
|
||||
PpoParams ppo_params = 4;
|
||||
LiquidParams liquid_params = 5;
|
||||
TftParams tft_params = 6;
|
||||
}
|
||||
}
|
||||
|
||||
// TLOB (Time-Limit Order Book) Transformer parameters
|
||||
message TlobParams {
|
||||
uint32 epochs = 1;
|
||||
float learning_rate = 2;
|
||||
uint32 batch_size = 3;
|
||||
uint32 sequence_length = 4;
|
||||
uint32 hidden_dim = 5;
|
||||
uint32 num_heads = 6;
|
||||
uint32 num_layers = 7;
|
||||
float dropout_rate = 8;
|
||||
bool use_positional_encoding = 9;
|
||||
}
|
||||
|
||||
// MAMBA-2 State Space Model parameters
|
||||
message MambaParams {
|
||||
uint32 epochs = 1;
|
||||
float learning_rate = 2;
|
||||
uint32 batch_size = 3;
|
||||
uint32 state_dim = 4;
|
||||
uint32 hidden_dim = 5;
|
||||
uint32 num_layers = 6;
|
||||
float dt_min = 7;
|
||||
float dt_max = 8;
|
||||
bool use_cuda_kernels = 9;
|
||||
}
|
||||
|
||||
// DQN (Deep Q-Network) parameters
|
||||
message DqnParams {
|
||||
uint32 epochs = 1;
|
||||
float learning_rate = 2;
|
||||
uint32 batch_size = 3;
|
||||
uint32 replay_buffer_size = 4;
|
||||
float epsilon_start = 5;
|
||||
float epsilon_end = 6;
|
||||
uint32 epsilon_decay_steps = 7;
|
||||
float gamma = 8;
|
||||
uint32 target_update_frequency = 9;
|
||||
bool use_double_dqn = 10;
|
||||
bool use_dueling = 11;
|
||||
bool use_prioritized_replay = 12;
|
||||
}
|
||||
|
||||
// PPO (Proximal Policy Optimization) parameters
|
||||
message PpoParams {
|
||||
uint32 epochs = 1;
|
||||
float learning_rate = 2;
|
||||
uint32 batch_size = 3;
|
||||
float clip_ratio = 4;
|
||||
float value_loss_coef = 5;
|
||||
float entropy_coef = 6;
|
||||
uint32 rollout_steps = 7;
|
||||
uint32 minibatch_size = 8;
|
||||
float gae_lambda = 9;
|
||||
}
|
||||
|
||||
// Liquid Network parameters
|
||||
message LiquidParams {
|
||||
uint32 epochs = 1;
|
||||
float learning_rate = 2;
|
||||
uint32 batch_size = 3;
|
||||
uint32 num_neurons = 4;
|
||||
float tau = 5;
|
||||
float sigma = 6;
|
||||
bool use_adaptive_tau = 7;
|
||||
}
|
||||
|
||||
// Temporal Fusion Transformer parameters
|
||||
message TftParams {
|
||||
uint32 epochs = 1;
|
||||
float learning_rate = 2;
|
||||
uint32 batch_size = 3;
|
||||
uint32 hidden_dim = 4;
|
||||
uint32 num_heads = 5;
|
||||
uint32 num_layers = 6;
|
||||
uint32 lookback_window = 7;
|
||||
uint32 forecast_horizon = 8;
|
||||
float dropout_rate = 9;
|
||||
}
|
||||
|
||||
message ModelDefinition {
|
||||
string model_type = 1;
|
||||
string description = 2;
|
||||
Hyperparameters default_hyperparameters = 3;
|
||||
repeated string required_features = 4;
|
||||
uint32 estimated_training_time_minutes = 5;
|
||||
bool requires_gpu = 6;
|
||||
}
|
||||
|
||||
message TrainingJobSummary {
|
||||
string job_id = 1;
|
||||
string model_type = 2;
|
||||
TrainingStatus status = 3;
|
||||
int64 created_at = 4; // Unix timestamp in seconds
|
||||
int64 started_at = 5; // Unix timestamp in seconds
|
||||
int64 completed_at = 6; // Unix timestamp in seconds
|
||||
string description = 7;
|
||||
float final_loss = 8;
|
||||
float best_validation_score = 9;
|
||||
map<string, string> tags = 10;
|
||||
}
|
||||
|
||||
message TrainingJobDetails {
|
||||
string job_id = 1;
|
||||
string model_type = 2;
|
||||
TrainingStatus status = 3;
|
||||
int64 created_at = 4; // Unix timestamp in seconds
|
||||
int64 started_at = 5; // Unix timestamp in seconds
|
||||
int64 completed_at = 6; // Unix timestamp in seconds
|
||||
string description = 7;
|
||||
Hyperparameters hyperparameters = 8;
|
||||
DataSource data_source = 9;
|
||||
repeated TrainingStatusUpdate status_history = 10;
|
||||
FinancialMetrics final_financial_metrics = 11;
|
||||
string model_artifact_path = 12;
|
||||
map<string, string> tags = 13;
|
||||
string error_message = 14;
|
||||
}
|
||||
|
||||
message FinancialMetrics {
|
||||
float simulated_return = 1;
|
||||
float sharpe_ratio = 2;
|
||||
float max_drawdown = 3;
|
||||
float hit_rate = 4;
|
||||
float avg_prediction_error_bps = 5;
|
||||
float risk_adjusted_return = 6;
|
||||
float var_5pct = 7;
|
||||
float expected_shortfall = 8;
|
||||
}
|
||||
|
||||
message ResourceUsage {
|
||||
float cpu_usage_percent = 1;
|
||||
float memory_usage_gb = 2;
|
||||
float gpu_usage_percent = 3;
|
||||
float gpu_memory_usage_gb = 4;
|
||||
uint32 active_workers = 5;
|
||||
}
|
||||
|
||||
// --- Batch Tuning Messages ---
|
||||
|
||||
// Request to start batch tuning for multiple models
|
||||
message BatchStartTuningJobsRequest {
|
||||
repeated string model_types = 1; // List of models to tune (DQN, PPO, MAMBA_2, TFT, etc.)
|
||||
uint32 trials_per_model = 2; // Number of trials for each model
|
||||
string config_path = 3; // Path to tuning configuration file
|
||||
DataSource data_source = 4; // Training data source for all models
|
||||
bool use_gpu = 5; // Whether to use GPU acceleration
|
||||
bool auto_export_yaml = 6; // Automatically export best params to YAML (default: true)
|
||||
string yaml_export_path = 7; // Custom YAML export path (default: ml/config/best_hyperparameters.yaml)
|
||||
string description = 8; // Optional batch job description
|
||||
map<string, string> tags = 9; // Optional categorization tags
|
||||
}
|
||||
|
||||
message BatchStartTuningJobsResponse {
|
||||
string batch_id = 1; // Unique batch job identifier
|
||||
repeated string execution_order = 2; // Model execution order (after dependency resolution)
|
||||
string message = 3; // Human-readable status message
|
||||
BatchTuningStatus status = 4; // Initial batch status
|
||||
}
|
||||
|
||||
// Request to get batch tuning job status
|
||||
message GetBatchTuningStatusRequest {
|
||||
string batch_id = 1; // Batch job identifier
|
||||
}
|
||||
|
||||
message GetBatchTuningStatusResponse {
|
||||
string batch_id = 1; // Batch job identifier
|
||||
BatchTuningStatus status = 2; // Current batch status
|
||||
uint32 current_model_index = 3; // Index of currently executing model (0-based)
|
||||
uint32 total_models = 4; // Total number of models in batch
|
||||
repeated ModelTuningResult results = 5; // Results for completed models
|
||||
string current_model = 6; // Currently tuning model type
|
||||
int64 started_at = 7; // Batch start time (Unix timestamp)
|
||||
int64 updated_at = 8; // Last update time (Unix timestamp)
|
||||
int64 estimated_completion_time = 9; // Estimated completion time (Unix timestamp)
|
||||
string yaml_export_path = 10; // Path where YAML will be exported
|
||||
}
|
||||
|
||||
// Individual model tuning result within batch
|
||||
message ModelTuningResult {
|
||||
string model_type = 1; // Model type (DQN, PPO, etc.)
|
||||
string job_id = 2; // Individual tuning job ID
|
||||
TuningJobStatus status = 3; // Model tuning status
|
||||
map<string, float> best_params = 4; // Best hyperparameters found
|
||||
map<string, float> best_metrics = 5; // Best metrics achieved
|
||||
uint32 trials_completed = 6; // Number of trials completed
|
||||
int64 started_at = 7; // Model tuning start time
|
||||
int64 completed_at = 8; // Model tuning completion time
|
||||
string error_message = 9; // Error message if failed
|
||||
}
|
||||
|
||||
// Request to stop batch tuning job
|
||||
message StopBatchTuningJobRequest {
|
||||
string batch_id = 1; // Batch job identifier
|
||||
string reason = 2; // Optional reason for stopping
|
||||
}
|
||||
|
||||
message StopBatchTuningJobResponse {
|
||||
bool success = 1; // Whether stop was successful
|
||||
string message = 2; // Human-readable status message
|
||||
BatchTuningStatus final_status = 3; // Final batch status
|
||||
repeated ModelTuningResult completed_results = 4; // Results for completed models
|
||||
}
|
||||
|
||||
// Batch tuning job status
|
||||
enum BatchTuningStatus {
|
||||
BATCH_UNKNOWN = 0; // Default/unknown status
|
||||
BATCH_PENDING = 1; // Batch queued, waiting to start
|
||||
BATCH_RUNNING = 2; // Batch currently executing models
|
||||
BATCH_COMPLETED = 3; // All models completed successfully
|
||||
BATCH_PARTIALLY_COMPLETED = 4; // Some models succeeded, some failed
|
||||
BATCH_FAILED = 5; // Batch failed (all models failed or critical error)
|
||||
BATCH_STOPPED = 6; // Batch manually stopped
|
||||
}
|
||||
|
||||
// --- Job Completion Callback (from training-uploader sidecar) ---
|
||||
|
||||
message JobCompletionReport {
|
||||
string job_id = 1;
|
||||
string s3_path = 2;
|
||||
bool success = 3;
|
||||
string error_message = 4;
|
||||
map<string, double> metrics = 5;
|
||||
}
|
||||
|
||||
message JobCompletionAck {
|
||||
bool accepted = 1;
|
||||
string promotion_status = 2;
|
||||
}
|
||||
|
||||
// --- Model Promotion ---
|
||||
|
||||
message ListPendingPromotionsRequest {}
|
||||
|
||||
message ListPendingPromotionsResponse {
|
||||
repeated PendingPromotion promotions = 1;
|
||||
}
|
||||
|
||||
message PendingPromotion {
|
||||
string model_id = 1;
|
||||
string model_type = 2;
|
||||
string symbol = 3;
|
||||
string s3_path = 4;
|
||||
map<string, double> new_metrics = 5;
|
||||
map<string, double> current_metrics = 6;
|
||||
int64 trained_at = 7;
|
||||
string job_id = 8;
|
||||
}
|
||||
|
||||
message ApprovePromotionRequest {
|
||||
string model_id = 1;
|
||||
}
|
||||
|
||||
message ApprovePromotionResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
|
||||
message RejectPromotionRequest {
|
||||
string model_id = 1;
|
||||
string reason = 2;
|
||||
}
|
||||
|
||||
message RejectPromotionResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
|
||||
// --- Model Approval / Rejection (dashboard-facing) ---
|
||||
|
||||
message ApproveModelRequest {
|
||||
string model_id = 1;
|
||||
string promoted_to = 2; // e.g. "production", "staging", "canary"
|
||||
}
|
||||
|
||||
message ApproveModelResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
|
||||
message RejectModelRequest {
|
||||
string model_id = 1;
|
||||
string reason = 2;
|
||||
}
|
||||
|
||||
message RejectModelResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
}
|
||||
538
proto/monitoring.proto
Normal file
538
proto/monitoring.proto
Normal file
@@ -0,0 +1,538 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package monitoring;
|
||||
|
||||
// Monitoring Service provides comprehensive system health monitoring, performance metrics collection,
|
||||
// alerting capabilities, and training metrics for the HFT trading system. This service tracks latency,
|
||||
// throughput, resource utilization, service health, and ML training progress across all components
|
||||
// with real-time alerting and streaming.
