1600 lines
74 KiB
Python
1600 lines
74 KiB
Python
"""
|
|
Trading Executor for MEXC API Integration
|
|
|
|
This module handles the execution of trading signals through the MEXC exchange API.
|
|
It includes position management, risk controls, and safety features.
|
|
|
|
https://github.com/mexcdevelop/mexc-api-postman/blob/main/MEXC%20V3.postman_collection.json
|
|
MEXC V3.postman_collection.json
|
|
"""
|
|
|
|
import logging
|
|
import time
|
|
import os
|
|
from datetime import datetime, timedelta
|
|
from typing import Dict, List, Optional, Any
|
|
from dataclasses import dataclass
|
|
from threading import Lock, RLock
|
|
import threading
|
|
import time
|
|
import sys
|
|
|
|
# Add NN directory to path for exchange interfaces
|
|
sys.path.append(os.path.join(os.path.dirname(__file__), '..', 'NN'))
|
|
|
|
from NN.exchanges import MEXCInterface
|
|
from .config import get_config
|
|
from .config_sync import ConfigSynchronizer
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
@dataclass
|
|
class Position:
|
|
"""Represents an open trading position"""
|
|
symbol: str
|
|
side: str # 'LONG' or 'SHORT'
|
|
quantity: float
|
|
entry_price: float
|
|
entry_time: datetime
|
|
order_id: str
|
|
unrealized_pnl: float = 0.0
|
|
|
|
def calculate_pnl(self, current_price: float) -> float:
|
|
"""Calculate unrealized P&L for the position"""
|
|
if self.side == 'LONG':
|
|
self.unrealized_pnl = (current_price - self.entry_price) * self.quantity
|
|
else: # SHORT
|
|
self.unrealized_pnl = (self.entry_price - current_price) * self.quantity
|
|
return self.unrealized_pnl
|
|
|
|
@dataclass
|
|
class TradeRecord:
|
|
"""Record of a completed trade"""
|
|
symbol: str
|
|
side: str
|
|
quantity: float
|
|
entry_price: float
|
|
exit_price: float
|
|
entry_time: datetime
|
|
exit_time: datetime
|
|
pnl: float
|
|
fees: float
|
|
confidence: float
|
|
hold_time_seconds: float = 0.0 # Hold time in seconds
|
|
|
|
class TradingExecutor:
|
|
"""Handles trade execution through MEXC API with risk management"""
|
|
|
|
def __init__(self, config_path: str = "config.yaml"):
|
|
"""Initialize the trading executor"""
|
|
self.config = get_config(config_path)
|
|
self.mexc_config = self.config.get('mexc_trading', {})
|
|
|
|
# Initialize MEXC interface
|
|
api_key = os.getenv('MEXC_API_KEY', self.mexc_config.get('api_key', ''))
|
|
api_secret = os.getenv('MEXC_SECRET_KEY', self.mexc_config.get('api_secret', ''))
|
|
|
|
# Determine trading mode from unified config
|
|
trading_mode = self.mexc_config.get('trading_mode', 'simulation')
|
|
|
|
# Map trading mode to exchange test_mode and execution mode
|
|
if trading_mode == 'simulation':
|
|
exchange_test_mode = True
|
|
self.simulation_mode = True
|
|
elif trading_mode == 'testnet':
|
|
exchange_test_mode = True
|
|
self.simulation_mode = False
|
|
elif trading_mode == 'live':
|
|
exchange_test_mode = False
|
|
self.simulation_mode = False
|
|
else:
|
|
logger.warning(f"Unknown trading_mode '{trading_mode}', defaulting to simulation")
|
|
exchange_test_mode = True
|
|
self.simulation_mode = True
|
|
|
|
self.exchange = MEXCInterface(
|
|
api_key=api_key,
|
|
api_secret=api_secret,
|
|
test_mode=exchange_test_mode,
|
|
)
|
|
|
|
# Trading state
|
|
self.positions: Dict[str, Position] = {}
|
|
self.trade_history: List[TradeRecord] = []
|
|
self.daily_trades = 0
|
|
self.daily_loss = 0.0
|
|
self.last_trade_time = {}
|
|
self.trading_enabled = self.mexc_config.get('enabled', False)
|
|
self.trading_mode = trading_mode
|
|
self.consecutive_losses = 0 # Track consecutive losing trades
|
|
|
|
logger.debug(f"TRADING EXECUTOR: Initial trading_enabled state from config: {self.trading_enabled}")
|
|
|
|
# Legacy compatibility (deprecated)
|
|
self.dry_run = self.simulation_mode
|
|
|
|
# Thread safety with timeout support
|
|
self.lock = RLock()
|
|
self.lock_timeout = 10.0 # 10 second timeout for order execution
|
|
|
|
# Connect to exchange
|
|
if self.trading_enabled:
|
|
logger.info("TRADING EXECUTOR: Attempting to connect to exchange...")
