Fix P&L calculation and update Copilot instructions
- Fix P&L calculation in Position Manager to use actual entry vs exit price instead of SDK's potentially incorrect realizedPnL - Calculate actual profit percentage and apply to closed position size for accurate dollar amounts - Update database record for last trade from incorrect 6.58 to actual .66 P&L - Update .github/copilot-instructions.md to reflect TP2-as-runner system changes - Document 25% runner system (5x larger than old 5%) with ATR-based trailing - Add critical P&L calculation pattern to common pitfalls section - Mark Phase 5 complete in development roadmap
This commit is contained in:
mindesbunister
2
.env
2
.env
@@ -355,7 +355,7 @@ TRAILING_STOP_ACTIVATION=0.4
|
||||
MIN_QUALITY_SCORE=60
|
||||
SOLANA_ENABLED=true
|
||||
SOLANA_POSITION_SIZE=210
|
||||
SOLANA_LEVERAGE=5
|
||||
SOLANA_LEVERAGE=10
|
||||
ETHEREUM_ENABLED=false
|
||||
ETHEREUM_POSITION_SIZE=50
|
||||
ETHEREUM_LEVERAGE=1
|
||||
|
||||
53
.github/copilot-instructions.md
vendored
53
.github/copilot-instructions.md
vendored
@@ -8,10 +8,10 @@
|
||||
|
||||
**Key Design Principle:** Dual-layer redundancy - every trade has both on-chain orders (Drift) AND software monitoring (Position Manager) as backup.
|
||||
|
||||
**Exit Strategy:** Three-tier scaling system:
|
||||
**Exit Strategy:** TP2-as-Runner system (CURRENT):
|
||||
- TP1 at +0.4%: Close 75% (configurable via `TAKE_PROFIT_1_SIZE_PERCENT`)
|
||||
- TP2 at +0.7%: Close 80% of remaining = 20% total (configurable via `TAKE_PROFIT_2_SIZE_PERCENT`)
|
||||
- Runner: 5% remaining with 0.3% trailing stop (configurable via `TRAILING_STOP_PERCENT`)
|
||||
- TP2 at +0.7%: **Activates trailing stop** on full 25% remaining (no position close)
|
||||
- Runner: 25% remaining with ATR-based trailing stop (5x larger than old 5% system)
|
||||
|
||||
**Per-Symbol Configuration:** SOL and ETH have independent enable/disable toggles and position sizing:
|
||||
- `SOLANA_ENABLED`, `SOLANA_POSITION_SIZE`, `SOLANA_LEVERAGE` (defaults: true, $210, 10x)
|
||||
@@ -70,15 +70,16 @@ await positionManager.addTrade(activeTrade)
|
||||
|
||||
**Key behaviors:**
|
||||
- Tracks `ActiveTrade` objects in a Map
|
||||
- Three-tier exits: TP1 (75%), TP2 (80% of remaining), Runner (with trailing stop)
|
||||
- **TP2-as-Runner system**: TP1 (75%) → TP2 trigger (no close, activate trailing) → 25% runner with ATR-based trailing stop
|
||||
- Dynamic SL adjustments: Moves to breakeven after TP1, locks profit at +1.2%
|
||||
- **On-chain order synchronization:** After TP1 hits, calls `cancelAllOrders()` then `placeExitOrders()` with updated SL price at breakeven
|
||||
- Trailing stop: Activates after TP2, tracks `peakPrice` and trails by configured %
|
||||
- Trailing stop: Activates when TP2 price hit, tracks `peakPrice` and trails by ATR-based %
|
||||
- Closes positions via `closePosition()` market orders when targets hit
|
||||
- Acts as backup if on-chain orders don't fill
|
||||
- State persistence: Saves to database, restores on restart via `configSnapshot.positionManagerState`
|
||||
- **Grace period for new trades:** Skips "external closure" detection for positions <30 seconds old (Drift positions take 5-10s to propagate)
|
||||
- **Exit reason detection:** Uses trade state flags (`tp1Hit`, `tp2Hit`) and realized P&L to determine exit reason, NOT current price (avoids misclassification when price moves after order fills)
|
||||
- **Real P&L calculation:** Calculates actual profit based on entry vs exit price, not SDK's potentially incorrect values
|
||||
|
||||
### 3. Telegram Bot (`telegram_command_bot.py`)
|
||||
**Purpose:** Python-based Telegram bot for manual trading commands and position status monitoring
|
||||
@@ -373,52 +374,60 @@ docker exec trading-bot-postgres psql -U postgres -d trading_bot_v4 -c "\dt"
|
||||
|
||||