|
||||
service MonitoringService {
|
||||
// Health and Status Monitoring
|
||||
// Get overall system status and individual service health
|
||||
rpc GetSystemStatus(GetSystemStatusRequest) returns (GetSystemStatusResponse);
|
||||
|
||||
// Stream real-time system status changes
|
||||
rpc StreamSystemStatus(StreamSystemStatusRequest) returns (stream SystemStatusEvent);
|
||||
|
||||
// Perform detailed health checks on services
|
||||
rpc GetHealthCheck(GetHealthCheckRequest) returns (GetHealthCheckResponse);
|
||||
|
||||
// Performance Metrics Collection
|
||||
// Get system and application metrics
|
||||
rpc GetMetrics(GetMetricsRequest) returns (GetMetricsResponse);
|
||||
|
||||
// Stream real-time performance metrics
|
||||
rpc StreamMetrics(StreamMetricsRequest) returns (stream MetricsEvent);
|
||||
|
||||
// Get detailed latency performance metrics
|
||||
rpc GetLatencyMetrics(GetLatencyMetricsRequest) returns (GetLatencyMetricsResponse);
|
||||
|
||||
// Get throughput and capacity metrics
|
||||
rpc GetThroughputMetrics(GetThroughputMetricsRequest) returns (GetThroughputMetricsResponse);
|
||||
|
||||
// Alerting and Notification System
|
||||
// Stream real-time system alerts and notifications
|
||||
rpc StreamAlerts(StreamAlertsRequest) returns (stream AlertEvent);
|
||||
|
||||
// Acknowledge an active alert
|
||||
rpc AcknowledgeAlert(AcknowledgeAlertRequest) returns (AcknowledgeAlertResponse);
|
||||
|
||||
// Get all currently active alerts
|
||||
rpc GetActiveAlerts(GetActiveAlertsRequest) returns (GetActiveAlertsResponse);
|
||||
|
||||
// Training Metrics (from monitoring_service)
|
||||
// Single snapshot of all active training sessions
|
||||
rpc GetLiveTrainingMetrics(GetLiveTrainingMetricsRequest)
|
||||
returns (GetLiveTrainingMetricsResponse);
|
||||
|
||||
// Server-streaming: pushes updates every N seconds
|
||||
rpc StreamTrainingMetrics(StreamTrainingMetricsRequest)
|
||||
returns (stream GetLiveTrainingMetricsResponse);
|
||||
|
||||
// Epoch history for a specific session (ring buffer, max 50 epochs)
|
||||
rpc GetEpochHistory(GetEpochHistoryRequest)
|
||||
returns (GetEpochHistoryResponse);
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Health and Status Messages
|
||||
// ============================================================================
|
||||
|
||||
message GetSystemStatusRequest {
|
||||
repeated string service_names = 1;
|
||||
}
|
||||
|
||||
message GetSystemStatusResponse {
|
||||
SystemStatus overall_status = 1;
|
||||
repeated ServiceStatus service_statuses = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
message StreamSystemStatusRequest {
|
||||
repeated string service_names = 1;
|
||||
optional int32 update_frequency_seconds = 2;
|
||||
}
|
||||
|
||||
message GetHealthCheckRequest {
|
||||
optional string service_name = 1;
|
||||
}
|
||||
|
||||
message GetHealthCheckResponse {
|
||||
HealthStatus health_status = 1;
|
||||
repeated HealthCheck health_checks = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Performance Metrics Messages
|
||||
// ============================================================================
|
||||
|
||||
message GetMetricsRequest {
|
||||
repeated string metric_names = 1;
|
||||
optional int64 start_time = 2;
|
||||
optional int64 end_time = 3;
|
||||
optional MetricAggregation aggregation = 4;
|
||||
}
|
||||
|
||||
message GetMetricsResponse {
|
||||
repeated Metric metrics = 1;
|
||||
int64 timestamp = 2;
|
||||
}
|
||||
|
||||
message StreamMetricsRequest {
|
||||
repeated string metric_names = 1;
|
||||
optional int32 update_frequency_seconds = 2;
|
||||
}
|
||||
|
||||
message GetLatencyMetricsRequest {
|
||||
optional string service_name = 1;
|
||||
optional string operation_name = 2;
|
||||
optional int64 start_time = 3;
|
||||
optional int64 end_time = 4;
|
||||
}
|
||||
|
||||
message GetLatencyMetricsResponse {
|
||||
repeated LatencyMetric latency_metrics = 1;
|
||||
}
|
||||
|
||||
message GetThroughputMetricsRequest {
|
||||
optional string service_name = 1;
|
||||
optional string operation_name = 2;
|
||||
optional int64 start_time = 3;
|
||||
optional int64 end_time = 4;
|
||||
}
|
||||
|
||||
message GetThroughputMetricsResponse {
|
||||
repeated ThroughputMetric throughput_metrics = 1;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Alert Messages
|
||||
// ============================================================================
|
||||
|
||||
message StreamAlertsRequest {
|
||||
optional AlertSeverity min_severity = 1;
|
||||
repeated string service_names = 2;
|
||||
repeated AlertType alert_types = 3;
|
||||
}
|
||||
|
||||
message AcknowledgeAlertRequest {
|
||||
string alert_id = 1;
|
||||
string acknowledged_by = 2;
|
||||
optional string note = 3;
|
||||
}
|
||||
|
||||
message AcknowledgeAlertResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
message GetActiveAlertsRequest {
|
||||
optional AlertSeverity min_severity = 1;
|
||||
repeated string service_names = 2;
|
||||
}
|
||||
|
||||
message GetActiveAlertsResponse {
|
||||
repeated Alert active_alerts = 1;
|
||||
int32 total_count = 2;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Core Data Types (System Health)
|
||||
// ============================================================================
|
||||
|
||||
message ServiceStatus {
|
||||
string service_name = 1;
|
||||
ServiceHealth health = 2;
|
||||
ServiceState state = 3;
|
||||
optional string version = 4;
|
||||
optional string error_message = 5;
|
||||
int64 uptime_seconds = 6;
|
||||
int64 last_health_check = 7;
|
||||
map<string, string> metadata = 8;
|
||||
repeated Dependency dependencies = 9;
|
||||
}
|
||||
|
||||
message SystemStatus {
|
||||
SystemHealth overall_health = 1;
|
||||
int32 healthy_services = 2;
|
||||
int32 total_services = 3;
|
||||
repeated string critical_issues = 4;
|
||||
int64 system_uptime_seconds = 5;
|
||||
SystemMetrics system_metrics = 6;
|
||||
}
|
||||
|
||||
message HealthCheck {
|
||||
string check_name = 1;
|
||||
HealthStatus status = 2;
|
||||
optional string message = 3;
|
||||
optional double response_time_ms = 4;
|
||||
int64 last_checked = 5;
|
||||
map<string, string> details = 6;
|
||||
}
|
||||
|
||||
message Dependency {
|
||||
string name = 1;
|
||||
DependencyType dependency_type = 2;
|
||||
HealthStatus status = 3;
|
||||
optional string endpoint = 4;
|
||||
optional double response_time_ms = 5;
|
||||
int64 last_checked = 6;
|
||||
}
|
||||
|
||||
message SystemMetrics {
|
||||
double cpu_usage_percent = 1;
|
||||
double memory_usage_percent = 2;
|
||||
double disk_usage_percent = 3;
|
||||
double network_io_mbps = 4;
|
||||
int32 active_connections = 5;
|
||||
int32 total_requests = 6;
|
||||
double avg_response_time_ms = 7;
|
||||
double error_rate_percent = 8;
|
||||
}
|
||||
|
||||
message Metric {
|
||||
string name = 1;
|
||||
MetricType metric_type = 2;
|
||||
double value = 3;
|
||||
string unit = 4;
|
||||
map<string, string> labels = 5;
|
||||
int64 timestamp = 6;
|
||||
optional MetricStatistics statistics = 7;
|
||||
}
|
||||
|
||||
message MetricStatistics {
|
||||
double min = 1;
|
||||
double max = 2;
|
||||
double avg = 3;
|
||||
double percentile_95 = 4;
|
||||
double percentile_99 = 5;
|
||||
double std_dev = 6;
|
||||
int32 sample_count = 7;
|
||||
}
|
||||
|
||||
message LatencyMetric {
|
||||
string service_name = 1;
|
||||
string operation_name = 2;
|
||||
double avg_latency_ms = 3;
|
||||
double p50_latency_ms = 4;
|
||||
double p95_latency_ms = 5;
|
||||
double p99_latency_ms = 6;
|
||||
double max_latency_ms = 7;
|
||||
int32 request_count = 8;
|
||||
int64 time_window_start = 9;
|
||||
int64 time_window_end = 10;
|
||||
}
|
||||
|
||||
message ThroughputMetric {
|
||||
string service_name = 1;
|
||||
string operation_name = 2;
|
||||
double requests_per_second = 3;
|
||||
double bytes_per_second = 4;
|
||||
int32 total_requests = 5;
|
||||
int64 total_bytes = 6;
|
||||
int64 time_window_start = 7;
|
||||
int64 time_window_end = 8;
|
||||
}
|
||||
|
||||
message Alert {
|
||||
string alert_id = 1;
|
||||
AlertType alert_type = 2;
|
||||
AlertSeverity severity = 3;
|
||||
string title = 4;
|
||||
string description = 5;
|
||||
string service_name = 6;
|
||||
map<string, string> labels = 7;
|
||||
int64 triggered_at = 8;
|
||||
optional int64 acknowledged_at = 9;
|
||||
optional string acknowledged_by = 10;
|
||||
optional int64 resolved_at = 11;
|
||||
AlertStatus status = 12;
|
||||
optional string resolution_note = 13;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Event Messages (System Health)
|
||||
// ============================================================================
|
||||
|
||||
message SystemStatusEvent {
|
||||
SystemStatus system_status = 1;
|
||||
SystemStatusChangeType change_type = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
message MetricsEvent {
|
||||
repeated Metric metrics = 1;
|
||||
int64 timestamp = 2;
|
||||
}
|
||||
|
||||
message AlertEvent {
|
||||
Alert alert = 1;
|
||||
AlertEventType event_type = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Training Metrics Messages (from monitoring_service)
|
||||
// ============================================================================
|
||||
|
||||
message GetLiveTrainingMetricsRequest {
|
||||
string model_filter = 1; // optional: "dqn", "ppo", etc.
