324e5ba002
- Renamed config variable to accurately reflect behavior (locks profit, not breakeven) - Updated log messages to say 'lock +X% profit' instead of misleading 'breakeven' - Maintains backwards compatibility (accepts old BREAKEVEN_TRIGGER_PERCENT env var) - Updated .env with new variable name and explanatory comment Why: Config was named 'breakeven' but actually locks profit at entry ± X% For SHORT at $141.51 with 0.3% lock: SL moves to $141.08 (not breakeven $141.51) This protects remaining runner position after TP1 by allowing small profit giveback Files changed: - config/trading.ts: Interface + default + env parsing - lib/trading/position-manager.ts: Usage + log message - .env: Variable rename with migration comment
564 lines
21 KiB
TypeScript
564 lines
21 KiB
TypeScript
/**
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* Trading Bot v4 - Configuration
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*
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* Optimized for 5-minute scalping with 10x leverage on Drift Protocol
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*/
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export interface SymbolSettings {
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enabled: boolean
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positionSize: number
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leverage: number
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usePercentageSize?: boolean // If true, positionSize is % of portfolio (0-100)
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}
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export interface TradingConfig {
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// Position sizing (global fallback)
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positionSize: number // USD amount to trade (or percentage if usePercentageSize=true)
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leverage: number // Leverage multiplier
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usePercentageSize: boolean // If true, positionSize is % of free collateral
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// Per-symbol settings
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solana?: SymbolSettings
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ethereum?: SymbolSettings
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// Risk management (as percentages of entry price)
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stopLossPercent: number // Negative number (e.g., -1.5)
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takeProfit1Percent: number // Positive number (e.g., 0.7)
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takeProfit2Percent: number // Positive number (e.g., 1.5)
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emergencyStopPercent: number // Hard stop (e.g., -2.0)
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// ATR-based dynamic targets
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useAtrBasedTargets: boolean // Enable ATR-based TP2 scaling
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atrMultiplierForTp2: number // Multiply ATR by this for dynamic TP2 (e.g., 2.0)
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minTp2Percent: number // Minimum TP2 level regardless of ATR
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maxTp2Percent: number // Maximum TP2 level cap
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// Dual Stop System (Advanced)
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useDualStops: boolean // Enable dual stop system
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softStopPercent: number // Soft stop trigger (e.g., -1.5)
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softStopBuffer: number // Buffer for soft stop limit (e.g., 0.4)
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hardStopPercent: number // Hard stop trigger (e.g., -2.5)
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// Dynamic adjustments
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profitLockAfterTP1Percent: number // Lock this % profit on remaining position after TP1
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profitLockTriggerPercent: number // When to lock in profit
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profitLockPercent: number // How much profit to lock
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// Trailing stop for runner (after TP2)
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useTrailingStop: boolean // Enable trailing stop for remaining position
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trailingStopPercent: number // Legacy fixed trail percent (used as fallback)
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trailingStopAtrMultiplier: number // Multiplier for ATR-based trailing distance
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trailingStopMinPercent: number // Minimum trailing distance in percent
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trailingStopMaxPercent: number // Maximum trailing distance in percent
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trailingStopActivation: number // Activate when runner profits exceed this %
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// Signal Quality
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minSignalQualityScore: number // Minimum quality score for initial entry (0-100)
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// Position Scaling (add to winning positions)
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enablePositionScaling: boolean // Allow scaling into existing positions
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minScaleQualityScore: number // Minimum quality score for scaling signal (0-100)
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minProfitForScale: number // Position must be this % profitable to scale
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maxScaleMultiplier: number // Max total position size (e.g., 2.0 = 200% of original)
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scaleSizePercent: number // Scale size as % of original position (e.g., 50)
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minAdxIncrease: number // ADX must increase by this much for scaling
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maxPricePositionForScale: number // Don't scale if price position above this %
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// DEX specific
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priceCheckIntervalMs: number // How often to check prices
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slippageTolerance: number // Max acceptable slippage (%)
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// Risk limits
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maxDailyDrawdown: number // USD stop trading threshold
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maxTradesPerHour: number // Limit overtrading
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minTimeBetweenTrades: number // Cooldown period (minutes)
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// Execution
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useMarketOrders: boolean // true = instant execution
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confirmationTimeout: number // Max time to wait for confirmation
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// Take profit size splits (percentages of position to close at TP1/TP2)
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takeProfit1SizePercent: number
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takeProfit2SizePercent: number
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}
