docs: stable SDK contract and strategy-neutral order helpers (#37)
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Daichi Narushima
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This section documents the mt5cli public Python API and CLI modules.
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Start with the [Public API Contract](public-contract.md) for the stable
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downstream SDK surface, CLI boundary, internal modules, and out-of-scope strategy
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responsibilities.
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## Public API layers
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| Module | Purpose |
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| ----------------------------------------- | ------------------------------------------------------------------------- |
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| [Public API Contract](public-contract.md) | Stable downstream SDK exports, CLI boundary, and out-of-scope items |
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| [Client](client.md) | `MT5Client` session abstraction for data access and order primitives |
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| [Schemas](schemas.md) | Canonical DataFrame contracts and normalization helpers |
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| [Storage](storage.md) | CSV/JSON/Parquet/SQLite export and history collection helpers |
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@@ -30,7 +35,10 @@ flowchart TD
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SDK --> PDMT5["pdmt5.Mt5DataClient"]
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```
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Downstream packages should depend on the package root exports (`MT5Client`, `DataKind`, `normalize_dataframe`, `export_dataframe`, `collect_history`, etc.) rather than private modules.
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Downstream packages should depend on the package root exports documented in the
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[Public API Contract](public-contract.md) (`MT5Client`,
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`DataKind`, `normalize_dataframe`, `collect_history`, `load_rate_data`,
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`resolve_rate_view_name`, etc.) rather than private modules.
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`MT5Client.order_send()` is a live execution primitive that can place real trades. mt5cli exposes minimal execution helpers only; strategy logic, signals, backtests, and optimization remain out of scope and must be implemented downstream with explicit execution gating.
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@@ -0,0 +1,184 @@
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# Public API Contract
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mt5cli is the generic MT5 data and execution infrastructure layer for downstream
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Python applications. The intended dependency direction is:
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```text
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downstream app -> mt5cli -> pdmt5 -> MetaTrader 5
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```
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Downstream packages should import from the package root (`from mt5cli import
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...`) and treat the symbols listed below as the stable SDK contract. CLI
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commands mirror the same behavior but are not importable Python APIs.
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## Stable downstream SDK API
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These names are exported from `mt5cli` and covered by the contract in
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`mt5cli.STABLE_SDK_EXPORTS` (defined in `mt5cli.contract`). Prefer `MT5Client` over the legacy `Mt5CliClient`
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alias for new code.
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### Session lifecycle and configuration
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| Symbol | Role |
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| ----------------------------------------------- | ---------------------------------------------------------------- |
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| `MT5Client`, `Mt5CliClient` | Read-only data client with optional `order_check` / `order_send` |
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| `build_config` | Build `pdmt5.Mt5Config` from connection fields |
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| `mt5_session` | Context manager: initialize, login, yield client, shutdown |
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| `create_trading_client`, `mt5_trading_session` | Trading-capable `pdmt5.Mt5TradingClient` lifecycle |
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| `AccountSpec` | Generic account group: symbols plus optional credentials |
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| `resolve_account_spec`, `resolve_account_specs` | Merge overrides and expand `${ENV_VAR}` placeholders |
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| `substitute_env_placeholders` | Replace `${NAME}` substrings from the environment |
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Credential resolution is generic: any environment variable name may appear inside
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`${...}`. mt5cli does not hard-code application-specific keys such as
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`mt5_login` or `mt5_exe`.
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### Read-only MT5 data access
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Module-level helpers open a transient connection per call. Prefer `mt5_session`
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or `MT5Client` when making many requests in one process.
