feat: Automated multi-timeframe price tracking system
Implemented comprehensive price tracking for multi-timeframe signal analysis. **Components Added:** - lib/analysis/blocked-signal-tracker.ts - Background job tracking prices - app/api/analytics/signal-tracking/route.ts - Status/metrics endpoint **Features:** - Automatic price tracking at 1min, 5min, 15min, 30min intervals - TP1/TP2/SL hit detection using ATR-based targets - Max favorable/adverse excursion tracking (MFE/MAE) - Analysis completion after 30 minutes - Background job runs every 5 minutes - Entry price captured from signal time **Database Changes:** - Added entryPrice field to BlockedSignal (for price tracking baseline) - Added maxFavorablePrice, maxAdversePrice fields - Added maxFavorableExcursion, maxAdverseExcursion fields **Integration:** - Auto-starts on container startup - Tracks all DATA_COLLECTION_ONLY signals - Uses same TP/SL calculation as live trades (ATR-based) - Calculates profit % based on direction (long vs short) **API Endpoints:** - GET /api/analytics/signal-tracking - View tracking status and metrics - POST /api/analytics/signal-tracking - Manually trigger update (auth required) **Purpose:** Enables data-driven multi-timeframe comparison. After 50+ signals per timeframe, can analyze which timeframe (5min vs 15min vs 1H vs 4H vs Daily) has best win rate, profit potential, and signal quality. **What It Tracks:** - Price at 1min, 5min, 15min, 30min after signal - Would TP1/TP2/SL have been hit? - Maximum profit/loss during 30min window - Complete analysis of signal profitability **How It Works:** 1. Signal comes in (15min, 1H, 4H, Daily) → saved to BlockedSignal 2. Background job runs every 5min 3. Queries current price from Pyth 4. Calculates profit % from entry 5. Checks if TP/SL thresholds crossed 6. Updates MFE/MAE if new highs/lows 7. After 30min, marks analysisComplete=true **Future Analysis:** After 50+ signals per timeframe: - Compare TP1 hit rates across timeframes - Identify which timeframe has highest win rate - Determine optimal signal frequency vs quality trade-off - Switch production to best-performing timeframe User requested: "i want all the bells and whistles. lets make the powerhouse more powerfull. i cant see any reason why we shouldnt"
This commit is contained in:
mindesbunister
284
lib/analysis/blocked-signal-tracker.ts
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284
lib/analysis/blocked-signal-tracker.ts
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/**
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* Blocked Signal Price Tracker
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*
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* Automatically tracks price movements for blocked signals to determine
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* if they would have been profitable trades. This enables data-driven
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* multi-timeframe analysis.
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*
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* Features:
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* - Price tracking at 1min, 5min, 15min, 30min intervals
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* - TP1/TP2/SL hit detection using ATR-based targets
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* - Max favorable/adverse excursion tracking
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* - Automatic analysis completion after 30 minutes
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* - Background job runs every 5 minutes
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*/
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import { getPrismaClient } from '../database/trades'
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import { getPythPriceMonitor } from '../pyth/price-monitor'
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import { getMergedConfig } from '../../config/trading'
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interface BlockedSignalWithTracking {
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id: string
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symbol: string
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direction: 'long' | 'short'
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entryPrice: number
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atr: number
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adx: number
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createdAt: Date
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priceAfter1Min: number | null
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priceAfter5Min: number | null
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priceAfter15Min: number | null
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priceAfter30Min: number | null
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wouldHitTP1: boolean | null
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wouldHitTP2: boolean | null
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wouldHitSL: boolean | null
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maxFavorablePrice: number | null
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maxAdversePrice: number | null
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maxFavorableExcursion: number | null
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maxAdverseExcursion: number | null
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analysisComplete: boolean
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}
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export class BlockedSignalTracker {
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private prisma = getPrismaClient()
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private intervalId: NodeJS.Timeout | null = null
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private isRunning = false
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/**
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* Start the background tracking job
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* Runs every 5 minutes to update price data for blocked signals
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*/
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public start(): void {
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if (this.isRunning) {
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console.log('⚠️ Blocked signal tracker already running')
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return
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}
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console.log('🔬 Starting blocked signal price tracker...')
