Add developer guide PDF with flow diagrams
Browse files16-page guide covering system architecture, Kafka message flow, MDF regime
engine, RL agent observation space, AI strategy decision flow, session
lifecycle, database schema, and configuration reference. Includes 6
matplotlib-generated flow diagrams. Regenerate with: python docs/generate_dev_guide.py
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- docs/generate_dev_guide.py +985 -0
docs/generate_dev_guide.py
ADDED
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|
| 1 |
+
#!/usr/bin/env python3
|
| 2 |
+
"""Generate StockEx Developer's Guide PDF with flow diagrams."""
|
| 3 |
+
|
| 4 |
+
import os
|
| 5 |
+
import sys
|
| 6 |
+
import textwrap
|
| 7 |
+
from io import BytesIO
|
| 8 |
+
|
| 9 |
+
import matplotlib
|
| 10 |
+
matplotlib.use("Agg")
|
| 11 |
+
import matplotlib.pyplot as plt
|
| 12 |
+
import matplotlib.patches as mpatches
|
| 13 |
+
from matplotlib.patches import FancyBboxPatch, FancyArrowPatch
|
| 14 |
+
import numpy as np
|
| 15 |
+
|
| 16 |
+
from fpdf import FPDF
|
| 17 |
+
|
| 18 |
+
OUT_DIR = os.path.dirname(os.path.abspath(__file__))
|
| 19 |
+
OUT_FILE = os.path.join(OUT_DIR, "StockEx_Developer_Guide.pdf")
|
| 20 |
+
|
| 21 |
+
# ββ Colours βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 22 |
+
C_PRIMARY = "#1a237e"
|
| 23 |
+
C_SECONDARY = "#283593"
|
| 24 |
+
C_ACCENT = "#42a5f5"
|
| 25 |
+
C_KAFKA = "#e65100"
|
| 26 |
+
C_SERVICE = "#1565c0"
|
| 27 |
+
C_DB = "#2e7d32"
|
| 28 |
+
C_AI = "#6a1b9a"
|
| 29 |
+
C_RL = "#00695c"
|
| 30 |
+
C_LLM = "#bf360c"
|
| 31 |
+
C_BG = "#f5f5f5"
|
| 32 |
+
C_LIGHT = "#e3f2fd"
|
| 33 |
+
|
| 34 |
+
|
| 35 |
+
def hex_to_rgb(h):
|
| 36 |
+
h = h.lstrip("#")
|
| 37 |
+
return tuple(int(h[i:i+2], 16) for i in (0, 2, 4))
|
| 38 |
+
|
| 39 |
+
|
| 40 |
+
# ββ Diagram helpers βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 41 |
+
|
| 42 |
+
def save_fig_to_bytes(fig) -> bytes:
|
| 43 |
+
buf = BytesIO()
|
| 44 |
+
fig.savefig(buf, format="png", dpi=180, bbox_inches="tight", facecolor="white")
|
| 45 |
+
plt.close(fig)
|
| 46 |
+
buf.seek(0)
|
| 47 |
+
return buf.read()
|
| 48 |
+
|
| 49 |
+
|
| 50 |
+
def draw_box(ax, x, y, w, h, label, color=C_SERVICE, fontsize=8, sublabel=None):
|
| 51 |
+
box = FancyBboxPatch((x, y), w, h, boxstyle="round,pad=0.02",
|
| 52 |
+
facecolor=color, edgecolor="#333", linewidth=0.8, alpha=0.85)
|
| 53 |
+
ax.add_patch(box)
|
| 54 |
+
if sublabel:
|
| 55 |
+
ax.text(x + w/2, y + h*0.62, label, ha="center", va="center",
|
| 56 |
+
fontsize=fontsize, fontweight="bold", color="white")
|
| 57 |
+
ax.text(x + w/2, y + h*0.32, sublabel, ha="center", va="center",
|
| 58 |
+
fontsize=fontsize-1.5, color="#ddd")
|
| 59 |
+
else:
|
| 60 |
+
ax.text(x + w/2, y + h/2, label, ha="center", va="center",
|
| 61 |
+
fontsize=fontsize, fontweight="bold", color="white")
|
| 62 |
+
|
| 63 |
+
|
| 64 |
+
def draw_arrow(ax, x1, y1, x2, y2, color="#555", style="->"):
|
| 65 |
+
ax.annotate("", xy=(x2, y2), xytext=(x1, y1),
|
| 66 |
+
arrowprops=dict(arrowstyle=style, color=color, lw=1.2))
|
| 67 |
+
|
| 68 |
+
|
| 69 |
+
def draw_arrow_label(ax, x1, y1, x2, y2, label, color="#555"):
|
| 70 |
+
draw_arrow(ax, x1, y1, x2, y2, color)
|
| 71 |
+
mx, my = (x1+x2)/2, (y1+y2)/2
|
| 72 |
+
ax.text(mx, my + 0.02, label, ha="center", va="bottom", fontsize=5.5, color=color)
|
| 73 |
+
|
| 74 |
+
|
| 75 |
+
# ββ Diagram 1: System Architecture ββββββββββββββββββββββββββββββββββββββββββββ
|
| 76 |
+
|
| 77 |
+
def diagram_architecture():
|
| 78 |
+
fig, ax = plt.subplots(1, 1, figsize=(10, 6.5))
|
| 79 |
+
ax.set_xlim(0, 1)
|
| 80 |
+
ax.set_ylim(0, 1)
|
| 81 |
+
ax.axis("off")
|
| 82 |
+
ax.set_title("System Architecture β Single Container", fontsize=12,
|
| 83 |
+
fontweight="bold", color=C_PRIMARY, pad=15)
|
| 84 |
+
|
| 85 |
+
# nginx
|
| 86 |
+
draw_box(ax, 0.30, 0.90, 0.40, 0.07, "nginx :7860", "#546e7a", 9, "Reverse Proxy")
|
| 87 |
+
|
| 88 |
+
# Row 1: input services
|
| 89 |
+
draw_box(ax, 0.02, 0.74, 0.18, 0.10, "MD Feeder", C_SERVICE, 8, "Regime Engine")
|
| 90 |
+
draw_box(ax, 0.22, 0.74, 0.15, 0.10, "FIX OEG", C_SERVICE, 8, ":5001")
|
| 91 |
+
draw_box(ax, 0.39, 0.74, 0.15, 0.10, "FIX UI", C_SERVICE, 8, ":5002")
|
| 92 |
+
draw_box(ax, 0.56, 0.74, 0.15, 0.10, "Frontend", C_SERVICE, 8, ":5003")
|
| 93 |
+
draw_box(ax, 0.73, 0.74, 0.18, 0.10, "AI Analyst", C_AI, 8, "LLM")
|
| 94 |
+
|
| 95 |
+
# Kafka
|
| 96 |
+
draw_box(ax, 0.10, 0.55, 0.80, 0.10, "Apache Kafka (KRaft)", C_KAFKA, 10,
|
| 97 |
+
"orders | trades | snapshots | control | ai_insights")
|
| 98 |
+
|
| 99 |
+
# Row 2: core services
|
| 100 |
+
draw_box(ax, 0.05, 0.32, 0.20, 0.12, "Matcher", C_SERVICE, 9, ":6000 SQLite")
|
| 101 |
+
draw_box(ax, 0.30, 0.32, 0.25, 0.12, "Dashboard", C_SERVICE, 9, ":5000 SSE + OHLCV")
|
| 102 |
+
draw_box(ax, 0.60, 0.32, 0.28, 0.12, "Clearing House", C_RL, 9, ":5004 RL + LLM Members")
|
| 103 |
+
|
| 104 |
+
# Databases
|
| 105 |
+
draw_box(ax, 0.07, 0.17, 0.16, 0.07, "matcher.db", C_DB, 7, "SQLite")
|
| 106 |
+
draw_box(ax, 0.32, 0.17, 0.16, 0.07, "OHLCV.db", C_DB, 7, "SQLite")
|
| 107 |
+
draw_box(ax, 0.64, 0.17, 0.20, 0.07, "clearing_house.db", C_DB, 7, "SQLite")
|
| 108 |
+
|
| 109 |
+
# Browser
|
| 110 |
+
draw_box(ax, 0.30, 0.03, 0.40, 0.07, "Browser", "#37474f", 10, "SSE / REST")
|
