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Enhance trailing stop with ATR-based sizing

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This commit is contained in:
mindesbunister
2025-11-05 15:28:12 +01:00
parent 149294084e
commit a100945864
8 changed files with 183 additions and 35 deletions
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21
app/api/settings/route.ts
View File

@@ -7,6 +7,7 @@
import { NextRequest, NextResponse } from 'next/server'
import fs from 'fs'
import path from 'path'
import { DEFAULT_TRADING_CONFIG } from '@/config/trading'
const ENV_FILE_PATH = path.join(process.cwd(), '.env')
@@ -50,6 +51,11 @@ function updateEnvFile(updates: Record<string, any>) {
})
fs.writeFileSync(ENV_FILE_PATH, content, 'utf-8')
// Also update in-memory environment so running process sees new values immediately
Object.entries(updates).forEach(([key, value]) => {
process.env[key] = value
})
return true
} catch (error) {
console.error('Failed to write .env file:', error)
@@ -86,6 +92,9 @@ export async function GET() {
PROFIT_LOCK_PERCENT: parseFloat(env.PROFIT_LOCK_PERCENT || '0.4'),
USE_TRAILING_STOP: env.USE_TRAILING_STOP === 'true' || env.USE_TRAILING_STOP === undefined,
TRAILING_STOP_PERCENT: parseFloat(env.TRAILING_STOP_PERCENT || '0.3'),
TRAILING_STOP_ATR_MULTIPLIER: parseFloat(env.TRAILING_STOP_ATR_MULTIPLIER || '1.5'),
TRAILING_STOP_MIN_PERCENT: parseFloat(env.TRAILING_STOP_MIN_PERCENT || '0.25'),
TRAILING_STOP_MAX_PERCENT: parseFloat(env.TRAILING_STOP_MAX_PERCENT || '0.9'),
TRAILING_STOP_ACTIVATION: parseFloat(env.TRAILING_STOP_ACTIVATION || '0.5'),
// Position Scaling
@@ -144,6 +153,9 @@ export async function POST(request: NextRequest) {
PROFIT_LOCK_PERCENT: settings.PROFIT_LOCK_PERCENT.toString(),
USE_TRAILING_STOP: settings.USE_TRAILING_STOP.toString(),
TRAILING_STOP_PERCENT: settings.TRAILING_STOP_PERCENT.toString(),
TRAILING_STOP_ATR_MULTIPLIER: (settings.TRAILING_STOP_ATR_MULTIPLIER ?? DEFAULT_TRADING_CONFIG.trailingStopAtrMultiplier).toString(),
TRAILING_STOP_MIN_PERCENT: (settings.TRAILING_STOP_MIN_PERCENT ?? DEFAULT_TRADING_CONFIG.trailingStopMinPercent).toString(),
TRAILING_STOP_MAX_PERCENT: (settings.TRAILING_STOP_MAX_PERCENT ?? DEFAULT_TRADING_CONFIG.trailingStopMaxPercent).toString(),
TRAILING_STOP_ACTIVATION: settings.TRAILING_STOP_ACTIVATION.toString(),
// Position Scaling
@@ -167,6 +179,15 @@ export async function POST(request: NextRequest) {
const success = updateEnvFile(updates)
if (success) {
try {
const { getPositionManager } = await import('@/lib/trading/position-manager')
const manager = getPositionManager()
manager.refreshConfig()
console.log('⚙️ Position manager config refreshed after settings update')
} catch (pmError) {
console.error('Failed to refresh position manager config:', pmError)
}
return NextResponse.json({ success: true })
} else {
return NextResponse.json(

