fix(critical): Unify quality score calculation across check-risk and execute

PROBLEM:
- check-risk calculated quality score: 60, 70 (PASSED)
- execute calculated quality score: 35, 45 (should have BLOCKED)
- Two different functions with different logic caused trades to bypass validation

ROOT CAUSE:
Two separate scoring functions existed:
1. scoreSignalQuality() in check-risk (detailed, 95% price threshold)
2. calculateQualityScore() in execute (simpler, 90% price threshold)

Example with pricePosition=96.4%, volumeRatio=0.9:
- check-risk: Checks >95, volumeRatio>1.4 failed → -15 + bonuses = 60  PASSED
- execute: Checks >90 → -15 + bonuses = 35  Should block but already opened

SOLUTION:
1. Created lib/trading/signal-quality.ts with unified scoreSignalQuality()
2. Both endpoints now import and use SAME function
3. Consistent scoring logic: 95% price threshold, volume breakout bonus
4. Returns detailed reasons for debugging

IMPACT:
- Quality scores now MATCH between check-risk and execute
- No more trades bypassing validation due to calculation differences
- Better debugging with quality reasons logged

Files changed:
- NEW: lib/trading/signal-quality.ts (unified scoring function)
- MODIFIED: app/api/trading/check-risk/route.ts (import shared function)
- MODIFIED: app/api/trading/execute/route.ts (import shared function)
- REMOVED: Duplicate calculateQualityScore() from execute
- REMOVED: Duplicate scoreSignalQuality() from check-risk
This commit is contained in:
mindesbunister
2025-11-04 11:40:25 +01:00
parent fdbb474e68
commit 02193b7dce
3 changed files with 166 additions and 226 deletions

View File

@@ -0,0 +1,147 @@
/**
* Signal Quality Scoring
*
* Unified quality scoring logic used by both check-risk and execute endpoints.
* Ensures consistent scoring across the trading pipeline.
*/
export interface SignalQualityResult {
score: number
passed: boolean
reasons: string[]
}
/**
* Calculate signal quality score based on technical indicators
*
* Scoring breakdown:
* - Base: 50 points
* - ATR (volatility): -20 to +10 points
* - ADX (trend strength): -15 to +15 points
* - RSI (momentum): -10 to +10 points
* - Volume: -10 to +15 points
* - Price position: -15 to +5 points
* - Volume breakout bonus: +10 points
*
* Total range: ~15-115 points (realistically 30-100)
* Threshold: 60 points minimum for execution
*/
export function scoreSignalQuality(params: {
atr: number
adx: number
rsi: number
volumeRatio: number
pricePosition: number
direction: 'long' | 'short'
minScore?: number // Configurable minimum score threshold
}): SignalQualityResult {
let score = 50 // Base score
const reasons: string[] = []
// ATR check (volatility gate: 0.15% - 2.5%)
if (params.atr > 0) {
if (params.atr < 0.15) {
score -= 15
reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
} else if (params.atr > 2.5) {
score -= 20
reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
} else if (params.atr >= 0.15 && params.atr < 0.4) {
score += 5
reasons.push(`ATR moderate (${params.atr.toFixed(2)}%)`)
} else {
score += 10
reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
}
}
// ADX check (trend strength: want >18)
if (params.adx > 0) {
if (params.adx > 25) {
score += 15
reasons.push(`Strong trend (ADX ${params.adx.toFixed(1)})`)
} else if (params.adx < 18) {
score -= 15
reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
} else {
score += 5
reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
}
}
// RSI check (momentum confirmation)
if (params.rsi > 0) {
if (params.direction === 'long') {
if (params.rsi > 50 && params.rsi < 70) {
score += 10
reasons.push(`RSI supports long (${params.rsi.toFixed(1)})`)
} else if (params.rsi > 70) {
score -= 10
reasons.push(`RSI overbought (${params.rsi.toFixed(1)})`)
}
} else { // short
if (params.rsi < 50 && params.rsi > 30) {
score += 10
reasons.push(`RSI supports short (${params.rsi.toFixed(1)})`)
} else if (params.rsi < 30) {
score -= 10
reasons.push(`RSI oversold (${params.rsi.toFixed(1)})`)
}
}
}
// Volume check (want > 1.0 = above average)
if (params.volumeRatio > 0) {
if (params.volumeRatio > 1.5) {
score += 15
reasons.push(`Very strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
} else if (params.volumeRatio > 1.2) {
score += 10
reasons.push(`Strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
} else if (params.volumeRatio < 0.8) {
score -= 10
reasons.push(`Weak volume (${params.volumeRatio.toFixed(2)}x avg)`)
}
}
// Price position check (avoid chasing vs breakout detection)
if (params.pricePosition > 0) {
if (params.direction === 'long' && params.pricePosition > 95) {
// High volume breakout at range top can be good
if (params.volumeRatio > 1.4) {
score += 5
reasons.push(`Volume breakout at range top (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
} else {
score -= 15
reasons.push(`Price near top of range (${params.pricePosition.toFixed(0)}%) - risky long`)
}
} else if (params.direction === 'short' && params.pricePosition < 5) {
// High volume breakdown at range bottom can be good
if (params.volumeRatio > 1.4) {
score += 5
reasons.push(`Volume breakdown at range bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
} else {
score -= 15
reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - risky short`)
}
} else {
score += 5
reasons.push(`Price position OK (${params.pricePosition.toFixed(0)}%)`)
}
}
// Volume breakout bonus (high volume can override other weaknesses)
if (params.volumeRatio > 1.8 && params.atr < 0.6) {
score += 10
reasons.push(`Volume breakout compensates for low ATR`)
}
const minScore = params.minScore || 60
const passed = score >= minScore
return {
score,
passed,
reasons,
}
}