feat: Implement percentage-based position sizing
- Add usePercentageSize flag to SymbolSettings and TradingConfig - Add calculateActualPositionSize() and getActualPositionSizeForSymbol() helpers - Update execute and test endpoints to calculate position size from free collateral - Add SOLANA_USE_PERCENTAGE_SIZE, ETHEREUM_USE_PERCENTAGE_SIZE, USE_PERCENTAGE_SIZE env vars - Configure SOL to use 100% of portfolio (auto-adjusts to available balance) - Fix TypeScript errors: replace fillNotionalUSD with actualSizeUSD - Remove signalQualityVersion and fullyClosed references (not in interfaces) - Add comprehensive documentation in PERCENTAGE_SIZING_FEATURE.md Benefits: - Prevents insufficient collateral errors by using available balance - Auto-scales positions as account grows/shrinks - Maintains risk proportional to capital - Flexible per-symbol configuration (SOL percentage, ETH fixed)
This commit is contained in:
mindesbunister
@@ -8,12 +8,11 @@
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import { NextRequest, NextResponse } from 'next/server'
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import { initializeDriftService } from '@/lib/drift/client'
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import { openPosition, placeExitOrders } from '@/lib/drift/orders'
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import { normalizeTradingViewSymbol } from '@/config/trading'
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import { normalizeTradingViewSymbol, calculateDynamicTp2 } from '@/config/trading'
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import { getMergedConfig } from '@/config/trading'
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import { getInitializedPositionManager, ActiveTrade } from '@/lib/trading/position-manager'
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import { createTrade, updateTradeExit } from '@/lib/database/trades'
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import { scoreSignalQuality } from '@/lib/trading/signal-quality'
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import { getMarketDataCache } from '@/lib/trading/market-data-cache'
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export interface ExecuteTradeRequest {
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symbol: string // TradingView symbol (e.g., 'SOLUSDT')
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@@ -36,6 +35,8 @@ export interface ExecuteTradeResponse {
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direction?: 'long' | 'short'
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entryPrice?: number
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positionSize?: number
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requestedPositionSize?: number
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fillCoveragePercent?: number
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leverage?: number
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stopLoss?: number
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takeProfit1?: number
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@@ -87,29 +88,34 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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const driftSymbol = normalizeTradingViewSymbol(body.symbol)
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console.log(`📊 Normalized symbol: ${body.symbol} → ${driftSymbol}`)
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// 🆕 Cache incoming market data from TradingView signals
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if (body.atr && body.adx && body.rsi) {
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const marketCache = getMarketDataCache()
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marketCache.set(driftSymbol, {
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symbol: driftSymbol,
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atr: body.atr,
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adx: body.adx,
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rsi: body.rsi,
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volumeRatio: body.volumeRatio || 1.0,
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pricePosition: body.pricePosition || 50,
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currentPrice: body.signalPrice || 0,
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timestamp: Date.now(),
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timeframe: body.timeframe || '5'
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})
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console.log(`📊 Market data auto-cached for ${driftSymbol} from trade signal`)
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}
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// Get trading configuration
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const config = getMergedConfig()
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// Get symbol-specific position sizing
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const { getPositionSizeForSymbol } = await import('@/config/trading')
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const { size: positionSize, leverage, enabled } = getPositionSizeForSymbol(driftSymbol, config)
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// Initialize Drift service to get account balance
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const driftService = await initializeDriftService()
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// Check account health before trading
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const health = await driftService.getAccountHealth()
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console.log('💊 Account health:', health)
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if (health.freeCollateral <= 0) {
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return NextResponse.json(
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{
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success: false,
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error: 'Insufficient collateral',
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message: `Free collateral: $${health.freeCollateral.toFixed(2)}`,
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},
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{ status: 400 }
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)
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}
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// Get symbol-specific position sizing (with percentage support)
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const { getActualPositionSizeForSymbol } = await import('@/config/trading')
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const { size: positionSize, leverage, enabled, usePercentage } = await getActualPositionSizeForSymbol(
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driftSymbol,
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config,
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health.freeCollateral
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)
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// Check if trading is enabled for this symbol
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if (!enabled) {
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@@ -128,25 +134,9 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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console.log(` Enabled: ${enabled}`)
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console.log(` Position size: $${positionSize}`)
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console.log(` Leverage: ${leverage}x`)
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console.log(` Using percentage: ${usePercentage}`)
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console.log(` Free collateral: $${health.freeCollateral.toFixed(2)}`)
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// Initialize Drift service if not already initialized
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const driftService = await initializeDriftService()
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// Check account health before trading
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const health = await driftService.getAccountHealth()
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console.log('💊 Account health:', health)
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if (health.freeCollateral <= 0) {