|
|
if not self._connect_exchange():
|
|
logger.error("TRADING EXECUTOR: Failed initial exchange connection. Trading will be disabled.")
|
|
self.trading_enabled = False
|
|
else:
|
|
logger.info("TRADING EXECUTOR: Trading is explicitly disabled in config.")
|
|
|
|
logger.info(f"Trading Executor initialized - Mode: {self.trading_mode}, Enabled: {self.trading_enabled}")
|
|
|
|
# Initialize config synchronizer for automatic fee updates
|
|
self.config_synchronizer = ConfigSynchronizer(
|
|
config_path=config_path,
|
|
mexc_interface=self.exchange if self.trading_enabled else None
|
|
)
|
|
|
|
# Perform initial fee sync on startup if trading is enabled
|
|
if self.trading_enabled and self.exchange:
|
|
try:
|
|
logger.info("TRADING EXECUTOR: Performing initial fee synchronization with MEXC API")
|
|
sync_result = self.config_synchronizer.sync_trading_fees(force=True)
|
|
if sync_result.get('status') == 'success':
|
|
logger.info("TRADING EXECUTOR: Fee synchronization completed successfully")
|
|
if sync_result.get('changes_made'):
|
|
logger.info(f"TRADING EXECUTOR: Fee changes applied: {list(sync_result['changes'].keys())}")
|
|
# Reload config to get updated fees
|
|
self.config = get_config(config_path)
|
|
self.mexc_config = self.config.get('mexc_trading', {})
|
|
elif sync_result.get('status') == 'warning':
|
|
logger.warning("TRADING EXECUTOR: Fee sync completed with warnings")
|
|
else:
|
|
logger.warning(f"TRADING EXECUTOR: Fee sync failed: {sync_result.get('status')}")
|
|
except Exception as e:
|
|
logger.warning(f"TRADING EXECUTOR: Initial fee sync failed: {e}")
|
|
|
|
logger.info(f"Trading Executor initialized - Mode: {self.trading_mode}, Enabled: {self.trading_enabled}")
|
|
|
|
def _connect_exchange(self) -> bool:
|
|
"""Connect to the MEXC exchange"""
|
|
try:
|
|
logger.debug("TRADING EXECUTOR: Calling self.exchange.connect()...")
|
|
connected = self.exchange.connect()
|
|
logger.debug(f"TRADING EXECUTOR: self.exchange.connect() returned: {connected}")
|
|
if connected:
|
|
logger.info("Successfully connected to MEXC exchange")
|
|
return True
|
|
else:
|
|
logger.error("Failed to connect to MEXC exchange: Connection returned False.")
|
|
if not self.dry_run:
|
|
logger.info("TRADING EXECUTOR: Setting trading_enabled to False due to connection failure.")
|
|
self.trading_enabled = False
|
|
return False
|
|
except Exception as e:
|
|
logger.error(f"Error connecting to MEXC exchange: {e}. Setting trading_enabled to False.")
|
|
self.trading_enabled = False
|
|
return False
|
|
|
|
def execute_signal(self, symbol: str, action: str, confidence: float,
|
|
current_price: Optional[float] = None) -> bool:
|
|
"""Execute a trading signal
|
|
|
|
Args:
|
|
symbol: Trading symbol (e.g., 'ETH/USDT')
|
|
action: Trading action ('BUY', 'SELL', 'HOLD')
|
|
confidence: Confidence level (0.0 to 1.0)
|
|
current_price: Current market price
|
|
|
|
Returns:
|
|
bool: True if trade executed successfully
|
|
"""
|
|
logger.debug(f"TRADING EXECUTOR: execute_signal called. trading_enabled: {self.trading_enabled}")
|
|
if not self.trading_enabled:
|
|
logger.info(f"Trading disabled - Signal: {action} {symbol} (confidence: {confidence:.2f}) - Reason: Trading executor is not enabled.")