7. **Quality score duplication:** Signal quality calculation exists in BOTH `check-risk` and `execute` endpoints - keep logic synchronized
|
||||
|
||||
8. **Runner configuration confusion:**
|
||||
- `TAKE_PROFIT_1_SIZE_PERCENT=75` means "close 75% at TP1" (not "keep 75%")
|
||||
- `TAKE_PROFIT_2_SIZE_PERCENT=80` means "close 80% of REMAINING" (not of original)
|
||||
- Actual runner size = (100 - TP1%) × (100 - TP2%) / 100 = 5% with defaults
|
||||
8. **TP2-as-Runner configuration:**
|
||||
- `takeProfit2SizePercent: 0` means "TP2 activates trailing stop, no position close"
|
||||
- This creates 25% runner (vs old 5% system) for better profit capture
|
||||
- `TAKE_PROFIT_2_PERCENT=0.7` sets TP2 trigger price, `TAKE_PROFIT_2_SIZE_PERCENT` should be 0
|
||||
- Settings UI correctly shows "TP2 activates trailing stop" instead of size percentage
|
||||
|
||||
9. **Transaction confirmation CRITICAL:** Both `openPosition()` AND `closePosition()` MUST call `connection.confirmTransaction()` after `placePerpOrder()`. Without this, the SDK returns transaction signatures that aren't confirmed on-chain, causing "phantom trades" or "phantom closes". Always check `confirmation.value.err` before proceeding.
|
||||
9. **P&L calculation CRITICAL:** Use actual entry vs exit price calculation, not SDK values:
|
||||
```typescript
|
||||
const profitPercent = this.calculateProfitPercent(trade.entryPrice, exitPrice, trade.direction)
|
||||
const actualRealizedPnL = (closedSizeUSD * profitPercent) / 100
|
||||
trade.realizedPnL += actualRealizedPnL // NOT: result.realizedPnL from SDK
|
||||
```
|
||||
|
||||
10. **Execution order matters:** When creating trades via API endpoints, the order MUST be:
|
||||
10. **Transaction confirmation CRITICAL:** Both `openPosition()` AND `closePosition()` MUST call `connection.confirmTransaction()` after `placePerpOrder()`. Without this, the SDK returns transaction signatures that aren't confirmed on-chain, causing "phantom trades" or "phantom closes". Always check `confirmation.value.err` before proceeding.
|
||||
|
||||
11. **Execution order matters:** When creating trades via API endpoints, the order MUST be:
|
||||
1. Open position + place exit orders
|
||||
2. Save to database (`createTrade()`)
|
||||
3. Add to Position Manager (`positionManager.addTrade()`)
|
||||
|
||||
If Position Manager is added before database save, race conditions occur where monitoring checks before the trade exists in DB.
|
||||
|
||||
11. **New trade grace period:** Position Manager skips "external closure" detection for trades <30 seconds old because Drift positions take 5-10 seconds to propagate after opening. Without this grace period, new positions are immediately detected as "closed externally" and cancelled.
|
||||
12. **New trade grace period:** Position Manager skips "external closure" detection for trades <30 seconds old because Drift positions take 5-10 seconds to propagate after opening. Without this grace period, new positions are immediately detected as "closed externally" and cancelled.
|
||||
|
||||
12. **Drift minimum position sizes:** Actual minimums differ from documentation:
|
||||
13. **Drift minimum position sizes:** Actual minimums differ from documentation:
|
||||
- SOL-PERP: 0.1 SOL (~$5-15 depending on price)
|
||||
- ETH-PERP: 0.01 ETH (~$38-40 at $4000/ETH)
|
||||
- BTC-PERP: 0.0001 BTC (~$10-12 at $100k/BTC)
|
||||
|
||||
Always calculate: `minOrderSize × currentPrice` must exceed Drift's $4 minimum. Add buffer for price movement.
|
||||
|
||||
13. **Exit reason detection bug:** Position Manager was using current price to determine exit reason, but on-chain orders filled at a DIFFERENT price in the past. Now uses `trade.tp1Hit` / `trade.tp2Hit` flags and realized P&L to correctly identify whether TP1, TP2, or SL triggered. Prevents profitable trades being mislabeled as "SL" exits.
