807 lines
18 KiB
Markdown
807 lines
18 KiB
Markdown
# AI ICT PostgreSQL Schema 设计稿 v1
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## 1. 文档目标
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本文档定义 AI ICT 交易辅助系统第一阶段的 PostgreSQL 数据库设计方案，用于指导后续开发、建表、索引、分区和数据落库规范。
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目标：
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- 支撑 K 线与时间序列数据
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- 支撑 ICT 结构事件与信号建模
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- 支撑回测、复盘和审计
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- 支撑半结构化 evidence / narrative / labels 存储
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---
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## 2. 设计原则
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1. PostgreSQL 作为主库
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2. 时间序列主表优先做唯一键与分区设计
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3. 结构事件独立存表，不混入自由文本
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4. AI 相关说明使用 `jsonb`，但不替代核心字段
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5. 回测与实盘使用同一事件口径
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6. 先保守建模，预留扩展字段，不做过早复杂抽象
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---
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## 3. 命名规范
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- 表名：复数下划线风格，如 `trade_signals`
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- 主键：统一使用 `bigserial` 或 `uuid`
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- 时间字段：统一使用 `timestamptz`
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- 创建更新时间：`created_at`, `updated_at`
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- 逻辑状态：`status`
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- 配置或证据：`jsonb`
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建议：
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- 若系统由 Python / TypeScript 混合开发，业务主键可用 `uuid`
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- 若偏简洁开发，内部主键可用 `bigserial`，外部展示再加 `public_id`
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第一版建议：
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- 主表内部主键：`bigserial`
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- 对外引用可追加 `code` / `public_id`
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---
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## 4. 核心实体关系概览
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```text
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venues
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-> instruments
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-> candles
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-> market_sessions
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-> swings
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-> dealing_ranges
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-> liquidity_pools
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-> displacement_events
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-> structure_events
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-> fvg_zones
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-> bias_snapshots
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-> trade_signals
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-> trade_executions
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backtest_runs
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-> backtest_results
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```
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---
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## 5. 基础表设计
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## 5.1 venues
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用途：交易所定义表。
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建议字段：
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```sql
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id bigserial primary key
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code text not null unique
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name text not null
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timezone text not null
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status text not null default 'active'
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created_at timestamptz not null default now()
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updated_at timestamptz not null default now()
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```
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示例数据：
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- OKX
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- LMAX
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---
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## 5.2 instruments
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用途：交易品种定义表。
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建议字段：
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```sql
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id bigserial primary key
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venue_id bigint not null references venues(id)
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symbol text not null
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asset_class text not null
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base_asset text
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quote_asset text
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price_scale integer not null
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qty_scale integer not null
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tick_size numeric(20,10) not null
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lot_size numeric(20,10)
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active boolean not null default true
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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updated_at timestamptz not null default now()
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```
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唯一约束：
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```sql
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unique (venue_id, symbol)
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```
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说明：
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- `meta` 存放交易所特定扩展信息
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- 如 XAU 在不同 venue 上合约不同，可通过 `meta` 补充合约属性
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---
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## 6. 行情与时间表设计
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## 6.1 candles
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用途：标准化 K 线主表。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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timeframe text not null
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ts_open timestamptz not null
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ts_close timestamptz not null
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open numeric(20,10) not null
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high numeric(20,10) not null
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low numeric(20,10) not null
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close numeric(20,10) not null
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volume numeric(28,10)
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source text not null default 'api'
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created_at timestamptz not null default now()
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```
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唯一约束：
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```sql
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unique (instrument_id, timeframe, ts_open)
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```
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核心索引：
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```sql
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index on (instrument_id, timeframe, ts_open desc)
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index on (instrument_id, timeframe, ts_close desc)