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this.isRunning = true
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// Run immediately on start
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this.trackPrices().catch(error => {
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console.error('❌ Error in initial price tracking:', error)
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})
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// Then run every 5 minutes
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this.intervalId = setInterval(() => {
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this.trackPrices().catch(error => {
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console.error('❌ Error in price tracking:', error)
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})
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}, 5 * 60 * 1000) // 5 minutes
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console.log('✅ Blocked signal tracker started (runs every 5 minutes)')
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}
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/**
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* Stop the background tracking job
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*/
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public stop(): void {
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if (this.intervalId) {
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clearInterval(this.intervalId)
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this.intervalId = null
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}
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this.isRunning = false
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console.log('⏹️ Blocked signal tracker stopped')
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}
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/**
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* Main tracking logic - processes all incomplete blocked signals
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*/
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private async trackPrices(): Promise<void> {
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try {
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// Get all incomplete signals from last 24 hours
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const signals = await this.prisma.blockedSignal.findMany({
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where: {
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blockReason: 'DATA_COLLECTION_ONLY',
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analysisComplete: false,
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createdAt: {
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gte: new Date(Date.now() - 24 * 60 * 60 * 1000) // Last 24 hours
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}
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},
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orderBy: { createdAt: 'asc' }
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})
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if (signals.length === 0) {
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console.log('📊 No blocked signals to track')
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return
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}
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console.log(`📊 Tracking ${signals.length} blocked signals...`)
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for (const signal of signals) {
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await this.trackSignal(signal as any)
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}
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console.log(`✅ Price tracking complete for ${signals.length} signals`)
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} catch (error) {
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console.error('❌ Error in trackPrices:', error)
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}
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}
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/**
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* Track a single blocked signal
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*/
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private async trackSignal(signal: BlockedSignalWithTracking): Promise<void> {
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try {
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const now = Date.now()
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const signalTime = signal.createdAt.getTime()
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const elapsedMinutes = (now - signalTime) / (60 * 1000)
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// Get current price
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const priceMonitor = getPythPriceMonitor()
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const latestPrice = priceMonitor.getCachedPrice(signal.symbol)
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if (!latestPrice || !latestPrice.price) {
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console.log(`⚠️ No price available for ${signal.symbol}, skipping`)
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return
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}
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const currentPrice = latestPrice.price
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const entryPrice = Number(signal.entryPrice)
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// Calculate profit percentage
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const profitPercent = this.calculateProfitPercent(
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entryPrice,
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currentPrice,
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signal.direction
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)
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// Calculate TP/SL levels using ATR
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const config = getMergedConfig()
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const { tp1Percent, tp2Percent, slPercent } = this.calculateTargets(
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Number(signal.atr),
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entryPrice,
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config
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)
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// Update prices at intervals
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const updates: any = {}
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if (elapsedMinutes >= 1 && !signal.priceAfter1Min) {
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updates.priceAfter1Min = currentPrice
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console.log(` 📍 ${signal.symbol} ${signal.direction} @ 1min: $${currentPrice.toFixed(2)} (${profitPercent.toFixed(2)}%)`)
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}
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if (elapsedMinutes >= 5 && !signal.priceAfter5Min) {
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updates.priceAfter5Min = currentPrice
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console.log(` 📍 ${signal.symbol} ${signal.direction} @ 5min: $${currentPrice.toFixed(2)} (${profitPercent.toFixed(2)}%)`)
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}
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if (elapsedMinutes >= 15 && !signal.priceAfter15Min) {
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updates.priceAfter15Min = currentPrice
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console.log(` 📍 ${signal.symbol} ${signal.direction} @ 15min: $${currentPrice.toFixed(2)} (${profitPercent.toFixed(2)}%)`)
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}
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if (elapsedMinutes >= 30 && !signal.priceAfter30Min) {
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updates.priceAfter30Min = currentPrice
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updates.analysisComplete = true
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console.log(` ✅ ${signal.symbol} ${signal.direction} @ 30min: $${currentPrice.toFixed(2)} (${profitPercent.toFixed(2)}%) - COMPLETE`)
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}
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// Update max favorable/adverse excursion
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const currentMFE = signal.maxFavorableExcursion || 0
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const currentMAE = signal.maxAdverseExcursion || 0
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if (profitPercent > currentMFE) {
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updates.maxFavorableExcursion = profitPercent
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updates.maxFavorablePrice = currentPrice
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}