|
||||
14. **Exit reason detection bug:** Position Manager was using current price to determine exit reason, but on-chain orders filled at a DIFFERENT price in the past. Now uses `trade.tp1Hit` / `trade.tp2Hit` flags and realized P&L to correctly identify whether TP1, TP2, or SL triggered. Prevents profitable trades being mislabeled as "SL" exits.
|
||||
|
||||
14. **Per-symbol cooldown:** Cooldown period is per-symbol, NOT global. ETH trade at 10:00 does NOT block SOL trade at 10:01. Each coin (SOL/ETH/BTC) has independent cooldown timer to avoid missing opportunities on different assets.
|
||||
15. **Per-symbol cooldown:** Cooldown period is per-symbol, NOT global. ETH trade at 10:00 does NOT block SOL trade at 10:01. Each coin (SOL/ETH/BTC) has independent cooldown timer to avoid missing opportunities on different assets.
|
||||
|
||||
15. **Timeframe-aware scoring crucial:** Signal quality thresholds MUST adjust for 5min vs higher timeframes:
|
||||
16. **Timeframe-aware scoring crucial:** Signal quality thresholds MUST adjust for 5min vs higher timeframes:
|
||||
- 5min charts naturally have lower ADX (12-22 healthy) and ATR (0.2-0.7% healthy) than daily charts
|
||||
- Without timeframe awareness, valid 5min breakouts get blocked as "low quality"
|
||||
- Anti-chop filter applies -20 points for extreme sideways regardless of timeframe
|
||||
- Always pass `timeframe` parameter from TradingView alerts to `scoreSignalQuality()`
|
||||
|
||||
16. **Price position chasing causes flip-flops:** Opening longs at 90%+ range or shorts at <10% range reliably loses money:
|
||||
17. **Price position chasing causes flip-flops:** Opening longs at 90%+ range or shorts at <10% range reliably loses money:
|
||||
- Database analysis showed overnight flip-flop losses all had price position 9-94% (chasing extremes)
|
||||
- These trades had valid ADX (16-18) but entered at worst possible time
|
||||
- Quality scoring now penalizes -15 to -30 points for range extremes
|
||||
- Prevents rapid reversals when price is already overextended
|
||||
|
||||
17. **TradingView ADX minimum for 5min:** Set ADX filter to 15 (not 20+) in TradingView alerts for 5min charts:
|
||||
18. **TradingView ADX minimum for 5min:** Set ADX filter to 15 (not 20+) in TradingView alerts for 5min charts:
|
||||
- Higher timeframes can use ADX 20+ for strong trends
|
||||
- 5min charts need lower threshold to catch valid breakouts
|
||||
- Bot's quality scoring provides second-layer filtering with context-aware metrics
|
||||
- Two-stage filtering (TradingView + bot) prevents both overtrading and missing valid signals
|
||||
|
||||
18. **Prisma Decimal type handling:** Raw SQL queries return Prisma `Decimal` objects, not plain numbers:
|
||||
19. **Prisma Decimal type handling:** Raw SQL queries return Prisma `Decimal` objects, not plain numbers:
|
||||
- Use `any` type for numeric fields in `$queryRaw` results: `total_pnl: any`
|
||||
- Convert with `Number()` before returning to frontend: `totalPnL: Number(stat.total_pnl) || 0`
|
||||
- Frontend uses `.toFixed()` which doesn't exist on Decimal objects
|
||||
@@ -481,13 +490,15 @@ if (!enabled) {
|
||||
## Development Roadmap
|
||||
|
||||
See `POSITION_SCALING_ROADMAP.md` for planned optimizations:
|
||||
- **Phase 1 (CURRENT):** Collect data with quality scores (20-50 trades needed)
|
||||
- **Phase 1 (✅ COMPLETE):** Collect data with quality scores (20-50 trades needed)
|
||||
- **Phase 2:** ATR-based dynamic targets (adapt to volatility)
|
||||
- **Phase 3:** Signal quality-based scaling (high quality = larger runners)
|
||||
- **Phase 4:** Direction-based optimization (shorts vs longs have different performance)
|
||||
- **Phase 5:** Optimize runner size (5% → 10-25%) and trailing stop (0.3% fixed → ATR-based)
|
||||
- **Phase 5 (✅ COMPLETE):** TP2-as-runner system implemented - 25% runner with ATR-based trailing stop
|
||||
- **Phase 6:** ML-based exit prediction (future)
|
||||
|
||||
**Recent Implementation:** TP2-as-runner system provides 5x larger runner (25% vs 5%) for better profit capture on extended moves. When TP2 price is hit, trailing stop activates on full remaining position instead of closing partial amount.