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```
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分区建议：
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- 第一版按月范围分区
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- 分区键建议使用 `ts_open`
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例如：
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- `candles_2026_04`
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- `candles_2026_05`
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说明：
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- `timeframe` 先使用文本：`1m`, `5m`, `15m`, `1h`, `4h`, `1d`
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- 后期可引入枚举或维表
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---
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## 6.2 market_sessions
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用途：保存会话级别数据与 pivot。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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session_date date not null
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timezone text not null
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session_code text not null
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start_ts timestamptz not null
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end_ts timestamptz not null
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high numeric(20,10)
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low numeric(20,10)
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midpoint numeric(20,10)
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status text not null default 'closed'
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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updated_at timestamptz not null default now()
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```
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唯一约束：
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```sql
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unique (instrument_id, session_date, session_code, timezone)
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```
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建议的 `session_code`：
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- ASIA
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- LONDON
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- NY_AM
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- NY_LUNCH
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- NY_PM
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说明：
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- `meta` 可保存 broken / mitigated / extension 信息
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- 该表是会话 pivot、killzone 和执行许可的重要基础
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---
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## 7. 结构识别表设计
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## 7.1 swings
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用途：保存结构高低点。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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timeframe text not null
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kind text not null
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strength text not null
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price numeric(20,10) not null
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ts timestamptz not null
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left_bars integer not null
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right_bars integer not null
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confirmed boolean not null default true
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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```
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索引建议：
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```sql
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index on (instrument_id, timeframe, ts desc)
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index on (instrument_id, timeframe, kind, ts desc)
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index on (instrument_id, timeframe, strength, ts desc)
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```
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约束建议：
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- `kind in ('swing_high', 'swing_low')`
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- `strength in ('ST', 'IT', 'LT')`
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---
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## 7.2 dealing_ranges
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用途：保存当前工作区间。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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timeframe text not null
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high numeric(20,10) not null
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low numeric(20,10) not null
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equilibrium numeric(20,10) not null
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high_swing_id bigint references swings(id)
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low_swing_id bigint references swings(id)
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state text not null default 'valid'
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ts_start timestamptz not null
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ts_end timestamptz
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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updated_at timestamptz not null default now()
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```
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索引建议：
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```sql
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index on (instrument_id, timeframe, ts_start desc)
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index on (instrument_id, timeframe, state, ts_start desc)
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```
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说明：
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- 同一时刻可能存在多个 timeframe 的 range
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- 第一版允许一个 timeframe 存多条历史记录，由 `state` 标识当前有效项
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---
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## 7.3 liquidity_pools
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用途：保存流动性目标区域。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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timeframe text not null
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side text not null
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pool_type text not null
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price_low numeric(20,10) not null
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price_high numeric(20,10) not null
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reference_ids jsonb not null default '[]'
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status text not null default 'untouched'
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created_ts timestamptz not null
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updated_ts timestamptz not null default now()
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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```
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建议约束：
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- `side in ('buy_side', 'sell_side')`
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- `status in ('untouched', 'swept', 'consumed')`
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`pool_type` 建议值：
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- prior_high
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- prior_low
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- equal_highs
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- equal_lows
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- session_high
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- session_low
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索引建议：
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```sql
