Implement signal quality scoring system

- Updated execute endpoint to store context metrics in database - Updated CreateTradeParams interface with 5 context metrics - Updated Prisma schema with rsiAtEntry and pricePositionAtEntry - Ran migration: add_rsi_and_price_position_metrics - Complete flow: TradingView → n8n → check-risk (scores) → execute (stores)
2025-10-30 19:31:32 +01:00
parent 781b88f803
commit 830468d524
7 changed files with 198 additions and 398 deletions
--- a/app/api/trading/check-risk/route.ts
+++ b/app/api/trading/check-risk/route.ts
@@ -13,12 +13,20 @@ import { getLastTradeTime, getTradesInLastHour, getTodayPnL } from '@/lib/databa
 export interface RiskCheckRequest {
  symbol: string
  direction: 'long' | 'short'
+  // Optional context metrics from TradingView
+  atr?: number
+  adx?: number
+  rsi?: number
+  volumeRatio?: number
+  pricePosition?: number
 }

 export interface RiskCheckResponse {
  allowed: boolean
  reason?: string
  details?: string
+  qualityScore?: number
+  qualityReasons?: string[]
 }

 export async function POST(request: NextRequest): Promise<NextResponse<RiskCheckResponse>> {
@@ -135,6 +143,50 @@ export async function POST(request: NextRequest): Promise<NextResponse<RiskCheck
      }
    }
    
+    // 4. Check signal quality (if context metrics provided)
+    const hasContextMetrics = body.atr !== undefined && body.atr > 0
+    
+    if (hasContextMetrics) {
+      const qualityScore = scoreSignalQuality({
+        atr: body.atr || 0,
+        adx: body.adx || 0,
+        rsi: body.rsi || 0,
+        volumeRatio: body.volumeRatio || 0,
+        pricePosition: body.pricePosition || 0,
+        direction: body.direction
+      })
+      
+      if (!qualityScore.passed) {
+        console.log('🚫 Risk check BLOCKED: Signal quality too low', {
+          score: qualityScore.score,
+          reasons: qualityScore.reasons
+        })
+        
+        return NextResponse.json({
+          allowed: false,
+          reason: 'Signal quality too low',
+          details: `Score: ${qualityScore.score}/100 - ${qualityScore.reasons.join(', ')}`,
+          qualityScore: qualityScore.score,
+          qualityReasons: qualityScore.reasons
+        })
+      }
+      
+      console.log(`✅ Risk check PASSED: All checks passed`, {
+        todayPnL: todayPnL.toFixed(2),
+        tradesLastHour: tradesInLastHour,
+        cooldownPassed: lastTradeTime ? 'yes' : 'no previous trades',
+        qualityScore: qualityScore.score,
+        qualityReasons: qualityScore.reasons
+      })
+      
+      return NextResponse.json({
+        allowed: true,
+        details: 'All risk checks passed',
+        qualityScore: qualityScore.score,
+        qualityReasons: qualityScore.reasons
+      })
+    }
+    
    console.log(`✅ Risk check PASSED: All checks passed`, {
      todayPnL: todayPnL.toFixed(2),
      tradesLastHour: tradesInLastHour,
@@ -159,3 +211,106 @@ export async function POST(request: NextRequest): Promise<NextResponse<RiskCheck
    )
  }
 }
+
+interface SignalQualityResult {
+  passed: boolean
+  score: number
+  reasons: string[]
+}
+
+/**
+ * Score signal quality based on context metrics from TradingView
+ * Returns score 0-100 and array of reasons
+ */
+function scoreSignalQuality(params: {
+  atr: number
+  adx: number
+  rsi: number
+  volumeRatio: number
+  pricePosition: number
+  direction: 'long' | 'short'
+}): SignalQualityResult {
+  let score = 50 // Base score
+  const reasons: string[] = []
+
+  // ATR check (volatility gate: 0.6% - 2.5%)
+  if (params.atr > 0) {
+    if (params.atr < 0.6) {
+      score -= 15
+      reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
+    } else if (params.atr > 2.5) {
+      score -= 20
+      reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
+    } else {
+      score += 10
+      reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
+    }
+  }
+
+  // ADX check (trend strength: want >18)
+  if (params.adx > 0) {
+    if (params.adx > 25) {