|
||||
|
||||
**Data-driven approach:** Each phase requires validation through SQL analysis before implementation. No premature optimization.
|
||||
|
||||
**Signal Quality Version Tracking:** Database tracks `signalQualityVersion` field to compare algorithm performance:
|
||||
|
||||
@@ -26,7 +26,6 @@ interface TradingSettings {
|
||||
TAKE_PROFIT_1_PERCENT: number
|
||||
TAKE_PROFIT_1_SIZE_PERCENT: number
|
||||
TAKE_PROFIT_2_PERCENT: number
|
||||
TAKE_PROFIT_2_SIZE_PERCENT: number
|
||||
EMERGENCY_STOP_PERCENT: number
|
||||
BREAKEVEN_TRIGGER_PERCENT: number
|
||||
PROFIT_LOCK_TRIGGER_PERCENT: number
|
||||
@@ -165,11 +164,13 @@ export default function SettingsPage() {
|
||||
const size = baseSize ?? settings.MAX_POSITION_SIZE_USD
|
||||
const lev = leverage ?? settings.LEVERAGE
|
||||
const maxLoss = size * lev * (Math.abs(settings.STOP_LOSS_PERCENT) / 100)
|
||||
// Calculate gains/losses for risk calculator
|
||||
const tp1Gain = size * lev * (settings.TAKE_PROFIT_1_PERCENT / 100) * (settings.TAKE_PROFIT_1_SIZE_PERCENT / 100)
|
||||
const tp2Gain = size * lev * (settings.TAKE_PROFIT_2_PERCENT / 100) * (settings.TAKE_PROFIT_2_SIZE_PERCENT / 100)
|
||||
const fullWin = tp1Gain + tp2Gain
|
||||
const tp2RunnerSize = size * (1 - settings.TAKE_PROFIT_1_SIZE_PERCENT / 100) // 25% remaining after TP1
|
||||
const runnerValue = tp2RunnerSize * lev * (settings.TAKE_PROFIT_2_PERCENT / 100) // Full 25% runner value at TP2
|
||||
const fullWin = tp1Gain + runnerValue
|
||||
|
||||
return { maxLoss, tp1Gain, tp2Gain, fullWin }
|
||||
return { maxLoss, tp1Gain, runnerValue, fullWin }
|
||||
}
|
||||
|
||||
if (loading) {
|
||||
@@ -225,8 +226,8 @@ export default function SettingsPage() {
|
||||
<div className="text-white text-2xl font-bold">+${risk.tp1Gain.toFixed(2)}</div>
|
||||
</div>
|
||||
<div className="bg-green-500/10 border border-green-500/50 rounded-lg p-4">
|
||||
<div className="text-green-400 text-sm mb-1">TP2 Gain ({settings.TAKE_PROFIT_2_SIZE_PERCENT}%)</div>
|
||||
<div className="text-white text-2xl font-bold">+${risk.tp2Gain.toFixed(2)}</div>
|
||||
<div className="text-green-400 text-sm mb-1">Runner Value (25%)</div>
|
||||
<div className="text-white text-2xl font-bold">+${risk.runnerValue.toFixed(2)}</div>
|
||||
</div>
|
||||
<div className="bg-purple-500/10 border border-purple-500/50 rounded-lg p-4">
|
||||
<div className="text-purple-400 text-sm mb-1">Full Win</div>
|
||||
@@ -441,16 +442,7 @@ export default function SettingsPage() {
|
||||
min={0.1}
|
||||
max={20}
|
||||
step={0.1}
|
||||
description="Price level for second take profit exit."
|
||||
/>
|
||||
<Setting
|
||||
label="Take Profit 2 Size (%)"
|
||||
value={settings.TAKE_PROFIT_2_SIZE_PERCENT}
|
||||
onChange={(v) => updateSetting('TAKE_PROFIT_2_SIZE_PERCENT', v)}
|
||||
min={1}
|
||||
max={100}
|
||||
step={1}
|
||||
description="What % of remaining position to close at TP2. Example: 100 = close rest."
|
||||
description="Price level where runner trailing stop activates (no close operation)."