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| Area | Symbols |
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| -------------------- | ---------------------------------------------------------------------------------------------------- |
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| Rates | `copy_rates_from`, `copy_rates_from_pos`, `copy_rates_range`, `latest_rates`, `collect_latest_rates` |
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| Ticks | `copy_ticks_from`, `copy_ticks_range`, `recent_ticks` |
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| Account / terminal | `account_info`, `terminal_info`, `mt5_version`, `last_error`, `mt5_summary`, `mt5_summary_as_df` |
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| Symbols / market | `symbols`, `symbol_info`, `symbol_info_tick`, `market_book`, `minimum_margins` |
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| Trading state (read) | `orders`, `positions`, `history_orders`, `history_deals`, `recent_history_deals` |
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Use `mt5_version` for MetaTrader 5 terminal version data. The name `version` at
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the package root refers to `importlib.metadata.version` (package metadata), not
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the MT5 SDK helper.
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### Closed-bar rate helpers
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MetaTrader 5 returns the still-forming bar as the last row when
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`start_pos=0`. Use these helpers instead of reimplementing bar trimming or
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timestamp normalization in downstream apps.
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| Symbol | Role |
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| ------------------------------------------------ | ------------------------------------------------------------ |
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| `drop_forming_rate_bar` | Remove the last row from chronologically ordered rate data |
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| `fetch_latest_closed_rates` | Single connected client: fetch `count + 1`, drop forming bar |
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| `collect_latest_closed_rates_for_accounts` | Multi-account closed bars with optional retry wrapper |
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| `collect_latest_closed_rates_by_granularity` | Same data keyed by `(symbol, granularity_name)` |
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| `collect_latest_rates_for_accounts` | Latest bars including the forming bar when `start_pos=0` |
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| `collect_latest_rates_for_accounts_with_retries` | Bounded exponential backoff for transient MT5 errors |
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### SQLite history collection and rate loading
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| Symbol | Role |
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| ----------------------------------------------------------------------------------------------------------------------------- | -------------------------------------------------------------------- |
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| `collect_history` | One-shot date-range export into SQLite |
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| `update_history`, `update_history_with_config` | Incremental append from `MAX(time)` cursors |
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| `ThrottledHistoryUpdater` | Minimum interval between successful incremental updates |
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| `resolve_history_datasets`, `resolve_history_timeframes`, `resolve_history_tick_flags` | History pipeline configuration |
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| `build_rate_view_name`, `resolve_rate_table_name`, `resolve_rate_view_name`, `resolve_rate_view_names`, `resolve_rate_tables` | Map symbols/timeframes to mt5cli-managed table or view names |
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| `RateTarget`, `build_rate_targets` | Neutral `(symbol, timeframe)` series descriptors |
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| `load_rate_data`, `load_rate_data_from_connection` | Load one table/view into a time-indexed DataFrame |
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| `load_rate_series_from_sqlite`, `load_rate_series_by_granularity` | Load one or many series; fail clearly when managed views are missing |
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Pass `require_existing=True` to rate view resolution helpers when downstream
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code must fail instead of receiving a best-guess view name. Multi-series loaders
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require existing managed `rate_*__*` views unless `explicit_tables` is supplied.
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See [History Collection (SQLite)](history.md) for schema, view naming, and ER
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diagrams.
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### Trading and sizing primitives (generic)
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These helpers implement broker-facing calculations only. They do not encode
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strategy entries, exits, Kelly sizing, or signal logic.
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| Symbol | Role |
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| -------------------------------------------------------------------------------------------------- | --------------------------------------------- |
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| `get_account_snapshot`, `get_symbol_snapshot`, `get_tick_snapshot`, `get_positions_frame` | Normalized account/symbol/tick/position views |
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| `detect_position_side` | Net long / short / flat from open positions |
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| `calculate_spread_ratio` | Relative bid-ask spread |
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| `calculate_margin_and_volume`, `calculate_volume_by_margin`, `calculate_new_position_margin_ratio` | Margin budget and volume sizing |
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| `determine_order_limits` | SL/TP price levels from ratios |
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| `ensure_symbol_selected` | Select/verify Market Watch visibility |
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| `place_market_order`, `close_open_positions`, `update_sltp_for_open_positions` | Order execution helpers (`dry_run` supported) |
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| `MarginVolume`, `OrderLimits`, `OrderExecutionResult` | Typed return contracts for order helpers |
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| `OrderSide`, `OrderFillingMode`, `OrderTimeMode`, `PositionSide`, `ExecutionStatus` | Typed enums for order helpers |
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`MT5Client.order_send()` and CLI `order-send --yes` are live execution paths.
