Files
trading_bot_v4/lib/drift/orders.ts
mindesbunister 33821eae0c feat: Use TRIGGER_MARKET for stop loss (guaranteed execution)
- Changed SL from TRIGGER_LIMIT to TRIGGER_MARKET
- Guarantees SL execution even during volatile moves/gaps
- Added optional TRIGGER_LIMIT mode for very liquid markets
- TP orders remain as LIMIT for price precision
- Follows best practice: stop-market for SL, limit for TP
2025-10-26 20:34:15 +01:00

511 lines
17 KiB
TypeScript

/**
* Drift Order Execution
*
* Handles opening and closing positions with market orders
*/
import { getDriftService } from './client'
import { getMarketConfig } from '../../config/trading'
import BN from 'bn.js'
import {
MarketType,
PositionDirection,
OrderType,
OrderParams,
OrderTriggerCondition,
} from '@drift-labs/sdk'
export interface OpenPositionParams {
symbol: string // e.g., 'SOL-PERP'
direction: 'long' | 'short'
sizeUSD: number // USD notional size
slippageTolerance: number // Percentage (e.g., 1.0 for 1%)
}
export interface OpenPositionResult {
success: boolean
transactionSignature?: string
fillPrice?: number
fillSize?: number
slippage?: number
error?: string
}
export interface ClosePositionParams {
symbol: string
percentToClose: number // 0-100
slippageTolerance: number
}
export interface ClosePositionResult {
success: boolean
transactionSignature?: string
closePrice?: number
closedSize?: number
realizedPnL?: number
error?: string
}
export interface PlaceExitOrdersResult {
success: boolean
signatures?: string[]
error?: string
}
export interface PlaceExitOrdersOptions {
symbol: string
positionSizeUSD: number
tp1Price: number
tp2Price: number
stopLossPrice: number
tp1SizePercent: number
tp2SizePercent: number
direction: 'long' | 'short'
useStopLimit?: boolean // Optional: use TRIGGER_LIMIT instead of TRIGGER_MARKET for SL
stopLimitBuffer?: number // Optional: buffer percentage for stop-limit (default 0.5%)
}
/**
* Open a position with a market order
*/
export async function openPosition(
params: OpenPositionParams
): Promise<OpenPositionResult> {
try {
console.log('📊 Opening position:', params)
const driftService = getDriftService()
const marketConfig = getMarketConfig(params.symbol)
const driftClient = driftService.getClient()
// Get current oracle price
const oraclePrice = await driftService.getOraclePrice(marketConfig.driftMarketIndex)
console.log(`💰 Current ${params.symbol} price: $${oraclePrice.toFixed(4)}`)
// Calculate position size in base asset
const baseAssetSize = params.sizeUSD / oraclePrice
// Validate minimum order size
if (baseAssetSize < marketConfig.minOrderSize) {
throw new Error(
`Order size ${baseAssetSize.toFixed(4)} is below minimum ${marketConfig.minOrderSize}`
)
}
// Calculate worst acceptable price (with slippage)
const slippageMultiplier = params.direction === 'long'
? 1 + (params.slippageTolerance / 100)
: 1 - (params.slippageTolerance / 100)
const worstPrice = oraclePrice * slippageMultiplier
console.log(`📝 Order details:`)
console.log(` Size: ${baseAssetSize.toFixed(4)} ${params.symbol.split('-')[0]}`)
console.log(` Notional: $${params.sizeUSD.toFixed(2)}`)
console.log(` Oracle price: $${oraclePrice.toFixed(4)}`)
console.log(` Worst price (${params.slippageTolerance}% slippage): $${worstPrice.toFixed(4)}`)
// Check DRY_RUN mode
const isDryRun = process.env.DRY_RUN === 'true'
if (isDryRun) {
console.log('🧪 DRY RUN MODE: Simulating order (not executing on blockchain)')
const mockTxSig = `DRY_RUN_${Date.now()}_${Math.random().toString(36).substring(7)}`
return {
success: true,
transactionSignature: mockTxSig,
fillPrice: oraclePrice,
fillSize: baseAssetSize,
slippage: 0,
}
}
// Prepare order parameters - use simple structure like v3
const orderParams = {
orderType: OrderType.MARKET,
marketIndex: marketConfig.driftMarketIndex,
direction: params.direction === 'long'
? PositionDirection.LONG
: PositionDirection.SHORT,
baseAssetAmount: new BN(Math.floor(baseAssetSize * 1e9)), // 9 decimals
reduceOnly: false,
}
// Place market order using simple placePerpOrder (like v3)
console.log('🚀 Placing REAL market order...')