|
|
return False
|
|
|
|
if action == 'HOLD':
|
|
return True
|
|
|
|
# Check safety conditions
|
|
if not self._check_safety_conditions(symbol, action):
|
|
return False
|
|
|
|
# Get current price if not provided
|
|
if current_price is None:
|
|
ticker = self.exchange.get_ticker(symbol)
|
|
if not ticker or 'last' not in ticker:
|
|
logger.error(f"Failed to get current price for {symbol} or ticker is malformed.")
|
|
return False
|
|
current_price = ticker['last']
|
|
|
|
# Assert that current_price is not None for type checking
|
|
assert current_price is not None, "current_price should not be None at this point"
|
|
|
|
# --- Balance check before executing trade (skip in simulation mode) ---
|
|
# Only perform balance check for live trading, not simulation
|
|
if not self.simulation_mode and (action == 'BUY' or (action == 'SELL' and symbol not in self.positions) or (action == 'SHORT')):
|
|
# Determine the quote asset (e.g., USDT, USDC) from the symbol
|
|
if '/' in symbol:
|
|
quote_asset = symbol.split('/')[1].upper() # Assuming symbol is like ETH/USDT
|
|
# Keep USDT as USDT for MEXC spot trading (no conversion needed)
|
|
else:
|
|
# Fallback for symbols like ETHUSDT (assuming last 4 chars are quote)
|
|
quote_asset = symbol[-4:].upper()
|
|
# Keep USDT as USDT for MEXC spot trading (no conversion needed)
|
|
|
|
# Calculate required capital for the trade
|
|
# If we are selling (to open a short position), we need collateral based on the position size
|
|
# For simplicity, assume required capital is the full position value in USD
|
|
required_capital = self._calculate_position_size(confidence, current_price)
|
|
|
|
# Get available balance for the quote asset (try USDT first, then USDC as fallback)
|
|
if quote_asset == 'USDT':
|
|
available_balance = self.exchange.get_balance('USDT')
|
|
if available_balance < required_capital:
|
|
# If USDT balance is insufficient, check USDC as fallback
|
|
usdc_balance = self.exchange.get_balance('USDC')
|
|
if usdc_balance >= required_capital:
|
|
available_balance = usdc_balance
|
|
quote_asset = 'USDC' # Use USDC instead
|
|
logger.info(f"BALANCE CHECK: Using USDC fallback balance for {symbol}")
|
|
else:
|
|
available_balance = self.exchange.get_balance(quote_asset)
|
|
|
|
logger.info(f"BALANCE CHECK: Symbol: {symbol}, Action: {action}, Required: ${required_capital:.2f} {quote_asset}, Available: ${available_balance:.2f} {quote_asset}")
|
|
|
|
# Allow some small precision tolerance (1 cent) and ensure sufficient balance
|
|
balance_tolerance = 0.01
|
|
if available_balance < (required_capital - balance_tolerance):
|
|
logger.warning(f"Trade blocked for {symbol} {action}: Insufficient {quote_asset} balance. "
|
|
f"Required: ${required_capital:.2f}, Available: ${available_balance:.2f}")
|
|
return False
|
|
else:
|
|
logger.info(f"BALANCE CHECK PASSED: {quote_asset} balance sufficient for trade")
|
|
elif self.simulation_mode:
|
|
logger.debug(f"SIMULATION MODE: Skipping balance check for {symbol} {action} - allowing trade for model training")
|
|
# --- End Balance check ---
|
|
|
|
# Try to acquire lock with timeout to prevent hanging
|
|
lock_acquired = self.lock.acquire(timeout=self.lock_timeout)
|
|
if not lock_acquired:
|
|
logger.error(f"TIMEOUT: Failed to acquire lock within {self.lock_timeout}s for {action} {symbol}")
|
|
logger.error(f"This indicates another operation is hanging. Cancelling {action} order.")
