from fastapi import FastAPI, HTTPException, WebSocket, WebSocketDisconnect, Depends, Request from fastapi.security import APIKeyHeader from pydantic import BaseModel from typing import List, Optional, Dict, Any import logging import threading import asyncio import numpy as np import redis import json import os import hashlib from core_engine import run_engine from opentelemetry import trace from opentelemetry.sdk.trace import TracerProvider from opentelemetry.sdk.trace.export import BatchSpanProcessor, ConsoleSpanExporter from opentelemetry.instrumentation.fastapi import FastAPIInstrumentor # Initialize OpenTelemetry Tracer provider = TracerProvider() processor = BatchSpanProcessor(ConsoleSpanExporter()) provider.add_span_processor(processor) trace.set_tracer_provider(provider) tracer = trace.get_tracer(__name__) app = FastAPI(title="Portfolio Engine API", version="1.0.0") # Instrument FastAPI for automatic endpoint tracing FastAPIInstrumentor.instrument_app(app) API_KEY = os.getenv("API_KEY") if API_KEY is None: raise RuntimeError( "FATAL: API_KEY environment variable must be set. " "Refusing to start with default credentials." ) api_key_header = APIKeyHeader(name="X-API-Key") def verify_api_key(api_key: str = Depends(api_key_header)): if api_key != API_KEY: raise HTTPException(status_code=403, detail="Could not validate credentials") return api_key redis_client = redis.Redis.from_url(os.getenv("REDIS_URL", "redis://localhost:6379/0"), decode_responses=True) def rate_limit(request: Request, limit: int = 10, window: int = 60): ip = request.client.host if request.client else "127.0.0.1" key = f"rate_limit:{ip}:{request.url.path}" try: current = redis_client.get(key) if current and int(current) >= limit: raise HTTPException(status_code=429, detail="Too Many Requests") pipe = redis_client.pipeline() pipe.incr(key) pipe.expire(key, window) pipe.execute() except redis.RedisError as e: logging.warning(f"Redis rate limiter failed, bypassing: {e}") # Global state to hold the latest portfolio for the WebSocket dashboard GLOBAL_STATE = { "capital": 0.0, "weights": {}, "prices": {}, "shares": {}, "pnl": 0.0 } import asyncio GLOBAL_STATE_LOCK = asyncio.Lock() from pydantic import BaseModel, Field class PortfolioRequest(BaseModel): tickers: List[str] = Field(["SPY", "TLT", "GLD"], min_length=1, description="List of asset tickers") capital: float = Field(100000.0, gt=0, description="Total capital to allocate") risk: int = Field(5, ge=1, le=10, description="Risk tolerance level (1-10)") model: int = Field(6, ge=1, le=7, description="1=CAPM, 2=BL, 3=Bayes, 4=FF, 5=ML, 6=E2E, 7=World Model") engine: int = Field(1, ge=1, le=2, description="Allocation engine (1=Convex, 2=HRP)") currency: str = Field("$", max_length=5) days: int = Field(252, ge=1, le=365) bsts: bool = False monthly: bool = False tax: bool = False excel: bool = False no_dynamic_risk: bool = False with_futures: bool = False overlay_mode: str = Field("beta_hedge", description="Futures overlay mode") futures_target_beta: float = Field(0.0, ge=-2.0, le=2.0) futures_universe: List[str] = ["MES", "ES"] futures_safety_multiplier: float = Field(3.0, ge=1.0, le=10.0) futures_margin_headroom: float = Field(0.05, ge=0.0, le=0.5) current_weights: Dict[str, float] = {} class OptimizationResponse(BaseModel): status: str message: str def get_risk_factor(risk_level: int) -> float: risk_map = { 1: 0.1, 2: 0.5, 3: 1.0, 4: 2.0, 5: 3.0, 6: 5.0, 7: 7.5, 8: 10.0, 9: 15.0, 10: 25.0 } return risk_map.get(risk_level, 3.0) @app.post("/run_optimization", response_model=OptimizationResponse, summary="Run full portfolio optimization") async def run_optimization(req: PortfolioRequest, request: Request, api_key: str = Depends(verify_api_key)): """Triggers the heavy optimization pipeline natively in Python via cvxpy/ML stack.""" rate_limit(request, limit=5, window=60) try: req_hash = hashlib.sha256(json.dumps(req.model_dump(), sort_keys=True).encode()).hexdigest() cache_key = f"opt_{req_hash}" try: cached_state_json = redis_client.get(cache_key) if cached_state_json: logging.info("Returning cached optimization result") cached_state = json.loads(cached_state_json) async with GLOBAL_STATE_LOCK: GLOBAL_STATE.update(cached_state) return {"status": "success", "message": "Optimization completed successfully (cached)."