const txSig = await driftClient.placePerpOrder(orderParams)
console.log(`✅ Order placed! Transaction: ${txSig}`)
// Wait a moment for position to update
console.log('⏳ Waiting for position to update...')
await new Promise(resolve => setTimeout(resolve, 2000))
// Get actual fill price from position (optional - may not be immediate in DRY_RUN)
const position = await driftService.getPosition(marketConfig.driftMarketIndex)
if (position && position.side !== 'none') {
const fillPrice = position.entryPrice
const slippage = Math.abs((fillPrice - oraclePrice) / oraclePrice) * 100
console.log(`💰 Fill details:`)
console.log(` Fill price: $${fillPrice.toFixed(4)}`)
console.log(` Slippage: ${slippage.toFixed(3)}%`)
return {
success: true,
transactionSignature: txSig,
fillPrice,
fillSize: baseAssetSize,
slippage,
}
} else {
// Position not found yet (may be DRY_RUN mode)
console.log(`⚠️ Position not immediately visible (may be DRY_RUN mode)`)
console.log(` Using oracle price as estimate: $${oraclePrice.toFixed(4)}`)
return {
success: true,
transactionSignature: txSig,
fillPrice: oraclePrice,
fillSize: baseAssetSize,
slippage: 0,
}
}
} catch (error) {
console.error('❌ Failed to open position:', error)
return {
success: false,
error: error instanceof Error ? error.message : 'Unknown error',
}
}
}
/**
* Place on-chain exit orders (reduce-only orders) so TP/SL show up in Drift UI.
*
* Stop Loss Strategy:
* - Default: TRIGGER_MARKET (guaranteed execution, recommended for most traders)
* - Optional: TRIGGER_LIMIT with buffer (protects against extreme wicks in liquid markets)
*
* Take Profit Strategy:
* - Always uses LIMIT orders to lock in desired prices
*/
export async function placeExitOrders(options: PlaceExitOrdersOptions): Promise<PlaceExitOrdersResult> {
try {
console.log('🛡️ Placing exit orders on-chain:', options.symbol)
const driftService = getDriftService()
const driftClient = driftService.getClient()
const marketConfig = getMarketConfig(options.symbol)
const isDryRun = process.env.DRY_RUN === 'true'
if (isDryRun) {
console.log('🧪 DRY RUN: Simulating placement of exit orders')
return {
success: true,
signatures: [
`DRY_TP1_${Date.now()}`,
`DRY_TP2_${Date.now()}`,
`DRY_SL_${Date.now()}`,
],
}
}
const signatures: string[] = []
// Helper to compute base asset amount from USD notional and price
const usdToBase = (usd: number, price: number) => {
const base = usd / price
return Math.floor(base * 1e9) // 9 decimals expected by SDK
}
// Calculate sizes in USD for each TP
const tp1USD = (options.positionSizeUSD * options.tp1SizePercent) / 100
const tp2USD = (options.positionSizeUSD * options.tp2SizePercent) / 100
// For orders that close a long, the order direction should be SHORT (sell)
const orderDirection = options.direction === 'long' ? PositionDirection.SHORT : PositionDirection.LONG
// Place TP1 LIMIT reduce-only
if (tp1USD > 0) {
const baseAmount = usdToBase(tp1USD, options.tp1Price)
if (baseAmount >= Math.floor(marketConfig.minOrderSize * 1e9)) {
const orderParams: any = {
orderType: OrderType.LIMIT,
marketIndex: marketConfig.driftMarketIndex,
direction: orderDirection,
baseAssetAmount: new BN(baseAmount),
price: new BN(Math.floor(options.tp1Price * 1e6)), // price in 1e6
reduceOnly: true,
}
console.log('🚧 Placing TP1 limit order (reduce-only)...')
const sig = await (driftClient as any).placePerpOrder(orderParams)
console.log('✅ TP1 order placed:', sig)
signatures.push(sig)
} else {
console.log('⚠️ TP1 size below market min, skipping on-chain TP1')
}
}
// Place TP2 LIMIT reduce-only
if (tp2USD > 0) {
const baseAmount = usdToBase(tp2USD, options.tp2Price)
if (baseAmount >= Math.floor(marketConfig.minOrderSize * 1e9)) {
const orderParams: any = {
orderType: OrderType.LIMIT,
marketIndex: marketConfig.driftMarketIndex,
direction: orderDirection,
baseAssetAmount: new BN(baseAmount),
price: new BN(Math.floor(options.tp2Price * 1e6)),
reduceOnly: true,
}
console.log('🚧 Placing TP2 limit order (reduce-only)...')