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export interface MarketConfig {
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symbol: string // e.g., 'SOL-PERP'
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driftMarketIndex: number
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pythPriceFeedId: string
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minOrderSize: number
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tickSize: number
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// Position sizing overrides (optional)
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positionSize?: number
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leverage?: number
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}
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// Default configuration for 5-minute scalping with $1000 capital and 10x leverage
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export const DEFAULT_TRADING_CONFIG: TradingConfig = {
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// Position sizing (global fallback)
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positionSize: 50, // $50 base capital (SAFE FOR TESTING) OR percentage if usePercentageSize=true
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leverage: 10, // 10x leverage = $500 position size
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usePercentageSize: false, // False = fixed USD, True = percentage of portfolio
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// Per-symbol settings
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solana: {
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enabled: true,
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positionSize: 210, // $210 base capital OR percentage if usePercentageSize=true
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leverage: 10, // 10x leverage = $2100 notional
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usePercentageSize: false,
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},
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ethereum: {
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enabled: true,
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positionSize: 4, // $4 base capital (DATA ONLY - minimum size)
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leverage: 1, // 1x leverage = $4 notional
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usePercentageSize: false,
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},
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// Risk parameters (wider for DEX slippage/wicks)
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stopLossPercent: -1.5, // -1.5% price = -15% account loss (closes 100%)
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takeProfit1Percent: 0.7, // +0.7% price = +7% account gain (closes 50%)
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takeProfit2Percent: 1.5, // +1.5% price = +15% account gain (closes 50%)
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emergencyStopPercent: -2.0, // -2% hard stop = -20% account loss
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// ATR-based dynamic targets (NEW)
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useAtrBasedTargets: true, // Enable ATR-based TP2 scaling for big moves
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atrMultiplierForTp2: 2.0, // TP2 = ATR × 2.0 (adapts to volatility)
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minTp2Percent: 0.7, // Minimum TP2 (safety floor)
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maxTp2Percent: 3.0, // Maximum TP2 (cap at 3% for 30% account gain)
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// Dual Stop System
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useDualStops: false, // Disabled by default
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softStopPercent: -1.5, // Soft stop (TRIGGER_LIMIT)
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softStopBuffer: 0.4, // 0.4% buffer (limit at -1.9%)
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hardStopPercent: -2.5, // Hard stop (TRIGGER_MARKET)
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// Dynamic adjustments
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profitLockAfterTP1Percent: 0.4, // Lock this % profit on remaining position after TP1
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profitLockTriggerPercent: 1.0, // Lock profit at +1.0%
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profitLockPercent: 0.4, // Lock +0.4% profit
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// Trailing stop for runner (after TP2)
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useTrailingStop: true, // Enable trailing stop for remaining position after TP2
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trailingStopPercent: 0.3, // Legacy fallback (%, used if ATR data unavailable)
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trailingStopAtrMultiplier: 1.5, // Trail ~1.5x ATR (converted to % of price)
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trailingStopMinPercent: 0.25, // Never trail tighter than 0.25%
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trailingStopMaxPercent: 0.9, // Cap trailing distance at 0.9%
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trailingStopActivation: 0.5, // Activate trailing when runner is +0.5% in profit
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// Signal Quality
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minSignalQualityScore: 60, // Minimum quality score for initial entry (lowered from 65 on Nov 12, 2025 - data showed 60-64 tier outperformed)
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// Position Scaling (conservative defaults)
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enablePositionScaling: false, // Disabled by default - enable after testing
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minScaleQualityScore: 75, // Only scale with strong signals (vs 65 for initial entry)
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minProfitForScale: 0.4, // Position must be at/past TP1 to scale
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maxScaleMultiplier: 2.0, // Max 2x original position size total
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scaleSizePercent: 50, // Scale with 50% of original position size
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minAdxIncrease: 5, // ADX must increase by 5+ points (trend strengthening)
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maxPricePositionForScale: 70, // Don't scale if price >70% of range (near resistance)
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// DEX settings
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priceCheckIntervalMs: 2000, // Check every 2 seconds
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slippageTolerance: 1.0, // 1% max slippage on market orders
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// Risk limits
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maxDailyDrawdown: -150, // Stop trading if daily loss exceeds $150 (-15%)
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maxTradesPerHour: 6, // Max 6 trades per hour
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minTimeBetweenTrades: 10, // 10 minutes cooldown
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// Execution
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useMarketOrders: true, // Use market orders for reliable fills
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confirmationTimeout: 30000, // 30 seconds max wait
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// Position sizing (percentages of position to close at each TP)
