From d833d386d0c907f4f5124484f36a1de297ccc212 Mon Sep 17 00:00:00 2001
From: kjh2064 <kjh2064@gmail.com>
Date: Sun, 12 Jul 2026 12:11:18 +0900
Subject: [PATCH] feat: add postgres market time series schema

---
 docs/db/quantengine.dbml                      | 30 ++++++++++++++++
 spec/60_quant_engine_wbs.yaml                 |  4 +--
 .../Migrations/V6__Add_Market_Time_Series.sql | 36 +++++++++++++++++++
 3 files changed, 68 insertions(+), 2 deletions(-)
 create mode 100644 src/dotnet/QuantEngine.Infrastructure/Migrations/V6__Add_Market_Time_Series.sql

diff --git a/docs/db/quantengine.dbml b/docs/db/quantengine.dbml
index eccaec53..faa3a089 100644
--- a/docs/db/quantengine.dbml
+++ b/docs/db/quantengine.dbml
@@ -385,6 +385,36 @@ Table engine_history.market_vs_engine_gap_history {
 // Schema: engine_history (V5 normalized learning history)
 // =============================================================================
 
+Table quantengine.price_history_daily {
+  ticker TEXT [not null]
+  trade_date DATE [not null]
+  open NUMERIC [not null]
+  high NUMERIC [not null]
+  low NUMERIC [not null]
+  close NUMERIC [not null]
+  volume BIGINT [not null]
+  source TEXT [not null]
+  collected_at TIMESTAMPTZ [not null, default: "NOW()"]
+  provenance JSONB [not null, default: "'{}'::jsonb"]
+
+  indexes {
+    (ticker, trade_date) [pk]
+  }
+}
+
+Table quantengine.macro_history_daily {
+  symbol TEXT [not null]
+  trade_date DATE [not null]
+  value NUMERIC [not null]
+  source TEXT [not null]
+  collected_at TIMESTAMPTZ [not null, default: "NOW()"]
+  provenance JSONB [not null, default: "'{}'::jsonb"]
+
+  indexes {
+    (symbol, trade_date) [pk]
+  }
+}
+
 Table engine_history.source_observation {
   observation_id UUID [pk]
   observed_at TIMESTAMPTZ [not null]
diff --git a/spec/60_quant_engine_wbs.yaml b/spec/60_quant_engine_wbs.yaml
index 75456fe8..cd0c5f86 100644
--- a/spec/60_quant_engine_wbs.yaml
+++ b/spec/60_quant_engine_wbs.yaml
@@ -375,11 +375,11 @@ tasks:
   # M2 — 히스토리 시계열 저장소
   # ---------------------------------------------------------------------------
   QE-M2-01:
-    title: "V4 마이그레이션: price_history_daily + macro_history_daily"
+    title: "V6 마이그레이션: price_history_daily + macro_history_daily"
     status: PENDING
     depends_on: [QE-M1-01]
     owner_files:
-      - src/dotnet/QuantEngine.Infrastructure/Migrations/V4__Add_Price_History.sql
+      - src/dotnet/QuantEngine.Infrastructure/Migrations/V6__Add_Market_Time_Series.sql
     notes: >
       price_history_daily(ticker, trade_date, open/high/low/close numeric, volume bigint,
       source text, collected_at timestamptz, PK(ticker, trade_date));
diff --git a/src/dotnet/QuantEngine.Infrastructure/Migrations/V6__Add_Market_Time_Series.sql b/src/dotnet/QuantEngine.Infrastructure/Migrations/V6__Add_Market_Time_Series.sql
new file mode 100644
index 00000000..d753047f
--- /dev/null
+++ b/src/dotnet/QuantEngine.Infrastructure/Migrations/V6__Add_Market_Time_Series.sql
@@ -0,0 +1,36 @@
+-- V6__Add_Market_Time_Series.sql
+-- Canonical PostgreSQL daily series for point-in-time factor calculations.
+
+CREATE SCHEMA IF NOT EXISTS quantengine;
+
+CREATE TABLE IF NOT EXISTS quantengine.price_history_daily (
+    ticker TEXT NOT NULL,
+    trade_date DATE NOT NULL,
+    open NUMERIC NOT NULL,
+    high NUMERIC NOT NULL,
+    low NUMERIC NOT NULL,
+    close NUMERIC NOT NULL,
+    volume BIGINT NOT NULL,
+    source TEXT NOT NULL,
+    collected_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    provenance JSONB NOT NULL DEFAULT '{}'::jsonb,
+    PRIMARY KEY (ticker, trade_date),
+    CONSTRAINT price_history_daily_ohlc_order CHECK (high >= low AND high >= open AND high >= close AND low <= open AND low <= close),
+    CONSTRAINT price_history_daily_volume_nonnegative CHECK (volume >= 0)
+);
+
+CREATE INDEX IF NOT EXISTS idx_price_history_daily_date
+    ON quantengine.price_history_daily (trade_date DESC, ticker);
+
+CREATE TABLE IF NOT EXISTS quantengine.macro_history_daily (
+    symbol TEXT NOT NULL,
+    trade_date DATE NOT NULL,
+    value NUMERIC NOT NULL,
+    source TEXT NOT NULL,
+    collected_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+    provenance JSONB NOT NULL DEFAULT '{}'::jsonb,
+    PRIMARY KEY (symbol, trade_date)
+);
+
+CREATE INDEX IF NOT EXISTS idx_macro_history_daily_date
+    ON quantengine.macro_history_daily (trade_date DESC, symbol);