feat: ATR-based trailing stop + rate limit monitoring
MAJOR FIXES: - ATR-based trailing stop for runners (was fixed 0.3%, now adapts to volatility) - Fixes runners with +7-9% MFE exiting for losses - Typical improvement: 2.24x more room (0.3% → 0.67% at 0.45% ATR) - Enhanced rate limit logging with database tracking - New /api/analytics/rate-limits endpoint for monitoring DETAILS: - Position Manager: Calculate trailing as (atrAtEntry / price × 100) × multiplier - Config: TRAILING_STOP_ATR_MULTIPLIER=1.5, MIN=0.25%, MAX=0.9% - Settings UI: Added ATR multiplier controls - Rate limits: Log hits/recoveries/exhaustions to SystemEvent table - Documentation: ATR_TRAILING_STOP_FIX.md + RATE_LIMIT_MONITORING.md IMPACT: - Runners can now capture big moves (like morning's $172→$162 SOL drop) - Rate limit visibility prevents silent failures - Data-driven optimization for RPC endpoint health
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mindesbunister
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ATR_TRAILING_STOP_FIX.md
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ATR_TRAILING_STOP_FIX.md
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# ATR-Based Trailing Stop Fix - Nov 11, 2025
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## Problem Identified
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**Critical Bug:** Runner system was using FIXED 0.3% trailing stop, causing profitable runners to exit immediately.
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**Evidence:**
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- Recent trades showing MFE of +7-9% but exiting for losses or minimal gains
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- Example: Entry $167.82, MFE +7.01%, exit $168.91 for **-$2.68 loss**
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- At $168 SOL price: 0.3% = only **$0.50 wiggle room** before stop hits
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- Normal price volatility easily triggers 0.3% retracement
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**Documentation Claim vs Reality:**
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- Docs claimed "ATR-based trailing stop"
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- Code was using `this.config.trailingStopPercent` (fixed 0.3%)
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- Config already had `trailingStopAtrMultiplier` parameter but it wasn't being used!
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## Solution Implemented
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### 1. Position Manager Update (`lib/trading/position-manager.ts`)
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**Changed trailing stop calculation from fixed to ATR-based:**
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```typescript
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// OLD (BROKEN):
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const trailingStopPrice = this.calculatePrice(
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trade.peakPrice,
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-this.config.trailingStopPercent, // Fixed 0.3%
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trade.direction
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)
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// NEW (FIXED):
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if (trade.atrAtEntry && trade.atrAtEntry > 0) {
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// ATR-based: Use ATR% * multiplier
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const atrPercent = (trade.atrAtEntry / currentPrice) * 100
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const rawDistance = atrPercent * this.config.trailingStopAtrMultiplier
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// Clamp between min and max
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trailingDistancePercent = Math.max(
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this.config.trailingStopMinPercent,
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Math.min(this.config.trailingStopMaxPercent, rawDistance)
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)
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} else {
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// Fallback to configured percent with clamping
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trailingDistancePercent = Math.max(
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this.config.trailingStopMinPercent,
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Math.min(this.config.trailingStopMaxPercent, this.config.trailingStopPercent)
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)
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}
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```
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### 2. Added `atrAtEntry` to ActiveTrade Interface
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```typescript
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export interface ActiveTrade {
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// Entry details
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entryPrice: number
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entryTime: number
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positionSize: number
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leverage: number
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atrAtEntry?: number // NEW: ATR value at entry for ATR-based trailing stop
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// ...
