feat(state): dvol_history multi-asset (ETH+BTC) + backfill ETH legacy rows
Migration 0006 promuove dvol_history da PK=(timestamp) mono-ETH a PK=(timestamp, asset), rinomina eth_spot -> spot, e backfilla con asset='ETH' le righe storiche. market_snapshot_cycle ora scrive sia per ETH che per BTC; monitor_cycle resta ETH-only via WHERE asset='ETH' nella lookup di return_4h. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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@@ -181,19 +181,18 @@ async def collect_market_snapshot(
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try:
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with transaction(conn):
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ctx.repository.record_market_snapshot(conn, record)
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# Mirror ETH spot+DVOL into dvol_history so monitor_cycle's
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# return_4h lookup has local samples even in data-only mode.
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if (
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record.asset == "ETH"
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and record.spot is not None
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and record.dvol is not None
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):
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# Mirror spot+DVOL into dvol_history (per asset) so
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# monitor_cycle's return_4h lookup has local samples even
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# in data-only mode. dvol_history enforces NOT NULL on
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# dvol/spot so skip if either is missing.
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if record.spot is not None and record.dvol is not None:
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ctx.repository.record_dvol_snapshot(
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conn,
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DvolSnapshot(
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timestamp=record.timestamp,
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asset=record.asset,
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dvol=record.dvol,
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eth_spot=record.spot,
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spot=record.spot,
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),
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)
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finally:
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@@ -173,8 +173,8 @@ async def _fetch_return_4h(ctx: RuntimeContext, *, now: datetime) -> Decimal:
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conn = connect_state(ctx.db_path)
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try:
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row = conn.execute(
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"SELECT timestamp, eth_spot FROM dvol_history "
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"WHERE timestamp <= ? AND timestamp >= ? "
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"SELECT timestamp, spot FROM dvol_history "
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"WHERE asset = 'ETH' AND timestamp <= ? AND timestamp >= ? "
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"ORDER BY timestamp DESC LIMIT 1",
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(cutoff.isoformat(), floor.isoformat()),
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).fetchone()
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@@ -239,7 +239,7 @@ async def run_monitor_cycle(
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with transaction(conn):
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ctx.repository.record_dvol_snapshot(
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conn,
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DvolSnapshot(timestamp=when, dvol=dvol, eth_spot=spot),
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DvolSnapshot(timestamp=when, asset="ETH", dvol=dvol, spot=spot),
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)
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positions = ctx.repository.list_positions(conn, status="open")
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finally:
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@@ -0,0 +1,30 @@
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-- 0006_dvol_history_multi_asset.sql — promote dvol_history to multi-asset
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--
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-- Original schema (0001_init.sql) treated dvol_history as ETH-only:
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-- PRIMARY KEY (timestamp) and a column named eth_spot. With the
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-- orchestrator now snapshotting BTC in addition to ETH (commit
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-- e978a44), the table needs an asset dimension so we can store a
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-- DVOL/spot sample per asset per tick.
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--
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-- Forward-only. The 1028 existing rows are all ETH (the only writer
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-- was the ETH branch of market_snapshot_cycle) so we backfill
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-- asset='ETH' before swapping the table in place.
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CREATE TABLE dvol_history_v2 (
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timestamp TEXT NOT NULL,
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asset TEXT NOT NULL,
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dvol NUMERIC NOT NULL,
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spot NUMERIC NOT NULL,
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PRIMARY KEY (timestamp, asset)
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);
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INSERT INTO dvol_history_v2(timestamp, asset, dvol, spot)
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SELECT timestamp, 'ETH', dvol, eth_spot FROM dvol_history;
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DROP TABLE dvol_history;
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ALTER TABLE dvol_history_v2 RENAME TO dvol_history;
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CREATE INDEX idx_dvol_history_asset_ts
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ON dvol_history(asset, timestamp DESC);
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PRAGMA user_version = 6;
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@@ -116,8 +116,9 @@ class DvolSnapshot(BaseModel):
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model_config = ConfigDict(extra="forbid")
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timestamp: datetime
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asset: str # "ETH", "BTC"
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dvol: Decimal
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eth_spot: Decimal
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spot: Decimal
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class MarketSnapshotRecord(BaseModel):
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@@ -339,12 +339,13 @@ class Repository:
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self, conn: sqlite3.Connection, snapshot: DvolSnapshot
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) -> None:
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conn.execute(
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"INSERT OR REPLACE INTO dvol_history(timestamp, dvol, eth_spot) "
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"VALUES (?,?,?)",
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"INSERT OR REPLACE INTO dvol_history(timestamp, asset, dvol, spot) "
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"VALUES (?,?,?,?)",
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(
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_enc_dt(snapshot.timestamp),
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snapshot.asset,
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_enc_dec(snapshot.dvol),
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_enc_dec(snapshot.eth_spot),
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_enc_dec(snapshot.spot),
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),
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)
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