const sig = await (driftClient as any).placePerpOrder(orderParams)
console.log('✅ TP2 order placed:', sig)
signatures.push(sig)
} else {
console.log('⚠️ TP2 size below market min, skipping on-chain TP2')
}
}
// Place Stop-Loss order
// Default: TRIGGER_MARKET (guaranteed execution, RECOMMENDED for most traders)
// Optional: TRIGGER_LIMIT with buffer (only for very liquid markets to avoid extreme wicks)
const slUSD = options.positionSizeUSD
const slBaseAmount = usdToBase(slUSD, options.stopLossPrice)
if (slBaseAmount >= Math.floor(marketConfig.minOrderSize * 1e9)) {
const useStopLimit = options.useStopLimit ?? false
const stopLimitBuffer = options.stopLimitBuffer ?? 0.5 // default 0.5% buffer
if (useStopLimit) {
// TRIGGER_LIMIT: Protects against extreme wicks but may not fill during fast moves
const limitPriceMultiplier = options.direction === 'long'
? (1 - stopLimitBuffer / 100) // Long: limit below trigger
: (1 + stopLimitBuffer / 100) // Short: limit above trigger
const orderParams: any = {
orderType: OrderType.TRIGGER_LIMIT,
marketIndex: marketConfig.driftMarketIndex,
direction: orderDirection,
baseAssetAmount: new BN(slBaseAmount),
triggerPrice: new BN(Math.floor(options.stopLossPrice * 1e6)),
price: new BN(Math.floor(options.stopLossPrice * limitPriceMultiplier * 1e6)),
triggerCondition: options.direction === 'long'
? OrderTriggerCondition.BELOW
: OrderTriggerCondition.ABOVE,
reduceOnly: true,
}
console.log(`🛡️ Placing SL as TRIGGER_LIMIT (${stopLimitBuffer}% buffer)...`)
console.log(` Trigger: ${options.direction === 'long' ? 'BELOW' : 'ABOVE'} $${options.stopLossPrice.toFixed(4)}`)
console.log(` Limit: $${(options.stopLossPrice * limitPriceMultiplier).toFixed(4)}`)
console.log(` ⚠️ May not fill during fast moves - use for liquid markets only!`)
const sig = await (driftClient as any).placePerpOrder(orderParams)
console.log('✅ SL trigger-limit order placed:', sig)
signatures.push(sig)
} else {
// TRIGGER_MARKET: Guaranteed execution (RECOMMENDED)
const orderParams: any = {
orderType: OrderType.TRIGGER_MARKET,
marketIndex: marketConfig.driftMarketIndex,
direction: orderDirection,
baseAssetAmount: new BN(slBaseAmount),
triggerPrice: new BN(Math.floor(options.stopLossPrice * 1e6)),
triggerCondition: options.direction === 'long'
? OrderTriggerCondition.BELOW
: OrderTriggerCondition.ABOVE,
reduceOnly: true,
}
console.log(`🛡️ Placing SL as TRIGGER_MARKET (guaranteed execution - RECOMMENDED)...`)
console.log(` Trigger: ${options.direction === 'long' ? 'BELOW' : 'ABOVE'} $${options.stopLossPrice.toFixed(4)}`)
console.log(` ✅ Will execute at market price when triggered (may slip but WILL fill)`)
const sig = await (driftClient as any).placePerpOrder(orderParams)
console.log('✅ SL trigger-market order placed:', sig)
signatures.push(sig)
}
} else {
console.log('⚠️ SL size below market min, skipping on-chain SL')
}
return { success: true, signatures }
} catch (error) {
console.error('❌ Failed to place exit orders:', error)
return { success: false, error: error instanceof Error ? error.message : 'Unknown error' }
}
}
/**
* Close a position (partially or fully) with a market order
*/
export async function closePosition(
params: ClosePositionParams
): Promise<ClosePositionResult> {
try {
console.log('📊 Closing position:', params)
const driftService = getDriftService()
const marketConfig = getMarketConfig(params.symbol)
const driftClient = driftService.getClient()
// Get current position
const position = await driftService.getPosition(marketConfig.driftMarketIndex)
if (!position || position.side === 'none') {
throw new Error(`No active position for ${params.symbol}`)
}
// Calculate size to close
const sizeToClose = position.size * (params.percentToClose / 100)