| 111 |
+
|
| 112 |
+
# Arrows: nginx β services
|
| 113 |
+
for x in [0.11, 0.295, 0.465, 0.635]:
|
| 114 |
+
draw_arrow(ax, 0.50, 0.90, x + 0.05, 0.84, "#78909c")
|
| 115 |
+
|
| 116 |
+
# Arrows: services β kafka
|
| 117 |
+
for x in [0.11, 0.295, 0.465, 0.635, 0.82]:
|
| 118 |
+
draw_arrow(ax, x + 0.05, 0.74, x + 0.05, 0.65, C_KAFKA)
|
| 119 |
+
|
| 120 |
+
# Arrows: kafka β consumers
|
| 121 |
+
draw_arrow(ax, 0.25, 0.55, 0.15, 0.44, C_KAFKA)
|
| 122 |
+
draw_arrow(ax, 0.50, 0.55, 0.42, 0.44, C_KAFKA)
|
| 123 |
+
draw_arrow(ax, 0.70, 0.55, 0.74, 0.44, C_KAFKA)
|
| 124 |
+
|
| 125 |
+
# Arrows: services β DBs
|
| 126 |
+
draw_arrow(ax, 0.15, 0.32, 0.15, 0.24, C_DB)
|
| 127 |
+
draw_arrow(ax, 0.42, 0.32, 0.40, 0.24, C_DB)
|
| 128 |
+
draw_arrow(ax, 0.74, 0.32, 0.74, 0.24, C_DB)
|
| 129 |
+
|
| 130 |
+
# Dashboard β browser
|
| 131 |
+
draw_arrow(ax, 0.42, 0.32, 0.50, 0.10, "#37474f")
|
| 132 |
+
|
| 133 |
+
return save_fig_to_bytes(fig)
|
| 134 |
+
|
| 135 |
+
|
| 136 |
+
# ββ Diagram 2: Message Flow ββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 137 |
+
|
| 138 |
+
def diagram_message_flow():
|
| 139 |
+
fig, ax = plt.subplots(1, 1, figsize=(10, 5))
|
| 140 |
+
ax.set_xlim(0, 1)
|
| 141 |
+
ax.set_ylim(0, 1)
|
| 142 |
+
ax.axis("off")
|
| 143 |
+
ax.set_title("Kafka Message Flow", fontsize=12, fontweight="bold",
|
| 144 |
+
color=C_PRIMARY, pad=15)
|
| 145 |
+
|
| 146 |
+
# Producers (left)
|
| 147 |
+
draw_box(ax, 0.02, 0.80, 0.16, 0.08, "MD Feeder", C_SERVICE, 7)
|
| 148 |
+
draw_box(ax, 0.02, 0.65, 0.16, 0.08, "FIX OEG", C_SERVICE, 7)
|
| 149 |
+
draw_box(ax, 0.02, 0.50, 0.16, 0.08, "Frontend", C_SERVICE, 7)
|
| 150 |
+
draw_box(ax, 0.02, 0.35, 0.16, 0.08, "Clearing House", C_RL, 7)
|
| 151 |
+
draw_box(ax, 0.02, 0.20, 0.16, 0.08, "Dashboard", C_SERVICE, 7)
|
| 152 |
+
|
| 153 |
+
# Kafka topics (center)
|
| 154 |
+
topics = ["orders", "trades", "snapshots", "control", "ai_insights"]
|
| 155 |
+
colors = ["#e65100", "#d84315", "#bf360c", "#ff6f00", "#f57c00"]
|
| 156 |
+
for i, (t, c) in enumerate(zip(topics, colors)):
|
| 157 |
+
y = 0.82 - i * 0.155
|
| 158 |
+
draw_box(ax, 0.35, y, 0.16, 0.07, t, c, 8)
|
| 159 |
+
|
| 160 |
+
# Consumers (right)
|
| 161 |
+
draw_box(ax, 0.68, 0.80, 0.16, 0.08, "Matcher", C_SERVICE, 7)
|
| 162 |
+
draw_box(ax, 0.68, 0.65, 0.16, 0.08, "Dashboard", C_SERVICE, 7)
|
| 163 |
+
draw_box(ax, 0.68, 0.50, 0.16, 0.08, "Clearing House", C_RL, 7)
|
| 164 |
+
draw_box(ax, 0.68, 0.35, 0.16, 0.08, "MD Feeder", C_SERVICE, 7)
|
| 165 |
+
draw_box(ax, 0.68, 0.20, 0.16, 0.08, "AI Analyst", C_AI, 7)
|
| 166 |
+
|
| 167 |
+
# Producer arrows
|
| 168 |
+
draw_arrow_label(ax, 0.18, 0.84, 0.35, 0.855, "orders+snap", C_KAFKA)
|
| 169 |
+
draw_arrow_label(ax, 0.18, 0.69, 0.35, 0.855, "orders", C_KAFKA)
|
| 170 |
+
draw_arrow_label(ax, 0.18, 0.54, 0.35, 0.855, "orders", C_KAFKA)
|
| 171 |
+
draw_arrow_label(ax, 0.18, 0.39, 0.35, 0.855, "orders", C_KAFKA)
|
| 172 |
+
draw_arrow(ax, 0.18, 0.24, 0.35, 0.545, "#ff6f00")
|
| 173 |
+
|
| 174 |
+
# Matcher β trades
|
| 175 |
+
draw_arrow(ax, 0.68, 0.82, 0.51, 0.72, "#d84315")
|
| 176 |
+
|
| 177 |
+
# Consumer arrows
|
| 178 |
+
draw_arrow(ax, 0.51, 0.855, 0.68, 0.84, C_KAFKA) # orders β matcher
|
| 179 |
+
draw_arrow(ax, 0.51, 0.82, 0.68, 0.69, C_KAFKA) # orders β dashboard
|
| 180 |
+
draw_arrow(ax, 0.51, 0.70, 0.68, 0.69, "#d84315") # trades β dashboard
|
| 181 |
+
draw_arrow(ax, 0.51, 0.70, 0.68, 0.54, "#d84315") # trades β CH
|
| 182 |
+
draw_arrow(ax, 0.51, 0.545, 0.68, 0.39, "#ff6f00") # control β MDF
|
| 183 |
+
draw_arrow(ax, 0.51, 0.545, 0.68, 0.54, "#ff6f00") # control β CH
|
| 184 |
+
draw_arrow(ax, 0.51, 0.39, 0.68, 0.24, "#f57c00") # insights β analyst
|
| 185 |
+
|
| 186 |
+
# Labels
|
| 187 |
+
ax.text(0.10, 0.95, "Producers", ha="center", fontsize=9, fontweight="bold", color="#555")
|
| 188 |
+
ax.text(0.43, 0.95, "Kafka Topics", ha="center", fontsize=9, fontweight="bold", color=C_KAFKA)
|
| 189 |
+
ax.text(0.76, 0.95, "Consumers", ha="center", fontsize=9, fontweight="bold", color="#555")
|
| 190 |
+
|
| 191 |
+
return save_fig_to_bytes(fig)
|
| 192 |
+
|
| 193 |
+
|
| 194 |
+
# ββ Diagram 3: AI Strategy Decision Flow βββββββββββββββββββββββββββββββββββββ
|
| 195 |
+
|
| 196 |
+
def diagram_ai_strategy():
|
| 197 |
+
fig, ax = plt.subplots(1, 1, figsize=(10, 6))
|
| 198 |
+
ax.set_xlim(0, 1)
|
| 199 |
+
ax.set_ylim(0, 1)
|
| 200 |
+
ax.axis("off")
|
| 201 |
+
ax.set_title("AI Trading Strategy β Decision Flow", fontsize=12,
|
| 202 |
+
fontweight="bold", color=C_PRIMARY, pad=15)
|
| 203 |
+
|
| 204 |
+
# Strategy selector
|
| 205 |
+
draw_box(ax, 0.30, 0.88, 0.40, 0.07, "CH_AI_STRATEGY", "#37474f", 9,
|
| 206 |
+
"hybrid (default) | rl | llm")
|
| 207 |
+
|
| 208 |
+
# Hybrid split
|
| 209 |
+
draw_box(ax, 0.10, 0.72, 0.35, 0.08, "RL Path (USR01-05)", C_RL, 8)
|
| 210 |
+
draw_box(ax, 0.55, 0.72, 0.35, 0.08, "LLM Path (USR06-10)", C_LLM, 8)
|
| 211 |
+
|
| 212 |
+
# RL pipeline
|
| 213 |
+
draw_box(ax, 0.02, 0.56, 0.20, 0.07, "Kafka Trades", C_KAFKA, 7)
|
| 214 |
+
draw_box(ax, 0.02, 0.44, 0.20, 0.07, "OHLCV Bars", C_RL, 7, "60-bar window")
|
| 215 |
+
draw_box(ax, 0.02, 0.32, 0.20, 0.07, "50 Indicators", C_RL, 7, "SMA/EMA/MACD/RSI/BB")
|
| 216 |
+
draw_box(ax, 0.02, 0.20, 0.20, 0.07, "Scaler", C_RL, 7, "StandardScaler")
|
| 217 |
