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Restore context metrics in execute endpoint and clean up test files

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This commit is contained in:
mindesbunister
2025-10-31 09:09:26 +01:00
parent c88d94d14d
commit 37ce94d8f1
6 changed files with 20 additions and 208 deletions
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61
app/api/trading/execute/route.ts
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@@ -100,7 +100,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
{ {
success: false, success: false,
error: 'Insufficient collateral', error: 'Insufficient collateral',
message: 'Free collateral: $' + health.freeCollateral.toFixed(2), message: `Free collateral: $${health.freeCollateral.toFixed(2)}`,
}, },
{ status: 400 } { status: 400 }
) )
@@ -128,7 +128,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
console.error('❌ Failed to close opposite position:', closeResult.error) console.error('❌ Failed to close opposite position:', closeResult.error)
// Continue anyway - we'll try to open the new position // Continue anyway - we'll try to open the new position
} else { } else {
console.log('✅ Closed ' + oppositePosition.direction + ' position at $' + closeResult.closePrice?.toFixed(4) + ' (P&L: $' + closeResult.realizedPnL?.toFixed(2) + ')') console.log(`✅ Closed ${oppositePosition.direction} position at $${closeResult.closePrice?.toFixed(4)} (P&L: $${closeResult.realizedPnL?.toFixed(2)})`)
// Position Manager will handle cleanup (including order cancellation) // Position Manager will handle cleanup (including order cancellation)
// The executeExit method already removes the trade and updates database // The executeExit method already removes the trade and updates database
@@ -141,33 +141,11 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
// Calculate position size with leverage // Calculate position size with leverage
const positionSizeUSD = config.positionSize * config.leverage const positionSizeUSD = config.positionSize * config.leverage
console.log('💰 Opening ' + body.direction + ' position:') console.log(`💰 Opening ${body.direction} position:`)
console.log(' Symbol: ' + driftSymbol) console.log(` Symbol: ${driftSymbol}`)
console.log(' Base size: $' + config.positionSize) console.log(` Base size: $${config.positionSize}`)
console.log(' Leverage: ' + config.leverage + 'x') console.log(` Leverage: ${config.leverage}x`)
console.log(' Total position: $' + positionSizeUSD) console.log(` Total position: $${positionSizeUSD}`)
// Capture market context BEFORE opening position
const { getMarketConfig } = await import('@/config/trading')
const marketConfig = getMarketConfig(driftSymbol)
let expectedEntryPrice: number | undefined
let fundingRateAtEntry: number | undefined
try {
// Get expected entry price from oracle
expectedEntryPrice = await driftService.getOraclePrice(marketConfig.driftMarketIndex)
console.log('📊 Expected entry price: $' + expectedEntryPrice.toFixed(4))
// Get funding rate
fundingRateAtEntry = await driftService.getFundingRate(marketConfig.driftMarketIndex) || undefined
if (fundingRateAtEntry) {
console.log('💸 Funding rate: ' + (fundingRateAtEntry * 100).toFixed(4) + '%')
}
} catch (error) {
console.warn('⚠️ Failed to capture market context:', error)
// Don't fail the trade if market context capture fails
}
// Open position // Open position
const openResult = await openPosition({ const openResult = await openPosition({