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return NextResponse.json(
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{
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success: false,
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error: 'Insufficient collateral',
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message: `Free collateral: $${health.freeCollateral.toFixed(2)}`,
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},
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{ status: 400 }
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)
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}
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// AUTO-FLIP: Check for existing opposite direction position
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const positionManager = await getInitializedPositionManager()
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const existingTrades = Array.from(positionManager.getActiveTrades().values())
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@@ -196,8 +186,16 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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// Update Position Manager tracking
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const timesScaled = (sameDirectionPosition.timesScaled || 0) + 1
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const totalScaleAdded = (sameDirectionPosition.totalScaleAdded || 0) + scaleSize
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const newTotalSize = sameDirectionPosition.currentSize + (scaleResult.fillSize || 0)
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const actualScaleNotional = scaleResult.actualSizeUSD ?? scaleSize
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const totalScaleAdded = (sameDirectionPosition.totalScaleAdded || 0) + actualScaleNotional
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const newTotalSize = sameDirectionPosition.currentSize + actualScaleNotional
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if (scaleSize > 0) {
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const coverage = (actualScaleNotional / scaleSize) * 100
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if (coverage < 99.5) {
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console.log(`⚠️ Scale fill coverage: ${coverage.toFixed(2)}% of requested $${scaleSize.toFixed(2)}`)
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}
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}
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// Update the trade tracking (simplified - just update the active trade object)
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sameDirectionPosition.timesScaled = timesScaled
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@@ -287,20 +285,20 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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await new Promise(resolve => setTimeout(resolve, 2000))
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}
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// Calculate position size with leverage
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const positionSizeUSD = positionSize * leverage
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// Calculate requested position size with leverage
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const requestedPositionSizeUSD = positionSize * leverage
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console.log(`💰 Opening ${body.direction} position:`)
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console.log(` Symbol: ${driftSymbol}`)
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console.log(` Base size: $${positionSize}`)
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console.log(` Leverage: ${leverage}x`)
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console.log(` Total position: $${positionSizeUSD}`)
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console.log(` Requested notional: $${requestedPositionSizeUSD}`)
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// Open position
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const openResult = await openPosition({
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symbol: driftSymbol,
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direction: body.direction,
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sizeUSD: positionSizeUSD,
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sizeUSD: requestedPositionSizeUSD,
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slippageTolerance: config.slippageTolerance,
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})
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@@ -318,7 +316,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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// CRITICAL: Check for phantom trade (position opened but size mismatch)
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if (openResult.isPhantom) {
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console.error(`🚨 PHANTOM TRADE DETECTED - Not adding to Position Manager`)
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console.error(` Expected: $${positionSizeUSD.toFixed(2)}`)
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console.error(` Expected: $${requestedPositionSizeUSD.toFixed(2)}`)
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console.error(` Actual: $${openResult.actualSizeUSD?.toFixed(2)}`)
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// Save phantom trade to database for analysis
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@@ -338,7 +336,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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symbol: driftSymbol,
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direction: body.direction,
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entryPrice: openResult.fillPrice!,
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positionSizeUSD: positionSizeUSD,
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positionSizeUSD: requestedPositionSizeUSD,
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leverage: config.leverage,
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stopLossPrice: 0, // Not applicable for phantom
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takeProfit1Price: 0,
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@@ -358,7 +356,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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// Phantom-specific fields
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status: 'phantom',
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isPhantom: true,
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expectedSizeUSD: positionSizeUSD,
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expectedSizeUSD: requestedPositionSizeUSD,
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actualSizeUSD: openResult.actualSizeUSD,
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phantomReason: 'ORACLE_PRICE_MISMATCH', // Likely cause based on logs
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})
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@@ -372,7 +370,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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{
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success: false,
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error: 'Phantom trade detected',
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message: `Position opened but size mismatch detected. Expected $${positionSizeUSD.toFixed(2)}, got $${openResult.actualSizeUSD?.toFixed(2)}. This usually indicates oracle price was stale or order was rejected by exchange.`,
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message: `Position opened but size mismatch detected. Expected $${requestedPositionSizeUSD.toFixed(2)}, got $${openResult.actualSizeUSD?.toFixed(2)}. This usually indicates oracle price was stale or order was rejected by exchange.`,
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},
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{ status: 500 }
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)
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@@ -380,6 +378,20 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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// Calculate stop loss and take profit prices
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const entryPrice = openResult.fillPrice!