+
draw_box(ax, 0.02, 0.08, 0.20, 0.07, "PPO Neural Net", C_RL, 7, "3008-dim β action")
|
| 218 |
+
|
| 219 |
+
# RL output
|
| 220 |
+
draw_box(ax, 0.28, 0.08, 0.18, 0.07, "Hold/Buy/Sell\n+ size", "#004d40", 7)
|
| 221 |
+
|
| 222 |
+
# LLM pipeline
|
| 223 |
+
draw_box(ax, 0.58, 0.56, 0.20, 0.07, "Build Prompt", C_LLM, 7, "member state + BBOs")
|
| 224 |
+
draw_box(ax, 0.58, 0.44, 0.20, 0.07, "Groq API", C_LLM, 7, "free tier")
|
| 225 |
+
draw_box(ax, 0.58, 0.32, 0.20, 0.07, "HuggingFace", C_LLM, 7, "fallback #1")
|
| 226 |
+
draw_box(ax, 0.58, 0.20, 0.20, 0.07, "Ollama", C_LLM, 7, "fallback #2")
|
| 227 |
+
draw_box(ax, 0.58, 0.08, 0.20, 0.07, "Parse JSON", C_LLM, 7, "β order dict")
|
| 228 |
+
|
| 229 |
+
# Rule-based fallback
|
| 230 |
+
draw_box(ax, 0.82, 0.08, 0.16, 0.07, "Rule-Based\nFallback", "#455a64", 7)
|
| 231 |
+
|
| 232 |
+
# Arrows - strategy selector
|
| 233 |
+
draw_arrow(ax, 0.40, 0.88, 0.27, 0.80, C_RL)
|
| 234 |
+
draw_arrow(ax, 0.60, 0.88, 0.72, 0.80, C_LLM)
|
| 235 |
+
|
| 236 |
+
# RL pipeline arrows
|
| 237 |
+
draw_arrow(ax, 0.12, 0.56, 0.12, 0.51, C_RL)
|
| 238 |
+
draw_arrow(ax, 0.12, 0.44, 0.12, 0.39, C_RL)
|
| 239 |
+
draw_arrow(ax, 0.12, 0.32, 0.12, 0.27, C_RL)
|
| 240 |
+
draw_arrow(ax, 0.12, 0.20, 0.12, 0.15, C_RL)
|
| 241 |
+
draw_arrow(ax, 0.22, 0.11, 0.28, 0.11, C_RL)
|
| 242 |
+
|
| 243 |
+
# LLM pipeline arrows
|
| 244 |
+
draw_arrow(ax, 0.68, 0.56, 0.68, 0.51, C_LLM)
|
| 245 |
+
draw_arrow(ax, 0.68, 0.44, 0.68, 0.39, C_LLM)
|
| 246 |
+
draw_arrow(ax, 0.68, 0.32, 0.68, 0.27, C_LLM)
|
| 247 |
+
draw_arrow(ax, 0.68, 0.20, 0.68, 0.15, C_LLM)
|
| 248 |
+
|
| 249 |
+
# Fallback arrows
|
| 250 |
+
draw_arrow(ax, 0.46, 0.11, 0.58, 0.11, "#888")
|
| 251 |
+
ax.text(0.52, 0.13, "fail?", ha="center", fontsize=6, color="#888")
|
| 252 |
+
draw_arrow(ax, 0.78, 0.11, 0.82, 0.11, "#888")
|
| 253 |
+
ax.text(0.80, 0.13, "fail?", ha="center", fontsize=6, color="#888")
|
| 254 |
+
|
| 255 |
+
# Submit
|
| 256 |
+
draw_box(ax, 0.35, 0.00, 0.30, 0.05, "β Submit Order to Kafka 'orders'", C_KAFKA, 7)
|
| 257 |
+
|
| 258 |
+
return save_fig_to_bytes(fig)
|
| 259 |
+
|
| 260 |
+
|
| 261 |
+
# ββ Diagram 4: MDF Regime Engine βββββββββββββββββββββββββββββββββββββββββββββ
|
| 262 |
+
|
| 263 |
+
def diagram_mdf_regimes():
|
| 264 |
+
fig, ax = plt.subplots(1, 1, figsize=(10, 4.5))
|
| 265 |
+
ax.set_xlim(0, 1)
|
| 266 |
+
ax.set_ylim(0, 1)
|
| 267 |
+
ax.axis("off")
|
| 268 |
+
ax.set_title("MD Feeder β Regime-Based Price Dynamics", fontsize=12,
|
| 269 |
+
fontweight="bold", color=C_PRIMARY, pad=15)
|
| 270 |
+
|
| 271 |
+
# Regimes
|
| 272 |
+
regimes = [
|
| 273 |
+
("trending_up", 0.04, "#1b5e20", "Positive drift\n+ momentum\nRSI β, MACD > 0"),
|
| 274 |
+
("trending_down", 0.22, "#b71c1c", "Negative drift\n+ momentum\nRSI β, MACD < 0"),
|
| 275 |
+
("mean_revert", 0.40, "#1565c0", "Pull to start\nprice\nRSI β 50"),
|
| 276 |
+
("volatile", 0.58, "#e65100", "Wide swings\nexpanded spread\nBB width β"),
|
| 277 |
+
("calm", 0.76, "#37474f", "Tight range\nnarrow spread\nBB width β"),
|
| 278 |
+
]
|
| 279 |
+
for name, x, color, desc in regimes:
|
| 280 |
+
draw_box(ax, x, 0.55, 0.16, 0.10, name, color, 7)
|
| 281 |
+
ax.text(x + 0.08, 0.48, desc, ha="center", va="top", fontsize=6,
|
| 282 |
+
color="#333", linespacing=1.4)
|
| 283 |
+
|
| 284 |
+
# Transition
|
| 285 |
+
draw_box(ax, 0.25, 0.20, 0.50, 0.07, "Auto-rotate every 15-50 ticks", "#546e7a", 8,
|
| 286 |
+
"Bias: mean_revert when price deviates > 15% from start")
|
| 287 |
+
|
| 288 |
+
# Arrows from regimes to transition
|
| 289 |
+
for name, x, _, _ in regimes:
|
| 290 |
+
draw_arrow(ax, x + 0.08, 0.55, 0.50, 0.27, "#999")
|
| 291 |
+
|
| 292 |
+
# Output
|
| 293 |
+
draw_box(ax, 0.15, 0.03, 0.70, 0.08, "Snapshot with Indicators: SMA(5,20), EMA(12,26), MACD, RSI(14), BB position, regime",
|
| 294 |
+
C_KAFKA, 7)
|
| 295 |
+
draw_arrow(ax, 0.50, 0.20, 0.50, 0.11, C_KAFKA)
|
| 296 |
+
|
| 297 |
+
return save_fig_to_bytes(fig)
|
| 298 |
+
|
| 299 |
+
|
| 300 |
+
# ββ Diagram 5: RL Observation Space ββββββββββββββββββββββββββββββββββββββββββ
|
| 301 |
+
|
| 302 |
+
def diagram_rl_observation():
|
| 303 |
+
fig, ax = plt.subplots(1, 1, figsize=(10, 4))
|
| 304 |
+
ax.set_xlim(0, 1)
|
| 305 |
+
ax.set_ylim(0, 1)
|
| 306 |
+
ax.axis("off")
|
| 307 |
+
ax.set_title("RL Agent β Observation Space (3,008 dimensions)", fontsize=12,
|
| 308 |
+
fontweight="bold", color=C_PRIMARY, pad=15)
|
| 309 |
+
|
| 310 |
+
# 60 bars
|
| 311 |
+
draw_box(ax, 0.02, 0.65, 0.20, 0.12, "60 OHLCV\nBars", C_RL, 8)
|
| 312 |
+
|
| 313 |
+
# 20 base features
|
| 314 |
+
draw_box(ax, 0.28, 0.75, 0.30, 0.12,
|
| 315 |
+
"20 Base Features", C_RL, 8,
|
| 316 |
+
"Close, Vol, SMA(5,10,20,50)\nEMA(12,26), RSI, MACD, Signal\nBB(upper,lower,width,pos)...")
|
| 317 |
+
|
| 318 |
+
# 30 lag features
|
| 319 |
+
draw_box(ax, 0.28, 0.55, 0.30, 0.12,
|
| 320 |
+
"30 Lag Features", C_RL, 8,
|
| 321 |
+
"Close, Vol, PriceChg, RSI\nMACD, Volatility\n@ lags 1,2,3,5,10")
|
| 322 |
+
|
| 323 |
+
# = 50 per bar
|
| 324 |
+
draw_box(ax, 0.65, 0.65, 0.14, 0.12, "50 features\nΓ 60 bars\n= 3,000", "#004d40", 8)
|
| 325 |
+
|
| 326 |
+
# Portfolio
|
| 327 |
+
draw_box(ax, 0.65, 0.40, 0.14, 0.15, "8 Portfolio\nFeatures", "#004d40", 8,
|
| 328 |
+
"capital, qty, net_worth\nreturns, held_value...")