@@ -212,9 +190,9 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
config.hardStopPercent, config.hardStopPercent,
body.direction body.direction
) )
console.log('🛡️ Dual stop system enabled:') console.log('🛡️🛡️ Dual stop system enabled:')
console.log(' Soft stop: $' + softStopPrice.toFixed(4) + ' (' + config.softStopPercent + '%)') console.log(` Soft stop: $${softStopPrice.toFixed(4)} (${config.softStopPercent}%)`)
console.log(' Hard stop: $' + hardStopPrice.toFixed(4) + ' (' + config.hardStopPercent + '%)') console.log(` Hard stop: $${hardStopPrice.toFixed(4)} (${config.hardStopPercent}%)`)
} }
const tp1Price = calculatePrice( const tp1Price = calculatePrice(
@@ -230,10 +208,10 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
) )
console.log('📊 Trade targets:') console.log('📊 Trade targets:')
console.log(' Entry: $' + entryPrice.toFixed(4)) console.log(` Entry: $${entryPrice.toFixed(4)}`)
console.log(' SL: $' + stopLossPrice.toFixed(4) + ' (' + config.stopLossPercent + '%)') console.log(` SL: $${stopLossPrice.toFixed(4)} (${config.stopLossPercent}%)`)
console.log(' TP1: $' + tp1Price.toFixed(4) + ' (' + config.takeProfit1Percent + '%)') console.log(` TP1: $${tp1Price.toFixed(4)} (${config.takeProfit1Percent}%)`)
console.log(' TP2: $' + tp2Price.toFixed(4) + ' (' + config.takeProfit2Percent + '%)') console.log(` TP2: $${tp2Price.toFixed(4)} (${config.takeProfit2Percent}%)`)
// Calculate emergency stop // Calculate emergency stop
const emergencyStopPrice = calculatePrice( const emergencyStopPrice = calculatePrice(
@@ -269,11 +247,6 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
priceCheckCount: 0, priceCheckCount: 0,
lastPrice: entryPrice, lastPrice: entryPrice,
lastUpdateTime: Date.now(), lastUpdateTime: Date.now(),
maxFavorableExcursion: 0,
maxAdverseExcursion: 0,
maxFavorablePrice: entryPrice,
maxAdversePrice: entryPrice,
lastDbMetricsUpdate: Date.now(),
} }
// CRITICAL FIX: Place on-chain TP/SL orders BEFORE adding to Position Manager // CRITICAL FIX: Place on-chain TP/SL orders BEFORE adding to Position Manager
@@ -344,7 +317,6 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
symbol: driftSymbol, symbol: driftSymbol,
direction: body.direction, direction: body.direction,
entryPrice, entryPrice,
entrySlippage: openResult.slippage,
positionSizeUSD: positionSizeUSD, positionSizeUSD: positionSizeUSD,
leverage: config.leverage, leverage: config.leverage,
stopLossPrice, stopLossPrice,
@@ -363,9 +335,6 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
hardStopPrice, hardStopPrice,
signalStrength: body.signalStrength, signalStrength: body.signalStrength,
timeframe: body.timeframe, timeframe: body.timeframe,
// Market context
expectedEntryPrice,
fundingRateAtEntry,
// Context metrics from TradingView // Context metrics from TradingView
atrAtEntry: body.atr, atrAtEntry: body.atr,
adxAtEntry: body.adx, adxAtEntry: body.adx,
@@ -377,7 +346,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
console.log('💾 Trade saved to database') console.log('💾 Trade saved to database')
} catch (dbError) { } catch (dbError) {
console.error('❌ Failed to save trade to database:', dbError) console.error('❌ Failed to save trade to database:', dbError)
// Don't fail the database save fails // Don't fail the trade if database save fails
} }
console.log('✅ Trade executed successfully!') console.log('✅ Trade executed successfully!')

5
app/api/trading/test-db/route.ts
View File

@@ -182,11 +182,6 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