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takeProfit1SizePercent: 75, // Close 75% at TP1 (leaves 25% for TP2 + runner)
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takeProfit2SizePercent: 0, // Don't close at TP2 - let full 25% remaining become the runner
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}
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// Supported markets on Drift Protocol
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export const SUPPORTED_MARKETS: Record<string, MarketConfig> = {
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'SOL-PERP': {
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symbol: 'SOL-PERP',
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driftMarketIndex: 0,
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pythPriceFeedId: '0xef0d8b6fda2ceba41da15d4095d1da392a0d2f8ed0c6c7bc0f4cfac8c280b56d',
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minOrderSize: 0.1, // 0.1 SOL minimum
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tickSize: 0.0001,
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// Use default config values (positionSize: 50, leverage: 10)
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},
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'BTC-PERP': {
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symbol: 'BTC-PERP',
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driftMarketIndex: 1,
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pythPriceFeedId: '0xe62df6c8b4a85fe1a67db44dc12de5db330f7ac66b72dc658afedf0f4a415b43',
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minOrderSize: 0.001, // 0.001 BTC minimum
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tickSize: 0.01,
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// Use default config values
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},
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'ETH-PERP': {
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symbol: 'ETH-PERP',
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driftMarketIndex: 2,
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pythPriceFeedId: '0xff61491a931112ddf1bd8147cd1b641375f79f5825126d665480874634fd0ace',
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minOrderSize: 0.001, // 0.001 ETH minimum (actual Drift minimum ~$4 at $4000/ETH)
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tickSize: 0.01,
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// DATA COLLECTION MODE: Minimal risk
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positionSize: 40, // $40 base capital
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leverage: 1, // 1x leverage = $40 total exposure
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},
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}
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// Map TradingView symbols to Drift markets
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export function normalizeTradingViewSymbol(tvSymbol: string): string {
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const upper = tvSymbol.toUpperCase()
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if (upper.includes('SOL')) return 'SOL-PERP'
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if (upper.includes('BTC')) return 'BTC-PERP'
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if (upper.includes('ETH')) return 'ETH-PERP'
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// Default to SOL if unknown
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console.warn(`Unknown symbol ${tvSymbol}, defaulting to SOL-PERP`)
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return 'SOL-PERP'
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}
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// Get market configuration
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export function getMarketConfig(symbol: string): MarketConfig {
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const config = SUPPORTED_MARKETS[symbol]
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if (!config) {
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throw new Error(`Unsupported market: ${symbol}`)
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}
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return config
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}
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// Get position size for specific symbol (prioritizes per-symbol config)
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export function getPositionSizeForSymbol(symbol: string, baseConfig: TradingConfig): { size: number; leverage: number; enabled: boolean } {
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// Check per-symbol settings first
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if (symbol === 'SOL-PERP' && baseConfig.solana) {
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return {
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size: baseConfig.solana.positionSize,
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leverage: baseConfig.solana.leverage,
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enabled: baseConfig.solana.enabled,
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}
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}
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if (symbol === 'ETH-PERP' && baseConfig.ethereum) {
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return {
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size: baseConfig.ethereum.positionSize,
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leverage: baseConfig.ethereum.leverage,
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enabled: baseConfig.ethereum.enabled,
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}
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}
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// Fallback to market-specific config, then global config
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const marketConfig = getMarketConfig(symbol)
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return {
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size: marketConfig.positionSize ?? baseConfig.positionSize,
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leverage: marketConfig.leverage ?? baseConfig.leverage,
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enabled: true, // BTC or other markets default to enabled
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}
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}
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/**
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* Calculate actual USD position size from percentage or fixed amount
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* @param configuredSize - The configured size (USD or percentage)
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* @param usePercentage - Whether configuredSize is a percentage
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* @param freeCollateral - Available collateral in USD (from Drift account)
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* @returns Actual USD size to use for the trade
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*/
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export function calculateActualPositionSize(
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configuredSize: number,
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usePercentage: boolean,
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freeCollateral: number
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): number {