|
| 329 |
+
|
| 330 |
+
# Total
|
| 331 |
+
draw_box(ax, 0.84, 0.55, 0.14, 0.15, "3,008-dim\nObservation\nVector", C_PRIMARY, 9)
|
| 332 |
+
|
| 333 |
+
# Arrows
|
| 334 |
+
draw_arrow(ax, 0.22, 0.71, 0.28, 0.81, C_RL)
|
| 335 |
+
draw_arrow(ax, 0.22, 0.71, 0.28, 0.61, C_RL)
|
| 336 |
+
draw_arrow(ax, 0.58, 0.81, 0.65, 0.75, "#004d40")
|
| 337 |
+
draw_arrow(ax, 0.58, 0.61, 0.65, 0.67, "#004d40")
|
| 338 |
+
draw_arrow(ax, 0.79, 0.71, 0.84, 0.66, C_PRIMARY)
|
| 339 |
+
draw_arrow(ax, 0.79, 0.47, 0.84, 0.58, C_PRIMARY)
|
| 340 |
+
|
| 341 |
+
# PPO
|
| 342 |
+
draw_box(ax, 0.30, 0.15, 0.40, 0.12, "PPO MlpPolicy (~2.5 MB)", C_PRIMARY, 9,
|
| 343 |
+
"Forward pass β [action_type (0-2), position_size (0-1)]")
|
| 344 |
+
draw_arrow(ax, 0.91, 0.55, 0.70, 0.27, C_PRIMARY)
|
| 345 |
+
|
| 346 |
+
# Output
|
| 347 |
+
draw_box(ax, 0.30, 0.00, 0.13, 0.07, "0: Hold", "#78909c", 7)
|
| 348 |
+
draw_box(ax, 0.45, 0.00, 0.11, 0.07, "1: Buy", "#1b5e20", 7)
|
| 349 |
+
draw_box(ax, 0.58, 0.00, 0.11, 0.07, "2: Sell", "#b71c1c", 7)
|
| 350 |
+
draw_arrow(ax, 0.50, 0.15, 0.37, 0.07, "#78909c")
|
| 351 |
+
draw_arrow(ax, 0.50, 0.15, 0.50, 0.07, "#1b5e20")
|
| 352 |
+
draw_arrow(ax, 0.50, 0.15, 0.63, 0.07, "#b71c1c")
|
| 353 |
+
|
| 354 |
+
return save_fig_to_bytes(fig)
|
| 355 |
+
|
| 356 |
+
|
| 357 |
+
# ββ Diagram 6: Clearing House Lifecycle ββββββββββββββββββββββββββββββββββββββ
|
| 358 |
+
|
| 359 |
+
def diagram_ch_lifecycle():
|
| 360 |
+
fig, ax = plt.subplots(1, 1, figsize=(10, 4.5))
|
| 361 |
+
ax.set_xlim(0, 1)
|
| 362 |
+
ax.set_ylim(0, 1)
|
| 363 |
+
ax.axis("off")
|
| 364 |
+
ax.set_title("Clearing House β Session Lifecycle", fontsize=12,
|
| 365 |
+
fontweight="bold", color=C_PRIMARY, pad=15)
|
| 366 |
+
|
| 367 |
+
# Timeline
|
| 368 |
+
steps = [
|
| 369 |
+
(0.05, "Start of Day", "#1b5e20",
|
| 370 |
+
"Dashboard sends\n'start' to control\ntopic"),
|
| 371 |
+
(0.22, "MDF Generates\nOrders", C_SERVICE,
|
| 372 |
+
"Regime engine\npopulates books\nwith depth"),
|
| 373 |
+
(0.39, "CH AI Trades", C_RL,
|
| 374 |
+
"Every 45s per member\nRL / LLM / hybrid\nβ orders to Kafka"),
|
| 375 |
+
(0.56, "Trade Attribution", C_KAFKA,
|
| 376 |
+
"Trades topic:\ndetect USRxx- prefix\nβ record to CH DB"),
|
| 377 |
+
(0.73, "End of Day", "#b71c1c",
|
| 378 |
+
"Dashboard POSTs\n/ch/eod\nSettlement + P&L"),
|
| 379 |
+
]
|
| 380 |
+
for x, label, color, desc in steps:
|
| 381 |
+
draw_box(ax, x, 0.60, 0.18, 0.12, label, color, 7)
|
| 382 |
+
ax.text(x + 0.09, 0.52, desc, ha="center", va="top", fontsize=6,
|
| 383 |
+
color="#333", linespacing=1.4)
|
| 384 |
+
if x < 0.73:
|
| 385 |
+
draw_arrow(ax, x + 0.18, 0.66, x + 0.21, 0.66, color)
|
| 386 |
+
|
| 387 |
+
# Bottom: obligation check
|
| 388 |
+
draw_box(ax, 0.15, 0.08, 0.70, 0.10, "Daily Obligation Check: β₯ 20 securities traded per member", "#e65100", 8,
|
| 389 |
+
"Members failing obligation flagged in EOD settlement report")
|
| 390 |
+
|
| 391 |
+
draw_arrow(ax, 0.50, 0.60, 0.50, 0.18, "#e65100")
|
| 392 |
+
|
| 393 |
+
return save_fig_to_bytes(fig)
|
| 394 |
+
|
| 395 |
+
|
| 396 |
+
# ββ PDF Builder βββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 397 |
+
|
| 398 |
+
def _ascii(text: str) -> str:
|
| 399 |
+
"""Replace Unicode chars with ASCII equivalents for fpdf core fonts."""
|
| 400 |
+
return (text
|
| 401 |
+
.replace("\u2014", "--") # em-dash
|
| 402 |
+
.replace("\u2013", "-") # en-dash
|
| 403 |
+
.replace("\u2019", "'") # right single quote
|
| 404 |
+
.replace("\u201c", '"') # left double quote
|
| 405 |
+
.replace("\u201d", '"') # right double quote
|
| 406 |
+
.replace("\u2192", "->") # β
|
| 407 |
+
.replace("\u2190", "<-") # β
|
| 408 |
+
.replace("\u2191", "^") # β
|
| 409 |
+
.replace("\u2193", "v") # β
|
| 410 |
+
.replace("\u2265", ">=") # β₯
|
| 411 |
+
.replace("\u2264", "<=") # β€
|
| 412 |
+
.replace("\u00d7", "x") # Γ
|
| 413 |
+
)
|
| 414 |
+
|
| 415 |
+
|
| 416 |
+
class DevGuidePDF(FPDF):
|
| 417 |
+
|
| 418 |
+
def header(self):
|
| 419 |
+
if self.page_no() > 1:
|
| 420 |
+
self.set_font("Helvetica", "I", 8)
|
| 421 |
+
self.set_text_color(120, 120, 120)
|
| 422 |
+
self.cell(0, 5, "StockEx Developer's Guide", align="L")
|
| 423 |
+
self.cell(0, 5, f"Page {self.page_no()}", align="R")
|
| 424 |
+
self.ln(8)
|
| 425 |
+
|
| 426 |
+
def chapter_title(self, title):
|
| 427 |
+
self.set_font("Helvetica", "B", 16)
|
| 428 |
+
self.set_text_color(*hex_to_rgb(C_PRIMARY))
|
| 429 |
+
self.cell(0, 12, _ascii(title), new_x="LMARGIN", new_y="NEXT")
|
| 430 |
+
self.set_draw_color(*hex_to_rgb(C_ACCENT))
|
| 431 |
+
self.set_line_width(0.6)
|
| 432 |
+
self.line(self.l_margin, self.get_y(), self.w - self.r_margin, self.get_y())
|
| 433 |
+
self.ln(4)
|
| 434 |
+
|
| 435 |
+
def section_title(self, title):
|
| 436 |
+
self.set_font("Helvetica", "B", 12)
|
| 437 |
+
self.set_text_color(*hex_to_rgb(C_SECONDARY))
|
| 438 |
+
self.cell(0, 9, _ascii(title), new_x="LMARGIN", new_y="NEXT")
|
| 439 |
+
self.ln(2)
|
| 440 |
+
|
| 441 |
+
def subsection_title(self, title):
|
| 442 |
+
self.set_font("Helvetica", "B", 10)
|
| 443 |
+
self.set_text_color(*hex_to_rgb(C_SECONDARY))
|
| 444 |
+
self.cell(0, 7, _ascii(title), new_x="LMARGIN", new_y="NEXT")
|
| 445 |
+
self.ln(1)
|
| 446 |
+
|
| 447 |
+
def body_text(self, text):
|
| 448 |
+
self.set_font("Helvetica", "", 9)
|
| 449 |
+