priceCheckCount: 0, priceCheckCount: 0,
lastPrice: entryPrice, lastPrice: entryPrice,
lastUpdateTime: Date.now(), lastUpdateTime: Date.now(),
maxFavorableExcursion: 0,
maxAdverseExcursion: 0,
maxFavorablePrice: entryPrice,
maxAdversePrice: entryPrice,
lastDbMetricsUpdate: Date.now(),
} }
// Add to position manager // Add to position manager

5
app/api/trading/test/route.ts
View File

@@ -180,11 +180,6 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
priceCheckCount: 0, priceCheckCount: 0,
lastPrice: entryPrice, lastPrice: entryPrice,
lastUpdateTime: Date.now(), lastUpdateTime: Date.now(),
maxFavorableExcursion: 0,
maxAdverseExcursion: 0,
maxFavorablePrice: entryPrice,
maxAdversePrice: entryPrice,
lastDbMetricsUpdate: Date.now(),
} }
// Add to position manager for monitoring // Add to position manager for monitoring

89
lib/trading/position-manager.ts
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@@ -42,13 +42,6 @@ export interface ActiveTrade {
peakPnL: number peakPnL: number
peakPrice: number // Track highest price reached (for trailing) peakPrice: number // Track highest price reached (for trailing)
// MAE/MFE tracking (Maximum Adverse/Favorable Excursion)
maxFavorableExcursion: number // Best profit % reached
maxAdverseExcursion: number // Worst drawdown % reached
maxFavorablePrice: number // Best price hit
maxAdversePrice: number // Worst price hit
lastDbMetricsUpdate: number // Last time we updated MAE/MFE in DB (throttle to 5s)
// Monitoring // Monitoring
priceCheckCount: number priceCheckCount: number
lastPrice: number lastPrice: number
@@ -117,11 +110,6 @@ export class PositionManager {
unrealizedPnL: pmState?.unrealizedPnL ?? 0, unrealizedPnL: pmState?.unrealizedPnL ?? 0,
peakPnL: pmState?.peakPnL ?? 0, peakPnL: pmState?.peakPnL ?? 0,
peakPrice: pmState?.peakPrice ?? dbTrade.entryPrice, peakPrice: pmState?.peakPrice ?? dbTrade.entryPrice,
maxFavorableExcursion: pmState?.maxFavorableExcursion ?? 0,
maxAdverseExcursion: pmState?.maxAdverseExcursion ?? 0,
maxFavorablePrice: pmState?.maxFavorablePrice ?? dbTrade.entryPrice,
maxAdversePrice: pmState?.maxAdversePrice ?? dbTrade.entryPrice,
lastDbMetricsUpdate: Date.now(),
priceCheckCount: 0, priceCheckCount: 0,
lastPrice: pmState?.lastPrice ?? dbTrade.entryPrice, lastPrice: pmState?.lastPrice ?? dbTrade.entryPrice,
lastUpdateTime: Date.now(), lastUpdateTime: Date.now(),
@@ -348,13 +336,8 @@ export class PositionManager {
holdTimeSeconds, holdTimeSeconds,
maxDrawdown: 0, maxDrawdown: 0,
maxGain: trade.peakPnL, maxGain: trade.peakPnL,
// Save final MAE/MFE values
maxFavorableExcursion: trade.maxFavorableExcursion,
maxAdverseExcursion: trade.maxAdverseExcursion,
maxFavorablePrice: trade.maxFavorablePrice,
maxAdversePrice: trade.maxAdversePrice,
}) })
console.log(`💾 External closure recorded: ${exitReason} at $${currentPrice} | P&L: $${realizedPnL.toFixed(2)} | MFE: ${trade.maxFavorableExcursion.toFixed(2)}% | MAE: ${trade.maxAdverseExcursion.toFixed(2)}%`) console.log(`💾 External closure recorded: ${exitReason} at $${currentPrice} | P&L: $${realizedPnL.toFixed(2)}`)
} catch (dbError) { } catch (dbError) {
console.error('❌ Failed to save external closure:', dbError) console.error('❌ Failed to save external closure:', dbError)
} }
@@ -364,25 +347,12 @@ export class PositionManager {
return return
} }
// Position exists but size mismatch (partial close by TP1 or TP2?) // Position exists but size mismatch (partial close by TP1?)