|
|
return False
|
|
|
|
try:
|
|
logger.info(f"LOCK ACQUIRED: Executing {action} for {symbol}")
|
|
start_time = time.time()
|
|
|
|
if action == 'BUY':
|
|
result = self._execute_buy(symbol, confidence, current_price)
|
|
elif action == 'SELL':
|
|
result = self._execute_sell(symbol, confidence, current_price)
|
|
elif action == 'SHORT': # Explicitly handle SHORT if it's a direct signal
|
|
result = self._execute_short(symbol, confidence, current_price)
|
|
else:
|
|
logger.warning(f"Unknown action: {action}")
|
|
result = False
|
|
|
|
execution_time = time.time() - start_time
|
|
logger.info(f"EXECUTION COMPLETE: {action} for {symbol} took {execution_time:.2f}s, result: {result}")
|
|
return result
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error executing {action} signal for {symbol}: {e}")
|
|
return False
|
|
finally:
|
|
self.lock.release()
|
|
logger.debug(f"LOCK RELEASED: {action} for {symbol}")
|
|
|
|
def _cancel_open_orders(self, symbol: str) -> bool:
|
|
"""Cancel all open orders for a symbol before placing new orders"""
|
|
try:
|
|
logger.info(f"Checking for open orders to cancel for {symbol}")
|
|
open_orders = self.exchange.get_open_orders(symbol)
|
|
|
|
if open_orders and len(open_orders) > 0:
|
|
logger.info(f"Found {len(open_orders)} open orders for {symbol}, cancelling...")
|
|
|
|
for order in open_orders:
|
|
order_id = order.get('orderId')
|
|
if order_id:
|
|
try:
|
|
cancel_result = self.exchange.cancel_order(symbol, str(order_id))
|
|
if cancel_result:
|
|
logger.info(f"Successfully cancelled order {order_id} for {symbol}")
|
|
else:
|
|
logger.warning(f"Failed to cancel order {order_id} for {symbol}")
|
|
except Exception as e:
|
|
logger.error(f"Error cancelling order {order_id}: {e}")
|
|
|
|
# Wait a moment for cancellations to process
|
|
time.sleep(0.5)
|
|
return True
|
|
else:
|
|
logger.debug(f"No open orders found for {symbol}")
|
|
return True
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error checking/cancelling open orders for {symbol}: {e}")
|
|
return False
|
|
|
|
def _check_safety_conditions(self, symbol: str, action: str) -> bool:
|
|
"""Check if it's safe to execute a trade"""
|
|
# Check if trading is stopped
|
|
if self.mexc_config.get('emergency_stop', False):
|
|
logger.warning("Emergency stop is active - no trades allowed")
|
|
return False
|
|
|
|
# Check symbol allowlist
|
|
allowed_symbols = self.mexc_config.get('allowed_symbols', [])
|
|
if allowed_symbols and symbol not in allowed_symbols:
|
|
logger.warning(f"Symbol {symbol} not in allowed list: {allowed_symbols}")
|
|
return False
|
|
|
|
# Check daily loss limit
|
|
max_daily_loss = self.mexc_config.get('max_daily_loss_usd', 5.0)
|
|
if self.daily_loss >= max_daily_loss:
|
|
logger.warning(f"Daily loss limit reached: ${self.daily_loss:.2f} >= ${max_daily_loss}")
|
|
return False
|
|
|
|
# Check daily trade limit
|
|
# max_daily_trades = self.mexc_config.get('max_daily_trades', 100)
|
|
# if self.daily_trades >= max_daily_trades:
|
|
# logger.warning(f"Daily trade limit reached: {self.daily_trades}")
|
|
# return False
|
|
|
|
# Check trade interval - allow bypass for test scenarios
|
|
min_interval = self.mexc_config.get('min_trade_interval_seconds', 5)
|
|
last_trade = self.last_trade_time.get(symbol, datetime.min)
|
|
time_since_last = (datetime.now() - last_trade).total_seconds()
|
|
|
|
# Allow bypass for high confidence sells (closing positions) or test scenarios
|
|
if time_since_last < min_interval:
|
|
# Allow immediate sells for closing positions or very high confidence (0.9+)
|
|
if action == 'SELL' and symbol in self.positions:
|
|
logger.info(f"Allowing immediate SELL to close position for {symbol}")
|
|
elif hasattr(self, '_test_mode') and self._test_mode:
|
|
logger.info(f"Test mode: bypassing trade interval for {symbol}")
|
|
else:
|
|
logger.info(f"Trade interval not met for {symbol} ({time_since_last:.1f}s < {min_interval}s)")
|
|
return False
|
|
|
|