|
||||
}
|
||||
|
||||
message StreamTrainingMetricsRequest {
|
||||
string model_filter = 1;
|
||||
uint32 interval_seconds = 2; // 0 = server default (3s)
|
||||
}
|
||||
|
||||
message GetLiveTrainingMetricsResponse {
|
||||
repeated TrainingSession sessions = 1;
|
||||
GpuSnapshot gpu = 2;
|
||||
uint32 active_k8s_jobs = 3;
|
||||
int64 timestamp = 4;
|
||||
float cpu_percent = 5;
|
||||
float memory_used_mb = 6;
|
||||
float memory_total_mb = 7;
|
||||
}
|
||||
|
||||
message TrainingSession {
|
||||
string model = 1;
|
||||
string fold = 2;
|
||||
bool is_hyperopt = 3;
|
||||
|
||||
// Epoch/progress
|
||||
float current_epoch = 4;
|
||||
float epoch_loss = 5;
|
||||
float validation_loss = 6;
|
||||
|
||||
// Throughput
|
||||
float batches_per_second = 7;
|
||||
float batches_processed = 8;
|
||||
float iteration_seconds = 9;
|
||||
|
||||
// Eval metrics
|
||||
float eval_accuracy = 10;
|
||||
float eval_precision = 11;
|
||||
float eval_recall = 12;
|
||||
float eval_f1 = 13;
|
||||
|
||||
// Checkpoint
|
||||
float checkpoint_size_bytes = 14;
|
||||
uint32 checkpoint_saves = 15;
|
||||
uint32 checkpoint_failures = 16;
|
||||
|
||||
// Health counters
|
||||
uint32 nan_detected = 17;
|
||||
uint32 gradient_explosions = 18;
|
||||
uint32 feature_errors = 19;
|
||||
|
||||
// Hyperopt fields (populated when is_hyperopt=true)
|
||||
uint32 hyperopt_trial_current = 20;
|
||||
uint32 hyperopt_trial_total = 21;
|
||||
float hyperopt_best_objective = 22;
|
||||
uint32 hyperopt_trials_failed = 23;
|
||||
|
||||
// RL diagnostics
|
||||
float q_value_mean = 24;
|
||||
float q_value_max = 25;
|
||||
float policy_entropy = 26;
|
||||
float kl_divergence = 27;
|
||||
float advantage_mean = 28;
|
||||
uint32 replay_buffer_size = 29;
|
||||
|
||||
// Gradient & training health
|
||||
float gradient_norm = 30;
|
||||
float learning_rate = 31;
|
||||
float epoch_duration_seconds = 32;
|
||||
|
||||
// Hyperopt intra-trial
|
||||
uint32 hyperopt_trial_epoch = 33;
|
||||
float hyperopt_trial_best_loss = 34;
|
||||
float hyperopt_elapsed_seconds = 35;
|
||||
|
||||
// Epoch-level financial metrics
|
||||
float epoch_sharpe = 36;
|
||||
float epoch_sortino = 37;
|
||||
float epoch_win_rate = 38;
|
||||
float epoch_max_drawdown = 39;
|
||||
float epoch_profit_factor = 40;
|
||||
float epoch_total_return = 41;
|
||||
float epoch_avg_return = 42;
|
||||
uint32 epoch_total_trades = 43;
|
||||
// Action distribution
|
||||
float action_buy_pct = 44;
|
||||
float action_sell_pct = 45;
|
||||
float action_hold_pct = 46;
|
||||
}
|
||||
|
||||
message GpuSnapshot {
|
||||
float utilization_percent = 1;
|
||||
float memory_used_mb = 2;
|
||||
float memory_total_mb = 3;
|
||||
float temperature_celsius = 4;
|
||||
float power_watts = 5;
|
||||
}
|
||||
|
||||
message GetEpochHistoryRequest {
|
||||
string model = 1;
|
||||
string fold = 2;
|
||||
uint32 max_epochs = 3; // 0 = all (up to 50)
|
||||
}
|
||||
|
||||
message EpochFinancialSnapshot {
|
||||
uint32 epoch = 1;
|
||||
float sharpe = 2;
|
||||
float sortino = 3;
|
||||
float win_rate = 4;
|
||||
float max_drawdown = 5;
|
||||
float profit_factor = 6;
|
||||
float total_return = 7;
|
||||
float avg_return = 8;
|
||||
uint32 total_trades = 9;
|
||||
float loss = 10;
|
||||
float val_loss = 11;
|
||||
float learning_rate = 12;
|
||||
float action_buy_pct = 13;
|
||||
float action_sell_pct = 14;
|
||||
float action_hold_pct = 15;
|
||||
}
|
||||
|
||||
message GetEpochHistoryResponse {
|
||||
string model = 1;
|
||||
string fold = 2;
|
||||
repeated EpochFinancialSnapshot epochs = 3;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Enums
|
||||
// ============================================================================
|
||||
|
||||
// Health status levels for services
|
||||
enum ServiceHealth {
|
||||
SERVICE_HEALTH_UNSPECIFIED = 0; // Default/unknown health
|
||||
SERVICE_HEALTH_HEALTHY = 1; // Service operating normally
|
||||
SERVICE_HEALTH_DEGRADED = 2; // Service performance degraded
|
||||
SERVICE_HEALTH_UNHEALTHY = 3; // Service not functioning properly
|
||||
SERVICE_HEALTH_CRITICAL = 4; // Service in critical failure state
|
||||
}
|
||||
|
||||
// Operational states of services
|
||||
enum ServiceState {
|
||||
SERVICE_STATE_UNSPECIFIED = 0; // Default/unknown state
|
||||
SERVICE_STATE_STARTING = 1; // Service is starting up
|
||||
SERVICE_STATE_RUNNING = 2; // Service is running normally
|
||||
SERVICE_STATE_STOPPING = 3; // Service is shutting down
|
||||
SERVICE_STATE_STOPPED = 4; // Service is stopped
|
||||
SERVICE_STATE_ERROR = 5; // Service encountered an error
|
||||
}
|
||||
|
||||
enum SystemHealth {
|
||||
SYSTEM_HEALTH_UNSPECIFIED = 0;
|
||||
SYSTEM_HEALTH_HEALTHY = 1;
|
||||
SYSTEM_HEALTH_DEGRADED = 2;
|
||||
SYSTEM_HEALTH_UNHEALTHY = 3;
|
||||
SYSTEM_HEALTH_CRITICAL = 4;
|
||||
}
|
||||
|
||||
enum HealthStatus {
|
||||
HEALTH_STATUS_UNSPECIFIED = 0;
|
||||
HEALTH_STATUS_HEALTHY = 1;
|
||||
HEALTH_STATUS_DEGRADED = 2;
|
||||
HEALTH_STATUS_UNHEALTHY = 3;
|
||||
HEALTH_STATUS_CRITICAL = 4;
|
||||
}
|
||||
|
||||
enum DependencyType {
|
||||
DEPENDENCY_TYPE_UNSPECIFIED = 0;
|
||||
DEPENDENCY_TYPE_DATABASE = 1;
|
||||
DEPENDENCY_TYPE_MESSAGE_QUEUE = 2;
|
||||
DEPENDENCY_TYPE_CACHE = 3;
|
||||
DEPENDENCY_TYPE_EXTERNAL_API = 4;
|
||||
DEPENDENCY_TYPE_FILE_SYSTEM = 5;
|
||||
DEPENDENCY_TYPE_NETWORK = 6;
|
||||
}
|
||||
|
||||
enum MetricType {
|
||||
METRIC_TYPE_UNSPECIFIED = 0;
|
||||
METRIC_TYPE_COUNTER = 1;
|
||||
METRIC_TYPE_GAUGE = 2;
|
||||
METRIC_TYPE_HISTOGRAM = 3;
|
||||
METRIC_TYPE_TIMER = 4;
|
||||
}
|
||||
|
||||
enum MetricAggregation {
|
||||
METRIC_AGGREGATION_UNSPECIFIED = 0;
|
||||
METRIC_AGGREGATION_SUM = 1;
|
||||
METRIC_AGGREGATION_AVG = 2;
|
||||
METRIC_AGGREGATION_MIN = 3;
|
||||
METRIC_AGGREGATION_MAX = 4;
|
||||
METRIC_AGGREGATION_COUNT = 5;
|
||||
}
|
||||
|
||||
enum AlertType {
|
||||
ALERT_TYPE_UNSPECIFIED = 0;
|
||||
ALERT_TYPE_HEALTH_CHECK = 1;
|
||||
ALERT_TYPE_PERFORMANCE = 2;
|
||||
ALERT_TYPE_ERROR_RATE = 3;
|
||||
ALERT_TYPE_LATENCY = 4;
|
||||
ALERT_TYPE_THROUGHPUT = 5;
|
||||
ALERT_TYPE_RESOURCE_USAGE = 6;
|
||||
ALERT_TYPE_DEPENDENCY = 7;
|
||||
ALERT_TYPE_SECURITY = 8;
|
||||
}
|
||||
|
||||
// Alert severity levels
|
||||
enum AlertSeverity {
|
||||
ALERT_SEVERITY_UNSPECIFIED = 0; // Default/unknown severity
|
||||
ALERT_SEVERITY_INFO = 1; // Informational alert
|
||||
ALERT_SEVERITY_WARNING = 2; // Warning requiring attention
|
||||
ALERT_SEVERITY_CRITICAL = 3; // Critical issue requiring immediate action
|
||||
ALERT_SEVERITY_EMERGENCY = 4; // Emergency requiring immediate response
|
||||
}
|
||||
|
||||
// Current status of alerts
|
||||
enum AlertStatus {
|
||||
ALERT_STATUS_UNSPECIFIED = 0; // Default/unknown status
|
||||
ALERT_STATUS_ACTIVE = 1; // Alert is currently active
|
||||
ALERT_STATUS_ACKNOWLEDGED = 2; // Alert has been acknowledged
|
||||
ALERT_STATUS_RESOLVED = 3; // Alert has been resolved
|
||||
ALERT_STATUS_SUPPRESSED = 4; // Alert is temporarily suppressed
|
||||
}
|
||||
|
||||
enum SystemStatusChangeType {
|
||||
SYSTEM_STATUS_CHANGE_TYPE_UNSPECIFIED = 0;
|
||||
SYSTEM_STATUS_CHANGE_TYPE_HEALTH_IMPROVED = 1;
|
||||
SYSTEM_STATUS_CHANGE_TYPE_HEALTH_DEGRADED = 2;
|
||||
SYSTEM_STATUS_CHANGE_TYPE_SERVICE_STARTED = 3;
|
||||
SYSTEM_STATUS_CHANGE_TYPE_SERVICE_STOPPED = 4;
|
||||
SYSTEM_STATUS_CHANGE_TYPE_SERVICE_ERROR = 5;
|
||||
}
|
||||
|
||||
enum AlertEventType {
|
||||
ALERT_EVENT_TYPE_UNSPECIFIED = 0;
|
||||
ALERT_EVENT_TYPE_TRIGGERED = 1;
|
||||
ALERT_EVENT_TYPE_ACKNOWLEDGED = 2;
|
||||
ALERT_EVENT_TYPE_RESOLVED = 3;
|
||||
ALERT_EVENT_TYPE_ESCALATED = 4;
|
||||
}
|
||||
301
proto/risk.proto
Normal file
301
proto/risk.proto
Normal file
@@ -0,0 +1,301 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package risk;
|
||||
|
||||
// Risk Management Service provides comprehensive risk assessment, monitoring, and control capabilities
|
||||
// for high-frequency trading operations. This service integrates real-time VaR calculations,
|
||||
// position risk analysis, compliance monitoring, and emergency controls.
|
||||
service RiskService {
|
||||
// Value at Risk (VaR) Calculations
|
||||
// Calculate current portfolio VaR using specified method and parameters
|
||||
rpc GetVaR(GetVaRRequest) returns (GetVaRResponse);
|
||||
|
||||
// Stream real-time VaR updates as market conditions change
|
||||
rpc StreamVaRUpdates(StreamVaRRequest) returns (stream VaREvent);
|
||||
|
||||
// Position Risk Analysis
|
||||
// Get comprehensive risk analysis for current positions
|
||||
rpc GetPositionRisk(GetPositionRiskRequest) returns (GetPositionRiskResponse);
|
||||
|
||||
// Validate order against risk limits before execution
|
||||
rpc ValidateOrder(ValidateOrderRequest) returns (ValidateOrderResponse);
|
||||
|
||||
// Risk Metrics and Monitoring
|
||||
// Get comprehensive portfolio risk metrics and statistics
|
||||
rpc GetRiskMetrics(GetRiskMetricsRequest) returns (GetRiskMetricsResponse);
|
||||
|
||||
// Stream real-time risk alerts and violations
|
||||
rpc StreamRiskAlerts(StreamRiskAlertsRequest) returns (stream RiskAlertEvent);
|
||||
|
||||
// Emergency Controls and Circuit Breakers
|
||||
// Trigger emergency stop to halt trading activities
|
||||
rpc EmergencyStop(EmergencyStopRequest) returns (EmergencyStopResponse);
|
||||
|
||||
// Get status of all circuit breakers and safety mechanisms
|
||||
rpc GetCircuitBreakerStatus(GetCircuitBreakerStatusRequest) returns (GetCircuitBreakerStatusResponse);
|
||||
}
|
||||
|
||||
// VaR (Value at Risk) Messages
|
||||
|
||||
// Request to calculate portfolio VaR
|
||||
message GetVaRRequest {
|
||||
repeated string symbols = 1; // Symbols to include in VaR calculation (empty = all positions)
|
||||
double confidence_level = 2; // Confidence level (e.g., 0.95 for 95% VaR)
|
||||
int32 lookback_days = 3; // Historical data period for calculation
|
||||
VaRMethod method = 4; // VaR calculation method (historical, parametric, Monte Carlo)
|
||||
}
|
||||
|
||||
// Response containing VaR calculation results
|
||||
message GetVaRResponse {
|
||||
double portfolio_var = 1; // Total portfolio VaR value
|
||||
repeated SymbolVaR symbol_vars = 2; // Individual symbol VaR contributions
|
||||
double confidence_level = 3; // Confidence level used in calculation
|
||||
int32 lookback_days = 4; // Historical period used
|
||||
VaRMethod method = 5; // Calculation method used
|
||||
int64 calculated_at = 6; // Calculation timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Request to stream real-time VaR updates
|
||||
message StreamVaRRequest {
|
||||
double confidence_level = 1; // Confidence level for VaR calculation
|
||||
int32 update_frequency_seconds = 2; // How often to send updates
|
||||
}
|
||||
|
||||
// VaR contribution for a specific symbol
|
||||
message SymbolVaR {
|
||||
string symbol = 1; // Trading symbol
|
||||
double var_value = 2; // VaR value for this symbol
|
||||
double position_size = 3; // Current position size
|
||||
double contribution_pct = 4; // Percentage contribution to total portfolio VaR
|
||||
}
|
||||
|
||||
// Position Risk Analysis Messages
|
||||
|
||||
// Request for position risk analysis
|
||||
message GetPositionRiskRequest {
|
||||
optional string symbol = 1; // Filter by symbol (all symbols if not specified)
|
||||
optional string account_id = 2; // Filter by account (all accounts if not specified)
|
||||
}
|
||||
|
||||
// Response containing position risk analysis
|
||||
message GetPositionRiskResponse {
|
||||
repeated PositionRisk position_risks = 1; // Risk analysis for each position
|
||||
double portfolio_risk_score = 2; // Overall portfolio risk score (0-100)
|
||||
}
|
||||
|
||||
// Request to validate order against risk limits
|
||||
message ValidateOrderRequest {
|
||||
string symbol = 1; // Trading symbol
|
||||
double quantity = 2; // Order quantity
|
||||
double price = 3; // Order price
|
||||
string side = 4; // Buy or sell
|
||||
string account_id = 5; // Trading account
|
||||
}
|
||||
|
||||
// Response containing order validation results
|
||||
message ValidateOrderResponse {
|
||||
bool is_valid = 1; // True if order passes all risk checks
|
||||
repeated RiskViolation violations = 2; // List of risk violations (if any)
|
||||
RiskScore risk_score = 3; // Risk assessment for this order
|
||||
string message = 4; // Human-readable validation message
|
||||
}
|
||||
|
||||
// Risk Metrics and Monitoring Messages
|
||||
|
||||
// Request for comprehensive risk metrics
|
||||
message GetRiskMetricsRequest {
|
||||
optional string portfolio_id = 1; // Portfolio identifier (default portfolio if not specified)
|
||||
}
|
||||
|
||||
// Response containing comprehensive risk metrics
|
||||
message GetRiskMetricsResponse {
|
||||
RiskMetrics metrics = 1; // Complete risk metrics and statistics
|
||||
int64 calculated_at = 2; // Metrics calculation timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Request to stream real-time risk alerts
|
||||
message StreamRiskAlertsRequest {
|
||||
RiskAlertSeverity min_severity = 1; // Minimum alert severity to receive
|
||||
repeated RiskAlertType alert_types = 2; // Types of alerts to receive (empty = all types)
|
||||
}
|
||||
|
||||
// Emergency Control Messages
|
||||
|
||||
// Request to trigger emergency stop
|
||||
message EmergencyStopRequest {
|
||||
EmergencyStopType stop_type = 1; // Type of emergency stop (all trading, symbol, account, etc.)