if (position.size < trade.currentSize * 0.95) { // 5% tolerance if (position.size < trade.currentSize * 0.95) { // 5% tolerance
console.log(`⚠️ Position size mismatch: expected ${trade.currentSize}, got ${position.size}`) console.log(`⚠️ Position size mismatch: expected ${trade.currentSize}, got ${position.size}`)
// Determine if this was TP1 or TP2 based on size
const remainingPercent = (position.size / trade.positionSize) * 100
if (!trade.tp1Hit && remainingPercent < 30) {
// First partial close, likely TP1 (should leave ~25%)
trade.tp1Hit = true
console.log(`✅ TP1 detected on-chain (${remainingPercent.toFixed(1)}% remaining)`)
} else if (trade.tp1Hit && !trade.tp2Hit && remainingPercent < 10) {
// Second partial close, likely TP2 (should leave ~5% runner)
trade.tp2Hit = true
console.log(`✅ TP2 detected on-chain (${remainingPercent.toFixed(1)}% runner remaining)`)
}
// Update current size to match reality // Update current size to match reality
trade.currentSize = position.size * (trade.positionSize / trade.currentSize) // Convert to USD trade.currentSize = position.size * (trade.positionSize / trade.currentSize) // Convert to USD
trade.tp1Hit = true
await this.saveTradeState(trade) await this.saveTradeState(trade)
} }
@@ -411,23 +381,6 @@ export class PositionManager {
const accountPnL = profitPercent * trade.leverage const accountPnL = profitPercent * trade.leverage
trade.unrealizedPnL = (trade.currentSize * profitPercent) / 100 trade.unrealizedPnL = (trade.currentSize * profitPercent) / 100
// Track MAE/MFE (Maximum Adverse/Favorable Excursion)
if (profitPercent > trade.maxFavorableExcursion) {
trade.maxFavorableExcursion = profitPercent
trade.maxFavorablePrice = currentPrice
}
if (profitPercent < trade.maxAdverseExcursion) {
trade.maxAdverseExcursion = profitPercent
trade.maxAdversePrice = currentPrice
}
// Update MAE/MFE in database (throttled to every 5 seconds to avoid spam)
if (Date.now() - trade.lastDbMetricsUpdate > 5000) {
await this.updateTradeMetrics(trade)
trade.lastDbMetricsUpdate = Date.now()
}
// Track peak P&L // Track peak P&L
if (trade.unrealizedPnL > trade.peakPnL) { if (trade.unrealizedPnL > trade.peakPnL) {
trade.peakPnL = trade.unrealizedPnL trade.peakPnL = trade.unrealizedPnL
@@ -515,7 +468,7 @@ export class PositionManager {
} }
// 5. Take profit 2 (remaining position) // 5. Take profit 2 (remaining position)
if (trade.tp1Hit && !trade.tp2Hit && this.shouldTakeProfit2(currentPrice, trade)) { if (trade.tp1Hit && this.shouldTakeProfit2(currentPrice, trade)) {
console.log(`🎊 TP2 HIT: ${trade.symbol} at ${profitPercent.toFixed(2)}%`) console.log(`🎊 TP2 HIT: ${trade.symbol} at ${profitPercent.toFixed(2)}%`)
// Calculate how much to close based on TP2 size percent // Calculate how much to close based on TP2 size percent
@@ -621,13 +574,8 @@ export class PositionManager {
holdTimeSeconds, holdTimeSeconds,
maxDrawdown: 0, // TODO: Track this maxDrawdown: 0, // TODO: Track this
maxGain: trade.peakPnL, maxGain: trade.peakPnL,
// Save final MAE/MFE values
maxFavorableExcursion: trade.maxFavorableExcursion,
maxAdverseExcursion: trade.maxAdverseExcursion,
maxFavorablePrice: trade.maxFavorablePrice,
maxAdversePrice: trade.maxAdversePrice,
}) })
console.log('💾 Trade saved to database with MAE: ' + trade.maxAdverseExcursion.toFixed(2) + '% | MFE: ' + trade.maxFavorableExcursion.toFixed(2) + '%') console.log('💾 Trade saved to database')
} catch (dbError) { } catch (dbError) {
console.error('❌ Failed to save trade exit to database:', dbError) console.error('❌ Failed to save trade exit to database:', dbError)
// Don't fail the close if database fails // Don't fail the close if database fails
@@ -747,10 +695,6 @@ export class PositionManager {
unrealizedPnL: trade.unrealizedPnL, unrealizedPnL: trade.unrealizedPnL,
peakPnL: trade.peakPnL, peakPnL: trade.peakPnL,
lastPrice: trade.lastPrice, lastPrice: trade.lastPrice,