+      score += 15
+      reasons.push(`Strong trend (ADX ${params.adx.toFixed(1)})`)
+    } else if (params.adx < 18) {
+      score -= 15
+      reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
+    } else {
+      score += 5
+      reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
+    }
+  }
+
+  // RSI check (momentum confirmation)
+  if (params.rsi > 0) {
+    if (params.direction === 'long') {
+      if (params.rsi > 50 && params.rsi < 70) {
+        score += 10
+        reasons.push(`RSI supports long (${params.rsi.toFixed(1)})`)
+      } else if (params.rsi > 70) {
+        score -= 10
+        reasons.push(`RSI overbought (${params.rsi.toFixed(1)})`)
+      }
+    } else { // short
+      if (params.rsi < 50 && params.rsi > 30) {
+        score += 10
+        reasons.push(`RSI supports short (${params.rsi.toFixed(1)})`)
+      } else if (params.rsi < 30) {
+        score -= 10
+        reasons.push(`RSI oversold (${params.rsi.toFixed(1)})`)
+      }
+    }
+  }
+
+  // Volume check (want > 1.0 = above average)
+  if (params.volumeRatio > 0) {
+    if (params.volumeRatio > 1.2) {
+      score += 10
+      reasons.push(`Strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
+    } else if (params.volumeRatio < 0.8) {
+      score -= 10
+      reasons.push(`Weak volume (${params.volumeRatio.toFixed(2)}x avg)`)
+    }
+  }
+
+  // Price position check (avoid chasing)
+  if (params.pricePosition > 0) {
+    if (params.direction === 'long' && params.pricePosition > 90) {
+      score -= 15
+      reasons.push(`Price near top of range (${params.pricePosition.toFixed(0)}%) - risky long`)
+    } else if (params.direction === 'short' && params.pricePosition < 10) {
+      score -= 15
+      reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - risky short`)
+    } else {
+      score += 5
+      reasons.push(`Price position OK (${params.pricePosition.toFixed(0)}%)`)
+    }
+  }
+
+  const minScore = 60 // Require 60+ to pass
+  return {
+    passed: score >= minScore,
+    score,
+    reasons
+  }
+}
--- a/app/api/trading/execute/route.ts
+++ b/app/api/trading/execute/route.ts
@@ -19,6 +19,12 @@ export interface ExecuteTradeRequest {
  timeframe: string // e.g., '5'
  signalStrength?: 'strong' | 'moderate' | 'weak'
  signalPrice?: number
+  // Context metrics from TradingView
+  atr?: number
+  adx?: number
+  rsi?: number
+  volumeRatio?: number
+  pricePosition?: number
 }

 export interface ExecuteTradeResponse {
@@ -360,6 +366,12 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
        // Market context
        expectedEntryPrice,
        fundingRateAtEntry,
+        // Context metrics from TradingView
+        atrAtEntry: body.atr,
+        adxAtEntry: body.adx,
+        rsiAtEntry: body.rsi,
+        volumeAtEntry: body.volumeRatio,
+        pricePositionAtEntry: body.pricePosition,
      })
      
      console.log('💾 Trade saved to database')
--- a/lib/database/trades.ts
+++ b/lib/database/trades.ts
@@ -48,7 +48,9 @@ export interface CreateTradeParams {
  fundingRateAtEntry?: number
  atrAtEntry?: number
  adxAtEntry?: number
+  rsiAtEntry?: number
  volumeAtEntry?: number
+  pricePositionAtEntry?: number
 }

 export interface UpdateTradeStateParams {
--- a/prisma/migrations/20251030183114_add_rsi_and_price_position_metrics/migration.sql
+++ b/prisma/migrations/20251030183114_add_rsi_and_price_position_metrics/migration.sql
@@ -0,0 +1,3 @@
+-- AlterTable
+ALTER TABLE "Trade" ADD COLUMN     "pricePositionAtEntry" DOUBLE PRECISION,
+ADD COLUMN     "rsiAtEntry" DOUBLE PRECISION;
--- a/prisma/schema.prisma
+++ b/prisma/schema.prisma
@@ -72,7 +72,9 @@ model Trade {
  // Market context at entry
  atrAtEntry        Float?  // ATR% when trade opened
  adxAtEntry        Float?  // ADX trend strength (0-50)
+  rsiAtEntry        Float?  // RSI momentum (0-100)
  volumeAtEntry     Float?  // Volume relative to MA
+  pricePositionAtEntry Float? // Price position in range (0-100%)
  fundingRateAtEntry Float? // Perp funding rate at entry
