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162 lines
8.4 KiB
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162 lines
8.4 KiB
Markdown
---
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knowledge_schema: 1
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id: object/0aef122a-790b-b17a-9176-cc32df98c5a1
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type: arch
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role: module
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representation: source
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state: current
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---
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# Modul-05-Strategy-Engine — Betriebsdokumentation
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> Erstellt: 20.08.2026 (Rain Ocampo) · Status: ✅ Freigegeben (E2E bestanden)
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## Zweck
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**Strategie-Engine** — konsumiert `MARKET_REGIME_READY` (Modul-04) + OHLCV (Modul-03), berechnet deterministische Handelssignale und persistiert sie.
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Pipeline: `MARKET_REGIME_READY (Modul-04) → Strategie-Engine (trend_pullback_v1) → PostgreSQL (strategy_signal) → SIGNAL_DETECTED`
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**Deterministische, regelbasierte Engine — bewusst OHNE KI/ML, ohne Ranking, ohne Risk Management, ohne Order-Ausführung.**
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## Container
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| Attribut | Wert |
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|----------|------|
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| Name | `Modul-05-Strategy-Engine` |
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| Image | `strategy-engine:0.1.0` (lokal gebaut) |
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| Port | **55005** — **NUR intern** (`expose`, nicht öffentlich) |
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| Netzwerk | `trading-modules` (bridge) |
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| Build-Context | `/opt/trading-modules/modul05-strategy-engine/` |
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| Restart | `unless-stopped` |
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| Healthcheck | ✅ `healthy` |
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## Deployment
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```bash
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cd /opt/trading-modules
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docker compose build modul-05-strategy-engine
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docker compose up -d --no-deps --force-recreate modul-05-strategy-engine
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```
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## Environment Variables (Compose)
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| Variable | Wert (Default) | Zweck |
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|----------|---------------|-------|
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| `PG_HOST` | `Modul-01-PostgreSQL` | Docker-interner Servicename |
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| `PG_PORT` | `5432` | intern |
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| `PG_USER/PASSWORD/DB` | `trading` | aus `.env`-Defaults |
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| `RABBITMQ_HOST` | `Modul-02-RabbitMQ` | Docker-interner Servicename |
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| `RABBITMQ_PORT` | `5672` | intern |
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| `RABBITMQ_USER/PASSWORD/VHOST` | `trading` | **vhost `trading`** |
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| `LOG_LEVEL` | `INFO` | Strukturiertes Logging |
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Keine festen IPs — nur Docker-interne Hostnamen. Creds via Compose env + Defaults.
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## Architektur
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```
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Modul-04 ──market.regime.ready──▶ StrategyConsumer (strategy.input)
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│
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▼
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OHLCV (Modul-03, intern 55003/history/{symbol})
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│
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▼
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StrategyEngine (deterministisch)
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trend_pullback_v1 (LONG/SHORT)
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│
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┌───────────┴───────────┐
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▼ ▼
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strategy_signal (PG) SIGNAL_DETECTED
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(eigene Tabelle) → market.signals / strategy.signal.detected
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```
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- **Consumer** (`app/consumer/consumer.py`): bindet Exchange `market.regime`, Routing `market.regime.ready`; durable Queue `strategy.input`; manuelles Ack erst nach erfolgreicher Verarbeitung; Reconnect mit Backoff + `conn.close()`; **`queue_delete` beim Start** (entfernt verwaiste/Zombie-Consumer).
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- **MarketData-Client** (`app/marketdata/client.py`): liest OHLCV über interne FastAPI Modul-03 (`http://Modul-03-Market-Data:55003/history/{symbol}`); normalisiert Feld `ts` → `timestamp`.
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- **Engine/Register** (`app/engine.py`): modular — Strategien via `.name/.version/.evaluate()` registriert.
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- **Storage** (`app/storage/storage.py`): idempotent via partiellen Unique-Index.
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- **Publisher** (`app/publisher/publisher.py`): **frische Verbindung je Publish** + `conn.close()` im finally (verhindert `ConnectionResetError` durch RabbitMQ-Closed-Verbindungen).
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- **Service** (`app/core/service.py`): Pipeline Event → OHLCV → Strategie → speichern + publizieren; robuste Payload-Extraktion.
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## Strategie V1 — `trend_pullback_v1` (`app/strategies/trend_pullback_v1.py`)
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Deterministische Pullback-Strategie. **Nur abgeschlossene Candles, kein Lookahead-Bias.**
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**LONG-Bedingungen (Regime TREND_UP):**
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1. Close > steigender SMA200 (Trendfilter)
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2. Pullback: Close < EMA20 (Zug zurück in den Trend)
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3. Bestätigung: Close > prev Close ODER Break prev High
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4. Entry = Close; Stop unter Swing-Low; Target = 2R (R:R = 2.0)
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**SHORT-Bedingungen (Regime TREND_DOWN):** spiegelbildlich
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1. Close < fallender SMA200
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2. Pullback: Close > EMA20
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3. Bestätigung: Close < prev Close ODER Break prev Low
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4. Stop über Swing-High; Target = 2R
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**Mathematik (vom E2E verifiziert):**
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- **LONG:** `Target = Entry + 2 × (Entry - Stop)`; `R:R = 2.0`; Stop < Entry
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- **SHORT:** `Target = Entry - 2 × (Stop - Entry)`; `R:R = 2.0`; Stop > Entry
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**Zentrale Schwellenwerte** (`app/config.py`, env-overridable):
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| Parameter | Default | Bedeutung |
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|-----------|---------|-----------|
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| `lookback` | 300 | max. Kerzen zur Berechnung |
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| `min_candles_required` | 220 | UNKNOWN, wenn < 220 (SMA200 braucht 200) |
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| `sma_period` | 200 | Trendfilter SMA |
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| `ema_period` | 20 | Pullback-EMA |
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| `risk_reward` | 2.0 | Target-Multiplikator (2R) |
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| `swing_lookback` | 10 | Swing-Low/High-Fenster für Stop |
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Kein gültiges Setup → **kein Event** publiziert.