self.set_text_color(33, 33, 33)
|
| 450 |
+
self.multi_cell(0, 5, _ascii(text))
|
| 451 |
+
self.ln(2)
|
| 452 |
+
|
| 453 |
+
def code_block(self, text):
|
| 454 |
+
self.set_font("Courier", "", 8)
|
| 455 |
+
self.set_fill_color(240, 240, 240)
|
| 456 |
+
self.set_text_color(50, 50, 50)
|
| 457 |
+
for line in text.strip().split("\n"):
|
| 458 |
+
self.cell(0, 4.5, " " + _ascii(line), new_x="LMARGIN", new_y="NEXT", fill=True)
|
| 459 |
+
self.ln(3)
|
| 460 |
+
|
| 461 |
+
def table(self, headers, rows, col_widths=None):
|
| 462 |
+
if col_widths is None:
|
| 463 |
+
w = (self.w - self.l_margin - self.r_margin) / len(headers)
|
| 464 |
+
col_widths = [w] * len(headers)
|
| 465 |
+
# Header
|
| 466 |
+
self.set_font("Helvetica", "B", 8)
|
| 467 |
+
self.set_fill_color(*hex_to_rgb(C_PRIMARY))
|
| 468 |
+
self.set_text_color(255, 255, 255)
|
| 469 |
+
for i, h in enumerate(headers):
|
| 470 |
+
self.cell(col_widths[i], 6, _ascii(h), border=1, fill=True, align="C")
|
| 471 |
+
self.ln()
|
| 472 |
+
# Rows
|
| 473 |
+
self.set_font("Helvetica", "", 8)
|
| 474 |
+
self.set_text_color(33, 33, 33)
|
| 475 |
+
for j, row in enumerate(rows):
|
| 476 |
+
fill = j % 2 == 0
|
| 477 |
+
if fill:
|
| 478 |
+
self.set_fill_color(245, 245, 245)
|
| 479 |
+
for i, cell in enumerate(row):
|
| 480 |
+
self.cell(col_widths[i], 5.5, _ascii(str(cell)), border=1, fill=fill,
|
| 481 |
+
align="C" if i > 0 else "L")
|
| 482 |
+
self.ln()
|
| 483 |
+
self.ln(3)
|
| 484 |
+
|
| 485 |
+
_diagram_counter = 0
|
| 486 |
+
|
| 487 |
+
def add_diagram(self, img_bytes, w=180):
|
| 488 |
+
DevGuidePDF._diagram_counter += 1
|
| 489 |
+
tmp = os.path.join(OUT_DIR, f"_tmp_diagram_{DevGuidePDF._diagram_counter}.png")
|
| 490 |
+
with open(tmp, "wb") as f:
|
| 491 |
+
f.write(img_bytes)
|
| 492 |
+
self.image(tmp, x=(self.w - w) / 2, w=w)
|
| 493 |
+
os.remove(tmp)
|
| 494 |
+
self.ln(5)
|
| 495 |
+
|
| 496 |
+
|
| 497 |
+
def build_pdf():
|
| 498 |
+
os.makedirs(OUT_DIR, exist_ok=True)
|
| 499 |
+
pdf = DevGuidePDF()
|
| 500 |
+
pdf.set_auto_page_break(auto=True, margin=15)
|
| 501 |
+
|
| 502 |
+
# ββ Cover page ββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 503 |
+
pdf.add_page()
|
| 504 |
+
pdf.ln(50)
|
| 505 |
+
pdf.set_font("Helvetica", "B", 32)
|
| 506 |
+
pdf.set_text_color(*hex_to_rgb(C_PRIMARY))
|
| 507 |
+
pdf.cell(0, 15, "StockEx", align="C", new_x="LMARGIN", new_y="NEXT")
|
| 508 |
+
pdf.set_font("Helvetica", "", 18)
|
| 509 |
+
pdf.set_text_color(100, 100, 100)
|
| 510 |
+
pdf.cell(0, 10, "Developer's Guide", align="C", new_x="LMARGIN", new_y="NEXT")
|
| 511 |
+
pdf.ln(5)
|
| 512 |
+
pdf.set_font("Helvetica", "", 11)
|
| 513 |
+
pdf.cell(0, 7, "Kafka-based Stock Exchange Simulator", align="C", new_x="LMARGIN", new_y="NEXT")
|
| 514 |
+
pdf.cell(0, 7, "with AI-Powered Clearing House Members", align="C", new_x="LMARGIN", new_y="NEXT")
|
| 515 |
+
pdf.ln(20)
|
| 516 |
+
pdf.set_font("Helvetica", "I", 10)
|
| 517 |
+
pdf.set_text_color(150, 150, 150)
|
| 518 |
+
pdf.cell(0, 6, "Version 2.0 | March 2026", align="C", new_x="LMARGIN", new_y="NEXT")
|
| 519 |
+
pdf.cell(0, 6, "github.com/Bonum/StockEx", align="C", new_x="LMARGIN", new_y="NEXT")
|
| 520 |
+
|
| 521 |
+
# ββ Table of Contents ββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 522 |
+
pdf.add_page()
|
| 523 |
+
pdf.chapter_title("Table of Contents")
|
| 524 |
+
toc = [
|
| 525 |
+
"1. System Architecture",
|
| 526 |
+
"2. Kafka Message Flow",
|
| 527 |
+
"3. Services Reference",
|
| 528 |
+
"4. Market Data Feeder β Regime Engine",
|
| 529 |
+
"5. Clearing House β AI Trading Members",
|
| 530 |
+
"6. RL Agent β Neural Network Details",
|
| 531 |
+
"7. LLM Integration",
|
| 532 |
+
"8. Session Lifecycle",
|
| 533 |
+
"9. Database Schema",
|
| 534 |
+
"10. Configuration Reference",
|
| 535 |
+
"11. Deployment",
|
| 536 |
+
]
|
| 537 |
+
for item in toc:
|
| 538 |
+
pdf.set_font("Helvetica", "", 11)
|
| 539 |
+
pdf.set_text_color(33, 33, 33)
|
| 540 |
+
pdf.cell(0, 7, _ascii(item), new_x="LMARGIN", new_y="NEXT")
|
| 541 |
+
|
| 542 |
+
# ββ 1. System Architecture ββββββββββββββββββββββββββββββββββββββββββββ
|
| 543 |
+
pdf.add_page()
|
| 544 |
+
pdf.chapter_title("1. System Architecture")
|
| 545 |
+
pdf.body_text(
|
| 546 |
+
"StockEx runs as a single Docker container on HuggingFace Spaces (port 7860) "
|
| 547 |
+
"or as multiple containers via docker-compose. All services communicate through "
|
| 548 |
+
"Apache Kafka (KRaft mode, no ZooKeeper) with five topics: orders, trades, "
|
| 549 |
+
"snapshots, control, and ai_insights.\n\n"
|
| 550 |
+
"nginx acts as the reverse proxy, routing paths to the appropriate Flask service. "
|
| 551 |
+
"Three SQLite databases persist matcher state, OHLCV history, and clearing house data."
|
| 552 |
+
)
|
| 553 |
+
pdf.add_diagram(diagram_architecture())
|
| 554 |
+
|
| 555 |
+
# ββ 2. Kafka Message Flow βββββββββββββββββββββββββββββββββββββββββββββ
|
| 556 |
+
pdf.add_page()
|
| 557 |
+
pdf.chapter_title("2. Kafka Message Flow")
|
| 558 |
+
pdf.body_text(
|
| 559 |
+
"All order flow and control signals pass through Kafka topics. Producers send "
|
| 560 |
+
"messages (orders, snapshots, control signals) and multiple consumers process them "
|
| 561 |
+
"independently. This decoupled architecture allows services to be added or removed "
|
| 562 |
+
"without affecting others."