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const actualPositionSizeUSD = openResult.actualSizeUSD ?? requestedPositionSizeUSD
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const filledBaseSize = openResult.fillSize !== undefined
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? Math.abs(openResult.fillSize)
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: (entryPrice > 0 ? actualPositionSizeUSD / entryPrice : 0)
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const fillCoverage = requestedPositionSizeUSD > 0
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? (actualPositionSizeUSD / requestedPositionSizeUSD) * 100
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: 100
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console.log('📏 Fill results:')
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console.log(` Filled base size: ${filledBaseSize.toFixed(4)} ${driftSymbol.split('-')[0]}`)
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console.log(` Filled notional: $${actualPositionSizeUSD.toFixed(2)}`)
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if (fillCoverage < 99.5) {
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console.log(` ⚠️ Partial fill: ${fillCoverage.toFixed(2)}% of requested size`)
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}
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const stopLossPrice = calculatePrice(
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entryPrice,
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@@ -413,9 +425,15 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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body.direction
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)
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const dynamicTp2Percent = calculateDynamicTp2(
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entryPrice,
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body.atr || 0, // ATR from TradingView signal
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config
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)
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const tp2Price = calculatePrice(
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entryPrice,
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config.takeProfit2Percent,
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dynamicTp2Percent,
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body.direction
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)
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@@ -423,7 +441,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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console.log(` Entry: $${entryPrice.toFixed(4)}`)
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console.log(` SL: $${stopLossPrice.toFixed(4)} (${config.stopLossPercent}%)`)
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console.log(` TP1: $${tp1Price.toFixed(4)} (${config.takeProfit1Percent}%)`)
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console.log(` TP2: $${tp2Price.toFixed(4)} (${config.takeProfit2Percent}%)`)
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console.log(` TP2: $${tp2Price.toFixed(4)} (${dynamicTp2Percent.toFixed(2)}% - ATR-based)`)
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// Calculate emergency stop
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const emergencyStopPrice = calculatePrice(
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@@ -440,13 +458,13 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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direction: body.direction,
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entryPrice,
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entryTime: Date.now(),
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positionSize: positionSizeUSD,
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positionSize: actualPositionSizeUSD,
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leverage: config.leverage,
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stopLossPrice,
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tp1Price,
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tp2Price,
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emergencyStopPrice,
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currentSize: positionSizeUSD,
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currentSize: actualPositionSizeUSD,
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tp1Hit: false,
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tp2Hit: false,
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slMovedToBreakeven: false,
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@@ -465,6 +483,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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originalAdx: body.adx, // Store for scaling validation
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timesScaled: 0,
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totalScaleAdded: 0,
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atrAtEntry: body.atr,
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runnerTrailingPercent: undefined,
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priceCheckCount: 0,
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lastPrice: entryPrice,
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lastUpdateTime: Date.now(),
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@@ -477,13 +497,13 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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try {
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const exitRes = await placeExitOrders({
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symbol: driftSymbol,
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positionSizeUSD: positionSizeUSD,
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positionSizeUSD: actualPositionSizeUSD,
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entryPrice: entryPrice,
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tp1Price,
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tp2Price,
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stopLossPrice,
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tp1SizePercent: config.takeProfit1SizePercent ?? 75,
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tp2SizePercent: config.takeProfit2SizePercent ?? 0, // 0 = activate trailing stop, don't close
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tp1SizePercent: config.takeProfit1SizePercent || 50,
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tp2SizePercent: config.takeProfit2SizePercent || 100,
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direction: body.direction,
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// Dual stop parameters
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useDualStops: config.useDualStops,
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@@ -514,14 +534,16 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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symbol: driftSymbol,
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direction: body.direction,
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entryPrice: entryPrice,
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positionSize: positionSizeUSD,
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positionSize: actualPositionSizeUSD,
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requestedPositionSize: requestedPositionSizeUSD,
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fillCoveragePercent: Number(fillCoverage.toFixed(2)),
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leverage: config.leverage,
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stopLoss: stopLossPrice,
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takeProfit1: tp1Price,
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takeProfit2: tp2Price,
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stopLossPercent: config.stopLossPercent,
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tp1Percent: config.takeProfit1Percent,
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tp2Percent: config.takeProfit2Percent,
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tp2Percent: dynamicTp2Percent,
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entrySlippage: openResult.slippage,
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timestamp: new Date().toISOString(),
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}
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@@ -549,7 +571,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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symbol: driftSymbol,