|
||||
string reason = 2; // Reason for emergency stop
|
||||
optional string symbol = 3; // Symbol to stop (for symbol-specific stops)
|
||||
optional string account_id = 4; // Account to stop (for account-specific stops)
|
||||
}
|
||||
|
||||
// Response after emergency stop execution
|
||||
message EmergencyStopResponse {
|
||||
bool success = 1; // True if emergency stop was successful
|
||||
string message = 2; // Status message or error description
|
||||
int64 timestamp = 3; // Emergency stop timestamp (nanoseconds)
|
||||
repeated string affected_orders = 4; // List of order IDs affected by the stop
|
||||
}
|
||||
|
||||
// Request for circuit breaker status
|
||||
message GetCircuitBreakerStatusRequest {
|
||||
optional string symbol = 1; // Filter by symbol (all symbols if not specified)
|
||||
}
|
||||
|
||||
// Response containing circuit breaker status
|
||||
message GetCircuitBreakerStatusResponse {
|
||||
repeated CircuitBreakerStatus circuit_breakers = 1; // Status of all circuit breakers
|
||||
}
|
||||
|
||||
// Core Risk Data Types
|
||||
|
||||
// Risk analysis for a specific position
|
||||
message PositionRisk {
|
||||
string symbol = 1; // Trading symbol
|
||||
double position_size = 2; // Current position size
|
||||
double market_value = 3; // Market value of position
|
||||
double var_contribution = 4; // Contribution to portfolio VaR
|
||||
double concentration_risk = 5; // Position concentration risk (0-100)
|
||||
double liquidity_risk = 6; // Liquidity risk score (0-100)
|
||||
RiskScore overall_score = 7; // Overall risk assessment
|
||||
repeated RiskMetric metrics = 8; // Additional risk metrics
|
||||
}
|
||||
|
||||
message RiskViolation {
|
||||
RiskViolationType violation_type = 1;
|
||||
string description = 2;
|
||||
double current_value = 3;
|
||||
double limit_value = 4;
|
||||
RiskAlertSeverity severity = 5;
|
||||
}
|
||||
|
||||
message RiskScore {
|
||||
double overall_score = 1;
|
||||
double concentration_score = 2;
|
||||
double liquidity_score = 3;
|
||||
double volatility_score = 4;
|
||||
double correlation_score = 5;
|
||||
RiskLevel risk_level = 6;
|
||||
}
|
||||
|
||||
message RiskMetrics {
|
||||
double portfolio_var_1d = 1;
|
||||
double portfolio_var_5d = 2;
|
||||
double portfolio_var_30d = 3;
|
||||
double max_drawdown = 4;
|
||||
double current_drawdown = 5;
|
||||
double sharpe_ratio = 6;
|
||||
double sortino_ratio = 7;
|
||||
double beta = 8;
|
||||
double alpha = 9;
|
||||
double volatility = 10;
|
||||
repeated PositionRisk position_risks = 11;
|
||||
}
|
||||
|
||||
message RiskMetric {
|
||||
string name = 1;
|
||||
double value = 2;
|
||||
string unit = 3;
|
||||
RiskLevel risk_level = 4;
|
||||
}
|
||||
|
||||
message CircuitBreakerStatus {
|
||||
string name = 1;
|
||||
bool is_triggered = 2;
|
||||
optional string trigger_reason = 3;
|
||||
optional int64 triggered_at = 4;
|
||||
optional int64 reset_at = 5;
|
||||
CircuitBreakerType breaker_type = 6;
|
||||
}
|
||||
|
||||
// Event Messages
|
||||
message VaREvent {
|
||||
double portfolio_var = 1;
|
||||
repeated SymbolVaR symbol_vars = 2;
|
||||
VaRChangeType change_type = 3;
|
||||
int64 timestamp = 4;
|
||||
}
|
||||
|
||||
message RiskAlertEvent {
|
||||
string alert_id = 1;
|
||||
RiskAlertType alert_type = 2;
|
||||
RiskAlertSeverity severity = 3;
|
||||
string message = 4;
|
||||
optional string symbol = 5;
|
||||
optional string account_id = 6;
|
||||
map<string, string> metadata = 7;
|
||||
int64 timestamp = 8;
|
||||
}
|
||||
|
||||
// Enums
|
||||
|
||||
// VaR calculation methodology
|
||||
enum VaRMethod {
|
||||
VAR_METHOD_UNSPECIFIED = 0; // Default/unknown method
|
||||
VAR_METHOD_HISTORICAL = 1; // Historical simulation method
|
||||
VAR_METHOD_PARAMETRIC = 2; // Parametric (variance-covariance) method
|
||||
VAR_METHOD_MONTE_CARLO = 3; // Monte Carlo simulation method
|
||||
}
|
||||
|
||||
enum RiskViolationType {
|
||||
RISK_VIOLATION_TYPE_UNSPECIFIED = 0;
|
||||
RISK_VIOLATION_TYPE_POSITION_LIMIT = 1;
|
||||
RISK_VIOLATION_TYPE_CONCENTRATION = 2;
|
||||
RISK_VIOLATION_TYPE_VAR_LIMIT = 3;
|
||||
RISK_VIOLATION_TYPE_DRAWDOWN = 4;
|
||||
RISK_VIOLATION_TYPE_LIQUIDITY = 5;
|
||||
RISK_VIOLATION_TYPE_CORRELATION = 6;
|
||||
}
|
||||
|
||||
// Risk assessment levels
|
||||
enum RiskLevel {
|
||||
RISK_LEVEL_UNSPECIFIED = 0; // Default/unknown level
|
||||
RISK_LEVEL_LOW = 1; // Low risk (green)
|
||||
RISK_LEVEL_MEDIUM = 2; // Medium risk (yellow)
|
||||
RISK_LEVEL_HIGH = 3; // High risk (orange)
|
||||
RISK_LEVEL_CRITICAL = 4; // Critical risk (red)
|
||||
}
|
||||
|
||||
// Severity levels for risk alerts
|
||||
enum RiskAlertSeverity {
|
||||
RISK_ALERT_SEVERITY_UNSPECIFIED = 0; // Default/unknown severity
|
||||
RISK_ALERT_SEVERITY_INFO = 1; // Informational alert
|
||||
RISK_ALERT_SEVERITY_WARNING = 2; // Warning alert
|
||||
RISK_ALERT_SEVERITY_CRITICAL = 3; // Critical alert requiring attention
|
||||
RISK_ALERT_SEVERITY_EMERGENCY = 4; // Emergency alert requiring immediate action
|
||||
}
|
||||
|
||||
// Types of risk alerts
|
||||
enum RiskAlertType {
|
||||
RISK_ALERT_TYPE_UNSPECIFIED = 0; // Default/unknown type
|
||||
RISK_ALERT_TYPE_VAR_BREACH = 1; // VaR limit breach
|
||||
RISK_ALERT_TYPE_POSITION_LIMIT = 2; // Position size limit breach
|
||||
RISK_ALERT_TYPE_DRAWDOWN = 3; // Drawdown limit breach
|
||||
RISK_ALERT_TYPE_CONCENTRATION = 4; // Portfolio concentration risk
|
||||
RISK_ALERT_TYPE_LIQUIDITY = 5; // Liquidity risk alert
|
||||
RISK_ALERT_TYPE_CORRELATION = 6; // Correlation risk alert
|
||||
}
|
||||
|
||||
// Types of emergency stops
|
||||
enum EmergencyStopType {
|
||||
EMERGENCY_STOP_TYPE_UNSPECIFIED = 0; // Default/unknown type
|
||||
EMERGENCY_STOP_TYPE_ALL_TRADING = 1; // Stop all trading activity
|
||||
EMERGENCY_STOP_TYPE_SYMBOL = 2; // Stop trading for specific symbol
|
||||
EMERGENCY_STOP_TYPE_ACCOUNT = 3; // Stop trading for specific account
|
||||
EMERGENCY_STOP_TYPE_STRATEGY = 4; // Stop specific trading strategy
|
||||
}
|
||||
|
||||
enum CircuitBreakerType {
|
||||
CIRCUIT_BREAKER_TYPE_UNSPECIFIED = 0;
|
||||
CIRCUIT_BREAKER_TYPE_PORTFOLIO_LOSS = 1;
|
||||
CIRCUIT_BREAKER_TYPE_SYMBOL_VOLATILITY = 2;
|
||||
CIRCUIT_BREAKER_TYPE_POSITION_SIZE = 3;
|
||||
CIRCUIT_BREAKER_TYPE_DRAWDOWN = 4;
|
||||
}
|
||||
|
||||
enum VaRChangeType {
|
||||
VAR_CHANGE_TYPE_UNSPECIFIED = 0;
|
||||
VAR_CHANGE_TYPE_INCREASED = 1;
|
||||
VAR_CHANGE_TYPE_DECREASED = 2;
|
||||
VAR_CHANGE_TYPE_BREACH = 3;
|
||||
}
|
||||
481
proto/trading.proto
Normal file
481
proto/trading.proto
Normal file
@@ -0,0 +1,481 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package trading;
|
||||
|
||||
// Trading Service provides comprehensive real-time trading operations for high-frequency trading.
|
||||
// This service handles order management, position tracking, market data streaming, and execution monitoring.
|
||||
// All operations are designed for ultra-low latency with microsecond precision timing.
