@
Phase 3: Trading-Kern (Risk, Execution, Portfolio) mit sicherem Broker-Default - Core/Trading/TradingModels: Signal, Order(Request/Result), RiskContext/Decision, Account, Position, Quote, ExecutionResult, Enums (Side/OrderType/Mode) - IBrokerClient + NullBrokerClient (sicherer Default, handelt NIE bis IBKR-Adapter verifiziert) - RiskService (+IRiskService): Sizing nach MaxTrade%, Modul-Limit, Slippage; Buy/Sell - PortfolioService (+IPortfolioService): core_position + core_trade_history + core_budget - ExecutionService (+IExecutionService): Signal -> Kurs -> Konto -> Risiko -> Order -> Buchung - TradingSettings in AppSettings (Paper/Live, TradingEnabled, Risikoparameter) - CoreMigrations: core_position; DI-Registrierung der Trading-Services - Tests: RiskService (11) + ExecutionService (6, NSubstitute) -> 38/38 gruen Offen (bewusst gekapselt): echter IbkrBrokerClient gegen Client-Portal-Gateway (manuell verifizieren). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> @
This commit is contained in:
Richard
@@ -0,0 +1,96 @@
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using IBKRTrader.Core.Logging;
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using IBKRTrader.Core.Settings;
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namespace IBKRTrader.Core.Trading;
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/// <summary>
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/// Führt Modul-Signale aus: globaler Schalter → Kurs → Konto → Risiko → Order → Buchung.
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/// Kennt kein Modul – Module rufen nur <see cref="ExecuteAsync"/> mit ihrem Signal auf.
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/// </summary>
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public sealed class ExecutionService : IExecutionService
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{
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private readonly IBrokerClient _broker;
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private readonly IRiskService _risk;
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private readonly IPortfolioService _portfolio;
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private readonly SettingsService _settings;
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private readonly LoggingService _logger;
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public ExecutionService(
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IBrokerClient broker,
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IRiskService risk,
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IPortfolioService portfolio,
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SettingsService settings,
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LoggingService logger)
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{
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_broker = broker;
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_risk = risk;
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_portfolio = portfolio;
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_settings = settings;
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_logger = logger;
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}
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public async Task<ExecutionResult> ExecuteAsync(TradeSignal signal, CancellationToken ct = default)
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{
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var trading = _settings.Settings.Trading;
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var module = signal.SourceModule;
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// 1. Globaler Hauptschalter
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if (!trading.TradingEnabled)
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return Log(module, ExecutionResult.Skip("Trading global deaktiviert."));
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// 2. Kurs
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var quote = await _broker.GetQuoteAsync(signal.Symbol, ct);
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if (quote is null || quote.Last <= 0)
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return Log(module, ExecutionResult.Skip($"Kein Kurs für {signal.Symbol} verfügbar."));
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// 3. Konto + 4. bestehende Exposure/Position
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var account = await _broker.GetAccountStateAsync(ct);
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var exposure = await _portfolio.GetModuleExposureAsync(module, ct);
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var existingQty = await _portfolio.GetPositionQuantityAsync(module, signal.Symbol, ct);
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// 5. Risikoprüfung
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var context = new RiskContext
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{
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Price = quote.Last,
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NetLiquidation = account.NetLiquidation,
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ModuleExposure = exposure,
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ExistingQuantity = existingQty
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};
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var riskParams = new RiskParameters(
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(decimal)trading.MaxTradePercent,
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(decimal)trading.MaxPositionPercentPerModule,
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(decimal)trading.MaxSlippagePercent);
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var decision = _risk.Evaluate(signal, context, riskParams);
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if (!decision.Approved)
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return Log(module, ExecutionResult.Skip(decision.Reason));
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// 6. Order platzieren
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var order = new OrderRequest
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{
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Symbol = signal.Symbol,
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Side = signal.Side,
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Quantity = decision.Quantity,
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Type = signal.LimitPrice.HasValue ? OrderType.Limit : OrderType.Market,
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LimitPrice = signal.LimitPrice
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};
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var result = await _broker.PlaceOrderAsync(order, ct);
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if (!result.Success)
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return Log(module, ExecutionResult.Error(result.Error ?? "Order fehlgeschlagen.", result));
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// 7. Buchung
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await _portfolio.RecordFillAsync(
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module, signal.Symbol, signal.Side,
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result.FilledQuantity, result.AvgFillPrice, result.OrderId, ct);
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return Log(module, ExecutionResult.Execute(result));
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}
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private ExecutionResult Log(string module, ExecutionResult result)
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{
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var text = $"[{result.Action}] {result.Reason}";
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if (result.Action == "ERROR") _logger.Error(module, text);
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else _logger.Info(module, text);
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return result;
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}
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}
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@@ -0,0 +1,17 @@
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namespace IBKRTrader.Core.Trading;
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/// <summary>
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/// Broker-Abstraktion (Kurse, Konto, Order-Ausführung).
