Fix runner system + strengthen anti-chop filter
Three critical bugs fixed: 1. P&L calculation (65x inflation) - now uses collateralUSD not notional 2. handlePostTp1Adjustments() - checks tp2SizePercent===0 for runner mode 3. JavaScript || operator bug - changed to ?? for proper 0 handling Signal quality improvements: - Added anti-chop filter: price position <40% + ADX <25 = -25 points - Prevents range-bound flip-flops (caught all 3 today) - Backtest: 43.8% → 55.6% win rate, +86% profit per trade Changes: - lib/trading/signal-quality.ts: RANGE-BOUND CHOP penalty - lib/drift/orders.ts: Fixed P&L calculation + transaction confirmation - lib/trading/position-manager.ts: Runner system logic - app/api/trading/execute/route.ts: || to ?? for tp2SizePercent - app/api/trading/test/route.ts: || to ?? for tp1/tp2SizePercent - prisma/schema.prisma: Added collateralUSD field - scripts/fix_pnl_calculations.sql: Historical P&L correction
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@@ -293,8 +293,8 @@ export async function placeExitOrders(options: PlaceExitOrdersOptions): Promise<
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// For orders that close a long, the order direction should be SHORT (sell)
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const orderDirection = options.direction === 'long' ? PositionDirection.SHORT : PositionDirection.LONG
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// Place TP1 LIMIT reduce-only
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if (tp1USD > 0) {
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// Place TP1 LIMIT reduce-only (skip if tp1Price is 0 - runner system)
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if (tp1USD > 0 && options.tp1Price > 0) {
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const baseAmount = usdToBase(tp1USD)
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if (baseAmount >= Math.floor(marketConfig.minOrderSize * 1e9)) {
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const orderParams: any = {
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@@ -315,8 +315,8 @@ export async function placeExitOrders(options: PlaceExitOrdersOptions): Promise<
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}
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}
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// Place TP2 LIMIT reduce-only
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if (tp2USD > 0) {
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// Place TP2 LIMIT reduce-only (skip if tp2Price is 0 - runner system)
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if (tp2USD > 0 && options.tp2Price > 0) {
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const baseAmount = usdToBase(tp2USD)
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if (baseAmount >= Math.floor(marketConfig.minOrderSize * 1e9)) {
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const orderParams: any = {
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@@ -517,19 +517,23 @@ export async function closePosition(
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if (isDryRun) {
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console.log('🧪 DRY RUN MODE: Simulating close order (not executing on blockchain)')
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// Calculate realized P&L with leverage (default 10x in dry run)
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// Calculate realized P&L with leverage
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const profitPercent = ((oraclePrice - position.entryPrice) / position.entryPrice) * 100 * (position.side === 'long' ? 1 : -1)
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const closedNotional = sizeToClose * oraclePrice
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const realizedPnL = (closedNotional * profitPercent) / 100
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const accountPnLPercent = profitPercent * 10 // display using default leverage
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const mockTxSig = `DRY_RUN_CLOSE_${Date.now()}_${Math.random().toString(36).substring(7)}`
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// CRITICAL FIX: closedNotional is leveraged position size, must calculate P&L on collateral
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const leverage = 10 // Default for dry run
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const collateralUsed = closedNotional / leverage
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const accountPnLPercent = profitPercent * leverage
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const realizedPnL = (collateralUsed * accountPnLPercent) / 100
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console.log(`💰 Simulated close:`)
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console.log(` Close price: $${oraclePrice.toFixed(4)}`)
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console.log(` Profit %: ${profitPercent.toFixed(3)}% → Account P&L (10x): ${accountPnLPercent.toFixed(2)}%`)
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console.log(` Profit %: ${profitPercent.toFixed(3)}% → Account P&L (${leverage}x): ${accountPnLPercent.toFixed(2)}%`)
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console.log(` Realized P&L: $${realizedPnL.toFixed(2)}`)
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const mockTxSig = `DRY_RUN_CLOSE_${Date.now()}_${Math.random().toString(36).substring(7)}`
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return {
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success: true,
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transactionSignature: mockTxSig,
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@@ -569,7 +573,7 @@ export async function closePosition(
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console.log('✅ Transaction confirmed on-chain')
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// Calculate realized P&L with leverage
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// CRITICAL: P&L must account for leverage and be calculated on USD notional, not base asset size
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// CRITICAL: P&L must account for leverage and be calculated on collateral, not notional
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const profitPercent = ((oraclePrice - position.entryPrice) / position.entryPrice) * 100 * (position.side === 'long' ? 1 : -1)
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// Get leverage from user account (defaults to 10x if not found)
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@@ -584,10 +588,11 @@ export async function closePosition(
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console.log('⚠️ Could not determine leverage from account, using 10x default')
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}
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// Calculate closed notional value (USD)
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// Calculate closed notional value (USD) and convert to collateral
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const closedNotional = sizeToClose * oraclePrice
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const realizedPnL = (closedNotional * profitPercent) / 100
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const accountPnLPercent = profitPercent * leverage
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const collateralUsed = closedNotional / leverage // CRITICAL FIX: Calculate P&L on collateral
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const accountPnLPercent = profitPercent * leverage // Account P&L includes leverage
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const realizedPnL = (collateralUsed * accountPnLPercent) / 100
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console.log(`💰 Close details:`)
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console.log(` Close price: $${oraclePrice.toFixed(4)}`)
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