|
||||
service TradingService {
|
||||
// Order Management Operations
|
||||
// Submit a new trading order with validation and risk checks
|
||||
rpc SubmitOrder(SubmitOrderRequest) returns (SubmitOrderResponse);
|
||||
|
||||
// Cancel an existing order by order ID
|
||||
rpc CancelOrder(CancelOrderRequest) returns (CancelOrderResponse);
|
||||
|
||||
// Get current status of a specific order
|
||||
rpc GetOrderStatus(GetOrderStatusRequest) returns (GetOrderStatusResponse);
|
||||
|
||||
// Stream real-time order events for monitoring order lifecycle
|
||||
rpc StreamOrders(StreamOrdersRequest) returns (stream OrderEvent);
|
||||
|
||||
// Position Management Operations
|
||||
// Get current positions for account and/or symbol
|
||||
rpc GetPositions(GetPositionsRequest) returns (GetPositionsResponse);
|
||||
|
||||
// Stream real-time position updates as trades execute
|
||||
rpc StreamPositions(StreamPositionsRequest) returns (stream PositionEvent);
|
||||
|
||||
// Get comprehensive portfolio summary with P&L and risk metrics
|
||||
rpc GetPortfolioSummary(GetPortfolioSummaryRequest) returns (GetPortfolioSummaryResponse);
|
||||
|
||||
// Market Data Operations
|
||||
// Stream real-time market data (trades, quotes, order book)
|
||||
rpc StreamMarketData(StreamMarketDataRequest) returns (stream MarketDataEvent);
|
||||
|
||||
// Get current order book snapshot for a symbol
|
||||
rpc GetOrderBook(GetOrderBookRequest) returns (GetOrderBookResponse);
|
||||
|
||||
// Execution Operations
|
||||
// Stream real-time trade executions as they occur
|
||||
rpc StreamExecutions(StreamExecutionsRequest) returns (stream ExecutionEvent);
|
||||
|
||||
// Get historical execution data with filtering options
|
||||
rpc GetExecutionHistory(GetExecutionHistoryRequest) returns (GetExecutionHistoryResponse);
|
||||
|
||||
// ML-specific Trading Operations
|
||||
// Submit ML-generated trading order with ensemble predictions
|
||||
rpc SubmitMLOrder(MLOrderRequest) returns (MLOrderResponse);
|
||||
|
||||
// Get ML prediction history with outcomes
|
||||
rpc GetMLPredictions(MLPredictionsRequest) returns (MLPredictionsResponse);
|
||||
|
||||
// Get ML model performance metrics
|
||||
rpc GetMLPerformance(MLPerformanceRequest) returns (MLPerformanceResponse);
|
||||
|
||||
// Wave D: Regime Detection Operations
|
||||
// Get current regime state for a symbol
|
||||
rpc GetRegimeState(GetRegimeStateRequest) returns (GetRegimeStateResponse);
|
||||
|
||||
// Get regime transition history for a symbol
|
||||
rpc GetRegimeTransitions(GetRegimeTransitionsRequest) returns (GetRegimeTransitionsResponse);
|
||||
}
|
||||
|
||||
// Order Management Messages
|
||||
|
||||
// Request to submit a new trading order
|
||||
message SubmitOrderRequest {
|
||||
string symbol = 1; // Trading symbol (e.g., "AAPL", "BTC-USD")
|
||||
OrderSide side = 2; // Buy or sell direction
|
||||
double quantity = 3; // Number of shares/units to trade
|
||||
OrderType order_type = 4; // Market, limit, stop, or stop-limit
|
||||
optional double price = 5; // Limit price (required for limit orders)
|
||||
optional double stop_price = 6; // Stop price (required for stop orders)
|
||||
string account_id = 7; // Trading account identifier
|
||||
map<string, string> metadata = 8; // Additional order metadata (strategy, tags, etc.)
|
||||
}
|
||||
|
||||
// Response after submitting an order
|
||||
message SubmitOrderResponse {
|
||||
string order_id = 1; // Unique order identifier assigned by system
|
||||
OrderStatus status = 2; // Current order status (pending, submitted, etc.)
|
||||
string message = 3; // Status message or error description
|
||||
int64 timestamp = 4; // Order submission timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Request to cancel an existing order
|
||||
message CancelOrderRequest {
|
||||
string order_id = 1; // Order ID to cancel
|
||||
string account_id = 2; // Account ID for verification
|
||||
}
|
||||
|
||||
// Response after attempting to cancel an order
|
||||
message CancelOrderResponse {
|
||||
bool success = 1; // True if cancellation was successful
|
||||
string message = 2; // Success confirmation or error message
|
||||
int64 timestamp = 3; // Cancellation timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Request to get current status of an order
|
||||
message GetOrderStatusRequest {
|
||||
string order_id = 1; // Order ID to query
|
||||
}
|
||||
|
||||
// Response containing order status information
|
||||
message GetOrderStatusResponse {
|
||||
Order order = 1; // Complete order details with current status
|
||||
}
|
||||
|
||||
// Request to stream real-time order events
|
||||
message StreamOrdersRequest {
|
||||
optional string account_id = 1; // Filter by account (all accounts if not specified)
|
||||
optional string symbol = 2; // Filter by symbol (all symbols if not specified)
|
||||
}
|
||||
|
||||
// Position Management Messages
|
||||
|
||||
// Request to get current positions
|
||||
message GetPositionsRequest {
|
||||
optional string account_id = 1; // Filter by account (all accounts if not specified)
|
||||
optional string symbol = 2; // Filter by symbol (all symbols if not specified)
|
||||
}
|
||||
|
||||
// Response containing position information
|
||||
message GetPositionsResponse {
|
||||
repeated Position positions = 1; // List of current positions
|
||||
}
|
||||
|
||||
// Request to stream real-time position updates
|
||||
message StreamPositionsRequest {
|
||||
optional string account_id = 1; // Filter by account (all accounts if not specified)
|
||||
}
|
||||
|
||||
// Request for portfolio summary
|
||||
message GetPortfolioSummaryRequest {
|
||||
string account_id = 1; // Account ID for portfolio summary
|
||||
}
|
||||
|
||||
// Response containing comprehensive portfolio information
|
||||
message GetPortfolioSummaryResponse {
|
||||
double total_value = 1; // Total portfolio value in USD
|
||||
double unrealized_pnl = 2; // Unrealized profit/loss
|
||||
double realized_pnl = 3; // Realized profit/loss for the day
|
||||
double day_pnl = 4; // Total P&L for the current trading day
|
||||
double buying_power = 5; // Available buying power
|
||||
double margin_used = 6; // Amount of margin currently used
|
||||
repeated Position positions = 7; // Detailed position information
|
||||
}
|
||||
|
||||
// Market Data Messages
|
||||
|
||||
// Request to stream real-time market data
|
||||
message StreamMarketDataRequest {
|
||||
repeated string symbols = 1; // List of symbols to subscribe to
|
||||
repeated MarketDataType data_types = 2; // Types of data to stream (trades, quotes, order book)
|
||||
}
|
||||
|
||||
// Request for order book snapshot
|
||||
message GetOrderBookRequest {
|
||||
string symbol = 1; // Symbol to get order book for
|
||||
optional int32 depth = 2; // Number of price levels (default: full book)
|
||||
}
|
||||
|
||||
// Response containing order book data
|
||||
message GetOrderBookResponse {
|
||||
OrderBook order_book = 1; // Current order book snapshot
|
||||
}
|
||||
|
||||
// Execution Messages
|
||||
|
||||
// Request to stream real-time executions
|
||||
message StreamExecutionsRequest {
|
||||
optional string account_id = 1; // Filter by account (all accounts if not specified)
|
||||
optional string symbol = 2; // Filter by symbol (all symbols if not specified)
|
||||
}
|
||||
|
||||
// Request for historical execution data
|
||||
message GetExecutionHistoryRequest {
|
||||
optional string account_id = 1; // Filter by account (all accounts if not specified)
|
||||
optional string symbol = 2; // Filter by symbol (all symbols if not specified)
|
||||
optional int64 start_time = 3; // Start time for query (nanoseconds)
|
||||
optional int64 end_time = 4; // End time for query (nanoseconds)
|
||||
optional int32 limit = 5; // Maximum number of executions to return
|
||||
}
|
||||
|
||||
// Response containing execution history
|
||||
message GetExecutionHistoryResponse {
|
||||
repeated Execution executions = 1; // List of historical executions
|
||||
}
|
||||
|
||||
// ML Trading Messages
|
||||
|
||||
// Request to submit ML-generated order
|
||||
message MLOrderRequest {
|
||||
string symbol = 1; // Trading symbol (e.g., "ES.FUT")
|
||||
string account_id = 2; // Trading account identifier
|
||||
bool use_ensemble = 3; // Use ensemble voting or specific model
|
||||
optional string model_name = 4; // Specific model name if not using ensemble
|
||||
repeated double features = 5; // Feature vector for ML prediction (26 features: OHLCV + technicals)
|
||||
}
|
||||
|
||||
// Response after submitting ML order
|
||||
message MLOrderResponse {
|
||||
string order_id = 1; // Order ID if executed
|
||||
string prediction_id = 2; // Prediction ID from ensemble_predictions table
|
||||
string action = 3; // Action taken: BUY, SELL, HOLD
|
||||
double confidence = 4; // Prediction confidence (0.0-1.0)
|
||||
string message = 5; // Status message
|
||||
bool executed = 6; // True if order was executed
|
||||
}
|
||||
|
||||
// Request to get ML prediction history
|
||||
message MLPredictionsRequest {
|
||||
string symbol = 1; // Trading symbol to filter by
|
||||
optional string model_name = 2; // Filter by specific model
|
||||
int32 limit = 3; // Maximum predictions to return (default: 100)
|
||||
optional int64 start_time = 4; // Start time filter (nanoseconds)
|
||||
optional int64 end_time = 5; // End time filter (nanoseconds)
|
||||
}
|
||||
|
||||
// Response containing ML prediction history
|
||||
message MLPredictionsResponse {
|
||||
repeated MLPrediction predictions = 1; // List of predictions with outcomes
|
||||
}
|
||||
|
||||
// Single ML prediction with outcome
|
||||
message MLPrediction {
|
||||
string id = 1; // Prediction ID (UUID)
|
||||
string symbol = 2; // Trading symbol
|
||||
string ensemble_action = 3; // Predicted action: BUY, SELL, HOLD
|
||||
double ensemble_signal = 4; // Signal strength (-1.0 to 1.0)
|
||||
double ensemble_confidence = 5; // Confidence level (0.0-1.0)
|
||||
int64 timestamp = 6; // Prediction timestamp (nanoseconds)
|
||||
optional string order_id = 7; // Order ID if executed
|
||||
optional double actual_pnl = 8; // Actual P&L if order filled
|
||||
repeated ModelPrediction model_predictions = 9; // Individual model predictions
|
||||
}
|
||||
|
||||
// Individual model prediction within ensemble
|
||||
message ModelPrediction {
|
||||
string model_name = 1; // Model name (DQN, MAMBA2, PPO, TFT)
|
||||
double signal = 2; // Model signal strength
|
||||
double confidence = 3; // Model confidence
|
||||
}
|
||||
|
||||
// Request to get ML model performance metrics
|
||||
message MLPerformanceRequest {
|
||||
optional string model_name = 1; // Filter by specific model (or all if not specified)