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/// Externer Seam: in Tests gemockt, produktiv von einem IBKR-Adapter implementiert.
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/// </summary>
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public interface IBrokerClient
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{
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/// <summary>Aktuelle Kurs-Momentaufnahme oder null, wenn nicht verfügbar.</summary>
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Task<Quote?> GetQuoteAsync(string symbol, CancellationToken ct = default);
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/// <summary>Kontostand-Momentaufnahme.</summary>
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Task<AccountState> GetAccountStateAsync(CancellationToken ct = default);
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/// <summary>Platziert eine Order und gibt das Ergebnis zurück.</summary>
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Task<OrderResult> PlaceOrderAsync(OrderRequest request, CancellationToken ct = default);
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}
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@@ -0,0 +1,10 @@
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namespace IBKRTrader.Core.Trading;
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/// <summary>
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/// Zentrale Ausführungs-Pipeline. Module übergeben ihre <see cref="TradeSignal"/>e hier;
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/// der Core prüft Risiko, führt aus und verbucht.
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/// </summary>
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public interface IExecutionService
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{
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Task<ExecutionResult> ExecuteAsync(TradeSignal signal, CancellationToken ct = default);
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}
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@@ -0,0 +1,22 @@
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namespace IBKRTrader.Core.Trading;
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/// <summary>
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/// Buchführung über offene Positionen und Ausführungen (core_position, core_trade_history).
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/// Externer Seam gegenüber der Datenbank: in Tests gemockt.
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/// </summary>
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public interface IPortfolioService
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{
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/// <summary>Summe des offenen Nominalwerts eines Moduls.</summary>
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Task<decimal> GetModuleExposureAsync(string module, CancellationToken ct = default);
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/// <summary>Gehaltene Stückzahl eines Moduls für ein Symbol (0, wenn keine Position).</summary>
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Task<int> GetPositionQuantityAsync(string module, string symbol, CancellationToken ct = default);
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/// <summary>Verbucht einen Fill: aktualisiert Position, Budget und Trade-Historie.</summary>
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Task RecordFillAsync(
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string module, string symbol, TradeSide side,
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int quantity, decimal price, string? orderId, CancellationToken ct = default);
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/// <summary>Alle offenen Positionen eines Moduls.</summary>
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Task<IReadOnlyList<Position>> GetPositionsAsync(string module, CancellationToken ct = default);
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}
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@@ -0,0 +1,7 @@
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namespace IBKRTrader.Core.Trading;
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/// <summary>Bewertet ein Signal gegen die Risiko-Parameter und liefert die Stückzahl.</summary>
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public interface IRiskService
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{
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RiskDecision Evaluate(TradeSignal signal, RiskContext context, RiskParameters risk);
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}
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@@ -0,0 +1,29 @@
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using IBKRTrader.Core.Logging;
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namespace IBKRTrader.Core.Trading;
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/// <summary>
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/// Sicherer Standard-Broker: handelt NIEMALS.
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/// Wird registriert, bis der echte IBKR-Adapter angebunden und gegen den
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/// Paper-Gateway verifiziert ist. So kann keine Order versehentlich rausgehen.
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/// </summary>
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public sealed class NullBrokerClient : IBrokerClient
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{
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private readonly LoggingService _logger;
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public NullBrokerClient(LoggingService logger) => _logger = logger;
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public Task<Quote?> GetQuoteAsync(string symbol, CancellationToken ct = default)
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=> Task.FromResult<Quote?>(null);
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public Task<AccountState> GetAccountStateAsync(CancellationToken ct = default)
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=> Task.FromResult(new AccountState(0m, 0m));
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public Task<OrderResult> PlaceOrderAsync(OrderRequest request, CancellationToken ct = default)
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{
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_logger.Warn("Core",
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$"NullBrokerClient: Order NICHT ausgeführt ({request.Side} {request.Quantity}x {request.Symbol}) " +
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"– echter IBKR-Broker noch nicht angebunden.");
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return Task.FromResult(OrderResult.Fail("Broker nicht angebunden (NullBrokerClient)."));
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}
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}
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@@ -0,0 +1,110 @@
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using IBKRTrader.Core.Budget;
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using IBKRTrader.Core.Database;
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using IBKRTrader.Core.Logging;
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namespace IBKRTrader.Core.Trading;
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/// <summary>
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/// DB-gestützte Buchführung über offene Positionen (core_position),
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/// Trade-Historie (core_trade_history) und Budget (core_budget).