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if (!usePercentage) {
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// Fixed USD amount
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return configuredSize
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}
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// Percentage of free collateral
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const percentDecimal = configuredSize / 100
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const calculatedSize = freeCollateral * percentDecimal
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console.log(`📊 Percentage sizing: ${configuredSize}% of $${freeCollateral.toFixed(2)} = $${calculatedSize.toFixed(2)}`)
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return calculatedSize
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}
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/**
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* Get actual position size for symbol with percentage support
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* This is the main function to use when opening positions
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*/
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export async function getActualPositionSizeForSymbol(
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symbol: string,
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baseConfig: TradingConfig,
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freeCollateral: number
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): Promise<{ size: number; leverage: number; enabled: boolean; usePercentage: boolean }> {
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let symbolSettings: { size: number; leverage: number; enabled: boolean }
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let usePercentage = false
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// Get symbol-specific settings
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if (symbol === 'SOL-PERP' && baseConfig.solana) {
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symbolSettings = {
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size: baseConfig.solana.positionSize,
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leverage: baseConfig.solana.leverage,
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enabled: baseConfig.solana.enabled,
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}
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usePercentage = baseConfig.solana.usePercentageSize ?? false
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} else if (symbol === 'ETH-PERP' && baseConfig.ethereum) {
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symbolSettings = {
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size: baseConfig.ethereum.positionSize,
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leverage: baseConfig.ethereum.leverage,
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enabled: baseConfig.ethereum.enabled,
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}
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usePercentage = baseConfig.ethereum.usePercentageSize ?? false
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} else {
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// Fallback to market-specific or global config
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const marketConfig = getMarketConfig(symbol)
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symbolSettings = {
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size: marketConfig.positionSize ?? baseConfig.positionSize,
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leverage: marketConfig.leverage ?? baseConfig.leverage,
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enabled: true,
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}
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usePercentage = baseConfig.usePercentageSize
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}
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// Calculate actual size
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const actualSize = calculateActualPositionSize(
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symbolSettings.size,
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usePercentage,
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freeCollateral
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)
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return {
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size: actualSize,
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leverage: symbolSettings.leverage,
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enabled: symbolSettings.enabled,
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usePercentage,
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}
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}
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/**
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* Calculate dynamic TP2 level based on ATR (Average True Range)
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* Higher ATR = higher volatility = larger TP2 target to capture big moves
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*/
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export function calculateDynamicTp2(
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basePrice: number,
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atrValue: number,
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config: TradingConfig
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): number {
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if (!config.useAtrBasedTargets || !atrValue) {
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return config.takeProfit2Percent // Fall back to static TP2
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}
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// Convert ATR to percentage of current price
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const atrPercent = (atrValue / basePrice) * 100
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// Calculate dynamic TP2: ATR × multiplier
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const dynamicTp2 = atrPercent * config.atrMultiplierForTp2
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// Apply min/max bounds
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const boundedTp2 = Math.max(
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config.minTp2Percent,
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Math.min(config.maxTp2Percent, dynamicTp2)
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)
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console.log(`📊 ATR-based TP2: ATR=${atrValue.toFixed(4)} (${atrPercent.toFixed(2)}%) × ${config.atrMultiplierForTp2} = ${dynamicTp2.toFixed(2)}% → ${boundedTp2.toFixed(2)}% (bounded)`)
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return boundedTp2
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}
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// Validate trading configuration
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export function validateTradingConfig(config: TradingConfig): void {
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if (config.positionSize <= 0) {
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throw new Error('Position size must be positive')
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}
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if (config.leverage < 1 || config.leverage > 20) {
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throw new Error('Leverage must be between 1 and 20')