|
||||
optional int64 start_time = 2; // Start time for metrics (nanoseconds)
|
||||
optional int64 end_time = 3; // End time for metrics (nanoseconds)
|
||||
}
|
||||
|
||||
// Response containing ML model performance
|
||||
message MLPerformanceResponse {
|
||||
repeated ModelPerformance models = 1; // Performance metrics per model
|
||||
}
|
||||
|
||||
// Performance metrics for a single model
|
||||
message ModelPerformance {
|
||||
string model_name = 1; // Model name
|
||||
int64 total_predictions = 2; // Total predictions made
|
||||
int64 correct_predictions = 3; // Correct predictions (profitable)
|
||||
double accuracy = 4; // Accuracy rate (0.0-1.0)
|
||||
double sharpe_ratio = 5; // Risk-adjusted return
|
||||
double avg_pnl = 6; // Average P&L per prediction
|
||||
}
|
||||
|
||||
// Wave D: Regime Detection Messages
|
||||
|
||||
// Request to get current regime state
|
||||
message GetRegimeStateRequest {
|
||||
string symbol = 1; // Trading symbol to query
|
||||
}
|
||||
|
||||
// Response containing current regime state
|
||||
message GetRegimeStateResponse {
|
||||
string symbol = 1; // Trading symbol
|
||||
string current_regime = 2; // Current regime: TRENDING, RANGING, VOLATILE, CRISIS
|
||||
double confidence = 3; // Regime confidence (0.0-1.0)
|
||||
double cusum_s_plus = 4; // CUSUM S+ statistic
|
||||
double cusum_s_minus = 5; // CUSUM S- statistic
|
||||
double adx = 6; // Average Directional Index
|
||||
double stability = 7; // Regime stability score (0.0-1.0)
|
||||
double entropy = 8; // Transition entropy (0.0-1.0)
|
||||
int64 updated_at = 9; // Last update timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Request to get regime transition history
|
||||
message GetRegimeTransitionsRequest {
|
||||
string symbol = 1; // Trading symbol to query
|
||||
int32 limit = 2; // Maximum transitions to return (default: 100)
|
||||
}
|
||||
|
||||
// Response containing regime transition history
|
||||
message GetRegimeTransitionsResponse {
|
||||
repeated RegimeTransition transitions = 1; // List of regime transitions
|
||||
}
|
||||
|
||||
// Single regime transition record
|
||||
message RegimeTransition {
|
||||
string from_regime = 1; // Previous regime
|
||||
string to_regime = 2; // New regime
|
||||
int32 duration_bars = 3; // Duration in previous regime (bars)
|
||||
double transition_probability = 4; // Transition probability from matrix
|
||||
int64 timestamp = 5; // Transition timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Core Data Types
|
||||
|
||||
// Complete order information with all lifecycle details
|
||||
message Order {
|
||||
string order_id = 1; // Unique order identifier
|
||||
string symbol = 2; // Trading symbol (e.g., "AAPL", "BTC-USD")
|
||||
OrderSide side = 3; // Buy or sell direction
|
||||
double quantity = 4; // Total quantity ordered
|
||||
double filled_quantity = 5; // Quantity already filled
|
||||
OrderType order_type = 6; // Market, limit, stop, or stop-limit
|
||||
optional double price = 7; // Limit price (for limit orders)
|
||||
optional double stop_price = 8; // Stop price (for stop orders)
|
||||
OrderStatus status = 9; // Current order status
|
||||
int64 created_at = 10; // Order creation timestamp (nanoseconds)
|
||||
optional int64 updated_at = 11; // Last update timestamp (nanoseconds)
|
||||
string account_id = 12; // Associated trading account
|
||||
map<string, string> metadata = 13; // Additional order metadata
|
||||
}
|
||||
|
||||
// Current position information for a symbol
|
||||
message Position {
|
||||
string symbol = 1; // Trading symbol
|
||||
double quantity = 2; // Current position size (positive for long, negative for short)
|
||||
double average_price = 3; // Average cost basis per share
|
||||
double market_value = 4; // Current market value of position
|
||||
double unrealized_pnl = 5; // Unrealized profit/loss
|
||||
double realized_pnl = 6; // Realized profit/loss for the day
|
||||
string account_id = 7; // Associated trading account
|
||||
int64 updated_at = 8; // Last update timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Trade execution details
|
||||
message Execution {
|
||||
string execution_id = 1; // Unique execution identifier
|
||||
string order_id = 2; // Associated order ID
|
||||
string symbol = 3; // Trading symbol
|
||||
OrderSide side = 4; // Buy or sell direction
|
||||
double quantity = 5; // Quantity executed
|
||||
double price = 6; // Execution price
|
||||
int64 timestamp = 7; // Execution timestamp (nanoseconds)
|
||||
string account_id = 8; // Associated trading account
|
||||
map<string, string> metadata = 9; // Additional execution metadata
|
||||
}
|
||||
|
||||
// Order book snapshot for a symbol
|
||||
message OrderBook {
|
||||
string symbol = 1; // Trading symbol
|
||||
repeated OrderBookLevel bids = 2; // Bid levels (buyers) sorted by price descending
|
||||
repeated OrderBookLevel asks = 3; // Ask levels (sellers) sorted by price ascending
|
||||
int64 timestamp = 4; // Order book timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Single price level in the order book
|
||||
message OrderBookLevel {
|
||||
double price = 1; // Price level
|
||||
double quantity = 2; // Total quantity at this price level
|
||||
int32 order_count = 3; // Number of orders at this price level
|
||||
}
|
||||
|
||||
// Event Messages
|
||||
|
||||
// Real-time order event notification
|
||||
message OrderEvent {
|
||||
string order_id = 1; // Order identifier
|
||||
Order order = 2; // Complete order details
|
||||
OrderEventType event_type = 3; // Type of event (created, updated, filled, etc.)
|
||||
int64 timestamp = 4; // Event timestamp (nanoseconds)
|
||||
string message = 5; // Event message or additional details
|
||||
}
|
||||
|
||||
// Real-time position change notification
|
||||
message PositionEvent {
|
||||
string symbol = 1; // Trading symbol
|
||||
Position position = 2; // Updated position details
|
||||
PositionEventType event_type = 3; // Type of event (opened, updated, closed)
|
||||
int64 timestamp = 4; // Event timestamp (nanoseconds)
|
||||
double quantity = 5; // Position quantity (quick access)
|
||||
double average_price = 6; // Average entry price (quick access)
|
||||
double unrealized_pnl = 7; // Unrealized P&L (quick access)
|
||||
}
|
||||
|
||||
// Real-time execution notification
|
||||
message ExecutionEvent {
|
||||
string execution_id = 1; // Execution identifier
|
||||
Execution execution = 2; // Execution details
|
||||
int64 timestamp = 3; // Event timestamp (nanoseconds)
|
||||
string order_id = 4; // Associated order ID (quick access)
|
||||
string symbol = 5; // Trading symbol (quick access)
|
||||
double quantity = 6; // Executed quantity (quick access)
|
||||
double price = 7; // Execution price (quick access)
|
||||
}
|
||||
|
||||
// Real-time market data update
|
||||
message MarketDataEvent {
|
||||
string symbol = 1; // Trading symbol
|
||||
MarketDataType data_type = 2; // Type of market data
|
||||
oneof data {
|
||||
Trade trade = 3; // Trade data (when data_type = TRADE)
|
||||
Quote quote = 4; // Quote data (when data_type = QUOTE)
|
||||
OrderBook order_book = 5; // Order book data (when data_type = ORDER_BOOK)
|
||||
}
|
||||
int64 timestamp = 6; // Market data timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Market trade information
|
||||
message Trade {
|
||||
double price = 1; // Trade price
|
||||
double volume = 2; // Trade volume
|
||||
int64 timestamp = 3; // Trade timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Market quote (bid/ask) information
|
||||
message Quote {
|
||||
double bid_price = 1; // Best bid price
|
||||
double bid_size = 2; // Size at best bid
|
||||
double ask_price = 3; // Best ask price
|
||||
double ask_size = 4; // Size at best ask
|
||||
int64 timestamp = 5; // Quote timestamp (nanoseconds)
|
||||
}
|
||||
|
||||
// Enums
|
||||
|
||||
// Order direction (buy or sell)
|
||||
enum OrderSide {
|
||||
ORDER_SIDE_UNSPECIFIED = 0; // Default/unknown side
|
||||
ORDER_SIDE_BUY = 1; // Buy order (long position)
|
||||
ORDER_SIDE_SELL = 2; // Sell order (short position)
|
||||
}
|
||||
|
||||
// Order type determining execution behavior
|
||||
enum OrderType {
|
||||
ORDER_TYPE_UNSPECIFIED = 0; // Default/unknown type
|
||||
ORDER_TYPE_MARKET = 1; // Execute immediately at market price
|
||||
ORDER_TYPE_LIMIT = 2; // Execute only at specified price or better
|
||||
ORDER_TYPE_STOP = 3; // Market order triggered at stop price
|
||||
ORDER_TYPE_STOP_LIMIT = 4; // Limit order triggered at stop price
|
||||
}
|
||||
|
||||
// Current status of an order in its lifecycle
|
||||
enum OrderStatus {
|
||||
ORDER_STATUS_UNSPECIFIED = 0; // Default/unknown status
|
||||
ORDER_STATUS_PENDING = 1; // Order created but not yet submitted
|
||||
ORDER_STATUS_SUBMITTED = 2; // Order submitted to exchange
|
||||
ORDER_STATUS_PARTIALLY_FILLED = 3; // Order partially executed
|
||||
ORDER_STATUS_FILLED = 4; // Order completely executed
|
||||
ORDER_STATUS_CANCELLED = 5; // Order cancelled by user or system
|
||||
ORDER_STATUS_REJECTED = 6; // Order rejected by exchange or risk system
|
||||
}
|
||||
|
||||
// Type of order event notification
|
||||
enum OrderEventType {
|
||||
ORDER_EVENT_TYPE_UNSPECIFIED = 0; // Default/unknown event
|
||||
ORDER_EVENT_TYPE_CREATED = 1; // Order was created
|
||||
ORDER_EVENT_TYPE_UPDATED = 2; // Order details were updated
|
||||
ORDER_EVENT_TYPE_FILLED = 3; // Order was executed (full or partial)
|
||||
ORDER_EVENT_TYPE_CANCELLED = 4; // Order was cancelled
|
||||
ORDER_EVENT_TYPE_PARTIALLY_FILLED = 5; // Order was partially filled
|
||||
ORDER_EVENT_TYPE_REJECTED = 6; // Order was rejected
|
||||
}
|
||||
|
||||
// Type of position change event
|
||||
enum PositionEventType {
|
||||
POSITION_EVENT_TYPE_UNSPECIFIED = 0; // Default/unknown event
|
||||
POSITION_EVENT_TYPE_OPENED = 1; // New position was opened
|
||||
POSITION_EVENT_TYPE_UPDATED = 2; // Existing position was modified
|
||||
POSITION_EVENT_TYPE_CLOSED = 3; // Position was closed
|
||||
}
|
||||
|
||||
// Type of market data being streamed
|
||||
enum MarketDataType {
|
||||
MARKET_DATA_TYPE_UNSPECIFIED = 0; // Default/unknown type
|
||||
MARKET_DATA_TYPE_TRADE = 1; // Trade/transaction data
|
||||
MARKET_DATA_TYPE_QUOTE = 2; // Best bid/ask quotes
|
||||
MARKET_DATA_TYPE_ORDER_BOOK = 3; // Full order book depth
|
||||
}
|
||||
615
proto/trading_agent.proto
Normal file
615
proto/trading_agent.proto
Normal file
@@ -0,0 +1,615 @@
|
||||
syntax = "proto3";
|
||||
|
||||
package trading_agent;
|
||||
|
||||
// Trading Agent Service orchestrates trading decisions across universe selection,
|
||||
// asset selection, portfolio allocation, and strategy coordination.