maxFavorableExcursion: trade.maxFavorableExcursion,
maxAdverseExcursion: trade.maxAdverseExcursion,
maxFavorablePrice: trade.maxFavorablePrice,
maxAdversePrice: trade.maxAdversePrice,
}) })
} catch (error) { } catch (error) {
console.error('❌ Failed to save trade state:', error) console.error('❌ Failed to save trade state:', error)
@@ -776,29 +720,6 @@ export class PositionManager {
symbols, symbols,
} }
} }
/**
* Update MAE/MFE metrics in database (throttled)
*/
private async updateTradeMetrics(trade: ActiveTrade): Promise<void> {
try {
const { getPrismaClient } = await import('../database/trades')
const prisma = getPrismaClient()
await prisma.trade.update({
where: { id: trade.id },
data: {
maxFavorableExcursion: trade.maxFavorableExcursion,
maxAdverseExcursion: trade.maxAdverseExcursion,
maxFavorablePrice: trade.maxFavorablePrice,
maxAdversePrice: trade.maxAdversePrice,
},
})
} catch (error) {
// Silent failure to avoid disrupting monitoring loop
console.error('Failed to update trade metrics:', error)
}
}
} }
// Singleton instance // Singleton instance

33
workflows/trading/check_risk_with_quality.json
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@@ -1,33 +0,0 @@
{
"parameters": {
"method": "POST",
"url": "http://10.0.0.48:3001/api/trading/check-risk",
"authentication": "genericCredentialType",
"genericAuthType": "httpHeaderAuth",
"sendHeaders": true,
"headerParameters": {
"parameters": [
{
"name": "Authorization",
"value": "Bearer 2a344f0149442c857fb56c038c0c7d1b113883b830bec792c76f1e0efa15d6bb"
},
{
"name": "Content-Type",
"value": "application/json"
}
]
},
"sendBody": true,
"specifyBody": "json",
"jsonBody": "={\n \"symbol\": \"{{ $json.symbol }}\",\n \"direction\": \"{{ $json.direction }}\",\n \"atr\": {{ $json.atr || 0 }},\n \"adx\": {{ $json.adx || 0 }},\n \"rsi\": {{ $json.rsi || 0 }},\n \"volumeRatio\": {{ $json.volumeRatio || 0 }},\n \"pricePosition\": {{ $json.pricePosition || 0 }}\n}",
"options": {}
},
"name": "Check Risk (with Quality Scoring)",
"type": "n8n-nodes-base.httpRequest",
"typeVersion": 4.2,
"position": [
-340,
560
],
"notes": "Updated to send 5 context metrics for signal quality scoring:\n- ATR% (volatility)\n- ADX (trend strength)\n- RSI (momentum)\n- Volume Ratio (participation)\n- Price Position (range position)\n\nMinimum quality score: 60/100"
}

35
workflows/trading/execute_trade_with_metrics.json
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@@ -1,35 +0,0 @@
{
"parameters": {
"method": "POST",
"url": "http://10.0.0.48:3001/api/trading/execute",
"authentication": "genericCredentialType",
"genericAuthType": "httpHeaderAuth",
"sendHeaders": true,
"headerParameters": {
"parameters": [
{
"name": "Authorization",
"value": "Bearer 2a344f0149442c857fb56c038c0c7d1b113883b830bec792c76f1e0efa15d6bb"
},
{
"name": "Content-Type",
"value": "application/json"
}
]
},
"sendBody": true,
"specifyBody": "json",
"jsonBody": "={\n \"symbol\": \"{{ $('Parse Signal Enhanced').item.json.symbol }}\",\n \"direction\": \"{{ $('Parse Signal Enhanced').item.json.direction }}\",\n \"timeframe\": \"{{ $('Parse Signal Enhanced').item.json.timeframe }}\",\n \"signalStrength\": \"strong\",\n \"atr\": {{ $('Parse Signal Enhanced').item.json.atr || 0 }},\n \"adx\": {{ $('Parse Signal Enhanced').item.json.adx || 0 }},\n \"rsi\": {{ $('Parse Signal Enhanced').item.json.rsi || 0 }},\n \"volumeRatio\": {{ $('Parse Signal Enhanced').item.json.volumeRatio || 0 }},\n \"pricePosition\": {{ $('Parse Signal Enhanced').item.json.pricePosition || 0 }}\n}",
"options": {
"timeout": 120000
}
},
"name": "Execute Trade (with Context Metrics)",
"type": "n8n-nodes-base.httpRequest",
"typeVersion": 4.2,
"position": [
60,
560
],
"notes": "Updated to send 5 context metrics for database storage:\n- ATR% at entry\n- ADX at entry\n- RSI at entry\n- Volume Ratio at entry\n- Price Position at entry\n\nThese metrics are stored with each trade for post-trade analysis."
}