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}
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if (config.stopLossPercent >= 0) {
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throw new Error('Stop loss must be negative')
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}
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if (config.takeProfit1Percent <= 0 || config.takeProfit2Percent <= 0) {
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throw new Error('Take profit values must be positive')
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}
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if (config.takeProfit1Percent >= config.takeProfit2Percent) {
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throw new Error('TP2 must be greater than TP1')
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}
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if (config.slippageTolerance < 0 || config.slippageTolerance > 10) {
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throw new Error('Slippage tolerance must be between 0 and 10%')
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}
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if (config.trailingStopAtrMultiplier <= 0) {
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throw new Error('Trailing stop ATR multiplier must be positive')
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}
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if (config.trailingStopMinPercent < 0 || config.trailingStopMaxPercent < 0) {
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throw new Error('Trailing stop bounds must be non-negative')
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}
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if (config.trailingStopMinPercent > config.trailingStopMaxPercent) {
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throw new Error('Trailing stop min percent cannot exceed max percent')
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}
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}
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// Environment-based configuration
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export function getConfigFromEnv(): Partial<TradingConfig> {
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const config: Partial<TradingConfig> = {
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positionSize: process.env.MAX_POSITION_SIZE_USD
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? parseFloat(process.env.MAX_POSITION_SIZE_USD)
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: undefined,
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usePercentageSize: process.env.USE_PERCENTAGE_SIZE
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? process.env.USE_PERCENTAGE_SIZE === 'true'
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: undefined,
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// Per-symbol settings from ENV
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solana: {
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enabled: process.env.SOLANA_ENABLED !== 'false',
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positionSize: process.env.SOLANA_POSITION_SIZE
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? parseFloat(process.env.SOLANA_POSITION_SIZE)
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: 210,
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leverage: process.env.SOLANA_LEVERAGE
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? parseInt(process.env.SOLANA_LEVERAGE)
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: 10,
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usePercentageSize: process.env.SOLANA_USE_PERCENTAGE_SIZE
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? process.env.SOLANA_USE_PERCENTAGE_SIZE === 'true'
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: false,
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},
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ethereum: {
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enabled: process.env.ETHEREUM_ENABLED !== 'false',
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positionSize: process.env.ETHEREUM_POSITION_SIZE
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? parseFloat(process.env.ETHEREUM_POSITION_SIZE)
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: 4,
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leverage: process.env.ETHEREUM_LEVERAGE
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? parseInt(process.env.ETHEREUM_LEVERAGE)
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: 1,
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usePercentageSize: process.env.ETHEREUM_USE_PERCENTAGE_SIZE
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? process.env.ETHEREUM_USE_PERCENTAGE_SIZE === 'true'
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: false,
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},
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leverage: process.env.LEVERAGE
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? parseInt(process.env.LEVERAGE)
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: undefined,
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stopLossPercent: process.env.STOP_LOSS_PERCENT
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? parseFloat(process.env.STOP_LOSS_PERCENT)
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: undefined,
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useDualStops: process.env.USE_DUAL_STOPS
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? process.env.USE_DUAL_STOPS === 'true'
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: undefined,
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softStopPercent: process.env.SOFT_STOP_PERCENT
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? parseFloat(process.env.SOFT_STOP_PERCENT)
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: undefined,
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softStopBuffer: process.env.SOFT_STOP_BUFFER
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? parseFloat(process.env.SOFT_STOP_BUFFER)
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: undefined,
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hardStopPercent: process.env.HARD_STOP_PERCENT
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? parseFloat(process.env.HARD_STOP_PERCENT)
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: undefined,
|
||
takeProfit1Percent: process.env.TAKE_PROFIT_1_PERCENT
|
||
? parseFloat(process.env.TAKE_PROFIT_1_PERCENT)
|
||
: undefined,
|
||
takeProfit2Percent: process.env.TAKE_PROFIT_2_PERCENT
|
||
? parseFloat(process.env.TAKE_PROFIT_2_PERCENT)
|
||
: undefined,
|
||
takeProfit1SizePercent: process.env.TAKE_PROFIT_1_SIZE_PERCENT
|
||
? parseFloat(process.env.TAKE_PROFIT_1_SIZE_PERCENT)
|
||
: undefined,
|
||
takeProfit2SizePercent: process.env.TAKE_PROFIT_2_SIZE_PERCENT
|
||
? parseFloat(process.env.TAKE_PROFIT_2_SIZE_PERCENT)
|
||
: undefined,
|
||
|
||
// ATR-based dynamic targets
|
||
useAtrBasedTargets: process.env.USE_ATR_BASED_TARGETS
|
||
? process.env.USE_ATR_BASED_TARGETS === 'true'
|
||
: undefined,
|
||
atrMultiplierForTp2: process.env.ATR_MULTIPLIER_FOR_TP2
|
||
? parseFloat(process.env.ATR_MULTIPLIER_FOR_TP2)
|
||
: undefined,
|
||
minTp2Percent: process.env.MIN_TP2_PERCENT
|
||
? parseFloat(process.env.MIN_TP2_PERCENT)
|
||
: undefined,
|
||
maxTp2Percent: process.env.MAX_TP2_PERCENT
|
||
? parseFloat(process.env.MAX_TP2_PERCENT)
|
||
: undefined,
|
||
|
||
profitLockAfterTP1Percent: process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT
|
||
? parseFloat(process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT!)