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/// </summary>
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public sealed class PortfolioService : IPortfolioService
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{
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private readonly DatabaseService _db;
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private readonly TradeHistoryService _history;
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private readonly BudgetService _budget;
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private readonly LoggingService _logger;
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public PortfolioService(
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DatabaseService db,
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TradeHistoryService history,
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BudgetService budget,
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LoggingService logger)
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{
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_db = db;
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_history = history;
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_budget = budget;
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_logger = logger;
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}
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private sealed class PosDto
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{
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public int Quantity { get; set; }
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public decimal AvgPrice { get; set; }
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}
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public async Task<decimal> GetModuleExposureAsync(string module, CancellationToken ct = default)
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{
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var sum = await _db.ExecuteScalarAsync<decimal?>(
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"SELECT SUM(quantity * avg_price) FROM `core_position` WHERE module = @module",
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new { module });
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return sum ?? 0m;
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}
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public async Task<int> GetPositionQuantityAsync(string module, string symbol, CancellationToken ct = default)
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{
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var row = await _db.QueryFirstOrDefaultAsync<PosDto>(
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"SELECT quantity AS Quantity, avg_price AS AvgPrice FROM `core_position` " +
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"WHERE module = @module AND symbol = @symbol",
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new { module, symbol });
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return row?.Quantity ?? 0;
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}
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public async Task<IReadOnlyList<Position>> GetPositionsAsync(string module, CancellationToken ct = default)
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{
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var rows = await _db.QueryAsync<Position>(
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"SELECT module AS Module, symbol AS Symbol, quantity AS Quantity, avg_price AS AvgPrice " +
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"FROM `core_position` WHERE module = @module AND quantity > 0",
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new { module });
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return rows.ToList();
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}
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public async Task RecordFillAsync(
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string module, string symbol, TradeSide side,
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int quantity, decimal price, string? orderId, CancellationToken ct = default)
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{
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if (quantity <= 0) return;
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var action = side == TradeSide.Buy ? "BUY" : "SELL";
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await _history.RecordTradeAsync(module, symbol, action, quantity, price, orderId);
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var current = await _db.QueryFirstOrDefaultAsync<PosDto>(
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"SELECT quantity AS Quantity, avg_price AS AvgPrice FROM `core_position` " +
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"WHERE module = @module AND symbol = @symbol",
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new { module, symbol });
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var oldQty = current?.Quantity ?? 0;
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var oldAvg = current?.AvgPrice ?? 0m;
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if (side == TradeSide.Buy)
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{
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var newQty = oldQty + quantity;
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var newAvg = oldQty > 0 ? (oldQty * oldAvg + quantity * price) / newQty : price;
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await UpsertPositionAsync(module, symbol, newQty, newAvg);
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await _budget.ReserveBudgetAsync(module, quantity * price);
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}
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else
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{
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var newQty = oldQty - quantity;
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if (newQty <= 0)
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await DeletePositionAsync(module, symbol);
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else
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await UpsertPositionAsync(module, symbol, newQty, oldAvg);
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await _budget.ReleaseBudgetAsync(module, quantity * price);
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}
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_logger.Info(module, $"Position gebucht: {action} {quantity}x {symbol} @ {price:F2}");
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}
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private Task UpsertPositionAsync(string module, string symbol, int quantity, decimal avgPrice) =>
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_db.ExecuteAsync(@"
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INSERT INTO `core_position` (module, symbol, quantity, avg_price)
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VALUES (@module, @symbol, @quantity, @avgPrice)
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ON DUPLICATE KEY UPDATE quantity = @quantity, avg_price = @avgPrice",
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new { module, symbol, quantity, avgPrice });
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private Task DeletePositionAsync(string module, string symbol) =>
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_db.ExecuteAsync(
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"DELETE FROM `core_position` WHERE module = @module AND symbol = @symbol",
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new { module, symbol });
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}
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@@ -0,0 +1,74 @@
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namespace IBKRTrader.Core.Trading;
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/// <summary>
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/// Reine Risiko-/Sizing-Logik – keine externen Abhängigkeiten, vollständig unit-testbar.
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///
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/// Regeln:
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/// - Kauf: Nominalwert = min(Wunsch, Kontowert × MaxTradePercent); Stückzahl = floor(Nominal / Kurs).