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direction: body.direction,
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entryPrice,
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positionSizeUSD: positionSizeUSD,
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positionSizeUSD: actualPositionSizeUSD,
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leverage: config.leverage,
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stopLossPrice,
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takeProfit1Price: tp1Price,
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@@ -574,6 +596,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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volumeAtEntry: body.volumeRatio,
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pricePositionAtEntry: body.pricePosition,
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signalQualityScore: qualityResult.score,
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expectedSizeUSD: requestedPositionSizeUSD,
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actualSizeUSD: actualPositionSizeUSD,
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})
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console.log(`💾 Trade saved with quality score: ${qualityResult.score}/100`)
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@@ -8,7 +8,7 @@
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import { NextRequest, NextResponse } from 'next/server'
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import { initializeDriftService } from '@/lib/drift/client'
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import { openPosition, placeExitOrders } from '@/lib/drift/orders'
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import { normalizeTradingViewSymbol } from '@/config/trading'
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import { normalizeTradingViewSymbol, calculateDynamicTp2 } from '@/config/trading'
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import { getMergedConfig } from '@/config/trading'
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import { getInitializedPositionManager, ActiveTrade } from '@/lib/trading/position-manager'
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import { createTrade } from '@/lib/database/trades'
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@@ -55,9 +55,31 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
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// Get trading configuration
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const config = getMergedConfig()
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// Get symbol-specific position sizing
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const { getPositionSizeForSymbol } = await import('@/config/trading')
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const { size: positionSize, leverage, enabled } = getPositionSizeForSymbol(driftSymbol, config)
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// Initialize Drift service to get account balance
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const driftService = await initializeDriftService()
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// Check account health before trading
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const health = await driftService.getAccountHealth()
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console.log('💊 Account health:', health)
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if (health.freeCollateral <= 0) {
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return NextResponse.json(
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{
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success: false,
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error: 'Insufficient collateral',
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message: `Free collateral: $${health.freeCollateral.toFixed(2)}`,
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},
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{ status: 400 }
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)
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}
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// Get symbol-specific position sizing (with percentage support)
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const { getActualPositionSizeForSymbol } = await import('@/config/trading')
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const { size: positionSize, leverage, enabled, usePercentage } = await getActualPositionSizeForSymbol(
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driftSymbol,
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config,
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health.freeCollateral
|
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)
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// Check if trading is enabled for this symbol
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if (!enabled) {
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@@ -76,33 +98,17 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
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console.log(` Enabled: ${enabled}`)
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console.log(` Position size: $${positionSize}`)
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console.log(` Leverage: ${leverage}x`)
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// Initialize Drift service if not already initialized
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const driftService = await initializeDriftService()
|
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|
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// Check account health before trading
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const health = await driftService.getAccountHealth()
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console.log('💊 Account health:', health)
|
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|
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if (health.freeCollateral <= 0) {
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return NextResponse.json(
|
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{
|
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success: false,
|
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error: 'Insufficient collateral',
|
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message: `Free collateral: $${health.freeCollateral.toFixed(2)}`,
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},
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{ status: 400 }
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)
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||||
}
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console.log(` Using percentage: ${usePercentage}`)
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console.log(` Free collateral: $${health.freeCollateral.toFixed(2)}`)
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|
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// Calculate position size with leverage
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const requestedPositionSizeUSD = positionSize * leverage
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const requestedPositionSizeUSD = positionSize * leverage
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|
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console.log(`💰 Opening ${direction} position:`)
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console.log(` Symbol: ${driftSymbol}`)
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||||
console.log(` Base size: $${positionSize}`)
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console.log(` Leverage: ${leverage}x`)
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console.log(` Requested notional: $${requestedPositionSizeUSD}`)
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console.log(` Base size: $${positionSize}`)
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||||
console.log(` Leverage: ${leverage}x`)
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console.log(` Requested notional: $${requestedPositionSizeUSD}`)
|
||||
|
||||
// Open position
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const openResult = await openPosition({
|
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@@ -125,8 +131,10 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
|
||||
|
||||
// Calculate stop loss and take profit prices
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const entryPrice = openResult.fillPrice!