# Check concurrent positions
|
|
max_positions = self.mexc_config.get('max_concurrent_positions', 1)
|
|
if len(self.positions) >= max_positions and action == 'BUY':
|
|
logger.warning(f"Maximum concurrent positions reached: {len(self.positions)}")
|
|
return False
|
|
|
|
return True
|
|
|
|
def _execute_buy(self, symbol: str, confidence: float, current_price: float) -> bool:
|
|
"""Execute a buy order"""
|
|
# Check if we have a short position to close
|
|
if symbol in self.positions:
|
|
position = self.positions[symbol]
|
|
if position.side == 'SHORT':
|
|
logger.info(f"Closing SHORT position in {symbol}")
|
|
return self._close_short_position(symbol, confidence, current_price)
|
|
else:
|
|
logger.info(f"Already have LONG position in {symbol}")
|
|
return False
|
|
|
|
# Cancel any existing open orders before placing new order
|
|
if not self.simulation_mode:
|
|
self._cancel_open_orders(symbol)
|
|
|
|
# Calculate position size
|
|
position_size = self._calculate_position_size(confidence, current_price)
|
|
quantity = position_size / current_price
|
|
|
|
logger.info(f"Executing BUY: {quantity:.6f} {symbol} at ${current_price:.2f} (value: ${position_size:.2f}, confidence: {confidence:.2f}) [{'SIM' if self.simulation_mode else 'LIVE'}]")
|
|
|
|
if self.simulation_mode:
|
|
# Create simulated position
|
|
self.positions[symbol] = Position(
|
|
symbol=symbol,
|
|
side='LONG',
|
|
quantity=quantity,
|
|
entry_price=current_price,
|
|
entry_time=datetime.now(),
|
|
order_id=f"sim_{int(datetime.now().timestamp())}"
|
|
)
|
|
logger.info(f"Simulated BUY order: {quantity:.6f} {symbol} at ${current_price:.2f}")
|
|
return True
|
|
else:
|
|
# Place real order with enhanced error handling
|
|
result = self._place_order_with_retry(symbol, 'BUY', 'MARKET', quantity, current_price)
|
|
if result and 'orderId' in result:
|
|
# Use actual fill information if available, otherwise fall back to order parameters
|
|
filled_quantity = result.get('executedQty', quantity)
|
|
fill_price = result.get('avgPrice', current_price)
|
|
|
|
# Only create position if order was actually filled
|
|
if result.get('filled', True): # Assume filled for backward compatibility
|
|
self.positions[symbol] = Position(
|
|
symbol=symbol,
|
|
side='LONG',
|
|
quantity=float(filled_quantity),
|
|
entry_price=float(fill_price),
|
|
entry_time=datetime.now(),
|
|
order_id=result['orderId']
|
|
)
|
|
logger.info(f"BUY position created: {filled_quantity:.6f} {symbol} at ${fill_price:.4f}")
|
|
self.last_trade_time[symbol] = datetime.now()
|
|
return True
|
|
else:
|
|
logger.error(f"BUY order placed but not filled: {result}")
|
|
return False
|
|
else:
|
|
logger.error("Failed to place BUY order")
|
|
return False
|
|
|
|
def _execute_sell(self, symbol: str, confidence: float, current_price: float) -> bool:
|
|
"""Execute a sell order (close long position or open short position)"""
|
|
if symbol in self.positions:
|
|
position = self.positions[symbol]
|
|
if position.side == 'LONG':
|
|
logger.info(f"Closing LONG position in {symbol}")
|
|
return self._close_long_position(symbol, confidence, current_price)
|
|
else:
|
|
logger.info(f"Already have SHORT position in {symbol}")
|
|
return False
|
|
else:
|
|
# No position to sell, open short position
|
|
logger.info(f"No position to sell in {symbol}. Opening short position")
|
|
return self._execute_short(symbol, confidence, current_price)
|
|
|
|
def _execute_short(self, symbol: str, confidence: float, current_price: float) -> bool:
|
|
"""Execute a short order (sell without holding the asset)"""
|
|
# Cancel any existing open orders before placing new order
|
|
if not self.simulation_mode:
|
|
self._cancel_open_orders(symbol)
|
|
|
|
# Calculate position size
|
|
position_size = self._calculate_position_size(confidence, current_price)
|
|
quantity = position_size / current_price
|
|
|
|
logger.info(f"Executing SHORT: {quantity:.6f} {symbol} at ${current_price:.2f} (value: ${position_size:.2f}, confidence: {confidence:.2f}) [{'SIM' if self.simulation_mode else 'LIVE'}]")