60
app/api/trading/execute/route.ts
View File

@@ -35,6 +35,8 @@ export interface ExecuteTradeResponse {
direction?: 'long' | 'short'
entryPrice?: number
positionSize?: number
requestedPositionSize?: number
fillCoveragePercent?: number
leverage?: number
stopLoss?: number
takeProfit1?: number
@@ -178,8 +180,16 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
// Update Position Manager tracking
const timesScaled = (sameDirectionPosition.timesScaled || 0) + 1
const totalScaleAdded = (sameDirectionPosition.totalScaleAdded || 0) + scaleSize
const newTotalSize = sameDirectionPosition.currentSize + (scaleResult.fillSize || 0)
const actualScaleNotional = scaleResult.fillNotionalUSD ?? scaleSize
const totalScaleAdded = (sameDirectionPosition.totalScaleAdded || 0) + actualScaleNotional
const newTotalSize = sameDirectionPosition.currentSize + actualScaleNotional
if (scaleSize > 0) {
const coverage = (actualScaleNotional / scaleSize) * 100
if (coverage < 99.5) {
console.log(`⚠️ Scale fill coverage: ${coverage.toFixed(2)}% of requested $${scaleSize.toFixed(2)}`)
}
}
// Update the trade tracking (simplified - just update the active trade object)
sameDirectionPosition.timesScaled = timesScaled
@@ -269,20 +279,20 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
await new Promise(resolve => setTimeout(resolve, 2000))
}
// Calculate position size with leverage
const positionSizeUSD = positionSize * leverage
// Calculate requested position size with leverage
const requestedPositionSizeUSD = positionSize * leverage
console.log(`💰 Opening ${body.direction} position:`)
console.log(` Symbol: ${driftSymbol}`)
console.log(` Base size: $${positionSize}`)
console.log(` Leverage: ${leverage}x`)
console.log(` Total position: $${positionSizeUSD}`)
console.log(` Requested notional: $${requestedPositionSizeUSD}`)
// Open position
const openResult = await openPosition({
symbol: driftSymbol,
direction: body.direction,
sizeUSD: positionSizeUSD,
sizeUSD: requestedPositionSizeUSD,
slippageTolerance: config.slippageTolerance,
})
@@ -300,7 +310,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
// CRITICAL: Check for phantom trade (position opened but size mismatch)
if (openResult.isPhantom) {
console.error(`🚨 PHANTOM TRADE DETECTED - Not adding to Position Manager`)
console.error(` Expected: $${positionSizeUSD.toFixed(2)}`)
console.error(` Expected: $${requestedPositionSizeUSD.toFixed(2)}`)
console.error(` Actual: $${openResult.actualSizeUSD?.toFixed(2)}`)
// Save phantom trade to database for analysis
@@ -319,7 +329,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
symbol: driftSymbol,
direction: body.direction,
entryPrice: openResult.fillPrice!,
positionSizeUSD: positionSizeUSD,
positionSizeUSD: requestedPositionSizeUSD,
leverage: config.leverage,
stopLossPrice: 0, // Not applicable for phantom
takeProfit1Price: 0,
@@ -339,7 +349,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
// Phantom-specific fields
status: 'phantom',
isPhantom: true,
expectedSizeUSD: positionSizeUSD,
expectedSizeUSD: requestedPositionSizeUSD,
actualSizeUSD: openResult.actualSizeUSD,
phantomReason: 'ORACLE_PRICE_MISMATCH', // Likely cause based on logs
})
@@ -353,7 +363,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
{
success: false,
error: 'Phantom trade detected',
message: `Position opened but size mismatch detected. Expected $${positionSizeUSD.toFixed(2)}, got $${openResult.actualSizeUSD?.toFixed(2)}. This usually indicates oracle price was stale or order was rejected by exchange.`,
message: `Position opened but size mismatch detected. Expected $${requestedPositionSizeUSD.toFixed(2)}, got $${openResult.actualSizeUSD?.toFixed(2)}. This usually indicates oracle price was stale or order was rejected by exchange.`,
},
{ status: 500 }
)
@@ -361,6 +371,20 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
// Calculate stop loss and take profit prices
const entryPrice = openResult.fillPrice!
const actualPositionSizeUSD = openResult.fillNotionalUSD ?? requestedPositionSizeUSD
const filledBaseSize = openResult.fillSize !== undefined
? Math.abs(openResult.fillSize)
: (entryPrice > 0 ? actualPositionSizeUSD / entryPrice : 0)
const fillCoverage = requestedPositionSizeUSD > 0
? (actualPositionSizeUSD / requestedPositionSizeUSD) * 100
: 100
console.log('📏 Fill results:')
console.log(` Filled base size: ${filledBaseSize.toFixed(4)} ${driftSymbol.split('-')[0]}`)
console.log(` Filled notional: $${actualPositionSizeUSD.toFixed(2)}`)
if (fillCoverage < 99.5) {
console.log(` ⚠️ Partial fill: ${fillCoverage.toFixed(2)}% of requested size`)
}
const stopLossPrice = calculatePrice(
entryPrice,
@@ -421,13 +445,13 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
direction: body.direction,
entryPrice,
entryTime: Date.now(),
positionSize: positionSizeUSD,
positionSize: actualPositionSizeUSD,
leverage: config.leverage,
stopLossPrice,
tp1Price,
tp2Price,
emergencyStopPrice,
currentSize: positionSizeUSD,
currentSize: actualPositionSizeUSD,
tp1Hit: false,
tp2Hit: false,
slMovedToBreakeven: false,
@@ -446,6 +470,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
originalAdx: body.adx, // Store for scaling validation
timesScaled: 0,
totalScaleAdded: 0,
atrAtEntry: body.atr,
runnerTrailingPercent: undefined,
priceCheckCount: 0,
lastPrice: entryPrice,
lastUpdateTime: Date.now(),
@@ -458,7 +484,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
try {
const exitRes = await placeExitOrders({
symbol: driftSymbol,
positionSizeUSD: positionSizeUSD,
positionSizeUSD: actualPositionSizeUSD,
entryPrice: entryPrice,
tp1Price,
tp2Price,
@@ -495,7 +521,9 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
symbol: driftSymbol,
direction: body.direction,
entryPrice: entryPrice,
positionSize: positionSizeUSD,
positionSize: actualPositionSizeUSD,
requestedPositionSize: requestedPositionSizeUSD,
fillCoveragePercent: Number(fillCoverage.toFixed(2)),
leverage: config.leverage,
stopLoss: stopLossPrice,
takeProfit1: tp1Price,
@@ -529,7 +557,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
symbol: driftSymbol,
direction: body.direction,
entryPrice,
positionSizeUSD: positionSizeUSD,
positionSizeUSD: actualPositionSizeUSD,
leverage: config.leverage,
stopLossPrice,
takeProfit1Price: tp1Price,
@@ -554,6 +582,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
volumeAtEntry: body.volumeRatio,
pricePositionAtEntry: body.pricePosition,
signalQualityScore: qualityResult.score,
expectedSizeUSD: requestedPositionSizeUSD,
actualSizeUSD: actualPositionSizeUSD,
})
console.log(`💾 Trade saved with quality score: ${qualityResult.score}/100`)