|
||||
service TradingAgentService {
|
||||
// Universe Management
|
||||
// Select tradable universe based on liquidity, volatility, and ML signals
|
||||
rpc SelectUniverse(SelectUniverseRequest) returns (SelectUniverseResponse);
|
||||
|
||||
// Get current trading universe configuration
|
||||
rpc GetUniverse(GetUniverseRequest) returns (GetUniverseResponse);
|
||||
|
||||
// Update universe selection criteria
|
||||
rpc UpdateUniverseCriteria(UpdateUniverseCriteriaRequest) returns (UpdateUniverseCriteriaResponse);
|
||||
|
||||
// Asset Selection
|
||||
// Select specific assets to trade within universe
|
||||
rpc SelectAssets(SelectAssetsRequest) returns (SelectAssetsResponse);
|
||||
|
||||
// Get current asset selection with scores
|
||||
rpc GetSelectedAssets(GetSelectedAssetsRequest) returns (GetSelectedAssetsResponse);
|
||||
|
||||
// Portfolio Allocation
|
||||
// Allocate capital across selected assets
|
||||
rpc AllocatePortfolio(AllocatePortfolioRequest) returns (AllocatePortfolioResponse);
|
||||
|
||||
// Get current portfolio allocation
|
||||
rpc GetAllocation(GetAllocationRequest) returns (GetAllocationResponse);
|
||||
|
||||
// Rebalance portfolio based on target allocation
|
||||
rpc RebalancePortfolio(RebalancePortfolioRequest) returns (RebalancePortfolioResponse);
|
||||
|
||||
// Order Generation
|
||||
// Generate orders based on allocation and ML signals
|
||||
rpc GenerateOrders(GenerateOrdersRequest) returns (GenerateOrdersResponse);
|
||||
|
||||
// Submit generated orders to Trading Service
|
||||
rpc SubmitAgentOrders(SubmitAgentOrdersRequest) returns (SubmitAgentOrdersResponse);
|
||||
|
||||
// Strategy Coordination
|
||||
// Register a trading strategy with the agent
|
||||
rpc RegisterStrategy(RegisterStrategyRequest) returns (RegisterStrategyResponse);
|
||||
|
||||
// Get list of active strategies
|
||||
rpc ListStrategies(ListStrategiesRequest) returns (ListStrategiesResponse);
|
||||
|
||||
// Enable/disable a strategy
|
||||
rpc UpdateStrategyStatus(UpdateStrategyStatusRequest) returns (UpdateStrategyStatusResponse);
|
||||
|
||||
// Agent Monitoring
|
||||
// Get comprehensive agent status and performance
|
||||
rpc GetAgentStatus(GetAgentStatusRequest) returns (GetAgentStatusResponse);
|
||||
|
||||
// Stream real-time agent decisions and actions
|
||||
rpc StreamAgentActivity(StreamAgentActivityRequest) returns (stream AgentActivityEvent);
|
||||
|
||||
// Get agent performance metrics
|
||||
rpc GetAgentPerformance(GetAgentPerformanceRequest) returns (GetAgentPerformanceResponse);
|
||||
|
||||
// Service Health
|
||||
rpc HealthCheck(HealthCheckRequest) returns (HealthCheckResponse);
|
||||
}
|
||||
|
||||
// Universe Selection Messages
|
||||
|
||||
message SelectUniverseRequest {
|
||||
UniverseCriteria criteria = 1; // Selection criteria
|
||||
optional uint32 max_instruments = 2; // Maximum instruments in universe
|
||||
bool force_refresh = 3; // Force recalculation
|
||||
}
|
||||
|
||||
message SelectUniverseResponse {
|
||||
repeated Instrument instruments = 1; // Selected instruments
|
||||
UniverseMetrics metrics = 2; // Universe quality metrics
|
||||
int64 timestamp = 3; // Selection timestamp (nanoseconds)
|
||||
string universe_id = 4; // Unique universe identifier
|
||||
}
|
||||
|
||||
message GetUniverseRequest {
|
||||
optional string universe_id = 1; // Get specific universe, or current if not specified
|
||||
}
|
||||
|
||||
message GetUniverseResponse {
|
||||
string universe_id = 1;
|
||||
repeated Instrument instruments = 2;
|
||||
UniverseCriteria criteria = 3;
|
||||
UniverseMetrics metrics = 4;
|
||||
int64 created_at = 5; // Unix timestamp (nanoseconds)
|
||||
int64 updated_at = 6;
|
||||
}
|
||||
|
||||
message UpdateUniverseCriteriaRequest {
|
||||
UniverseCriteria criteria = 1;
|
||||
}
|
||||
|
||||
message UpdateUniverseCriteriaResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
string universe_id = 3; // New universe ID after update
|
||||
}
|
||||
|
||||
// Asset Selection Messages
|
||||
|
||||
message SelectAssetsRequest {
|
||||
string universe_id = 1; // Universe to select from
|
||||
AssetSelectionCriteria criteria = 2; // Selection criteria
|
||||
uint32 max_assets = 3; // Maximum assets to select
|
||||
}
|
||||
|
||||
message SelectAssetsResponse {
|
||||
repeated AssetScore assets = 1; // Selected assets with scores
|
||||
SelectionMetrics metrics = 2; // Selection quality metrics
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
message GetSelectedAssetsRequest {
|
||||
optional string universe_id = 1;
|
||||
}
|
||||
|
||||
message GetSelectedAssetsResponse {
|
||||
repeated AssetScore assets = 1;
|
||||
SelectionMetrics metrics = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
// Portfolio Allocation Messages
|
||||
|
||||
message AllocatePortfolioRequest {
|
||||
repeated AssetScore assets = 1; // Assets to allocate across
|
||||
AllocationStrategy strategy = 2; // Allocation algorithm
|
||||
RiskConstraints risk_constraints = 3; // Risk limits
|
||||
double total_capital = 4; // Total capital to allocate
|
||||
}
|
||||
|
||||
message AllocatePortfolioResponse {
|
||||
repeated AssetAllocation allocations = 1; // Allocation per asset
|
||||
AllocationMetrics metrics = 2; // Allocation quality metrics
|
||||
int64 timestamp = 3;
|
||||
string allocation_id = 4;
|
||||
}
|
||||
|
||||
message GetAllocationRequest {
|
||||
optional string allocation_id = 1; // Get specific allocation, or current if not specified
|
||||
}
|
||||
|
||||
message GetAllocationResponse {
|
||||
string allocation_id = 1;
|
||||
repeated AssetAllocation allocations = 2;
|
||||
AllocationMetrics metrics = 3;
|
||||
int64 created_at = 4;
|
||||
double total_capital = 5;
|
||||
}
|
||||
|
||||
message RebalancePortfolioRequest {
|
||||
string allocation_id = 1; // Target allocation
|
||||
double rebalance_threshold = 2; // Min deviation to trigger rebalance (%)
|
||||
bool force_rebalance = 3; // Force rebalance regardless of threshold
|
||||
}
|
||||
|
||||
message RebalancePortfolioResponse {
|
||||
repeated RebalanceAction actions = 1; // Required rebalancing actions
|
||||
RebalanceMetrics metrics = 2;
|
||||
bool rebalance_required = 3;
|
||||
int64 timestamp = 4;
|
||||
}
|
||||
|
||||
// Order Generation Messages
|
||||
|
||||
message GenerateOrdersRequest {
|
||||
string allocation_id = 1; // Target allocation
|
||||
repeated MLSignal ml_signals = 2; // ML predictions for timing
|
||||
OrderGenerationStrategy strategy = 3; // Order generation algorithm
|
||||
}
|
||||
|
||||
message GenerateOrdersResponse {
|
||||
repeated GeneratedOrder orders = 1; // Generated order instructions
|
||||
OrderGenerationMetrics metrics = 2;
|
||||
int64 timestamp = 3;
|
||||
string order_batch_id = 4;
|
||||
}
|
||||
|
||||
message SubmitAgentOrdersRequest {
|
||||
string order_batch_id = 1; // Batch ID from GenerateOrders
|
||||
repeated GeneratedOrder orders = 2; // Orders to submit
|
||||
bool dry_run = 3; // Test without actual submission
|
||||
}
|
||||
|
||||
message SubmitAgentOrdersResponse {
|
||||
repeated OrderSubmissionResult results = 1; // Submission results per order
|
||||
OrderSubmissionMetrics metrics = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
// Strategy Coordination Messages
|
||||
|
||||
message RegisterStrategyRequest {
|
||||
string strategy_name = 1; // Unique strategy name
|
||||
StrategyType strategy_type = 2; // Strategy category
|
||||
StrategyConfig config = 3; // Strategy configuration
|
||||
bool auto_enable = 4; // Enable immediately after registration
|
||||
}
|
||||
|
||||
message RegisterStrategyResponse {
|
||||
bool success = 1;
|
||||
string strategy_id = 2;
|
||||
string message = 3;
|
||||
}
|
||||
|
||||
message ListStrategiesRequest {
|
||||
optional StrategyStatus status_filter = 1; // Filter by status
|
||||
}
|
||||
|
||||
message ListStrategiesResponse {
|
||||
repeated Strategy strategies = 1;
|
||||
}
|
||||
|
||||
message UpdateStrategyStatusRequest {
|
||||
string strategy_id = 1;
|
||||
StrategyStatus new_status = 2;
|
||||
optional string reason = 3;
|
||||
}
|
||||
|
||||
message UpdateStrategyStatusResponse {
|
||||
bool success = 1;
|
||||
string message = 2;
|
||||
Strategy updated_strategy = 3;
|
||||
}
|
||||
|
||||
// Agent Monitoring Messages
|
||||
|
||||
message GetAgentStatusRequest {
|
||||
bool include_performance = 1; // Include performance metrics
|
||||
bool include_positions = 2; // Include current positions
|
||||
}
|
||||
|
||||
message GetAgentStatusResponse {
|
||||
AgentStatus status = 1;
|
||||
optional AgentPerformanceMetrics performance = 2;
|
||||
optional PositionSummary positions = 3;
|
||||
int64 timestamp = 4;
|
||||
}
|
||||
|
||||
message StreamAgentActivityRequest {
|
||||
repeated ActivityType activity_types = 1; // Filter by activity type
|
||||
}
|
||||
|
||||
message AgentActivityEvent {
|
||||
ActivityType activity_type = 1;
|
||||
oneof event {
|
||||
UniverseSelectionEvent universe_event = 2;
|
||||
AssetSelectionEvent asset_event = 3;
|
||||
AllocationEvent allocation_event = 4;
|
||||
OrderGenerationEvent order_event = 5;
|
||||
StrategyEvent strategy_event = 6;
|
||||
}
|
||||
int64 timestamp = 7;
|
||||
}
|
||||
|
||||
message GetAgentPerformanceRequest {
|
||||
optional int64 start_time = 1; // Performance window start (nanoseconds)
|
||||
optional int64 end_time = 2; // Performance window end (nanoseconds)
|
||||
bool include_strategy_breakdown = 3; // Include per-strategy performance
|
||||
}
|
||||
|
||||
message GetAgentPerformanceResponse {
|
||||
AgentPerformanceMetrics metrics = 1;
|
||||
repeated StrategyPerformance strategy_performance = 2;
|
||||
int64 timestamp = 3;
|
||||
}
|
||||
|
||||
message HealthCheckRequest {}
|
||||
|
||||
message HealthCheckResponse {
|
||||
bool healthy = 1;
|
||||
string message = 2;
|
||||
map<string, string> details = 3;
|
||||
}
|
||||
|
||||
// Data Structures
|
||||
|
||||
message Instrument {
|
||||
string symbol = 1; // Trading symbol (ES.FUT, NQ.FUT)
|
||||
string exchange = 2; // Exchange identifier
|
||||
InstrumentType instrument_type = 3; // Futures, equity, FX, etc.
|
||||
double liquidity_score = 4; // Liquidity rating (0.0-1.0)
|
||||
double volatility = 5; // Annualized volatility
|
||||
double ml_signal_strength = 6; // ML prediction confidence
|
||||
map<string, string> metadata = 7;
|
||||
}
|
||||
|
||||
message UniverseCriteria {
|
||||
double min_liquidity_score = 1; // Minimum liquidity threshold
|
||||
double min_volatility = 2; // Minimum volatility
|
||||
double max_volatility = 3; // Maximum volatility
|
||||
repeated InstrumentType allowed_types = 4;
|
||||
repeated string exchanges = 5; // Allowed exchanges
|
||||
double min_ml_confidence = 6; // Minimum ML signal confidence
|
||||
}
|
||||
|
||||
message UniverseMetrics {
|
||||
uint32 total_instruments = 1;
|
||||
double avg_liquidity_score = 2;
|
||||
double avg_volatility = 3;
|
||||
double portfolio_diversification = 4; // 0.0-1.0
|
||||
}
|
||||
|
||||
message AssetSelectionCriteria {
|
||||
double min_ml_signal_strength = 1; // Minimum ML confidence
|
||||
double min_sharpe_ratio = 2; // Minimum risk-adjusted return
|
||||
SelectionMode mode = 3; // Top-N, threshold-based, etc.
|
||||
}
|
||||
|
||||
message AssetScore {
|
||||
string symbol = 1;
|
||||
double ml_score = 2; // ML model prediction score
|
||||
double momentum_score = 3; // Momentum factor score
|
||||
double value_score = 4; // Value factor score
|
||||
double quality_score = 5; // Quality factor score
|
||||
double composite_score = 6; // Final weighted score
|
||||
map<string, double> model_scores = 7; // Per-model scores (DQN, MAMBA2, etc.)
|
||||
}
|
||||
|
||||
message SelectionMetrics {
|
||||
uint32 assets_evaluated = 1;
|
||||
uint32 assets_selected = 2;
|
||||
double avg_composite_score = 3;
|
||||
double min_score = 4;
|
||||
double max_score = 5;
|
||||
}
|
||||
|
||||
message AllocationStrategy {
|
||||
AllocationType allocation_type = 1; // Equal-weight, risk-parity, etc.