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const filledBaseSize = openResult.fillSize ?? (requestedPositionSizeUSD > 0 ? requestedPositionSizeUSD / entryPrice : 0)
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const actualPositionSizeUSD = openResult.actualSizeUSD ?? (filledBaseSize * entryPrice)
|
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const actualPositionSizeUSD = openResult.actualSizeUSD ?? requestedPositionSizeUSD
|
||||
const filledBaseSize = openResult.fillSize !== undefined
|
||||
? Math.abs(openResult.fillSize)
|
||||
: (entryPrice > 0 ? actualPositionSizeUSD / entryPrice : 0)
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||||
const fillCoverage = requestedPositionSizeUSD > 0
|
||||
? (actualPositionSizeUSD / requestedPositionSizeUSD) * 100
|
||||
: 100
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||||
@@ -170,9 +178,18 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
|
||||
direction
|
||||
)
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||||
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||||
// Use ATR-based dynamic TP2 with simulated ATR for testing
|
||||
const simulatedATR = entryPrice * 0.008 // Simulate 0.8% ATR for testing
|
||||
|
||||
const dynamicTp2Percent = calculateDynamicTp2(
|
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entryPrice,
|
||||
simulatedATR,
|
||||
config
|
||||
)
|
||||
|
||||
const tp2Price = calculatePrice(
|
||||
entryPrice,
|
||||
config.takeProfit2Percent,
|
||||
dynamicTp2Percent,
|
||||
direction
|
||||
)
|
||||
|
||||
@@ -180,7 +197,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
|
||||
console.log(` Entry: $${entryPrice.toFixed(4)}`)
|
||||
console.log(` SL: $${stopLossPrice.toFixed(4)} (${config.stopLossPercent}%)`)
|
||||
console.log(` TP1: $${tp1Price.toFixed(4)} (${config.takeProfit1Percent}%)`)
|
||||
console.log(` TP2: $${tp2Price.toFixed(4)} (${config.takeProfit2Percent}%)`)
|
||||
console.log(` TP2: $${tp2Price.toFixed(4)} (${dynamicTp2Percent.toFixed(2)}% - ATR-based test)`)
|
||||
|
||||
// Calculate emergency stop
|
||||
const emergencyStopPrice = calculatePrice(
|
||||
@@ -218,6 +235,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
|
||||
maxAdverseExcursion: 0,
|
||||
maxFavorablePrice: entryPrice,
|
||||
maxAdversePrice: entryPrice,
|
||||
atrAtEntry: undefined,
|
||||
runnerTrailingPercent: undefined,
|
||||
priceCheckCount: 0,
|
||||
lastPrice: entryPrice,
|
||||
lastUpdateTime: Date.now(),
|
||||
@@ -258,8 +277,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
|
||||
tp1Price,
|
||||
tp2Price,
|
||||
stopLossPrice,
|
||||
tp1SizePercent: config.takeProfit1SizePercent ?? 75,
|
||||
tp2SizePercent: config.takeProfit2SizePercent ?? 0, // 0 = activate trailing stop, don't close
|
||||
tp1SizePercent: config.takeProfit1SizePercent || 50,
|
||||
tp2SizePercent: config.takeProfit2SizePercent || 100,
|
||||
direction: direction,
|
||||
// Dual stop parameters
|
||||
useDualStops: config.useDualStops,
|
||||
@@ -290,7 +309,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
|
||||
symbol: driftSymbol,
|
||||
direction: direction,
|
||||
entryPrice,
|
||||
positionSizeUSD: actualPositionSizeUSD,
|
||||
positionSizeUSD: actualPositionSizeUSD,
|
||||
leverage: leverage,
|
||||
stopLossPrice,
|
||||
takeProfit1Price: tp1Price,
|
||||
|
||||
Reference in New Issue
Block a user