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if (profitPercent < currentMAE) {
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updates.maxAdverseExcursion = profitPercent
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updates.maxAdversePrice = currentPrice
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}
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// Check if TP1/TP2/SL would have been hit
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if (signal.wouldHitTP1 === null && Math.abs(profitPercent) >= tp1Percent) {
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updates.wouldHitTP1 = profitPercent > 0
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console.log(` 🎯 ${signal.symbol} ${signal.direction} hit ${profitPercent > 0 ? 'TP1' : 'SL'} (${profitPercent.toFixed(2)}%)`)
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}
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if (signal.wouldHitTP2 === null && Math.abs(profitPercent) >= tp2Percent) {
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updates.wouldHitTP2 = profitPercent > 0
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console.log(` 🎯 ${signal.symbol} ${signal.direction} hit TP2 (${profitPercent.toFixed(2)}%)`)
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}
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if (signal.wouldHitSL === null && profitPercent <= -slPercent) {
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updates.wouldHitSL = true
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console.log(` 🛑 ${signal.symbol} ${signal.direction} hit SL (${profitPercent.toFixed(2)}%)`)
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}
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// Update database if we have changes
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if (Object.keys(updates).length > 0) {
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await this.prisma.blockedSignal.update({
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where: { id: signal.id },
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data: updates
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})
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}
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} catch (error) {
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console.error(`❌ Error tracking signal ${signal.id}:`, error)
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}
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}
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/**
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* Calculate profit percentage based on direction
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*/
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private calculateProfitPercent(
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entryPrice: number,
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currentPrice: number,
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direction: 'long' | 'short'
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): number {
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if (direction === 'long') {
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return ((currentPrice - entryPrice) / entryPrice) * 100
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} else {
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return ((entryPrice - currentPrice) / entryPrice) * 100
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}
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}
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/**
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* Calculate TP/SL targets using ATR
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*/
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private calculateTargets(
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atr: number,
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entryPrice: number,
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config: any
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): { tp1Percent: number; tp2Percent: number; slPercent: number } {
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// ATR as percentage of price
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const atrPercent = (atr / entryPrice) * 100
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// TP1: ATR × 2.0 multiplier
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let tp1Percent = atrPercent * config.atrMultiplierTp1
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tp1Percent = Math.max(config.minTp1Percent, Math.min(config.maxTp1Percent, tp1Percent))
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// TP2: ATR × 4.0 multiplier
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let tp2Percent = atrPercent * config.atrMultiplierTp2
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tp2Percent = Math.max(config.minTp2Percent, Math.min(config.maxTp2Percent, tp2Percent))
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// SL: ATR × 3.0 multiplier
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let slPercent = atrPercent * config.atrMultiplierSl
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slPercent = Math.max(config.minSlPercent, Math.min(config.maxSlPercent, slPercent))
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return { tp1Percent, tp2Percent, slPercent }
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}
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}
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// Singleton instance
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let trackerInstance: BlockedSignalTracker | null = null
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export function getBlockedSignalTracker(): BlockedSignalTracker {
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if (!trackerInstance) {
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trackerInstance = new BlockedSignalTracker()
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}
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return trackerInstance
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}
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export function startBlockedSignalTracking(): void {
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const tracker = getBlockedSignalTracker()
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tracker.start()
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}
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export function stopBlockedSignalTracking(): void {
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if (trackerInstance) {
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trackerInstance.stop()
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}
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}
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@@ -504,6 +504,7 @@ export async function createBlockedSignal(params: CreateBlockedSignalParams) {
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direction: params.direction,
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timeframe: params.timeframe,
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signalPrice: params.signalPrice,
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entryPrice: params.signalPrice, // Use signal price as entry for tracking
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atr: params.atr,
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adx: params.adx,
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rsi: params.rsi,
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@@ -9,6 +9,7 @@ import { getInitializedPositionManager } from '../trading/position-manager'
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import { initializeDriftService } from '../drift/client'
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import { getPrismaClient } from '../database/trades'
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import { getMarketConfig } from '../../config/trading'
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import { startBlockedSignalTracking } from '../analysis/blocked-signal-tracker'
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let initStarted = false
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@@ -42,6 +43,10 @@ export async function initializePositionManagerOnStartup() {
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if (status.activeTradesCount > 0) {
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console.log(`📊 Monitoring: ${status.symbols.join(', ')}`)
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}
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// Start blocked signal price tracking
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console.log('🔬 Starting blocked signal price tracker...')
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startBlockedSignalTracking()
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} catch (error) {
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console.error('❌ Failed to initialize Position Manager on startup:', error)
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}
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