From 65e6a8efede1d6747edc1f838492317c9df56162 Mon Sep 17 00:00:00 2001
From: mindesbunister <github_service@egonetix.de>
Date: Wed, 29 Oct 2025 20:34:03 +0100
Subject: [PATCH] Phase 1: Add MAE/MFE tracking and analytics schema

- Added 20+ analytics fields to Trade model (MAE/MFE, fill tracking, timing, market context, slippage)
- Implemented real-time MAE/MFE tracking in Position Manager (updates every 5s)
- Enhanced database schema with comprehensive trade analytics
- Updated all API endpoints to initialize MAE/MFE fields
- Modified updateTradeState() to persist MAE/MFE in configSnapshot

Database changes:
- maxFavorableExcursion/maxAdverseExcursion track best/worst profit %
- maxFavorablePrice/maxAdversePrice track exact price levels
- Fill tracking: tp1Filled, tp2Filled, softSlFilled, hardSlFilled
- Timing metrics: timeToTp1, timeToTp2, timeToSl
- Market context: atrAtEntry, adxAtEntry, volumeAtEntry, fundingRateAtEntry, basisAtEntry
- Slippage tracking: expectedEntryPrice, entrySlippagePct, expectedExitPrice, exitSlippagePct

Position Manager changes:
- Track MAE/MFE on every price check (2s interval)
- Throttled database updates (5s interval) via updateTradeMetrics()
- Persist MAE/MFE in trade state snapshots for recovery

Next: Phase 2 (market context capture) or Phase 3 (analytics API)
---
 app/api/trading/execute/route.ts              |  5 ++
 app/api/trading/test-db/route.ts              |  5 ++
 app/api/trading/test/route.ts                 |  5 ++
 lib/database/trades.ts                        |  8 +++
 lib/trading/position-manager.ts               | 56 +++++++++++++++++++
 .../migration.sql                             | 24 ++++++++
 prisma/schema.prisma                          | 33 +++++++++++
 7 files changed, 136 insertions(+)
 create mode 100644 prisma/migrations/20251029192059_add_mae_mfe_and_market_context/migration.sql

diff --git a/app/api/trading/execute/route.ts b/app/api/trading/execute/route.ts
index 23d0633..c8de56e 100644
--- a/app/api/trading/execute/route.ts
+++ b/app/api/trading/execute/route.ts
@@ -241,6 +241,11 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
       priceCheckCount: 0,
       lastPrice: entryPrice,
       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
diff --git a/app/api/trading/test-db/route.ts b/app/api/trading/test-db/route.ts
index 1f7e579..d9d3578 100644
--- a/app/api/trading/test-db/route.ts
+++ b/app/api/trading/test-db/route.ts
@@ -182,6 +182,11 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
       priceCheckCount: 0,
       lastPrice: entryPrice,
       lastUpdateTime: Date.now(),
+      maxFavorableExcursion: 0,
+      maxAdverseExcursion: 0,
+      maxFavorablePrice: entryPrice,
+      maxAdversePrice: entryPrice,
+      lastDbMetricsUpdate: Date.now(),
     }
 
     // Add to position manager
diff --git a/app/api/trading/test/route.ts b/app/api/trading/test/route.ts
index f3ccf3e..2c85663 100644
--- a/app/api/trading/test/route.ts
+++ b/app/api/trading/test/route.ts
@@ -180,6 +180,11 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
       priceCheckCount: 0,
       lastPrice: entryPrice,
       lastUpdateTime: Date.now(),
+      maxFavorableExcursion: 0,
+      maxAdverseExcursion: 0,
+      maxFavorablePrice: entryPrice,
+      maxAdversePrice: entryPrice,
+      lastDbMetricsUpdate: Date.now(),
     }
 
     // Add to position manager for monitoring
diff --git a/lib/database/trades.ts b/lib/database/trades.ts
index 2498f73..f33806c 100644
--- a/lib/database/trades.ts
+++ b/lib/database/trades.ts
@@ -56,6 +56,10 @@ export interface UpdateTradeStateParams {
   unrealizedPnL: number
   peakPnL: number
   lastPrice: number
+  maxFavorableExcursion?: number
+  maxAdverseExcursion?: number
+  maxFavorablePrice?: number
+  maxAdversePrice?: number
 }
 