  basisAtEntry      Float?  // Perp-spot basis at entry
  
--- a/workflows/trading/n8n-complete-workflow.json
+++ b/workflows/trading/n8n-complete-workflow.json
@@ -1,398 +0,0 @@
-{
-  "name": "TradingView → Trading Bot v4",
-  "nodes": [
-    {
-      "parameters": {
-        "httpMethod": "POST",
-        "path": "tradingview-bot-v4",
-        "options": {}
-      },
-      "id": "webhook-node",
-      "name": "Webhook",
-      "type": "n8n-nodes-base.webhook",
-      "typeVersion": 1,
-      "position": [240, 400],
-      "webhookId": "tradingview-bot-v4"
-    },
-    {
-      "parameters": {
-        "fields": {
-          "values": [
-            {
-              "name": "rawMessage",
-              "stringValue": "={{ $json.body }}"
-            },
-            {
-              "name": "symbol",
-              "stringValue": "={{ $json.body.match(/\\bSOL\\b/i) ? 'SOL-PERP' : ($json.body.match(/\\bBTC\\b/i) ? 'BTC-PERP' : ($json.body.match(/\\bETH\\b/i) ? 'ETH-PERP' : 'SOL-PERP')) }}"
-            },
-            {
-              "name": "direction",
-              "stringValue": "={{ $json.body.match(/\\b(sell|short)\\b/i) ? 'short' : 'long' }}"
-            },
-            {
-              "name": "timeframe",
-              "stringValue": "={{ $json.body.match(/\\.P\\s+(\\d+)/)?.[1] || '15' }}"
-            }
-          ]
-        },
-        "options": {}
-      },
-      "id": "parse-fields",
-      "name": "Parse Signal",
-      "type": "n8n-nodes-base.set",
-      "typeVersion": 3.2,
-      "position": [440, 400]
-    },
-    {
-      "parameters": {
-        "conditions": {
-          "string": [
-            {
-              "value1": "={{ $json.timeframe }}",
-              "operation": "equals",
-              "value2": "15"
-            }
-          ]
-        }
-      },
-      "id": "timeframe-filter",
-      "name": "15min Chart Only?",
-      "type": "n8n-nodes-base.if",
-      "typeVersion": 1,
-      "position": [540, 400]
-    },
-    {
-      "parameters": {
-        "method": "POST",
-        "url": "http://10.0.0.48:3001/api/trading/check-risk",
-        "authentication": "genericCredentialType",
-        "genericAuthType": "httpHeaderAuth",
-        "sendHeaders": true,
-        "headerParameters": {
-          "parameters": [
-            {
-              "name": "Authorization",
-              "value": "Bearer 2a344f0149442c857fb56c038c0c7d1b113883b830bec792c76f1e0efa15d6bb"
-            },
-            {
-              "name": "Content-Type",
-              "value": "application/json"
-            }
-          ]
-        },
-        "sendBody": true,
-        "specifyBody": "json",
-        "jsonBody": "={\n  \"symbol\": \"{{ $json.symbol }}\",\n  \"direction\": \"{{ $json.direction }}\"\n}",
-        "options": {}
-      },
-      "id": "check-risk",
-      "name": "Check Risk",
-      "type": "n8n-nodes-base.httpRequest",
-      "typeVersion": 4,
-      "position": [740, 400]
-    },
-    {
-      "parameters": {
-        "conditions": {
-          "boolean": [
-            {
-              "value1": "={{ $json.allowed }}",
-              "value2": true
-            }
-          ]
-        }
-      },
-      "id": "risk-if",
-      "name": "Risk Passed?",
-      "type": "n8n-nodes-base.if",
-      "typeVersion": 1,
-      "position": [940, 400]
-    },
-    {
-      "parameters": {
-        "method": "POST",
-        "url": "http://10.0.0.48:3001/api/trading/execute",
-        "authentication": "genericCredentialType",
-        "genericAuthType": "httpHeaderAuth",
-        "sendHeaders": true,
-        "headerParameters": {
-          "parameters": [
-            {
-              "name": "Authorization",
-              "value": "Bearer 2a344f0149442c857fb56c038c0c7d1b113883b830bec792c76f1e0efa15d6bb"
-            },
-            {
-              "name": "Content-Type",
-              "value": "application/json"
-            }
-          ]
-        },
-        "sendBody": true,
-        "specifyBody": "json",