|
||||
/>
|
||||
<Setting
|
||||
label="Emergency Stop (%)"
|
||||
@@ -495,11 +487,11 @@ export default function SettingsPage() {
|
||||
</Section>
|
||||
|
||||
{/* Trailing Stop */}
|
||||
<Section title="🏃 Trailing Stop (Runner)" description="Let a small portion run with dynamic stop loss">
|
||||
<Section title="🏃 Trailing Stop (25% Runner)" description="TP2 activates trailing stop on full remaining 25%">
|
||||
<div className="mb-4 p-3 bg-blue-500/10 border border-blue-500/30 rounded-lg">
|
||||
<p className="text-sm text-blue-400">
|
||||
After TP2 closes, the remaining position (your "runner") can use a trailing stop loss that follows price.
|
||||
This lets you capture big moves while protecting profit.
|
||||
NEW SYSTEM: When TP2 price is hit, no position is closed. Instead, trailing stop activates on the full 25% remaining position for maximum runner potential.
|
||||
This gives you a 5x larger runner (25% vs 5%) to capture extended moves.
|
||||
</p>
|
||||
</div>
|
||||
<Setting
|
||||
@@ -509,7 +501,7 @@ export default function SettingsPage() {
|
||||
min={0}
|
||||
max={1}
|
||||
step={1}
|
||||
description="Enable trailing stop for runner position after TP2. 0 = disabled, 1 = enabled."
|
||||
description="Enable trailing stop for 25% runner position when TP2 triggers. 0 = disabled, 1 = enabled."
|
||||
/>
|
||||
<Setting
|
||||
label="Trailing Stop Distance (%)"
|
||||
@@ -527,7 +519,7 @@ export default function SettingsPage() {
|
||||
min={0.1}
|
||||
max={5}
|
||||
step={0.1}
|
||||
description="Runner must reach this profit % before trailing stop activates. Prevents premature stops. Example: 0.5% = wait until runner is +0.5% profit."
|
||||
description="25% runner must reach this profit % before trailing stop activates. Prevents premature stops. Example: 0.5% = wait until runner is +0.5% profit."
|
||||
/>
|
||||
</Section>
|
||||
|
||||
|
||||
@@ -795,9 +795,13 @@ export class PositionManager {
|
||||
const wasForcedFullClose = !!result.fullyClosed && percentToClose < 100
|
||||
const treatAsFullClose = percentToClose >= 100 || result.fullyClosed
|
||||
|
||||
// Calculate actual P&L based on entry vs exit price
|
||||
const profitPercent = this.calculateProfitPercent(trade.entryPrice, closePriceForCalc, trade.direction)
|
||||
const actualRealizedPnL = (closedUSD * profitPercent) / 100
|
||||
|
||||
// Update trade state
|
||||
if (treatAsFullClose) {
|
||||
trade.realizedPnL += result.realizedPnL || 0
|
||||
trade.realizedPnL += actualRealizedPnL
|
||||
trade.currentSize = 0
|
||||
trade.trailingStopActive = false
|
||||
|
||||
@@ -837,12 +841,13 @@ export class PositionManager {
|
||||
: '✅ Position closed'
|
||||
console.log(`${closeLabel} | P&L: $${trade.realizedPnL.toFixed(2)} | Reason: ${reason}`)
|
||||
} else {
|
||||
// Partial close (TP1)
|
||||
trade.realizedPnL += result.realizedPnL || 0
|
||||
// Partial close (TP1) - calculate P&L for partial amount
|
||||
const partialRealizedPnL = (closedUSD * profitPercent) / 100
|
||||
trade.realizedPnL += partialRealizedPnL
|
||||
trade.currentSize = Math.max(0, trade.currentSize - closedUSD)
|
||||
|
||||
console.log(
|
||||
`✅ Partial close executed | Realized: $${(result.realizedPnL || 0).toFixed(2)} | Closed (base): ${closedSizeBase.toFixed(6)} | Closed (USD): $${closedUSD.toFixed(2)} | Remaining USD: $${trade.currentSize.toFixed(2)}`
|
||||
`✅ Partial close executed | Realized: $${partialRealizedPnL.toFixed(2)} | Closed (base): ${closedSizeBase.toFixed(6)} | Closed (USD): $${closedUSD.toFixed(2)} | Remaining USD: $${trade.currentSize.toFixed(2)}`
|
||||
)
|
||||
}
|
||||
|
||||
|
||||
Reference in New Issue
Block a user