|
| 563 |
+
)
|
| 564 |
+
pdf.add_diagram(diagram_message_flow())
|
| 565 |
+
|
| 566 |
+
pdf.section_title("Order Message Format")
|
| 567 |
+
pdf.code_block("""\
|
| 568 |
+
{
|
| 569 |
+
"cl_ord_id": "USR01-1709876543210-1",
|
| 570 |
+
"symbol": "ALPHA",
|
| 571 |
+
"side": "BUY",
|
| 572 |
+
"quantity": 100,
|
| 573 |
+
"price": 10.50,
|
| 574 |
+
"ord_type": "LIMIT",
|
| 575 |
+
"time_in_force": "DAY",
|
| 576 |
+
"timestamp": 1709876543.123,
|
| 577 |
+
"source": "CLRH"
|
| 578 |
+
}""")
|
| 579 |
+
|
| 580 |
+
pdf.section_title("Trade Message Format")
|
| 581 |
+
pdf.code_block("""\
|
| 582 |
+
{
|
| 583 |
+
"trade_id": 12345,
|
| 584 |
+
"symbol": "ALPHA",
|
| 585 |
+
"price": 10.50,
|
| 586 |
+
"quantity": 100,
|
| 587 |
+
"buy_id": "USR01-1709876543210-1",
|
| 588 |
+
"sell_id": "MDF-1709876543200-42",
|
| 589 |
+
"timestamp": 1709876543.456
|
| 590 |
+
}""")
|
| 591 |
+
|
| 592 |
+
pdf.section_title("Snapshot with Indicators")
|
| 593 |
+
pdf.code_block("""\
|
| 594 |
+
{
|
| 595 |
+
"symbol": "ALPHA", "best_bid": 24.85, "best_ask": 25.05,
|
| 596 |
+
"bid_size": 200, "ask_size": 150, "timestamp": 1709876543.789,
|
| 597 |
+
"source": "MDF",
|
| 598 |
+
"indicators": {
|
| 599 |
+
"sma_5": 24.92, "sma_20": 24.78,
|
| 600 |
+
"ema_12": 24.88, "ema_26": 24.75,
|
| 601 |
+
"macd": 0.13, "rsi_14": 62.5,
|
| 602 |
+
"bb_pos": 0.72, "regime": "trending_up"
|
| 603 |
+
}
|
| 604 |
+
}""")
|
| 605 |
+
|
| 606 |
+
# ββ 3. Services Reference βββββββββββββββββββββββββββββββββββββββββββββ
|
| 607 |
+
pdf.add_page()
|
| 608 |
+
pdf.chapter_title("3. Services Reference")
|
| 609 |
+
pdf.table(
|
| 610 |
+
["Service", "Port", "Key File", "Description"],
|
| 611 |
+
[
|
| 612 |
+
["nginx", "7860", "nginx.conf", "Reverse proxy"],
|
| 613 |
+
["Dashboard", "5000", "dashboard/dashboard.py", "SSE streaming, session control, charts"],
|
| 614 |
+
["Matcher", "6000", "matcher/matcher.py", "Price-time matching, SQLite persistence"],
|
| 615 |
+
["MD Feeder", "-", "md_feeder/mdf_simulator.py", "Regime-based order generation"],
|
| 616 |
+
["Clearing House", "5004", "clearing_house/app.py", "AI members, RL/LLM trading"],
|
| 617 |
+
["AI Analyst", "-", "ai_analyst/ai_analyst.py", "LLM market commentary"],
|
| 618 |
+
["FIX OEG", "5001", "fix_oeg/fix_oeg_server.py", "FIX 4.4 acceptor"],
|
| 619 |
+
["FIX UI", "5002", "fix-ui-client/fix-ui-client.py", "Browser FIX client"],
|
| 620 |
+
["Frontend", "5003", "frontend/frontend.py", "Order entry form"],
|
| 621 |
+
],
|
| 622 |
+
[35, 15, 55, 85],
|
| 623 |
+
)
|
| 624 |
+
|
| 625 |
+
pdf.section_title("Startup Order (entrypoint.sh)")
|
| 626 |
+
pdf.body_text(
|
| 627 |
+
"Services start sequentially with sleep delays to allow initialization:\n"
|
| 628 |
+
"1. Kafka (KRaft) β wait for broker ready (up to 30 retries)\n"
|
| 629 |
+
"2. Create Kafka topics (orders, trades, snapshots, control, ai_insights)\n"
|
| 630 |
+
"3. Matcher (:6000) β wait 8s\n"
|
| 631 |
+
"4. MD Feeder β background\n"
|
| 632 |
+
"5. FIX OEG (:5001) β wait 6s\n"
|
| 633 |
+
"6. FIX UI (:5002) β wait 3s\n"
|
| 634 |
+
"7. AI Analyst β wait 1s\n"
|
| 635 |
+
"8. Frontend (:5003) β wait 2s\n"
|
| 636 |
+
"9. Clearing House (:5004) β wait 3s\n"
|
| 637 |
+
"10. nginx (:7860)\n"
|
| 638 |
+
"11. Dashboard (:5000) β exec (foreground process)"
|
| 639 |
+
)
|
| 640 |
+
|
| 641 |
+
# ββ 4. MDF Regime Engine ββββββββββββββββββββββββββββββββββββββββββββββ
|
| 642 |
+
pdf.add_page()
|
| 643 |
+
pdf.chapter_title("4. Market Data Feeder β Regime Engine")
|
| 644 |
+
pdf.body_text(
|
| 645 |
+
"The MD Feeder drives price evolution through a PriceDynamics class that simulates "
|
| 646 |
+
"five market regimes. Each symbol independently cycles through regimes, producing "
|
| 647 |
+
"realistic technical indicator patterns that the RL and LLM strategies can exploit.\n\n"
|
| 648 |
+
"Price dynamics use drift + noise + momentum, with adaptive volatility that expands "
|
| 649 |
+
"in volatile regimes and contracts in calm periods. When price deviates more than 15% "
|
| 650 |
+
"from the session start price, the engine biases regime transitions toward mean reversion."
|
| 651 |
+
)
|
| 652 |
+
pdf.add_diagram(diagram_mdf_regimes())
|
| 653 |
+
|
| 654 |
+
pdf.section_title("Regime Parameters")
|
| 655 |
+
pdf.table(
|
| 656 |
+
["Regime", "Drift", "Noise", "Spread", "Aggr. Prob", "Indicator Effect"],
|
| 657 |
+
[
|
| 658 |
+
["trending_up", "+0.2-0.8 * vol", "0.5 * vol", "0.8-1.5x", "20%", "MACD > 0, RSI rising"],
|
| 659 |
+
["trending_down", "-0.2-0.8 * vol", "0.5 * vol", "0.8-1.5x", "20%", "MACD < 0, RSI falling"],
|
| 660 |
+
["mean_revert", "3% pull to start", "0.3 * vol", "1.0x", "20%", "RSI oscillates ~50"],
|
| 661 |
+
["volatile", "random", "1.5 * vol", "1.5-2.5x", "35%", "BB width expands"],
|
| 662 |
+
["calm", "near zero", "0.2 * vol", "0.6-1.0x", "20%", "BB width contracts"],
|
| 663 |
+
],
|
| 664 |
+
[30, 28, 22, 22, 20, 68],
|
| 665 |
+
)
|
| 666 |
+
|
| 667 |
+
pdf.section_title("Order Book Depth")
|
| 668 |
+
pdf.body_text(
|
| 669 |
+
"Each cycle places 3 levels of resting bids and asks per symbol (6 passive orders), "
|
| 670 |
+
"ensuring the order book always has visible depth. In trending regimes, the passive side "
|
| 671 |
+
"gets thicker depth (1.5x quantity) to model institutional support/resistance.\n\n"
|
| 672 |
+
"Aggressive orders (20-35% probability) cross the spread to generate trades. "
|
| 673 |
+
"The aggressive side is biased by indicators: sell when RSI > 70 + BB overbought, "
|
| 674 |
+
"buy when RSI < 30 + BB oversold, and follow MACD direction in trending regimes."
|
| 675 |
+
)
|
| 676 |
+
|
| 677 |
+
# ββ 5. Clearing House ββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 678 |
+
pdf.add_page()
|
| 679 |
+
pdf.chapter_title("5. Clearing House β AI Trading Members")
|
| 680 |
+
pdf.body_text(
|
| 681 |
+
"The Clearing House service manages 10 simulated trading members (USR01-USR10), each "
|
| 682 |
+
"starting with EUR 100,000 capital and a daily obligation to trade at least 20 securities. "
|
| 683 |
+
"Members not controlled by a human user are traded by the AI engine."
|
| 684 |
+
)
|
| 685 |
+
pdf.add_diagram(diagram_ai_strategy())
|
| 686 |
+
|
| 687 |
+
pdf.section_title("Strategy Selection")
|
| 688 |
+
pdf.table(
|
| 689 |
+
["Mode", "Env Var Value", "Behavior"],
|
| 690 |
+
[
|
| 691 |
+
["Hybrid (default)", "hybrid", "USR01-05 = RL, USR06-10 = LLM"],
|
| 692 |
+
["RL only", "rl", "All members use PPO neural network"],
|
| 693 |
+
["LLM only", "llm", "All members use Groq/HF/Ollama"],
|
| 694 |
+
],
|
| 695 |
+
[35, 35, 120],
|
| 696 |
+
)
|
| 697 |
+
pdf.body_text(
|
| 698 |
+
"Strategy is set via CH_AI_STRATEGY env var and can be switched at runtime:\n"
|
| 699 |
+
" POST /ch/api/strategy {\"strategy\": \"rl\"}\n\n"
|
| 700 |
+
"Every strategy falls back: RL β LLM β rule-based. The rule-based fallback uses "
|
| 701 |
+
"portfolio balance heuristics (buy when holdings < 20% of net worth, sell when > 60%)."
|
| 702 |
+
)
|
| 703 |
+
|
| 704 |
+
pdf.section_title("Trade Attribution")
|
| 705 |
+
pdf.body_text(
|
| 706 |
+
"The trade consumer thread monitors the Kafka 'trades' topic. When a trade's buy_id "
|
| 707 |
+
"or sell_id matches the pattern USRxx-*, the trade is attributed to that clearing house "
|
| 708 |
+
"member. This updates their capital, holdings, and daily trade count in the CH database."
|
| 709 |
+
)
|
| 710 |
+
|
| 711 |
+
# ββ 6. RL Agent βββββββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 712 |
+
pdf.add_page()
|
| 713 |
+
pdf.chapter_title("6. RL Agent β Neural Network Details")
|
| 714 |
+
pdf.body_text(
|
| 715 |
+
"The RL strategy uses Adilbai/stock-trading-rl-agent, a PPO (Proximal Policy Optimization) "
|
| 716 |
+
"model trained with Stable-Baselines3 on 500,000 timesteps of historical stock data "
|
| 717 |
+
"(AAPL, MSFT, GOOGL, AMZN, TSLA)."