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Order helpers validate broker stop-level distance in `determine_order_limits()` and
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raise `Mt5TradingError` when computed SL/TP prices are too close to the entry
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quote. Validation uses `trade_stops_level * point` from the current quote and
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symbol metadata as a pre-check only; it does not guarantee live order acceptance
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after price movement and does not inspect `trade_freeze_level`. Live
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`place_market_order()` and SL/TP updates call
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`ensure_symbol_selected()` so hidden symbols are added to Market Watch before
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sending requests. Failed, malformed, or unknown broker retcodes are fail-closed
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and returned as `status="failed"` with normalized `request` / `response` details;
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`dry_run=True` never calls `ensure_symbol_selected()` or `order_send()`.
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### Errors and MT5 type re-exports
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| Symbol | Role |
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| ------------------------------------------------------------------------------------ | ----------------------------------------------- |
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| `Mt5CliError`, `Mt5ConnectionError`, `Mt5OperationError`, `Mt5SchemaError` | Stable mt5cli exception types |
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| `normalize_mt5_exception`, `call_with_normalized_errors`, `is_recoverable_mt5_error` | Error normalization and retry classification |
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| `Mt5Config`, `Mt5RuntimeError`, `Mt5TradingClient`, `Mt5TradingError` | Re-exported pdmt5 types for adapter convenience |
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### Additional public exports (secondary)
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The package root also exports schema, storage, and parsing helpers (for example
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`DataKind`, `Dataset`, `normalize_dataframe`, `export_dataframe`,
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`parse_timeframe`, `TIMEFRAME_MAP`). These are public but oriented toward export
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pipelines and advanced integration. Prefer the stable symbols above for core
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infrastructure.
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## CLI commands
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The Typer application in `mt5cli.cli` exposes file-export commands documented in
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[CLI Module](cli.md) and the project README. CLI commands:
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- Require `-o/--output` and write CSV, JSON, Parquet, or SQLite.
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- Accept global MT5 connection options (`--login`, `--password`, `--server`,
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`--path`, `--timeout`).
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- Delegate to the same Python APIs described here; they are not duplicated
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business logic.
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`order-send` requires `--yes` before placing live trades.
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## Internal helpers (not stable)
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Do not import these for downstream contracts; they may change without a semver
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notice:
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| Module | Examples |
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| ------------------------ | ------------------------------------------------------------------------- |
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| `mt5cli.sdk` | `connected_client`, `_run_with_client`, private coercion helpers |
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| `mt5cli.history` | `write_*_dataset`, `deduplicate_history_tables`, `parse_sqlite_timestamp` |
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| `mt5cli.retry` | `retry_with_backoff` |
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| `mt5cli.cli` | Typer command handlers and Click parameter types |
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| Leading-underscore names | Any `_`-prefixed function or method |
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Use the package-root stable exports instead of reaching into submodule
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internals.
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## Explicitly out of scope
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mt5cli must **not** implement downstream strategy or research responsibilities.
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The following belong in consuming applications, not in mt5cli:
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- Signal detection (for example AR-GARCH or other model-specific triggers)
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- Backtesting, walk-forward analysis, or parameter optimization
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- Strategy-specific risk policy, position sizing systems, or Kelly fractions
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- Entry/exit decision logic or YAML strategy semantics
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- Application-specific credential schema keys wired into mt5cli internals
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mt5cli provides connection lifecycle, normalized data access, SQLite history
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machinery, closed-bar helpers, generic margin/volume/spread/SL/TP utilities, and
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optional order primitives so downstream apps can focus on strategy code behind
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their own adapter layer.