|
||
: undefined,
|
||
profitLockTriggerPercent: process.env.PROFIT_LOCK_TRIGGER_PERCENT
|
||
? parseFloat(process.env.PROFIT_LOCK_TRIGGER_PERCENT)
|
||
: undefined,
|
||
profitLockPercent: process.env.PROFIT_LOCK_PERCENT
|
||
? parseFloat(process.env.PROFIT_LOCK_PERCENT)
|
||
: undefined,
|
||
useTrailingStop: process.env.USE_TRAILING_STOP
|
||
? process.env.USE_TRAILING_STOP === 'true'
|
||
: undefined,
|
||
trailingStopPercent: process.env.TRAILING_STOP_PERCENT
|
||
? parseFloat(process.env.TRAILING_STOP_PERCENT)
|
||
: undefined,
|
||
trailingStopAtrMultiplier: process.env.TRAILING_STOP_ATR_MULTIPLIER
|
||
? parseFloat(process.env.TRAILING_STOP_ATR_MULTIPLIER)
|
||
: undefined,
|
||
trailingStopMinPercent: process.env.TRAILING_STOP_MIN_PERCENT
|
||
? parseFloat(process.env.TRAILING_STOP_MIN_PERCENT)
|
||
: undefined,
|
||
trailingStopMaxPercent: process.env.TRAILING_STOP_MAX_PERCENT
|
||
? parseFloat(process.env.TRAILING_STOP_MAX_PERCENT)
|
||
: undefined,
|
||
trailingStopActivation: process.env.TRAILING_STOP_ACTIVATION
|
||
? parseFloat(process.env.TRAILING_STOP_ACTIVATION)
|
||
: undefined,
|
||
minSignalQualityScore: process.env.MIN_SIGNAL_QUALITY_SCORE
|
||
? parseInt(process.env.MIN_SIGNAL_QUALITY_SCORE)
|
||
: undefined,
|
||
enablePositionScaling: process.env.ENABLE_POSITION_SCALING
|
||
? process.env.ENABLE_POSITION_SCALING === 'true'
|
||
: undefined,
|
||
minScaleQualityScore: process.env.MIN_SCALE_QUALITY_SCORE
|
||
? parseInt(process.env.MIN_SCALE_QUALITY_SCORE)
|
||
: undefined,
|
||
minProfitForScale: process.env.MIN_PROFIT_FOR_SCALE
|
||
? parseFloat(process.env.MIN_PROFIT_FOR_SCALE)
|
||
: undefined,
|
||
maxScaleMultiplier: process.env.MAX_SCALE_MULTIPLIER
|
||
? parseFloat(process.env.MAX_SCALE_MULTIPLIER)
|
||
: undefined,
|
||
scaleSizePercent: process.env.SCALE_SIZE_PERCENT
|
||
? parseFloat(process.env.SCALE_SIZE_PERCENT)
|
||
: undefined,
|
||
minAdxIncrease: process.env.MIN_ADX_INCREASE
|
||
? parseFloat(process.env.MIN_ADX_INCREASE)
|
||
: undefined,
|
||
maxPricePositionForScale: process.env.MAX_PRICE_POSITION_FOR_SCALE
|
||
? parseFloat(process.env.MAX_PRICE_POSITION_FOR_SCALE)
|
||
: undefined,
|
||
maxDailyDrawdown: process.env.MAX_DAILY_DRAWDOWN
|
||
? parseFloat(process.env.MAX_DAILY_DRAWDOWN)
|
||
: undefined,
|
||
maxTradesPerHour: process.env.MAX_TRADES_PER_HOUR
|
||
? parseInt(process.env.MAX_TRADES_PER_HOUR)
|
||
: undefined,
|
||
minTimeBetweenTrades: process.env.MIN_TIME_BETWEEN_TRADES
|
||
? parseInt(process.env.MIN_TIME_BETWEEN_TRADES)
|
||
: undefined,
|
||
}
|
||
|
||
return config
|
||
}
|
||
|
||
// Merge configurations
|
||
export function getMergedConfig(
|
||
overrides?: Partial<TradingConfig>
|
||
): TradingConfig {
|
||
const envConfig = getConfigFromEnv()
|
||
const config = {
|
||
...DEFAULT_TRADING_CONFIG,
|
||
...envConfig,
|
||
...overrides,
|
||
}
|
||
|
||
validateTradingConfig(config)
|
||
return config
|
||
}
|