|
| 718 |
+
)
|
| 719 |
+
|
| 720 |
+
pdf.section_title("Model Specifications")
|
| 721 |
+
pdf.table(
|
| 722 |
+
["Property", "Value"],
|
| 723 |
+
[
|
| 724 |
+
["Algorithm", "PPO (Proximal Policy Optimization)"],
|
| 725 |
+
["Policy network", "MlpPolicy (Multi-Layer Perceptron)"],
|
| 726 |
+
["Model file size", "~2.5 MB (final_model.zip)"],
|
| 727 |
+
["Scaler file size", "~50 KB (scaler.pkl, StandardScaler)"],
|
| 728 |
+
["Observation space", "3,008 dimensions"],
|
| 729 |
+
["Action space", "2D: action_type (0-2) + position_size (0-1)"],
|
| 730 |
+
["Training steps", "500,000"],
|
| 731 |
+
["Learning rate", "0.0003"],
|
| 732 |
+
["Gamma (discount)", "0.99"],
|
| 733 |
+
["Batch size", "64"],
|
| 734 |
+
["License", "MIT (free, runs locally)"],
|
| 735 |
+
["Storage location", "/app/data/rl_model/ (downloaded on first use)"],
|
| 736 |
+
],
|
| 737 |
+
[50, 140],
|
| 738 |
+
)
|
| 739 |
+
|
| 740 |
+
pdf.add_diagram(diagram_rl_observation())
|
| 741 |
+
|
| 742 |
+
pdf.section_title("Observation Space Breakdown")
|
| 743 |
+
pdf.body_text(
|
| 744 |
+
"The 3,008-dimensional observation vector consists of:\n\n"
|
| 745 |
+
"Market state (3,000 dims): 60 time bars x 50 features per bar\n"
|
| 746 |
+
" - 20 base features: Close, Volume, SMA(5,10,20,50), EMA(12,26), RSI(14), "
|
| 747 |
+
"MACD, Signal, Histogram, BB(upper,lower,width,position), Volatility(20), "
|
| 748 |
+
"Price changes, H/L ratio, Volume ratio\n"
|
| 749 |
+
" - 30 lag features: Close, Volume, Price change, RSI, MACD, Volatility "
|
| 750 |
+
"at lags 1, 2, 3, 5, 10\n\n"
|
| 751 |
+
"Portfolio state (8 dims): capital, held_qty, net_worth, returns, held_value, "
|
| 752 |
+
"has_position (binary), capital_ratio, holdings_ratio"
|
| 753 |
+
)
|
| 754 |
+
|
| 755 |
+
pdf.section_title("Price History Management")
|
| 756 |
+
pdf.body_text(
|
| 757 |
+
"The RL module (ch_rl_trader.py) maintains a rolling buffer of OHLCV bars per symbol:\n"
|
| 758 |
+
" - Trades from Kafka feed into a current-bar accumulator (feed_trade())\n"
|
| 759 |
+
" - Bars finalize every CH_RL_BAR_INTERVAL seconds (default 60s)\n"
|
| 760 |
+
" - On startup, bars are seeded from BBO reference prices with small noise\n"
|
| 761 |
+
" - Minimum CH_RL_MIN_BARS (default 30) required before RL predictions start\n"
|
| 762 |
+
" - Buffer holds up to 120 bars (deque with maxlen)\n\n"
|
| 763 |
+
"The shipped scaler.pkl was trained on real stock data. When it fails on synthetic "
|
| 764 |
+
"StockEx data (shape mismatch), the code falls back to manual z-score normalization."
|
| 765 |
+
)
|
| 766 |
+
|
| 767 |
+
pdf.section_title("Inference vs LLM Comparison")
|
| 768 |
+
pdf.table(
|
| 769 |
+
["Aspect", "RL (PPO)", "LLM"],
|
| 770 |
+
[
|
| 771 |
+
["Input", "3,008-dim float vector", "Text prompt (~500 chars)"],
|
| 772 |
+
["Processing", "NN forward pass (<1ms)", "API call (2-30s)"],
|
| 773 |
+
["Output", "[action_type, position_size]", "JSON text to parse"],
|
| 774 |
+
["Internet required", "No (local model)", "Yes (Groq/HF) or Ollama"],
|
| 775 |
+
["Cost", "Free (CPU inference)", "Free tier or self-hosted"],
|
| 776 |
+
["Determinism", "Configurable", "Temperature-dependent"],
|
| 777 |
+
],
|
| 778 |
+
[35, 65, 90],
|
| 779 |
+
)
|
| 780 |
+
|
| 781 |
+
# ββ 7. LLM Integration βββββββββββββββββββββββββββββββββββββββββββββββ
|
| 782 |
+
pdf.add_page()
|
| 783 |
+
pdf.chapter_title("7. LLM Integration")
|
| 784 |
+
pdf.body_text(
|
| 785 |
+
"The LLM strategy sends a text prompt containing the member's state (capital, holdings, "
|
| 786 |
+
"obligation) and current market BBOs, requesting a single JSON trade decision."
|
| 787 |
+
)
|
| 788 |
+
|
| 789 |
+
pdf.section_title("Provider Fallback Chain")
|
| 790 |
+
pdf.table(
|
| 791 |
+
["Priority (HF Spaces)", "Priority (Local)", "Provider", "Env Vars"],
|
| 792 |
+
[
|
| 793 |
+
["1st", "2nd", "Groq", "GROQ_API_KEY, GROQ_MODEL"],
|
| 794 |
+
["-", "3rd", "HuggingFace Inference", "HF_TOKEN, HF_MODEL"],
|
| 795 |
+
["2nd", "1st", "Ollama (local)", "OLLAMA_HOST, OLLAMA_MODEL"],
|
| 796 |
+
],
|
| 797 |
+
[35, 30, 45, 80],
|
| 798 |
+
)
|
| 799 |
+
pdf.body_text(
|
| 800 |
+
"On HuggingFace Spaces (detected via SPACE_ID env var), Groq is preferred (free tier, fast). "
|
| 801 |
+
"Locally, Ollama with a fine-tuned model is preferred. The HF Inference endpoint is used "
|
| 802 |
+
"as a fallback with the custom fine-tuned model RayMelius/stockex-ch-trader.\n\n"
|
| 803 |
+
"If all LLM providers fail, the system falls back to rule-based trading."
|
| 804 |
+
)
|
| 805 |
+
|
| 806 |
+
pdf.section_title("Prompt Structure")
|
| 807 |
+
pdf.code_block("""\
|
| 808 |
+
You are simulating clearing house member USR01 making ONE trading decision.
|
| 809 |
+
|
| 810 |
+
Member state:
|
| 811 |
+
Available capital: EUR 95,230.00
|
| 812 |
+
Securities obligation remaining today: 15 more to trade
|
| 813 |
+
Current holdings:
|
| 814 |
+
ALPHA: 200 shares @ avg cost 24.90
|
| 815 |
+
|
| 816 |
+
Current market (Bid/Ask):
|
| 817 |
+
ALPHA: Bid 24.85 / Ask 25.05
|
| 818 |
+
NBG: Bid 17.95 / Ask 18.15
|
| 819 |
+
...
|
| 820 |
+
|
| 821 |
+
Rules:
|
| 822 |
+
- Do not spend more than your available capital
|
| 823 |
+
- Do not sell more shares than you hold
|
| 824 |
+
- Choose a realistic price close to the BBO mid-price
|
| 825 |
+
- Quantity should be between 10 and 200
|
| 826 |
+
|
| 827 |
+
Respond ONLY with valid JSON:
|
| 828 |
+
Example: {"symbol": "ALPHA", "side": "BUY", "quantity": 50, "price": 5.95}""")
|
| 829 |
+
|
| 830 |
+
# ββ 8. Session Lifecycle ββββββββββββββββββββββββββββββββββββββββββββββ
|
| 831 |
+
pdf.add_page()
|
| 832 |
+
pdf.chapter_title("8. Session Lifecycle")
|
| 833 |
+
pdf.add_diagram(diagram_ch_lifecycle())
|
| 834 |
+
|
| 835 |
+
pdf.section_title("Control Messages")
|
| 836 |
+
pdf.table(
|
| 837 |
+
["Action", "Dashboard Trigger", "Effect on MDF", "Effect on CH AI"],
|
| 838 |
+
[
|
| 839 |
+
["start", "Start of Day button", "running=True, reload prices", "suspended=False"],
|
| 840 |
+
["stop", "End of Day button", "running=False", "suspended=True"],
|
| 841 |
+
["suspend", "Suspend button", "order gen paused", "suspended=True"],
|
| 842 |
+
["resume", "Resume button", "order gen resumed", "suspended=False"],
|
| 843 |
+
],
|
| 844 |
+
[25, 40, 55, 70],
|
| 845 |
+
)
|
| 846 |
+
|
| 847 |
+
pdf.section_title("Manual vs Automatic Mode")
|
| 848 |
+
pdf.body_text(
|
| 849 |
+
"The Dashboard supports two session modes:\n\n"
|
| 850 |
+
"Automatic: A background scheduler reads market_schedule.txt and automatically "
|
| 851 |
+
"triggers Start of Day / End of Day based on configured times and timezone.\n\n"
|
| 852 |
+
"Manual: The scheduler is disabled. Sessions are started/stopped exclusively "
|
| 853 |
+
"via the Dashboard buttons. All trading activity (MDF, CH AI, FIX) still operates "
|
| 854 |
+
"normally once a session is started."