|
|
|
|
if self.simulation_mode:
|
|
# Create simulated short position
|
|
self.positions[symbol] = Position(
|
|
symbol=symbol,
|
|
side='SHORT',
|
|
quantity=quantity,
|
|
entry_price=current_price,
|
|
entry_time=datetime.now(),
|
|
order_id=f"sim_{int(datetime.now().timestamp())}"
|
|
)
|
|
logger.info(f"Simulated SHORT order: {quantity:.6f} {symbol} at ${current_price:.2f}")
|
|
return True
|
|
else:
|
|
# Place real short order with enhanced error handling
|
|
result = self._place_order_with_retry(symbol, 'SELL', 'MARKET', quantity, current_price)
|
|
if result and 'orderId' in result:
|
|
# Use actual fill information if available, otherwise fall back to order parameters
|
|
filled_quantity = result.get('executedQty', quantity)
|
|
fill_price = result.get('avgPrice', current_price)
|
|
|
|
# Only create position if order was actually filled
|
|
if result.get('filled', True): # Assume filled for backward compatibility
|
|
self.positions[symbol] = Position(
|
|
symbol=symbol,
|
|
side='SHORT',
|
|
quantity=float(filled_quantity),
|
|
entry_price=float(fill_price),
|
|
entry_time=datetime.now(),
|
|
order_id=result['orderId']
|
|
)
|
|
logger.info(f"SHORT position created: {filled_quantity:.6f} {symbol} at ${fill_price:.4f}")
|
|
self.last_trade_time[symbol] = datetime.now()
|
|
return True
|
|
else:
|
|
logger.error(f"SHORT order placed but not filled: {result}")
|
|
return False
|
|
else:
|
|
logger.error("Failed to place SHORT order")
|
|
return False
|
|
|
|
def _place_order_with_retry(self, symbol: str, side: str, order_type: str, quantity: float, current_price: float, max_retries: int = 3) -> Dict[str, Any]:
|
|
"""Place order with retry logic for MEXC error handling"""
|
|
order_start_time = time.time()
|
|
max_order_time = 8.0 # Maximum 8 seconds for order placement (leaves 2s buffer for lock timeout)
|
|
|
|
for attempt in range(max_retries):
|
|
# Check if we've exceeded the maximum order time
|
|
elapsed_time = time.time() - order_start_time
|
|
if elapsed_time > max_order_time:
|
|
logger.error(f"ORDER TIMEOUT: Order placement exceeded {max_order_time}s limit for {side} {symbol}")
|
|
logger.error(f"Elapsed time: {elapsed_time:.2f}s, cancelling order to prevent lock hanging")
|
|
return {}
|
|
try:
|
|
# For retries, use more aggressive pricing for LIMIT orders
|
|
order_price = current_price
|
|
if order_type.upper() == 'LIMIT' and attempt > 0:
|
|
# Increase aggressiveness with each retry
|
|
aggression_factor = 1 + (0.005 * (attempt + 1)) # 0.5%, 1.0%, 1.5% etc.
|
|
if side.upper() == 'BUY':
|
|
order_price = current_price * aggression_factor
|
|
else:
|
|
order_price = current_price / aggression_factor
|
|
logger.info(f"Retry {attempt + 1}: Using more aggressive price ${order_price:.4f} (vs market ${current_price:.4f})")
|
|
|
|
result = self.exchange.place_order(symbol, side, order_type, quantity, order_price)
|
|
|
|
# Check if result contains error information
|
|
if isinstance(result, dict) and 'error' in result:
|
|
error_type = result.get('error')
|
|
error_code = result.get('code')
|
|
error_msg = result.get('message', 'Unknown error')
|
|
|
|
if error_type == 'oversold' and error_code == 30005:
|
|
logger.warning(f"MEXC Oversold error on attempt {attempt + 1}/{max_retries}")
|
|
logger.warning(f"Error: {error_msg}")
|
|
|
|
if attempt < max_retries - 1:
|
|
# Calculate wait time but respect timeout limit
|
|
suggested_wait = result.get('retry_after', 60) * (2 ** attempt)
|
|
elapsed_time = time.time() - order_start_time
|
|
remaining_time = max_order_time - elapsed_time
|
|
|
|
if suggested_wait > remaining_time:
|
|
logger.warning(f"Oversold retry wait ({suggested_wait}s) exceeds timeout limit")
|
|
logger.warning(f"Remaining time: {remaining_time:.2f}s, skipping retry to prevent hanging")
|
|
return {}
|
|
|
|
logger.info(f"Waiting {suggested_wait} seconds before retry due to oversold condition...")