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index on (instrument_id, timeframe, status, created_ts desc)
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index on (instrument_id, timeframe, side, created_ts desc)
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```
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---
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## 7.4 displacement_events
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用途：保存有效位移事件。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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timeframe text not null
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direction text not null
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start_ts timestamptz not null
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end_ts timestamptz not null
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strength_score numeric(8,4)
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body_ratio numeric(8,4)
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has_fvg boolean not null default false
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is_valid boolean not null default true
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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```
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索引建议：
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```sql
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index on (instrument_id, timeframe, end_ts desc)
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index on (instrument_id, timeframe, direction, end_ts desc)
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```
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---
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## 7.5 structure_events
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用途：保存 MSB / MSS 等结构事件。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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timeframe text not null
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event_type text not null
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direction text not null
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broken_level numeric(20,10) not null
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reference_swing_id bigint references swings(id)
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displacement_event_id bigint references displacement_events(id)
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accepted boolean
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signal_relevant boolean not null default true
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ts timestamptz not null
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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```
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约束建议：
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- `event_type in ('MSB', 'MSS')`
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- `direction in ('bullish', 'bearish')`
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索引建议：
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```sql
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index on (instrument_id, timeframe, ts desc)
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index on (instrument_id, timeframe, event_type, ts desc)
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```
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---
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## 7.6 fvg_zones
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用途：保存 FVG / imbalance 区域。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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timeframe text not null
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direction text not null
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upper numeric(20,10) not null
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lower numeric(20,10) not null
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start_ts timestamptz not null
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end_ts timestamptz not null
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fill_pct numeric(8,4) not null default 0
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status text not null default 'open'
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related_displacement_id bigint references displacement_events(id)
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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updated_at timestamptz not null default now()
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```
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约束建议：
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- `direction in ('bullish', 'bearish')`
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- `status in ('open', 'touched', 'mitigated', 'invalidated')`
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索引建议：
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```sql
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index on (instrument_id, timeframe, start_ts desc)
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index on (instrument_id, timeframe, status, start_ts desc)
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```
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---
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## 8. 决策与执行表设计
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## 8.1 bias_snapshots
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用途：保存特定时刻的 bias 结果。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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bias_tf text not null
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setup_tf text not null
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trigger_tf text not null
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snapshot_ts timestamptz not null
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daily_bias text not null
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confidence numeric(8,4)
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execution_intensity text not null
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narrative_code text
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draw_side text
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range_id bigint references dealing_ranges(id)
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reason_codes jsonb not null default '[]'
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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```
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约束建议：
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- `daily_bias in ('bullish', 'bearish', 'neutral')`
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- `execution_intensity in ('low', 'medium', 'high')`
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索引建议：
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```sql
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index on (instrument_id, snapshot_ts desc)
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index on (instrument_id, daily_bias, snapshot_ts desc)
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```
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---
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## 8.2 trade_signals
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用途：保存候选交易信号。
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建议字段：
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```sql
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id bigserial primary key
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instrument_id bigint not null references instruments(id)
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model_code text not null
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side text not null
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status text not null
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bias_snapshot_id bigint references bias_snapshots(id)
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entry_type text not null
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entry_low numeric(20,10)
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entry_high numeric(20,10)
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stop_loss numeric(20,10)