|
| 855 |
+
)
|
| 856 |
+
|
| 857 |
+
pdf.section_title("EOD Settlement")
|
| 858 |
+
pdf.body_text(
|
| 859 |
+
"When End of Day is triggered, the Dashboard POSTs to /ch/eod. The Clearing House:\n"
|
| 860 |
+
"1. Calculates unrealized P&L for each member (current market value vs avg cost)\n"
|
| 861 |
+
"2. Checks daily obligation (>= 20 securities traded)\n"
|
| 862 |
+
"3. Records settlement entry in the database\n"
|
| 863 |
+
"4. Logs members who failed their obligation"
|
| 864 |
+
)
|
| 865 |
+
|
| 866 |
+
# ββ 9. Database Schema ββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 867 |
+
pdf.add_page()
|
| 868 |
+
pdf.chapter_title("9. Database Schema")
|
| 869 |
+
|
| 870 |
+
pdf.section_title("matcher.db (Matcher Service)")
|
| 871 |
+
pdf.body_text("Stores all orders and trades for the matching engine.")
|
| 872 |
+
pdf.code_block("""\
|
| 873 |
+
orders: order_id, symbol, side, price, quantity, remaining_qty,
|
| 874 |
+
status, cl_ord_id, timestamp
|
| 875 |
+
trades: trade_id, symbol, price, quantity, buy_order_id,
|
| 876 |
+
sell_order_id, timestamp""")
|
| 877 |
+
|
| 878 |
+
pdf.section_title("clearing_house.db (Clearing House)")
|
| 879 |
+
pdf.body_text("Stores member accounts, trade attribution, and settlement history.")
|
| 880 |
+
pdf.code_block("""\
|
| 881 |
+
members: member_id (PK), password_hash, capital
|
| 882 |
+
holdings: member_id, symbol, quantity, avg_cost
|
| 883 |
+
(composite PK: member_id + symbol)
|
| 884 |
+
trade_log: id, member_id, symbol, side, quantity, price,
|
| 885 |
+
order_id, timestamp
|
| 886 |
+
settlements: id, member_id, trading_date, opening_capital,
|
| 887 |
+
closing_capital, realized_pnl, unrealized_pnl,
|
| 888 |
+
obligation_met
|
| 889 |
+
ai_decisions: id, member_id, raw_response, parsed_order,
|
| 890 |
+
source, timestamp""")
|
| 891 |
+
|
| 892 |
+
pdf.section_title("Dashboard OHLCV (In-Memory + Periodic SQLite)")
|
| 893 |
+
pdf.body_text(
|
| 894 |
+
"The Dashboard aggregates trades into 1-minute OHLCV buckets for candlestick charts. "
|
| 895 |
+
"Data is held in memory with periodic persistence to SQLite for history."
|
| 896 |
+
)
|
| 897 |
+
|
| 898 |
+
# ββ 10. Configuration Reference βββββββββββββββββββββββββββββββββββββββ
|
| 899 |
+
pdf.add_page()
|
| 900 |
+
pdf.chapter_title("10. Configuration Reference")
|
| 901 |
+
|
| 902 |
+
pdf.section_title("Core Settings (shared/config.py)")
|
| 903 |
+
pdf.table(
|
| 904 |
+
["Variable", "Default", "Description"],
|
| 905 |
+
[
|
| 906 |
+
["KAFKA_BOOTSTRAP", "kafka:9092", "Kafka broker address"],
|
| 907 |
+
["MATCHER_URL", "http://matcher:6000", "Matcher REST API"],
|
| 908 |
+
["SECURITIES_FILE", "/app/data/securities.txt", "Symbol definitions"],
|
| 909 |
+
["TICK_SIZE", "0.05", "Minimum price increment"],
|
| 910 |
+
["ORDERS_PER_MIN", "8", "MDF order rate per symbol"],
|
| 911 |
+
["CH_DAILY_OBLIGATION", "20", "Min securities per member/day"],
|
| 912 |
+
["CH_STARTING_CAPITAL", "100,000", "Initial member capital (EUR)"],
|
| 913 |
+
],
|
| 914 |
+
[45, 55, 90],
|
| 915 |
+
)
|
| 916 |
+
|
| 917 |
+
pdf.section_title("AI Strategy Settings")
|
| 918 |
+
pdf.table(
|
| 919 |
+
["Variable", "Default", "Description"],
|
| 920 |
+
[
|
| 921 |
+
["CH_AI_STRATEGY", "hybrid", "llm, rl, or hybrid"],
|
| 922 |
+
["CH_AI_INTERVAL", "45", "Seconds between AI cycles"],
|
| 923 |
+
["CH_RL_MODEL_REPO", "Adilbai/stock-trading-rl-agent", "HF model repo"],
|
| 924 |
+
["CH_RL_BAR_INTERVAL", "60", "Seconds per OHLCV bar"],
|
| 925 |
+
["CH_RL_MIN_BARS", "30", "Min bars before RL starts"],
|
| 926 |
+
["GROQ_API_KEY", "-", "Groq API key"],
|
| 927 |
+
["GROQ_MODEL", "llama-3.1-8b-instant", "Groq model name"],
|
| 928 |
+
["HF_TOKEN", "-", "HuggingFace API token"],
|
| 929 |
+
["HF_MODEL", "RayMelius/stockex-ch-trader", "HF model for CH"],
|
| 930 |
+
["OLLAMA_HOST", "-", "Ollama server URL"],
|
| 931 |
+
["OLLAMA_MODEL", "llama3.1:8b", "Ollama model name"],
|
| 932 |
+
],
|
| 933 |
+
[50, 55, 85],
|
| 934 |
+
)
|
| 935 |
+
|
| 936 |
+
# ββ 11. Deployment ββββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 937 |
+
pdf.add_page()
|
| 938 |
+
pdf.chapter_title("11. Deployment")
|
| 939 |
+
|
| 940 |
+
pdf.section_title("HuggingFace Spaces (Single Container)")
|
| 941 |
+
pdf.body_text(
|
| 942 |
+
"The Dockerfile builds a single container with Kafka, all Python services, and nginx. "
|
| 943 |
+
"HuggingFace Spaces exposes port 7860. The entrypoint.sh starts services sequentially.\n\n"
|
| 944 |
+
"Key dependencies added for RL: stable-baselines3 (pulls PyTorch ~200MB), "
|
| 945 |
+
"numpy (<2.0), pandas, scikit-learn, huggingface_hub.\n\n"
|
| 946 |
+
"The RL model is downloaded from HuggingFace Hub on first use and cached at "
|
| 947 |
+
"/app/data/rl_model/."
|
| 948 |
+
)
|
| 949 |
+
|
| 950 |
+
pdf.section_title("Docker Compose (Multi-Container)")
|
| 951 |
+
pdf.body_text(
|
| 952 |
+
"docker-compose.yml defines separate containers for each service. The clearing_house "
|
| 953 |
+
"service gets its own Dockerfile with the RL dependencies. Volumes persist SQLite databases.\n\n"
|
| 954 |
+
"Set CH_AI_STRATEGY in the environment section or .env file."
|
| 955 |
+
)
|
| 956 |
+
|
| 957 |
+
pdf.section_title("Local Development")
|
| 958 |
+
pdf.code_block("""\
|
| 959 |
+
# Prerequisites: Python 3.11+, Kafka on localhost:9092
|
| 960 |
+
pip install kafka-python Flask requests quickfix \\
|
| 961 |
+
stable-baselines3 huggingface_hub pandas scikit-learn
|
| 962 |
+
|
| 963 |
+
export PYTHONPATH=$(pwd)
|
| 964 |
+
export KAFKA_BOOTSTRAP=localhost:9092
|
| 965 |
+
export MATCHER_URL=http://localhost:6000
|
| 966 |
+
export CH_AI_STRATEGY=hybrid
|
| 967 |
+
|
| 968 |
+
# Terminal 1-4: matcher, md_feeder, dashboard, clearing_house""")
|
| 969 |
+
|
| 970 |
+
pdf.section_title("CI/CD Pipeline")
|
| 971 |
+
pdf.body_text(
|
| 972 |
+
"GitHub Actions workflows:\n"
|
| 973 |
+
" - ci.yml: Run matcher unit tests + Docker build check on every push\n"
|
| 974 |
+
" - deploy-hf.yml: Auto-deploy to HuggingFace Spaces on push to main (after tests pass)\n\n"
|
| 975 |
+
"The container log prints the StockEx version at startup for deployment verification."
|
| 976 |
+
)
|
| 977 |
+
|
| 978 |
+
# ββ Save ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
|
| 979 |
+
pdf.output(OUT_FILE)
|
| 980 |
+
print(f"PDF generated: {OUT_FILE}")
|
| 981 |
+
return OUT_FILE
|
| 982 |
+
|
| 983 |
+
|
| 984 |
+
if __name__ == "__main__":
|
| 985 |
+
build_pdf()
|