-        "jsonBody": "={\n  \"symbol\": \"{{ $('Parse Signal').item.json.symbol }}\",\n  \"direction\": \"{{ $('Parse Signal').item.json.direction }}\",\n  \"timeframe\": \"{{ $('Parse Signal').item.json.timeframe }}\",\n  \"signalStrength\": \"strong\"\n}",
-        "options": {
-          "timeout": 30000
-        }
-      },
-      "id": "execute-trade",
-      "name": "Execute Trade",
-      "type": "n8n-nodes-base.httpRequest",
-      "typeVersion": 4,
-      "position": [1040, 300]
-    },
-    {
-      "parameters": {
-        "conditions": {
-          "boolean": [
-            {
-              "value1": "={{ $json.success }}",
-              "value2": true
-            }
-          ]
-        }
-      },
-      "id": "trade-if",
-      "name": "Trade Success?",
-      "type": "n8n-nodes-base.if",
-      "typeVersion": 1,
-      "position": [1240, 300]
-    },
-    {
-      "parameters": {
-        "fields": {
-          "values": [
-            {
-              "name": "message",
-              "stringValue": "🟢 TRADE OPENED\\n\\n{{ $('Parse Signal').item.json.rawMessage }}\\n\\n📊 Symbol: {{ $('Parse Signal').item.json.symbol }}\\n📈 Direction: {{ $('Parse Signal').item.json.direction }}\\n⏰ {{ $now.toFormat('HH:mm') }}\\n\\n✅ Position monitored automatically"
-            }
-          ]
-        },
-        "options": {}
-      },
-      "id": "format-success",
-      "name": "Format Success",
-      "type": "n8n-nodes-base.set",
-      "typeVersion": 3.2,
-      "position": [1440, 200]
-    },
-    {
-      "parameters": {
-        "fields": {
-          "values": [
-            {
-              "name": "message",
-              "stringValue": "🔴 TRADE FAILED\\n\\n{{ $('Parse Signal').item.json.rawMessage }}\\n\\n❌ Error: {{ $json.error || $json.message }}\\n⏰ {{ $now.toFormat('HH:mm') }}"
-            }
-          ]
-        },
-        "options": {}
-      },
-      "id": "format-error",
-      "name": "Format Error",
-      "type": "n8n-nodes-base.set",
-      "typeVersion": 3.2,
-      "position": [1440, 400]
-    },
-    {
-      "parameters": {
-        "fields": {
-          "values": [
-            {
-              "name": "message",
-              "stringValue": "⚠️ TRADE BLOCKED\\n\\n{{ $('Parse Signal').item.json.rawMessage }}\\n\\n🛑 Risk limits exceeded\\n⏰ {{ $now.toFormat('HH:mm') }}"
-            }
-          ]
-        },
-        "options": {}
-      },
-      "id": "format-risk",
-      "name": "Format Risk",
-      "type": "n8n-nodes-base.set",
-      "typeVersion": 3.2,
-      "position": [1040, 500]
-    },
-    {
-      "parameters": {
-        "chatId": "579304651",
-        "text": "={{ $json.message }}",
-        "additionalFields": {
-          "appendAttribution": false
-        }
-      },
-      "id": "telegram-success",
-      "name": "Telegram Success",
-      "type": "n8n-nodes-base.telegram",
-      "typeVersion": 1.1,
-      "position": [1640, 200],
-      "credentials": {
-        "telegramApi": {
-          "id": "Csk5cg4HtaSqP5jJ",
-          "name": "Telegram account"
-        }
-      }
-    },
-    {
-      "parameters": {
-        "chatId": "579304651",
-        "text": "={{ $json.message }}",
-        "additionalFields": {
-          "appendAttribution": false
-        }
-      },
-      "id": "telegram-error",
-      "name": "Telegram Error",
-      "type": "n8n-nodes-base.telegram",
-      "typeVersion": 1.1,
-      "position": [1640, 400],
-      "credentials": {
-        "telegramApi": {
-          "id": "Csk5cg4HtaSqP5jJ",
-          "name": "Telegram account"
-        }
-      }
-    },
-    {
-      "parameters": {
-        "chatId": "579304651",
-        "text": "={{ $json.message }}",
-        "additionalFields": {
-          "appendAttribution": false
-        }
-      },
-      "id": "telegram-risk",
-      "name": "Telegram Risk",
-      "type": "n8n-nodes-base.telegram",
-      "typeVersion": 1.1,
-      "position": [1240, 500],
-      "credentials": {
-        "telegramApi": {