|
||||
map<string, double> parameters = 2; // Strategy-specific parameters
|
||||
}
|
||||
|
||||
message RiskConstraints {
|
||||
double max_position_size_pct = 1; // Max % of portfolio per position
|
||||
double max_sector_exposure_pct = 2; // Max % per sector
|
||||
double max_volatility = 3; // Portfolio volatility limit
|
||||
double max_var_95 = 4; // Value at Risk (95%)
|
||||
double max_leverage = 5; // Maximum leverage ratio
|
||||
}
|
||||
|
||||
message AssetAllocation {
|
||||
string symbol = 1;
|
||||
double target_weight = 2; // Target allocation weight (0.0-1.0)
|
||||
double target_capital = 3; // Target capital in USD
|
||||
double target_quantity = 4; // Target position size
|
||||
double current_weight = 5; // Current allocation weight
|
||||
double current_quantity = 6; // Current position size
|
||||
double rebalance_delta = 7; // Required change
|
||||
}
|
||||
|
||||
message AllocationMetrics {
|
||||
double total_weight = 1; // Should be ~1.0
|
||||
double portfolio_volatility = 2; // Expected portfolio volatility
|
||||
double portfolio_sharpe = 3; // Expected Sharpe ratio
|
||||
double var_95 = 4; // Portfolio VaR (95%)
|
||||
double max_drawdown_estimate = 5; // Expected max drawdown
|
||||
}
|
||||
|
||||
message RebalanceAction {
|
||||
string symbol = 1;
|
||||
double current_quantity = 2;
|
||||
double target_quantity = 3;
|
||||
double delta_quantity = 4; // Positive = buy, negative = sell
|
||||
RebalanceReason reason = 5;
|
||||
}
|
||||
|
||||
message RebalanceMetrics {
|
||||
uint32 total_rebalance_actions = 1;
|
||||
double total_turnover = 2; // Total capital moved (USD)
|
||||
double estimated_cost = 3; // Estimated transaction costs
|
||||
}
|
||||
|
||||
message MLSignal {
|
||||
string symbol = 1;
|
||||
string model_name = 2; // DQN, MAMBA2, PPO, TFT
|
||||
double signal_strength = 3; // -1.0 to 1.0 (short to long)
|
||||
double confidence = 4; // 0.0 to 1.0
|
||||
string predicted_action = 5; // BUY, SELL, HOLD
|
||||
int64 timestamp = 6;
|
||||
}
|
||||
|
||||
message OrderGenerationStrategy {
|
||||
OrderGenerationMode mode = 1;
|
||||
double slippage_tolerance = 2; // Max acceptable slippage (%)
|
||||
bool use_limit_orders = 3; // Use limit orders vs market
|
||||
double limit_price_offset = 4; // Offset from mid price (%)
|
||||
}
|
||||
|
||||
message GeneratedOrder {
|
||||
string symbol = 1;
|
||||
OrderSide side = 2; // BUY or SELL
|
||||
double quantity = 3;
|
||||
OrderType order_type = 4; // MARKET, LIMIT, etc.
|
||||
optional double price = 5; // Limit price if applicable
|
||||
string rationale = 6; // Why this order was generated
|
||||
map<string, string> metadata = 7;
|
||||
}
|
||||
|
||||
message OrderGenerationMetrics {
|
||||
uint32 orders_generated = 1;
|
||||
double total_notional = 2; // Total order value (USD)
|
||||
double avg_order_size = 3;
|
||||
}
|
||||
|
||||
message OrderSubmissionResult {
|
||||
string symbol = 1;
|
||||
bool success = 2;
|
||||
optional string order_id = 3; // From Trading Service
|
||||
optional string error_message = 4;
|
||||
}
|
||||
|
||||
message OrderSubmissionMetrics {
|
||||
uint32 orders_submitted = 1;
|
||||
uint32 orders_accepted = 2;
|
||||
uint32 orders_rejected = 3;
|
||||
double acceptance_rate = 4;
|
||||
}
|
||||
|
||||
message Strategy {
|
||||
string strategy_id = 1;
|
||||
string strategy_name = 2;
|
||||
StrategyType strategy_type = 3;
|
||||
StrategyStatus status = 4;
|
||||
StrategyConfig config = 5;
|
||||
StrategyPerformance performance = 6;
|
||||
int64 created_at = 7;
|
||||
int64 updated_at = 8;
|
||||
}
|
||||
|
||||
message StrategyConfig {
|
||||
map<string, string> parameters = 1; // Strategy-specific parameters
|
||||
repeated string target_symbols = 2; // Symbols this strategy trades
|
||||
double max_capital_pct = 3; // Max % of portfolio for this strategy
|
||||
}
|
||||
|
||||
message StrategyPerformance {
|
||||
string strategy_id = 1;
|
||||
double total_pnl = 2;
|
||||
double sharpe_ratio = 3;
|
||||
double win_rate = 4;
|
||||
uint32 total_trades = 5;
|
||||
int64 period_start = 6;
|
||||
int64 period_end = 7;
|
||||
}
|
||||
|
||||
message AgentStatus {
|
||||
AgentState state = 1;
|
||||
string current_universe_id = 2;
|
||||
uint32 active_strategies = 3;
|
||||
uint32 selected_assets = 4;
|
||||
double portfolio_utilization = 5; // % of capital deployed
|
||||
int64 last_action_timestamp = 6;
|
||||
}
|
||||
|
||||
message AgentPerformanceMetrics {
|
||||
double total_pnl = 1;
|
||||
double sharpe_ratio = 2;
|
||||
double max_drawdown = 3;
|
||||
double win_rate = 4;
|
||||
uint32 total_trades = 5;
|
||||
double avg_trade_pnl = 6;
|
||||
double portfolio_turnover = 7; // Annualized
|
||||
int64 period_start = 8;
|
||||
int64 period_end = 9;
|
||||
}
|
||||
|
||||
message PositionSummary {
|
||||
repeated Position positions = 1;
|
||||
double total_equity = 2;
|
||||
double total_exposure = 3;
|
||||
double leverage_ratio = 4;
|
||||
}
|
||||
|
||||
message Position {
|
||||
string symbol = 1;
|
||||
double quantity = 2;
|
||||
double average_price = 3;
|
||||
double market_value = 4;
|
||||
double unrealized_pnl = 5;
|
||||
double weight = 6; // % of portfolio
|
||||
}
|
||||
|
||||
message UniverseSelectionEvent {
|
||||
string universe_id = 1;
|
||||
repeated string added_symbols = 2;
|
||||
repeated string removed_symbols = 3;
|
||||
UniverseMetrics metrics = 4;
|
||||
}
|
||||
|
||||
message AssetSelectionEvent {
|
||||
repeated AssetScore selected_assets = 1;
|
||||
SelectionMetrics metrics = 2;
|
||||
}
|
||||
|
||||
message AllocationEvent {
|
||||
string allocation_id = 1;
|
||||
repeated AssetAllocation allocations = 2;
|
||||
AllocationMetrics metrics = 3;
|
||||
}
|
||||
|
||||
message OrderGenerationEvent {
|
||||
string order_batch_id = 1;
|
||||
repeated GeneratedOrder orders = 2;
|
||||
OrderGenerationMetrics metrics = 3;
|
||||
}
|
||||
|
||||
message StrategyEvent {
|
||||
string strategy_id = 1;
|
||||
StrategyEventType event_type = 2;
|
||||
string message = 3;
|
||||
}
|
||||
|
||||
// Enums
|
||||
|
||||
enum InstrumentType {
|
||||
INSTRUMENT_TYPE_UNSPECIFIED = 0;
|
||||
INSTRUMENT_TYPE_EQUITY = 1;
|
||||
INSTRUMENT_TYPE_FUTURES = 2;
|
||||
INSTRUMENT_TYPE_FX = 3;
|
||||
INSTRUMENT_TYPE_OPTIONS = 4;
|
||||
INSTRUMENT_TYPE_CRYPTO = 5;
|
||||
}
|
||||
|
||||
enum SelectionMode {
|
||||
SELECTION_MODE_UNSPECIFIED = 0;
|
||||
SELECTION_MODE_TOP_N = 1; // Select top N by score
|
||||
SELECTION_MODE_THRESHOLD = 2; // Select all above threshold
|
||||
SELECTION_MODE_QUANTILE = 3; // Select top quantile (e.g., top 20%)
|
||||
}
|
||||
|
||||
enum AllocationType {
|
||||
ALLOCATION_TYPE_UNSPECIFIED = 0;
|
||||
ALLOCATION_TYPE_EQUAL_WEIGHT = 1; // 1/N allocation
|
||||
ALLOCATION_TYPE_RISK_PARITY = 2; // Equal risk contribution
|
||||
ALLOCATION_TYPE_ML_OPTIMIZED = 3; // ML-based optimization
|
||||
ALLOCATION_TYPE_KELLY = 4; // Kelly criterion
|
||||
ALLOCATION_TYPE_MEAN_VARIANCE = 5; // Mean-variance optimization
|
||||
}
|
||||
|
||||
enum RebalanceReason {
|
||||
REBALANCE_REASON_UNSPECIFIED = 0;
|
||||
REBALANCE_REASON_DRIFT = 1; // Allocation drifted from target
|
||||
REBALANCE_REASON_UNIVERSE_CHANGE = 2; // Universe updated
|
||||
REBALANCE_REASON_RISK_LIMIT = 3; // Risk limit violation
|
||||
REBALANCE_REASON_MANUAL = 4; // Manual rebalance request
|
||||
}
|
||||
|
||||
enum OrderGenerationMode {
|
||||
ORDER_GENERATION_MODE_UNSPECIFIED = 0;
|
||||
ORDER_GENERATION_MODE_AGGRESSIVE = 1; // Market orders, immediate execution
|
||||
ORDER_GENERATION_MODE_PASSIVE = 2; // Limit orders, minimize slippage
|
||||
ORDER_GENERATION_MODE_ADAPTIVE = 3; // Adapt based on market conditions
|
||||
}
|
||||
|
||||
enum OrderSide {
|
||||
ORDER_SIDE_UNSPECIFIED = 0;
|
||||
ORDER_SIDE_BUY = 1;
|
||||
ORDER_SIDE_SELL = 2;
|
||||
}
|
||||
|
||||
enum OrderType {
|
||||
ORDER_TYPE_UNSPECIFIED = 0;
|
||||
ORDER_TYPE_MARKET = 1;
|
||||
ORDER_TYPE_LIMIT = 2;
|
||||
ORDER_TYPE_STOP = 3;
|
||||
ORDER_TYPE_STOP_LIMIT = 4;
|
||||
}
|
||||
|
||||
enum StrategyType {
|
||||
STRATEGY_TYPE_UNSPECIFIED = 0;
|
||||
STRATEGY_TYPE_ML_ENSEMBLE = 1; // Ensemble ML predictions
|
||||
STRATEGY_TYPE_MEAN_REVERSION = 2; // Mean reversion
|
||||
STRATEGY_TYPE_MOMENTUM = 3; // Momentum/trend following
|
||||
STRATEGY_TYPE_ARBITRAGE = 4; // Statistical arbitrage
|
||||
STRATEGY_TYPE_MARKET_MAKING = 5; // Market making
|
||||
}
|
||||
|
||||
enum StrategyStatus {
|
||||
STRATEGY_STATUS_UNSPECIFIED = 0;
|
||||
STRATEGY_STATUS_ENABLED = 1;
|
||||
STRATEGY_STATUS_DISABLED = 2;
|
||||
STRATEGY_STATUS_PAUSED = 3;
|
||||
STRATEGY_STATUS_ERROR = 4;
|
||||
}
|
||||
|
||||
enum AgentState {
|
||||
AGENT_STATE_UNSPECIFIED = 0;
|
||||
AGENT_STATE_INITIALIZING = 1;
|
||||
AGENT_STATE_ACTIVE = 2;
|
||||
AGENT_STATE_PAUSED = 3;
|
||||
AGENT_STATE_ERROR = 4;
|
||||
AGENT_STATE_SHUTDOWN = 5;
|
||||
}
|
||||
|
||||
enum ActivityType {
|
||||
ACTIVITY_TYPE_UNSPECIFIED = 0;
|
||||
ACTIVITY_TYPE_UNIVERSE_SELECTION = 1;
|
||||
ACTIVITY_TYPE_ASSET_SELECTION = 2;
|
||||
ACTIVITY_TYPE_ALLOCATION = 3;
|
||||
ACTIVITY_TYPE_ORDER_GENERATION = 4;
|
||||
ACTIVITY_TYPE_STRATEGY = 5;
|
||||
}
|
||||
|
||||
enum StrategyEventType {
|
||||
STRATEGY_EVENT_TYPE_UNSPECIFIED = 0;
|
||||
STRATEGY_EVENT_TYPE_REGISTERED = 1;
|
||||
STRATEGY_EVENT_TYPE_ENABLED = 2;
|
||||
STRATEGY_EVENT_TYPE_DISABLED = 3;
|
||||
STRATEGY_EVENT_TYPE_ERROR = 4;
|
||||
}
|
||||
Reference in New Issue
Block a user