 export interface UpdateTradeExitParams {
@@ -184,6 +188,10 @@ export async function updateTradeState(params: UpdateTradeStateParams) {
             unrealizedPnL: params.unrealizedPnL,
             peakPnL: params.peakPnL,
             lastPrice: params.lastPrice,
+            maxFavorableExcursion: params.maxFavorableExcursion,
+            maxAdverseExcursion: params.maxAdverseExcursion,
+            maxFavorablePrice: params.maxFavorablePrice,
+            maxAdversePrice: params.maxAdversePrice,
             lastUpdate: new Date().toISOString(),
           }
         }
diff --git a/lib/trading/position-manager.ts b/lib/trading/position-manager.ts
index aa75903..1c72c6d 100644
--- a/lib/trading/position-manager.ts
+++ b/lib/trading/position-manager.ts
@@ -42,6 +42,13 @@ export interface ActiveTrade {
   peakPnL: number
   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
   priceCheckCount: number
   lastPrice: number
@@ -110,6 +117,11 @@ export class PositionManager {
           unrealizedPnL: pmState?.unrealizedPnL ?? 0,
           peakPnL: pmState?.peakPnL ?? 0,
           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,
           lastPrice: pmState?.lastPrice ?? dbTrade.entryPrice,
           lastUpdateTime: Date.now(),
@@ -394,6 +406,23 @@ export class PositionManager {
     const accountPnL = profitPercent * trade.leverage
     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
     if (trade.unrealizedPnL > trade.peakPnL) {
       trade.peakPnL = trade.unrealizedPnL
@@ -708,6 +737,10 @@ export class PositionManager {
         unrealizedPnL: trade.unrealizedPnL,
         peakPnL: trade.peakPnL,
         lastPrice: trade.lastPrice,
+        maxFavorableExcursion: trade.maxFavorableExcursion,
+        maxAdverseExcursion: trade.maxAdverseExcursion,
+        maxFavorablePrice: trade.maxFavorablePrice,
+        maxAdversePrice: trade.maxAdversePrice,
       })
     } catch (error) {
       console.error('❌ Failed to save trade state:', error)
@@ -733,6 +766,29 @@ export class PositionManager {
       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
diff --git a/prisma/migrations/20251029192059_add_mae_mfe_and_market_context/migration.sql b/prisma/migrations/20251029192059_add_mae_mfe_and_market_context/migration.sql
new file mode 100644
index 0000000..31645b6
--- /dev/null
+++ b/prisma/migrations/20251029192059_add_mae_mfe_and_market_context/migration.sql
@@ -0,0 +1,24 @@
+-- AlterTable
+ALTER TABLE "Trade" ADD COLUMN     "adxAtEntry" DOUBLE PRECISION,
+ADD COLUMN     "atrAtEntry" DOUBLE PRECISION,
+ADD COLUMN     "basisAtEntry" DOUBLE PRECISION,
+ADD COLUMN     "entrySlippagePct" DOUBLE PRECISION,
+ADD COLUMN     "exitSlippagePct" DOUBLE PRECISION,
+ADD COLUMN     "expectedEntryPrice" DOUBLE PRECISION,
+ADD COLUMN     "expectedExitPrice" DOUBLE PRECISION,
+ADD COLUMN     "fundingRateAtEntry" DOUBLE PRECISION,
+ADD COLUMN     "hardSlFilled" BOOLEAN NOT NULL DEFAULT false,
+ADD COLUMN     "maxAdverseExcursion" DOUBLE PRECISION,
+ADD COLUMN     "maxAdversePrice" DOUBLE PRECISION,
+ADD COLUMN     "maxFavorableExcursion" DOUBLE PRECISION,
+ADD COLUMN     "maxFavorablePrice" DOUBLE PRECISION,
+ADD COLUMN     "slFillPrice" DOUBLE PRECISION,
+ADD COLUMN     "softSlFilled" BOOLEAN NOT NULL DEFAULT false,
+ADD COLUMN     "timeToSl" INTEGER,
+ADD COLUMN     "timeToTp1" INTEGER,
+ADD COLUMN     "timeToTp2" INTEGER,
+ADD COLUMN     "tp1FillPrice" DOUBLE PRECISION,
+ADD COLUMN     "tp1Filled" BOOLEAN NOT NULL DEFAULT false,
+ADD COLUMN     "tp2FillPrice" DOUBLE PRECISION,
+ADD COLUMN     "tp2Filled" BOOLEAN NOT NULL DEFAULT false,
+ADD COLUMN     "volumeAtEntry" DOUBLE PRECISION;
diff --git a/prisma/schema.prisma b/prisma/schema.prisma
index fb5fe04..ef46ec2 100644
--- a/prisma/schema.prisma
+++ b/prisma/schema.prisma
@@ -49,6 +49,39 @@ model Trade {
   maxDrawdown      Float?   // Peak to valley during trade
   maxGain          Float?   // Peak gain reached
   
+  // MAE/MFE Analysis (Maximum Adverse/Favorable Excursion)
+  maxFavorableExcursion Float? // Best profit % reached during trade
+  maxAdverseExcursion   Float? // Worst drawdown % during trade
+  maxFavorablePrice     Float? // Best price hit (direction-aware)
+  maxAdversePrice       Float? // Worst price hit (direction-aware)
+  
+  // Exit details - which levels actually filled
+  tp1Filled         Boolean @default(false)
+  tp2Filled         Boolean @default(false)
+  softSlFilled      Boolean @default(false)
+  hardSlFilled      Boolean @default(false)
+  tp1FillPrice      Float?
+  tp2FillPrice      Float?
+  slFillPrice       Float?
+  
+  // Timing metrics
+  timeToTp1         Int?    // Seconds from entry to TP1 fill
+  timeToTp2         Int?    // Seconds from entry to TP2 fill
+  timeToSl          Int?    // Seconds from entry to SL hit
+  
+  // Market context at entry
+  atrAtEntry        Float?  // ATR% when trade opened
+  adxAtEntry        Float?  // ADX trend strength (0-50)
+  volumeAtEntry     Float?  // Volume relative to MA
+  fundingRateAtEntry Float? // Perp funding rate at entry
+  basisAtEntry      Float?  // Perp-spot basis at entry
+  
+  // Slippage tracking
+  expectedEntryPrice Float?  // Target entry from signal
+  entrySlippagePct   Float?  // Actual slippage %
+  expectedExitPrice  Float?  // Which TP/SL should have hit
+  exitSlippagePct    Float?  // Exit slippage %
+  
   // Order signatures
   entryOrderTx     String
   tp1OrderTx       String?