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tp1 numeric(20,10)
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tp2 numeric(20,10)
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rr_tp1 numeric(8,4)
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rr_tp2 numeric(8,4)
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session_code text
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created_ts timestamptz not null
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expires_ts timestamptz
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invalidations jsonb not null default '[]'
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evidence jsonb not null default '{}'
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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updated_at timestamptz not null default now()
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```
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建议状态值：
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- draft
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- awaiting_context
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- awaiting_confirmation
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- active
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- tp1_hit
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- tp2_hit
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- invalidated
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- expired
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- cancelled
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索引建议：
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```sql
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index on (instrument_id, created_ts desc)
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index on (instrument_id, status, created_ts desc)
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index on (instrument_id, model_code, created_ts desc)
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```
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说明：
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- `evidence` 保存 rule engine 引用对象，如 `range_id`, `sweep_event_id`, `structure_event_id`, `fvg_id`
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- 核心交易字段必须显式建列，不应只放进 JSON
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---
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## 8.3 trade_executions
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用途：保存实际执行记录。
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建议字段：
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```sql
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id bigserial primary key
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signal_id bigint not null references trade_signals(id)
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venue_order_id text
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execution_mode text not null
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side text not null
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entry_price numeric(20,10)
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stop_loss numeric(20,10)
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take_profit_1 numeric(20,10)
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take_profit_2 numeric(20,10)
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size numeric(28,10)
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risk_pct numeric(8,4)
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status text not null
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opened_ts timestamptz
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closed_ts timestamptz
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pnl numeric(28,10)
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meta jsonb not null default '{}'
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created_at timestamptz not null default now()
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updated_at timestamptz not null default now()
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```
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||
|
||
建议枚举：
|
||
|
||
- `execution_mode in ('paper', 'semi_auto', 'live')`
|
||
- `status in ('pending', 'open', 'partially_closed', 'closed', 'cancelled', 'rejected')`
|
||
|
||
索引建议：
|
||
|
||
```sql
|
||
index on (signal_id)
|
||
index on (status, created_at desc)
|
||
index on (execution_mode, created_at desc)
|
||
```
|
||
|
||
---
|
||
|
||
## 9. 回测与分析表设计
|
||
|
||
## 9.1 backtest_runs
|
||
|
||
用途：保存回测任务定义与结果摘要。
|
||
|
||
建议字段：
|
||
|
||
```sql
|
||
id bigserial primary key
|
||
model_code text not null
|
||
instrument_id bigint references instruments(id)
|
||
timeframe_set jsonb not null default '{}'
|
||
started_ts timestamptz not null
|
||
ended_ts timestamptz
|
||
config jsonb not null default '{}'
|
||
summary jsonb not null default '{}'
|
||
created_at timestamptz not null default now()
|
||
```
|
||
|
||
索引建议：
|
||
|
||
```sql
|
||
index on (model_code, started_ts desc)
|
||
index on (instrument_id, started_ts desc)
|
||
```
|
||
|
||
---
|
||
|
||
## 9.2 backtest_results
|
||
|
||
用途：保存回测明细结果。
|
||
|
||
建议字段：
|
||
|
||
```sql
|
||
id bigserial primary key
|
||
backtest_run_id bigint not null references backtest_runs(id)
|
||
signal_id bigint references trade_signals(id)
|
||
outcome text not null
|
||
mfe numeric(20,10)
|
||
mae numeric(20,10)
|
||
tp1_hit boolean
|
||
tp2_hit boolean
|
||
invalidated_before_entry boolean
|
||
error_tags jsonb not null default '[]'
|
||
meta jsonb not null default '{}'
|
||
created_at timestamptz not null default now()
|
||
```
|
||
|
||
建议枚举：
|
||
|
||
- `outcome in ('win', 'loss', 'breakeven', 'missed')`
|
||
|
||
索引建议：
|
||
|
||
```sql
|
||
index on (backtest_run_id)
|
||
index on (outcome)
|
||
```
|
||
|
||
---
|
||
|
||
## 10. JSONB 边界建议
|
||
|
||
适合放入 `jsonb` 的内容：
|
||
|
||
- evidence 引用集合
|
||
- narrative reason codes
|
||
- 回测 error tags
|
||
- 风控检查详情
|
||
- 第三方交易所扩展字段
|
||
- 会话扩展状态
|
||
|
||
不应只存在于 `jsonb` 的内容：
|
||
|
||
- side
|
||
- status
|
||
- timeframe
|
||
- symbol / instrument_id
|
||
- stop_loss
|
||
- tp1 / tp2
|
||
- bias
|
||
- event_type
|
||
- direction
|
||
- ts
|
||
|
||
原则：
|
||
|
||
- 查询高频、过滤高频、排序高频字段必须单独建列
|
||
- JSONB 仅用于补充与扩展
|
||
|
||
---
|
||
|
||
## 11. 索引策略建议
|
||
|
||
### 11.1 时间序列表
|
||
|
||
优先索引：
|
||
|
||
- `(instrument_id, timeframe, ts_open desc)`
|
||
- `(instrument_id, timeframe, ts desc)`
|
||
- `(instrument_id, status, created_ts desc)`
|
||
|
||
### 11.2 事件表
|
||
|
||
优先索引：
|
||
|
||
- 按 `instrument_id + timeframe + time`
|
||
- 按 `event_type`
|
||
- 按 `status`
|
||
|
||
### 11.3 回测表
|
||
|
||
优先索引：
|
||
|
||
- `backtest_run_id`
|
||
- `outcome`
|
||
- `instrument_id + started_ts`
|
||
|
||
---
|
||
|
||
## 12. 分区建议
|
||
|
||
### 12.1 必须优先分区的表
|
||
|
||
1. `candles`
|
||
2. 后期若数据量变大，可考虑：
|
||
- `trade_signals`
|
||
- `trade_executions`
|
||
- `backtest_results`
|
||
|
||
### 12.2 第一版建议
|
||
|
||
- `candles` 采用月分区
|
||
- 其他表先普通表 + 合理索引
|
||
- 不要一开始对所有事件表做过度分区
|
||
|
||
原因：
|
||
|
||
- candles 数据量增长最快
|
||
- 其余表前期量可控
|
||
- 先简化迁移和开发成本
|
||
|
||
---
|
||
|
||
## 13. 当前优先落地的 5 张基础表
|
||
|
||
按照基础模块优先，建议先建：
|
||
|
||
1. `venues`
|
||
2. `instruments`
|
||
3. `candles`
|
||
4. `market_sessions`
|
||
5. `swings`
|
||
|
||
然后再建：
|
||
|
||
6. `dealing_ranges`
|
||
7. `liquidity_pools`
|
||
|
||
之后进入：
|
||
|
||
8. `displacement_events`
|
||
9. `structure_events`
|
||
10. `fvg_zones`
|
||
11. `bias_snapshots`
|
||
12. `trade_signals`
|
||
13. `trade_executions`
|
||
14. `backtest_runs`
|
||
15. `backtest_results`
|
||
|
||
---
|
||
|
||
## 14. 建表顺序建议
|
||
|
||
### 第一阶段
|
||
|
||
- venues
|
||
- instruments
|
||
- candles
|
||
- market_sessions
|
||
|
||
### 第二阶段
|
||
|
||
- swings
|
||
- dealing_ranges
|
||
- liquidity_pools
|
||
|
||
### 第三阶段
|
||
|
||
- displacement_events
|
||
- structure_events
|
||
- fvg_zones
|
||
|
||
### 第四阶段
|
||
|
||
- bias_snapshots
|
||
- trade_signals
|
||
- trade_executions
|
||
|
||
### 第五阶段
|
||
|
||
- backtest_runs
|
||
- backtest_results
|
||
|
||
---
|
||
|
||
## 15. 当前结论
|
||
|
||
Schema v1 的目标不是一次性穷尽全部 ICT 概念，而是先稳定支撑以下主链路：
|
||
|
||
`Candles -> Sessions -> Swings -> Ranges -> Liquidity -> Sweep -> MSS -> FVG -> Signal -> Execution -> Backtest`
|
||
|
||
后续开发中，所有新增字段和表都应优先服从这条主链路的一致性，不要为了术语完整性提前引入过多复杂实体。
|