} except redis.RedisError as e: logging.warning(f"Redis cache check failed: {e}") overrides = { "tickers": req.tickers, "capital": req.capital, "risk_input": req.risk, "risk_factor": get_risk_factor(req.risk), "model": req.model, "allocation_engine": req.engine, "current_weights_raw": req.current_weights, "headless": True, "cfg_overrides": { "currency_symbol": req.currency, "trading_days_per_year": req.days, "bsts_enabled": req.bsts, "tax_enabled": req.tax, "dynamic_risk": not req.no_dynamic_risk, "export_excel": req.excel, "with_futures": req.with_futures, "overlay_mode": req.overlay_mode, "futures_universe": req.futures_universe, "futures_target_beta": req.futures_target_beta, "futures_safety_multiplier": req.futures_safety_multiplier, "futures_margin_headroom": req.futures_margin_headroom, } } if req.monthly: overrides["cfg_overrides"]["return_frequency"] = "monthly" import functools loop = asyncio.get_event_loop() with tracer.start_as_current_span("run_engine_pipeline_async_task"): task = loop.run_in_executor(None, functools.partial(run_engine, overrides=overrides)) try: opt_res = await task except asyncio.CancelledError: logging.info("Optimization task cancelled by client.") raise # Populate global state for live streaming weights = opt_res.get("target_weights", {}) prices = opt_res.get("prices", {}) capital = req.capital shares = {} for t, w in weights.items(): if t == 'CASH' or t not in prices: continue shares[t] = (capital * w) / prices[t] state_update = { "capital": capital, "weights": weights, "prices": prices.copy(), "shares": shares, "pnl": 0.0 } async with GLOBAL_STATE_LOCK: GLOBAL_STATE.update(state_update) try: redis_client.setex(cache_key, 3600, json.dumps(state_update)) except redis.RedisError as e: logging.warning(f"Failed to cache result in Redis: {e}") # Write to Audit Log try: from database import get_pg_engine, AuditLog from sqlalchemy.orm import sessionmaker engine = get_pg_engine() Session = sessionmaker(bind=engine) with Session() as session: log_entry = AuditLog( user_id=api_key, endpoint=request.url.path, request_hash=req_hash, request_body=req.model_dump(), response_weights=weights, ip_address=request.client.host if request.client else "unknown" ) session.add(log_entry) session.commit() except Exception as e: logging.error(f"Failed to write audit log: {e}") return {"status": "success", "message": "Optimization completed successfully."} except Exception as e: import traceback traceback.print_exc() raise HTTPException(status_code=500, detail=str(e)) @app.websocket("/ws") async def websocket_endpoint(websocket: WebSocket): api_key = websocket.headers.get("X-API-Key") or websocket.query_params.get("api_key") if api_key != API_KEY: await websocket.close(code=1008) return await websocket.accept() rng = np.random.default_rng() try: while True: # Skip if not initialized if not GLOBAL_STATE["shares"]: await asyncio.sleep(1) continue # Simulate continuously 24/7 for dashboard testing purposes # Simulate a live tick via Geometric Brownian Motion # Mild volatility parameter for 5-second ticks dt = 5 / (252 * 23400) # 5 seconds in years (assuming 6.5h trading day) vol = 0.15 # 15% annualized vol approx current_value = 0.0 new_prices = {} async with GLOBAL_STATE_LOCK: for t, share_qty in GLOBAL_STATE["shares"].items(): price = GLOBAL_STATE["prices"].get(t, 100.0) # Apply small random shock shock = rng.normal(0, vol * np.sqrt(dt)) new_price = price * (1 + shock) GLOBAL_STATE["prices"][t] = new_price new_prices[t] = round(new_price, 2) current_value += share_qty * new_price # Add cash value cash = GLOBAL_STATE["capital"] * GLOBAL_STATE["weights"].get("CASH", 0.0) current_value += cash GLOBAL_STATE["pnl"] = current_value - GLOBAL_STATE["capital"] payload = { "type": "live_update", "capital": round(current_value, 2), "pnl": round(GLOBAL_STATE["pnl"], 2), "prices": new_prices } await websocket.send_json(payload) await asyncio.sleep(5) except WebSocketDisconnect: logging.info("WebSocket disconnected") @app.get("/health") def health_check(): return {"status": "healthy"}