-          "id": "Csk5cg4HtaSqP5jJ",
-          "name": "Telegram account"
-        }
-      }
-    }
-  ],
-  "connections": {
-    "Webhook": {
-      "main": [
-        [
-          {
-            "node": "Parse Signal",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Parse Signal": {
-      "main": [
-        [
-          {
-            "node": "Check Risk",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Check Risk": {
-      "main": [
-        [
-          {
-            "node": "Risk Passed?",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Risk Passed?": {
-      "main": [
-        [
-          {
-            "node": "Execute Trade",
-            "type": "main",
-            "index": 0
-          }
-        ],
-        [
-          {
-            "node": "Format Risk",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Execute Trade": {
-      "main": [
-        [
-          {
-            "node": "Trade Success?",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Trade Success?": {
-      "main": [
-        [
-          {
-            "node": "Format Success",
-            "type": "main",
-            "index": 0
-          }
-        ],
-        [
-          {
-            "node": "Format Error",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Format Success": {
-      "main": [
-        [
-          {
-            "node": "Telegram Success",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Format Error": {
-      "main": [
-        [
-          {
-            "node": "Telegram Error",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    },
-    "Format Risk": {
-      "main": [
-        [
-          {
-            "node": "Telegram Risk",
-            "type": "main",
-            "index": 0
-          }
-        ]
-      ]
-    }
-  },
-  "pinData": {},
-  "active": false,
-  "settings": {
-    "executionOrder": "v1"
-  },
-  "versionId": "1",
-  "tags": []
-}
--- a/workflows/trading/parse_signal_enhanced.json
+++ b/workflows/trading/parse_signal_enhanced.json
@@ -0,0 +1,24 @@
+{
+  "name": "Parse Signal Enhanced",
+  "nodes": [
+    {
+      "parameters": {
+        "jsCode": "// Get the body - it might be a string or nested in an object\nlet body = $json.body || $json.query?.body || JSON.stringify($json);\n\n// If body is an object, stringify it\nif (typeof body === 'object') {\n  body = JSON.stringify(body);\n}\n\n// Parse basic signal (existing logic)\nconst symbolMatch = body.match(/\\b(SOL|BTC|ETH)\\b/i);\nconst symbol = symbolMatch ? symbolMatch[1].toUpperCase() + '-PERP' : 'SOL-PERP';\n\nconst direction = body.match(/\\b(sell|short)\\b/i) ? 'short' : 'long';\n\nconst timeframeMatch = body.match(/\\.P\\s+(\\d+)/);\nconst timeframe = timeframeMatch ? timeframeMatch[1] : '15';\n\n// Parse new context metrics from enhanced format:\n// \"SOL buy .P 15 | ATR:1.85 | ADX:28.3 | RSI:62.5 | VOL:1.45 | POS:75.3\"\nconst atrMatch = body.match(/ATR:([\\d.]+)/);\nconst atr = atrMatch ? parseFloat(atrMatch[1]) : 0;\n\nconst adxMatch = body.match(/ADX:([\\d.]+)/);\nconst adx = adxMatch ? parseFloat(adxMatch[1]) : 0;\n\nconst rsiMatch = body.match(/RSI:([\\d.]+)/);\nconst rsi = rsiMatch ? parseFloat(rsiMatch[1]) : 0;\n\nconst volumeMatch = body.match(/VOL:([\\d.]+)/);\nconst volumeRatio = volumeMatch ? parseFloat(volumeMatch[1]) : 0;\n\nconst pricePositionMatch = body.match(/POS:([\\d.]+)/);\nconst pricePosition = pricePositionMatch ? parseFloat(pricePositionMatch[1]) : 0;\n\nreturn {\n  rawMessage: body,\n  symbol,\n  direction,\n  timeframe,\n  // New context fields\n  atr,\n  adx,\n  rsi,\n  volumeRatio,\n  pricePosition\n};"
+      },
+      "id": "parse-signal-enhanced",
+      "name": "Parse Signal Enhanced",
+      "type": "n8n-nodes-base.code",
+      "typeVersion": 2,
+      "position": [600, 300]
+    }
+  ],
+  "connections": {},
+  "settings": {
+    "executionOrder": "v1"
+  },
+  "staticData": null,
+  "tags": [],
+  "triggerCount": 0,
+  "updatedAt": "2025-10-30T00:00:00.000Z",
+  "versionId": "1"
+}