wip cob
This commit is contained in:
Dobromir Popov
@ -59,6 +59,7 @@ class TradeRecord:
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fees: float
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confidence: float
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hold_time_seconds: float = 0.0 # Hold time in seconds
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leverage: float = 1.0 # Leverage applied to this trade
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class TradingExecutor:
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"""Handles trade execution through MEXC API with risk management"""
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@ -344,7 +345,8 @@ class TradingExecutor:
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logger.info(f"SIMULATION MODE ({self.trading_mode.upper()}) - Trade logged but not executed")
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = quantity * current_price * taker_fee_rate
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current_leverage = self.get_leverage()
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simulated_fees = quantity * current_price * taker_fee_rate * current_leverage
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# Create mock position for tracking
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self.positions[symbol] = Position(
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@ -391,7 +393,8 @@ class TradingExecutor:
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if order:
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = quantity * current_price * taker_fee_rate
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current_leverage = self.get_leverage()
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simulated_fees = quantity * current_price * taker_fee_rate * current_leverage
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# Create position record
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self.positions[symbol] = Position(
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@ -424,6 +427,7 @@ class TradingExecutor:
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return self._execute_short(symbol, confidence, current_price)
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position = self.positions[symbol]
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current_leverage = self.get_leverage()
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logger.info(f"Executing SELL: {position.quantity:.6f} {symbol} at ${current_price:.2f} "
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f"(confidence: {confidence:.2f}) [{'SIMULATION' if self.simulation_mode else 'LIVE'}]")
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@ -431,13 +435,13 @@ class TradingExecutor:
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if self.simulation_mode:
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logger.info(f"SIMULATION MODE ({self.trading_mode.upper()}) - Trade logged but not executed")
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# Calculate P&L and hold time
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pnl = position.calculate_pnl(current_price)
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pnl = position.calculate_pnl(current_price) * current_leverage # Apply leverage to PnL
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exit_time = datetime.now()
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hold_time_seconds = (exit_time - position.entry_time).total_seconds()
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = position.quantity * current_price * taker_fee_rate
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simulated_fees = position.quantity * current_price * taker_fee_rate * current_leverage # Apply leverage to fees
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# Create trade record
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trade_record = TradeRecord(
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@ -448,14 +452,15 @@ class TradingExecutor:
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exit_price=current_price,
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entry_time=position.entry_time,
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exit_time=exit_time,
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pnl=pnl,
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pnl=pnl - simulated_fees,
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fees=simulated_fees,
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confidence=confidence,
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hold_time_seconds=hold_time_seconds
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hold_time_seconds=hold_time_seconds,
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leverage=current_leverage # Store leverage
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)
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self.trade_history.append(trade_record)
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self.daily_loss += max(0, -pnl) # Add to daily loss if negative
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self.daily_loss += max(0, -(pnl - simulated_fees)) # Add to daily loss if negative
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# Update consecutive losses
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if pnl < -0.001: # A losing trade
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@ -470,7 +475,7 @@ class TradingExecutor:
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self.last_trade_time[symbol] = datetime.now()
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self.daily_trades += 1
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logger.info(f"Position closed - P&L: ${pnl:.2f}")
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logger.info(f"Position closed - P&L: ${pnl - simulated_fees:.2f}")
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return True
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try:
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@ -505,10 +510,10 @@ class TradingExecutor:
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if order:
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = position.quantity * current_price * taker_fee_rate
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simulated_fees = position.quantity * current_price * taker_fee_rate * current_leverage # Apply leverage
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# Calculate P&L, fees, and hold time
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pnl = position.calculate_pnl(current_price)
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pnl = position.calculate_pnl(current_price) * current_leverage # Apply leverage to PnL
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fees = simulated_fees
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exit_time = datetime.now()
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hold_time_seconds = (exit_time - position.entry_time).total_seconds()
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@ -525,7 +530,8 @@ class TradingExecutor:
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pnl=pnl - fees,
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fees=fees,
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confidence=confidence,
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hold_time_seconds=hold_time_seconds
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hold_time_seconds=hold_time_seconds,
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leverage=current_leverage # Store leverage
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)
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self.trade_history.append(trade_record)
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@ -574,7 +580,8 @@ class TradingExecutor:
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logger.info(f"SIMULATION MODE ({self.trading_mode.upper()}) - Short position logged but not executed")
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = quantity * current_price * taker_fee_rate
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current_leverage = self.get_leverage()
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simulated_fees = quantity * current_price * taker_fee_rate * current_leverage
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# Create mock short position for tracking
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self.positions[symbol] = Position(
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@ -621,7 +628,8 @@ class TradingExecutor:
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if order:
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = quantity * current_price * taker_fee_rate
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current_leverage = self.get_leverage()
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simulated_fees = quantity * current_price * taker_fee_rate * current_leverage
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# Create short position record
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self.positions[symbol] = Position(
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@ -653,6 +661,8 @@ class TradingExecutor:
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return False
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position = self.positions[symbol]
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current_leverage = self.get_leverage() # Get current leverage
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if position.side != 'SHORT':
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logger.warning(f"Position in {symbol} is not SHORT, cannot close with BUY")
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return False
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@ -664,10 +674,10 @@ class TradingExecutor:
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logger.info(f"SIMULATION MODE ({self.trading_mode.upper()}) - Short close logged but not executed")
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = position.quantity * current_price * taker_fee_rate
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simulated_fees = position.quantity * current_price * taker_fee_rate * current_leverage
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# Calculate P&L for short position and hold time
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pnl = position.calculate_pnl(current_price)
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pnl = position.calculate_pnl(current_price) * current_leverage # Apply leverage to PnL
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exit_time = datetime.now()
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hold_time_seconds = (exit_time - position.entry_time).total_seconds()
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@ -680,21 +690,22 @@ class TradingExecutor:
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exit_price=current_price,
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entry_time=position.entry_time,
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exit_time=exit_time,
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pnl=pnl,
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pnl=pnl - simulated_fees,
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fees=simulated_fees,
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confidence=confidence,
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hold_time_seconds=hold_time_seconds
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hold_time_seconds=hold_time_seconds,
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leverage=current_leverage # Store leverage
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)
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self.trade_history.append(trade_record)
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self.daily_loss += max(0, -pnl) # Add to daily loss if negative
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self.daily_loss += max(0, -(pnl - simulated_fees)) # Add to daily loss if negative
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# Remove position
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del self.positions[symbol]
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self.last_trade_time[symbol] = datetime.now()
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self.daily_trades += 1
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logger.info(f"SHORT position closed - P&L: ${pnl:.2f}")
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logger.info(f"SHORT position closed - P&L: ${pnl - simulated_fees:.2f}")
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return True
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try:
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@ -729,10 +740,10 @@ class TradingExecutor:
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if order:
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# Calculate simulated fees in simulation mode
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taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
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simulated_fees = position.quantity * current_price * taker_fee_rate
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simulated_fees = position.quantity * current_price * taker_fee_rate * current_leverage
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# Calculate P&L, fees, and hold time
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pnl = position.calculate_pnl(current_price)
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pnl = position.calculate_pnl(current_price) * current_leverage # Apply leverage to PnL
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fees = simulated_fees
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exit_time = datetime.now()
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hold_time_seconds = (exit_time - position.entry_time).total_seconds()
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@ -749,7 +760,8 @@ class TradingExecutor:
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pnl=pnl - fees,
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fees=fees,
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confidence=confidence,
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hold_time_seconds=hold_time_seconds
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hold_time_seconds=hold_time_seconds,
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leverage=current_leverage # Store leverage
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)
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self.trade_history.append(trade_record)
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@ -875,7 +887,7 @@ class TradingExecutor:
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'losing_trades': losing_trades,
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'breakeven_trades': breakeven_trades,
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'total_trades': total_trades,
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'win_rate': winning_trades / max(1, total_trades),
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'win_rate': winning_trades / max(1, winning_trades + losing_trades) if (winning_trades + losing_trades) > 0 else 0.0,
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'avg_trade_pnl': avg_trade_pnl,
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'avg_trade_fee': avg_trade_fee,
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'avg_winning_trade': avg_winning_trade,
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