console.log(`📝 Close order details:`)
console.log(` Current position: ${position.size.toFixed(4)} ${position.side}`)
console.log(` Closing: ${params.percentToClose}% (${sizeToClose.toFixed(4)})`)
console.log(` Entry price: $${position.entryPrice.toFixed(4)}`)
console.log(` Unrealized P&L: $${position.unrealizedPnL.toFixed(2)}`)
// Get current oracle price
const oraclePrice = await driftService.getOraclePrice(marketConfig.driftMarketIndex)
console.log(` Current price: $${oraclePrice.toFixed(4)}`)
// Check DRY_RUN mode
const isDryRun = process.env.DRY_RUN === 'true'
if (isDryRun) {
console.log('🧪 DRY RUN MODE: Simulating close order (not executing on blockchain)')
// Calculate realized P&L
const pnlPerUnit = oraclePrice - position.entryPrice
const realizedPnL = pnlPerUnit * sizeToClose * (position.side === 'long' ? 1 : -1)
const mockTxSig = `DRY_RUN_CLOSE_${Date.now()}_${Math.random().toString(36).substring(7)}`
console.log(`💰 Simulated close:`)
console.log(` Close price: $${oraclePrice.toFixed(4)}`)
console.log(` Realized P&L: $${realizedPnL.toFixed(2)}`)
return {
success: true,
transactionSignature: mockTxSig,
closePrice: oraclePrice,
closedSize: sizeToClose,
realizedPnL,
}
}
// Prepare close order (opposite direction) - use simple structure like v3
const orderParams = {
orderType: OrderType.MARKET,
marketIndex: marketConfig.driftMarketIndex,
direction: position.side === 'long'
? PositionDirection.SHORT
: PositionDirection.LONG,
baseAssetAmount: new BN(Math.floor(sizeToClose * 1e9)), // 9 decimals
reduceOnly: true, // Important: only close existing position
}
// Place market close order using simple placePerpOrder (like v3)
console.log('🚀 Placing REAL market close order...')
const txSig = await driftClient.placePerpOrder(orderParams)
console.log(`✅ Close order placed! Transaction: ${txSig}`)
// Wait for confirmation (transaction is likely already confirmed by placeAndTakePerpOrder)
console.log('⏳ Waiting for transaction confirmation...')
console.log('✅ Transaction confirmed')
// Calculate realized P&L
const pnlPerUnit = oraclePrice - position.entryPrice
const realizedPnL = pnlPerUnit * sizeToClose * (position.side === 'long' ? 1 : -1)
console.log(`💰 Close details:`)
console.log(` Close price: $${oraclePrice.toFixed(4)}`)
console.log(` Realized P&L: $${realizedPnL.toFixed(2)}`)
return {
success: true,
transactionSignature: txSig,
closePrice: oraclePrice,
closedSize: sizeToClose,
realizedPnL,
}
} catch (error) {
console.error('❌ Failed to close position:', error)
return {
success: false,
error: error instanceof Error ? error.message : 'Unknown error',
}
}
}
/**
* Close entire position for a market
*/
export async function closeEntirePosition(
symbol: string,
slippageTolerance: number = 1.0
): Promise<ClosePositionResult> {
return closePosition({
symbol,
percentToClose: 100,
slippageTolerance,
})
}
/**
* Emergency close all positions
*/
export async function emergencyCloseAll(): Promise<{
success: boolean
results: Array<{
symbol: string
result: ClosePositionResult
}>
}> {
console.log('🚨 EMERGENCY: Closing all positions')
try {
const driftService = getDriftService()
const positions = await driftService.getAllPositions()
if (positions.length === 0) {
console.log('✅ No positions to close')
return { success: true, results: [] }
}
const results = []
for (const position of positions) {
console.log(`🔴 Emergency closing ${position.symbol}...`)
const result = await closeEntirePosition(position.symbol, 2.0) // Allow 2% slippage
results.push({
symbol: position.symbol,
result,
})
}
console.log('✅ Emergency close complete')
return {
success: true,
results,
}
} catch (error) {
console.error('❌ Emergency close failed:', error)
return {
success: false,
results: [],
}
}
}