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