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## Contract verification
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`tests/test_contracts.py` asserts that every name in `STABLE_SDK_EXPORTS` is
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importable from `mt5cli`, documents key closed-bar, rate-view, SQLite loading,
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account-resolution, and trading-session behaviors, and keeps the contract set
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aligned with `__all__`.
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+57
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@@ -90,18 +90,65 @@ sell-only exposure, and `None` for no positions or mixed long/short exposure.
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SL/TP ratios for `determine_order_limits()` must satisfy `0 <= ratio < 1`; `0`
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omits that level. SL/TP prices are rounded with symbol `digits` metadata when
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available. `unit_margin_ratio` and `preserved_margin_ratio` for
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`calculate_margin_and_volume()` accept `0 <= ratio <= 1`; `unit_margin_ratio=0`
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requests one minimum valid unit when the post-reserve margin can afford it.
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Negative `margin_free` is clamped to `0.0` before sizing. Execution helpers
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return normalized dictionaries containing the request, response, status,
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retcode, and `dry_run` flag; `dry_run=True` never sends an order. Market order
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helpers mark known non-success MT5 retcodes as `status="failed"` while keeping
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the normalized response for inspection.
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available. `determine_order_limits()` pre-validates computed SL/TP prices against
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available `trade_stops_level * point` metadata when present; violations raise
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`Mt5TradingError`. This is a planning helper only: it does not guarantee broker
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acceptance because live validation can still depend on price movement, bid/ask
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side, freeze levels, and server-side rules, and it does not validate
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`trade_freeze_level`. When symbol metadata cannot be loaded, protective prices
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still round with `digits=8` and stop-level validation is skipped.
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`unit_margin_ratio` and `preserved_margin_ratio` for `calculate_margin_and_volume()`
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accept `0 <= ratio <= 1`; `unit_margin_ratio=0` requests one minimum valid unit
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when the post-reserve margin can afford it. Negative `margin_free` is clamped to
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`0.0` before sizing. Execution helpers return normalized `OrderExecutionResult`
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dictionaries containing the request, response, status, retcode, and `dry_run`
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flag; `dry_run=True` never sends an order or mutates Market Watch visibility.
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`ensure_symbol_selected()` adds hidden symbols to Market Watch before live order
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placement and SL/TP updates. Failed, malformed, or unknown broker retcodes are
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fail-closed and returned as `status="failed"` while keeping the normalized
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response for inspection.
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## Migration from mteor-local helpers
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## Order planning return contracts
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| mteor-local concern | mt5cli replacement |
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```python
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from mt5cli import MarginVolume, OrderLimits, OrderExecutionResult
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sizing: MarginVolume = calculate_margin_and_volume(
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client,
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"EURUSD",
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unit_margin_ratio=0.5,
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preserved_margin_ratio=0.2,
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)
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limits: OrderLimits = determine_order_limits(
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client,
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"EURUSD",
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side="long",
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stop_loss_limit_ratio=0.01,
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take_profit_limit_ratio=0.02,
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)
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preview: OrderExecutionResult = place_market_order(
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client,
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symbol="EURUSD",
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volume=sizing["buy_volume"],
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order_side="BUY",
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sl=limits["stop_loss"],
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tp=limits["take_profit"],
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dry_run=True,
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)
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updates: list[OrderExecutionResult] = update_sltp_for_open_positions(
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client,
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symbol="EURUSD",
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stop_loss=limits["stop_loss"],
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dry_run=True,
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)
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```
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Closes issue #33: strategy-neutral order planning and execution helpers exposed
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through the stable package root without embedding entry/exit policy.
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## Migration from application-local helpers
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| Application-local concern | mt5cli replacement |
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| -------------------------------------------------------- | ----------------------------------------------- |
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| Manual terminal spawn/kill around trading code | `mt5_trading_session()` |
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| Local position-side detection | `detect_position_side()` |
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