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/// Ablehnung bei ungültigem Kurs, Stückzahl < 1, Überschreitung des Modul-Limits
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/// oder zu hoher Slippage (bei Limit-Order).
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/// - Verkauf: schließt die vorhandene Position (Stückzahl = gehaltene Menge);
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/// Ablehnung, wenn keine Position vorhanden ist.
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/// </summary>
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public sealed class RiskService : IRiskService
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{
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public RiskDecision Evaluate(TradeSignal signal, RiskContext context, RiskParameters risk)
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{
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if (context.Price <= 0)
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return RiskDecision.Reject("Ungültiger Kurs (<= 0).");
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if (SlippageTooHigh(signal, context, risk, out var slipReason))
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return RiskDecision.Reject(slipReason);
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return signal.Side == TradeSide.Sell
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? EvaluateSell(context)
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: EvaluateBuy(context, signal, risk);
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}
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private static RiskDecision EvaluateSell(RiskContext context)
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{
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if (context.ExistingQuantity <= 0)
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return RiskDecision.Reject("Keine Position zum Verkauf vorhanden.");
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return RiskDecision.Approve(context.ExistingQuantity, "Verkauf schließt Position.");
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}
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private static RiskDecision EvaluateBuy(RiskContext context, TradeSignal signal, RiskParameters risk)
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{
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if (context.NetLiquidation <= 0)
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return RiskDecision.Reject("Kontowert unbekannt oder 0.");
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var maxNotional = context.NetLiquidation * (risk.MaxTradePercent / 100m);
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var notional = signal.SuggestedNotional is { } wish && wish > 0
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? Math.Min(wish, maxNotional)
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: maxNotional;
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var quantity = (int)Math.Floor(notional / context.Price);
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if (quantity < 1)
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return RiskDecision.Reject("Positionsgröße < 1 Stück bei aktuellem Kurs/Budget.");
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var projectedExposure = context.ModuleExposure + quantity * context.Price;
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var moduleLimit = context.NetLiquidation * (risk.MaxPositionPercentPerModule / 100m);
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if (projectedExposure > moduleLimit)
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return RiskDecision.Reject(
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$"Modul-Limit überschritten ({projectedExposure:F0} > {moduleLimit:F0}).");
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return RiskDecision.Approve(quantity, $"{quantity} Stück freigegeben.");
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}
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private static bool SlippageTooHigh(
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TradeSignal signal, RiskContext context, RiskParameters risk, out string reason)
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{
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reason = "";
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if (signal.LimitPrice is not { } limit || limit <= 0)
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return false;
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var deviationPct = Math.Abs(context.Price - limit) / limit * 100m;
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if (deviationPct > risk.MaxSlippagePercent)
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{
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reason = $"Slippage zu hoch ({deviationPct:F1}% > {risk.MaxSlippagePercent:F1}%).";
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return true;
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}
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return false;
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}
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}
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@@ -0,0 +1,124 @@
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namespace IBKRTrader.Core.Trading;
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/// <summary>Kauf oder Verkauf.</summary>
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public enum TradeSide { Buy, Sell }
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/// <summary>Order-Typ.</summary>
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public enum OrderType { Market, Limit }
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/// <summary>Handelsmodus – Paper-Account (Test) oder Live.</summary>
|
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public enum TradingMode { Paper, Live }
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|
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/// <summary>
|
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/// Signal, das ein Modul an den <see cref="IExecutionService"/> übergibt.
|
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/// Das Modul liefert nur die Absicht – Sizing, Risiko und Ausführung macht der Core.