|
|
time.sleep(suggested_wait)
|
|
|
|
# Reduce quantity for next attempt to avoid oversold
|
|
quantity = quantity * 0.8 # Reduce by 20%
|
|
logger.info(f"Reducing quantity to {quantity:.6f} for retry")
|
|
continue
|
|
else:
|
|
logger.error(f"Max retries reached for oversold condition")
|
|
return {}
|
|
|
|
elif error_type == 'direction_not_allowed':
|
|
logger.error(f"Trading direction not allowed for {symbol} {side}")
|
|
return {}
|
|
|
|
elif error_type == 'insufficient_position':
|
|
logger.error(f"Insufficient position for {symbol} {side}")
|
|
return {}
|
|
|
|
else:
|
|
logger.error(f"MEXC API error: {error_code} - {error_msg}")
|
|
if attempt < max_retries - 1:
|
|
wait_time = 5 * (attempt + 1) # Wait 5, 10, 15 seconds
|
|
elapsed_time = time.time() - order_start_time
|
|
remaining_time = max_order_time - elapsed_time
|
|
|
|
if wait_time > remaining_time:
|
|
logger.warning(f"API error retry wait ({wait_time}s) exceeds timeout, cancelling")
|
|
return {}
|
|
|
|
time.sleep(wait_time)
|
|
continue
|
|
else:
|
|
return {}
|
|
|
|
# Success case - order placed
|
|
elif isinstance(result, dict) and ('orderId' in result or 'symbol' in result):
|
|
logger.info(f"Order placed successfully on attempt {attempt + 1}")
|
|
|
|
# For LIMIT orders, verify that the order actually fills
|
|
if order_type.upper() == 'LIMIT' and 'orderId' in result:
|
|
order_id = result['orderId']
|
|
filled_result = self._wait_for_order_fill(symbol, order_id, max_wait_time=5.0)
|
|
|
|
if filled_result['filled']:
|
|
logger.info(f"LIMIT order {order_id} filled successfully")
|
|
# Update result with fill information
|
|
result.update(filled_result)
|
|
return result
|
|
else:
|
|
logger.warning(f"LIMIT order {order_id} not filled within timeout, cancelling...")
|
|
# Cancel the unfilled order
|
|
try:
|
|
self.exchange.cancel_order(symbol, order_id)
|
|
logger.info(f"Cancelled unfilled order {order_id}")
|
|
except Exception as e:
|
|
logger.error(f"Failed to cancel unfilled order {order_id}: {e}")
|
|
|
|
# If this was the last attempt, return failure
|
|
if attempt == max_retries - 1:
|
|
return {}
|
|
|
|
# Try again with a more aggressive price
|
|
logger.info(f"Retrying with more aggressive LIMIT pricing...")
|
|
continue
|
|
else:
|
|
# MARKET orders or orders without orderId - assume immediate fill
|
|
return result
|
|
|
|
# Empty result - treat as failure
|
|
else:
|
|
logger.warning(f"Empty result on attempt {attempt + 1}/{max_retries}")
|
|
if attempt < max_retries - 1:
|
|
wait_time = 2 * (attempt + 1) # Wait 2, 4, 6 seconds
|
|
elapsed_time = time.time() - order_start_time
|
|
remaining_time = max_order_time - elapsed_time
|
|
|
|
if wait_time > remaining_time:
|
|
logger.warning(f"Empty result retry wait ({wait_time}s) exceeds timeout, cancelling")
|
|
return {}
|
|
|
|
time.sleep(wait_time)
|
|
continue
|
|
else:
|
|
return {}
|
|
|
|
except Exception as e:
|
|
logger.error(f"Exception on order attempt {attempt + 1}/{max_retries}: {e}")
|
|
if attempt < max_retries - 1:
|
|
wait_time = 3 * (attempt + 1) # Wait 3, 6, 9 seconds
|
|
elapsed_time = time.time() - order_start_time
|
|
remaining_time = max_order_time - elapsed_time
|
|
|
|
if wait_time > remaining_time:
|
|
logger.warning(f"Exception retry wait ({wait_time}s) exceeds timeout, cancelling")
|
|
return {}
|
|
|
|
time.sleep(wait_time)
|
|
continue
|
|
else:
|
|
return {}
|
|
|
|