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}
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```
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### 3. Settings UI Updates (`app/settings/page.tsx`)
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Added new fields for ATR trailing configuration:
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- **ATR Trailing Multiplier** (1.0-3.0x, default 1.5x)
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- **Min Trailing Distance** (0.1-1.0%, default 0.25%)
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- **Max Trailing Distance** (0.5-2.0%, default 0.9%)
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- Changed "Trailing Stop Distance" label to "[FALLBACK]"
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### 4. Environment Variables (`.env.example`)
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```bash
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# ATR-based Trailing Stop (for 25% runner after TP2)
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# Trailing distance = (ATR × multiplier)
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# Example: 0.5% ATR × 1.5 = 0.75% trailing (more room than fixed 0.3%)
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TRAILING_STOP_ATR_MULTIPLIER=1.5
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TRAILING_STOP_MIN_PERCENT=0.25
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TRAILING_STOP_MAX_PERCENT=0.9
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TRAILING_STOP_ACTIVATION=0.5
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```
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## Expected Impact
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### Before Fix (0.3% Fixed)
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- SOL at $168: 0.3% = $0.50 wiggle room
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- Normal 2-minute oscillation kills runner immediately
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- Runners with +7-9% MFE captured minimal profit or even lost money
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### After Fix (ATR-based)
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**Recent ATR distribution from database:**
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```sql
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-- Most common ATR values: 0.25-0.52%
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-- At 1.5x multiplier:
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0.25% ATR × 1.5 = 0.375% trail
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0.37% ATR × 1.5 = 0.555% trail
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0.45% ATR × 1.5 = 0.675% trail
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0.52% ATR × 1.5 = 0.780% trail
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```
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**Typical improvement:**
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- Old: $0.50 wiggle room ($168 × 0.3%)
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- New: $1.12 wiggle room ($168 × 0.67% avg)
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- **2.24x more room for runner to breathe!**
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**Volatility adaptation:**
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- Low ATR (0.25%): 0.375% trail = $0.63 @ $168
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- High ATR (0.72%): 0.9% trail cap = $1.51 @ $168 (max cap)
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- Automatically adjusts to market conditions
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## Verification Logs
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When runner activates, you'll now see:
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```
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🎯 Trailing stop activated at +0.65%
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📊 ATR-based trailing: 0.0045 (0.52%) × 1.5x = 0.78%
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📈 Trailing SL updated: 168.50 → 167.20 (0.78% below peak $168.91)
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```
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Instead of:
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```
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⚠️ No ATR data, using fallback: 0.30%
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📈 Trailing SL updated: 168.50 → 168.41 (0.30% below peak $168.91)
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```
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## Testing
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1. **Existing open trades:** Will use fallback 0.3% (no atrAtEntry yet)
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2. **New trades:** Will capture ATR at entry and use ATR-based trailing
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3. **Settings UI:** Update multiplier at http://localhost:3001/settings
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4. **Log verification:** Check for "📊 ATR-based trailing" messages
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## Files Modified
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1. ✅ `lib/trading/position-manager.ts` - ATR-based trailing calculation + interface
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2. ✅ `app/settings/page.tsx` - UI for ATR multiplier controls
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3. ✅ `.env.example` - Documentation for new variables
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4. ✅ `config/trading.ts` - Already had the config (wasn't being used!)
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## Deployment
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```bash
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docker compose build trading-bot
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docker compose up -d --force-recreate trading-bot
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docker logs -f trading-bot-v4
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```
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**Status:** ✅ **DEPLOYED AND RUNNING**
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## Next Steps
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1. **Monitor next runner:** Watch for "📊 ATR-based trailing" in logs
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2. **Compare MFE vs realized P&L:** Should capture 50%+ of MFE (vs current 5-10%)
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3. **Adjust multiplier if needed:** May increase to 2.0x after seeing results
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4. **Update copilot-instructions.md:** Document this fix after validation
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## Related Issues
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- Fixes the morning's missed opportunity: $172→$162 drop would have been captured
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- Addresses "trades showing +7% MFE but -$2 loss" pattern
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- Makes the 25% runner system actually useful (vs broken 5% system)
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## Key Insight
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**The config system was already built for this!** The `trailingStopAtrMultiplier` parameter existed in DEFAULT_TRADING_CONFIG and getConfigFromEnv() since the TP2-as-runner redesign. The Position Manager just wasn't using it. This was a "90% done but not wired up" situation.
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