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/// </summary>
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public sealed record TradeSignal
|
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{
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/// <summary>Ticker-Symbol (z. B. "AAPL").</summary>
|
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public required string Symbol { get; init; }
|
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|
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/// <summary>Kauf oder Verkauf.</summary>
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public required TradeSide Side { get; init; }
|
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/// <summary>Kürzel des auslösenden Moduls (z. B. "CT").</summary>
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public required string SourceModule { get; init; }
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|
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/// <summary>Begründung des Signals (für Logging/Buchführung).</summary>
|
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public string Reason { get; init; } = "";
|
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|
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/// <summary>Optionaler Limit-Preis. null = Market-Order.</summary>
|
||||
public decimal? LimitPrice { get; init; }
|
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|
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/// <summary>Optionaler Nominalwert-Wunsch; sonst greift das Risiko-Sizing.</summary>
|
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public decimal? SuggestedNotional { get; init; }
|
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}
|
||||
|
||||
/// <summary>Konkrete Order-Anforderung an den Broker.</summary>
|
||||
public sealed record OrderRequest
|
||||
{
|
||||
public required string Symbol { get; init; }
|
||||
public required TradeSide Side { get; init; }
|
||||
public required int Quantity { get; init; }
|
||||
public required OrderType Type { get; init; }
|
||||
public decimal? LimitPrice { get; init; }
|
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}
|
||||
|
||||
/// <summary>Ergebnis einer Order-Platzierung.</summary>
|
||||
public sealed record OrderResult
|
||||
{
|
||||
public bool Success { get; init; }
|
||||
public string? OrderId { get; init; }
|
||||
public int FilledQuantity { get; init; }
|
||||
public decimal AvgFillPrice { get; init; }
|
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public string? Error { get; init; }
|
||||
|
||||
public static OrderResult Filled(string orderId, int qty, decimal price) =>
|
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new() { Success = true, OrderId = orderId, FilledQuantity = qty, AvgFillPrice = price };
|
||||
|
||||
public static OrderResult Fail(string error) =>
|
||||
new() { Success = false, Error = error };
|
||||
}
|
||||
|
||||
/// <summary>Momentaufnahme eines Kurses.</summary>
|
||||
public sealed record Quote(string Symbol, decimal Last, decimal Bid, decimal Ask);
|
||||
|
||||
/// <summary>Kontostand-Momentaufnahme des Brokers.</summary>
|
||||
public sealed record AccountState(decimal NetLiquidation, decimal AvailableFunds);
|
||||
|
||||
/// <summary>Offene Position eines Moduls.</summary>
|
||||
public sealed record Position(string Module, string Symbol, int Quantity, decimal AvgPrice)
|
||||
{
|
||||
public decimal Notional => Quantity * AvgPrice;
|
||||
}
|
||||
|
||||
/// <summary>Kontext für die Risikobewertung eines Signals.</summary>
|
||||
public sealed record RiskContext
|
||||
{
|
||||
/// <summary>Aktueller Kurs des Symbols.</summary>
|
||||
public required decimal Price { get; init; }
|
||||
|
||||
/// <summary>Netto-Liquidationswert des Kontos.</summary>
|
||||
public required decimal NetLiquidation { get; init; }
|
||||
|
||||
/// <summary>Aktuell vom Modul gehaltener Nominalwert (Summe offener Positionen).</summary>
|
||||
public decimal ModuleExposure { get; init; }
|
||||
|
||||
/// <summary>Bereits gehaltene Stückzahl für das Signal-Symbol.</summary>
|
||||
public int ExistingQuantity { get; init; }
|
||||
}
|
||||
|
||||
/// <summary>Aus den Settings abgeleitete Risiko-Parameter.</summary>
|
||||
public sealed record RiskParameters(
|
||||
decimal MaxTradePercent,
|
||||
decimal MaxPositionPercentPerModule,
|
||||
decimal MaxSlippagePercent);
|
||||
|
||||
/// <summary>Entscheidung der Risikoprüfung.</summary>
|
||||
public sealed record RiskDecision
|
||||
{
|
||||
public bool Approved { get; init; }
|
||||
public int Quantity { get; init; }
|
||||
public string Reason { get; init; } = "";
|
||||
|
||||
public static RiskDecision Reject(string reason) =>
|
||||
new() { Approved = false, Quantity = 0, Reason = reason };
|
||||
|
||||
public static RiskDecision Approve(int quantity, string reason = "OK") =>
|
||||
new() { Approved = true, Quantity = quantity, Reason = reason };
|
||||
}
|
||||
|
||||
/// <summary>Ergebnis einer Signal-Ausführung durch den <see cref="IExecutionService"/>.</summary>
|
||||
public sealed record ExecutionResult
|
||||
{
|
||||
/// <summary>"EXECUTE", "SKIP" oder "ERROR".</summary>
|
||||
public required string Action { get; init; }
|
||||
public string Reason { get; init; } = "";
|
||||
public OrderResult? Order { get; init; }
|
||||
|
||||
public bool Executed => Action == "EXECUTE";
|
||||
|
||||
public static ExecutionResult Skip(string reason) => new() { Action = "SKIP", Reason = reason };
|
||||
public static ExecutionResult Error(string reason, OrderResult? order = null) => new() { Action = "ERROR", Reason = reason, Order = order };
|
||||
public static ExecutionResult Execute(OrderResult order) => new() { Action = "EXECUTE", Reason = "OK", Order = order };
|
||||
}
|
||||
Reference in New Issue
Block a user