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## Datenbank (Modul-01-PostgreSQL)
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Eigene Tabelle `public.strategy_signal` (bestehende unangetastet):
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```sql
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signal_id UUID, source_event_id TEXT, correlation_id TEXT,
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timestamp TIMESTAMPTZ, symbol TEXT, asset_class TEXT, provider TEXT,
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timeframe TEXT, strategy_name TEXT, strategy_version TEXT,
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direction TEXT (LONG/SHORT), regime TEXT,
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entry DOUBLE PRECISION, stop_loss DOUBLE PRECISION, target DOUBLE PRECISION,
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risk_reward DOUBLE PRECISION, setup_metrics JSONB, trigger_reason TEXT
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```
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- **Unique (partiell):** `uq_strategy_signal_src` auf `(symbol, timeframe, source_event_id)` **WHERE source_event_id IS NOT NULL** → Idempotenz.
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- Migration: `migrations/001_strategy_signal.sql` (idempotent, löscht nichts).
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## RabbitMQ (Modul-02)
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| Exchange | Typ | Routing | Event |
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|----------|-----|---------|-------|
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| `market.regime` | topic | `market.regime.ready` (eingang) | MARKET_REGIME_READY |
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| `market.signals` | topic | `strategy.signal.detected` (ausgang) | SIGNAL_DETECTED |
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## Interne API
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| Endpoint | Zweck |
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|----------|-------|
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| `GET /health` | Liveness (200) + Komponentenstatus im Body |
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| `GET /health/ready` | Readiness (503 wenn PG/RabbitMQ/Modul-03 down) |
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## End-to-End-Test (20.08.2026, final, nach Publisher-Fixes) ✅
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Kette verifiziert: Modul-03 Ingest → `market.data.ready` → Modul-04 → `market.regime.ready` → Modul-05 Consumer → `trend_pullback_v1` → `strategy_signal` → `SIGNAL_DETECTED`.
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| Fall | Signal | Entry | Stop | Target | R:R | DB | Event |
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|------|--------|-------|------|--------|-----|----|-------|
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| M5LONG (TREND_UP) | **LONG** | 164.20 | 163.4764 | 165.6473 | **2.00** | ✅ 1 | ✅ 1 |
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| M5SHORT (TREND_DOWN) | **SHORT** | 135.80 | 136.4964 | 134.4073 | **2.00** | ✅ 1 | ✅ 1 |
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| M5NOPULL (kein Pullback) | keins | — | — | — | — | ✅ 0 | ✅ 0 |
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| M5RANGE (Range) | keins | — | — | — | — | ✅ 0 | ✅ 0 |
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**Mathematik verifiziert:** LONG `Target=Entry+2×(Entry-Stop)` = 164.20 + 2×0.72364 = **165.6473** ✓; SHORT `Target=Entry−2×(Stop−Entry)` = 135.80 − 2×0.69636 = **134.4073** ✓.
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**Idempotenz:** identisches `source_event_id` erneut → **kein zweiter DB-Eintrag, kein Doppel-Event** (count=1). ✅
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**RabbitMQ-Reconnect:** kontrollierter Neustart → Modul-04+05 verbinden automatisch (Backoff 1s→2s→4s→8s), **je exakt 1 Consumer, keine Zombies, keine verlorenen Events.** ✅
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**Logs:** keine `ConnectionResetError`, keine unbehandelten Tracebacks. Health `{postgresql:true, rabbitmq:true, market_data_ready:true}`. ✅
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## Bugs behoben während E2E (20.08.2026)
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| Bug | Fix |
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|-----|-----|
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| `ConnectionResetError` beim Publish | Publisher: **frische Verbindung je Publish** + `conn.close()` (RabbitMQ schließt ungenutzte Verbindung) — **gleicher Bug in Modul-03, -04, -05** |
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| Modul-03 OHLCV-Feld `ts` | Normalisierung `ts`→`timestamp` im MarketData-Client |
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| Zombie-Consumer (`strategy.input` 2–3) | `queue_delete` beim Consumer-Start; manuelles Cleanup via `rabbitmqctl delete_queue` |
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| Keine Events nach Recreate | OHLCV/Regime-Daten waren noch in DB (Duplikat) → E2E bereinigt `ohlcv`+`market_regime`+`strategy_signal` |
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| M5SHORT ging verloren | Zombie-Consumer verschluckte Event (Round-Robin) → beseitigt |
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## Offene Punkte
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- Downstream-Consumer für `strategy.signal.detected` (Modul-06+)
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- Weitere Strategien über Engine-Register hinzufügbar
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---
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```
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Geändert von: Rain Ocampo
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Datum: 20.08.2026
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Grund: Modul-05-Dokumentation angelegt (Strategy-Engine trend_pullback_v1, strategy_signal-Schema, Events, E2E freigegeben).
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```
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