2
app/api/trading/test-db/route.ts
View File

@@ -183,6 +183,8 @@ 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(),

38
app/api/trading/test/route.ts
View File

@@ -25,6 +25,8 @@ export interface TestTradeResponse {
direction?: 'long' | 'short'
entryPrice?: number
positionSize?: number
requestedPositionSize?: number
fillCoveragePercent?: number
stopLoss?: number
takeProfit1?: number
takeProfit2?: number
@@ -94,19 +96,19 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
}
// Calculate position size with leverage
const positionSizeUSD = positionSize * leverage
const requestedPositionSizeUSD = positionSize * leverage
console.log(`💰 Opening ${direction} position:`)
console.log(` Symbol: ${driftSymbol}`)
console.log(` Base size: $${positionSize}`)
console.log(` Leverage: ${leverage}x`)
console.log(` Total position: $${positionSizeUSD}`)
console.log(` Requested notional: $${requestedPositionSizeUSD}`)
// Open position
const openResult = await openPosition({
symbol: driftSymbol,
direction: direction,
sizeUSD: positionSizeUSD,
sizeUSD: requestedPositionSizeUSD,
slippageTolerance: config.slippageTolerance,
})
@@ -123,6 +125,20 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
// Calculate stop loss and take profit prices
const entryPrice = openResult.fillPrice!
const actualPositionSizeUSD = openResult.fillNotionalUSD ?? requestedPositionSizeUSD
const filledBaseSize = openResult.fillSize !== undefined
? Math.abs(openResult.fillSize)
: (entryPrice > 0 ? actualPositionSizeUSD / entryPrice : 0)
const fillCoverage = requestedPositionSizeUSD > 0
? (actualPositionSizeUSD / requestedPositionSizeUSD) * 100
: 100
console.log('📏 Fill results:')
console.log(` Filled base size: ${filledBaseSize.toFixed(4)} ${driftSymbol.split('-')[0]}`)
console.log(` Filled notional: $${actualPositionSizeUSD.toFixed(2)}`)
if (fillCoverage < 99.5) {
console.log(` ⚠️ Partial fill: ${fillCoverage.toFixed(2)}% of requested size`)
}
const stopLossPrice = calculatePrice(
entryPrice,
@@ -183,13 +199,13 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
direction: direction,
entryPrice,
entryTime: Date.now(),
positionSize: positionSizeUSD,
positionSize: actualPositionSizeUSD,
leverage: leverage,
stopLossPrice,
tp1Price,
tp2Price,
emergencyStopPrice,
currentSize: positionSizeUSD,
currentSize: actualPositionSizeUSD,
tp1Hit: false,
tp2Hit: false,
slMovedToBreakeven: false,
@@ -204,6 +220,8 @@ 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(),
@@ -222,7 +240,9 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
symbol: driftSymbol,
direction: direction,
entryPrice: entryPrice,
positionSize: positionSizeUSD,
positionSize: actualPositionSizeUSD,
requestedPositionSize: requestedPositionSizeUSD,
fillCoveragePercent: Number(fillCoverage.toFixed(2)),
stopLoss: stopLossPrice,
takeProfit1: tp1Price,
takeProfit2: tp2Price,
@@ -237,7 +257,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
try {
const exitRes = await placeExitOrders({
symbol: driftSymbol,
positionSizeUSD: positionSizeUSD,
positionSizeUSD: actualPositionSizeUSD,
entryPrice: entryPrice,
tp1Price,
tp2Price,
@@ -274,7 +294,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
symbol: driftSymbol,
direction: direction,
entryPrice,
positionSizeUSD: positionSizeUSD,
positionSizeUSD: actualPositionSizeUSD,
leverage: leverage,
stopLossPrice,
takeProfit1Price: tp1Price,
@@ -292,6 +312,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<TestTrade
hardStopPrice,
signalStrength: 'test',
timeframe: 'manual',
expectedSizeUSD: requestedPositionSizeUSD,
actualSizeUSD: actualPositionSizeUSD,
})
console.log('💾 Trade saved to database')