logger.error(f"Failed to place order after {max_retries} attempts")
|
|
return {}
|
|
|
|
def _wait_for_order_fill(self, symbol: str, order_id: str, max_wait_time: float = 5.0) -> Dict[str, Any]:
|
|
"""Wait for a LIMIT order to fill and return fill status
|
|
|
|
Args:
|
|
symbol: Trading symbol
|
|
order_id: Order ID to monitor
|
|
max_wait_time: Maximum time to wait for fill in seconds
|
|
|
|
Returns:
|
|
dict: {'filled': bool, 'status': str, 'executedQty': float, 'avgPrice': float}
|
|
"""
|
|
start_time = time.time()
|
|
check_interval = 0.2 # Check every 200ms
|
|
|
|
while time.time() - start_time < max_wait_time:
|
|
try:
|
|
order_status = self.exchange.get_order_status(symbol, order_id)
|
|
|
|
if order_status and isinstance(order_status, dict):
|
|
status = order_status.get('status', '').upper()
|
|
executed_qty = float(order_status.get('executedQty', 0))
|
|
orig_qty = float(order_status.get('origQty', 0))
|
|
avg_price = float(order_status.get('cummulativeQuoteQty', 0)) / executed_qty if executed_qty > 0 else 0
|
|
|
|
logger.debug(f"Order {order_id} status: {status}, executed: {executed_qty}/{orig_qty}")
|
|
|
|
if status == 'FILLED':
|
|
return {
|
|
'filled': True,
|
|
'status': status,
|
|
'executedQty': executed_qty,
|
|
'avgPrice': avg_price,
|
|
'fillTime': time.time()
|
|
}
|
|
elif status in ['CANCELED', 'REJECTED', 'EXPIRED']:
|
|
return {
|
|
'filled': False,
|
|
'status': status,
|
|
'executedQty': executed_qty,
|
|
'avgPrice': avg_price,
|
|
'reason': f'Order {status.lower()}'
|
|
}
|
|
elif status == 'PARTIALLY_FILLED':
|
|
# For partial fills, continue waiting but log progress
|
|
fill_percentage = (executed_qty / orig_qty * 100) if orig_qty > 0 else 0
|
|
logger.debug(f"Order {order_id} partially filled: {fill_percentage:.1f}%")
|
|
|
|
# Wait before next check
|
|
time.sleep(check_interval)
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error checking order status for {order_id}: {e}")
|
|
time.sleep(check_interval)
|
|
|
|
# Timeout - check final status
|
|
try:
|
|
final_status = self.exchange.get_order_status(symbol, order_id)
|
|
if final_status:
|
|
status = final_status.get('status', '').upper()
|
|
executed_qty = float(final_status.get('executedQty', 0))
|
|
avg_price = float(final_status.get('cummulativeQuoteQty', 0)) / executed_qty if executed_qty > 0 else 0
|
|
|
|
return {
|
|
'filled': status == 'FILLED',
|
|
'status': status,
|
|
'executedQty': executed_qty,
|
|
'avgPrice': avg_price,
|
|
'reason': 'timeout' if status != 'FILLED' else None
|
|
}
|
|
except Exception as e:
|
|
logger.error(f"Error getting final order status for {order_id}: {e}")
|
|
|
|
return {
|
|
'filled': False,
|
|
'status': 'UNKNOWN',
|
|
'executedQty': 0,
|
|
'avgPrice': 0,
|
|
'reason': 'timeout_and_status_check_failed'
|
|
}
|
|
|
|
def _close_short_position(self, symbol: str, confidence: float, current_price: float) -> bool:
|
|
"""Close a short position by buying"""
|
|
if symbol not in self.positions:
|
|
logger.warning(f"No position to close in {symbol}")
|
|
return False
|
|
|
|
position = self.positions[symbol]
|
|
if position.side != 'SHORT':
|
|
logger.warning(f"Position in {symbol} is not SHORT, cannot close with BUY")
|
|
return False
|
|
|
|
logger.info(f"Closing SHORT position: {position.quantity:.6f} {symbol} at ${current_price:.2f} "
|
|
f"(confidence: {confidence:.2f})")
|
|
|
|
if self.simulation_mode:
|
|
logger.info(f"SIMULATION MODE ({self.trading_mode.upper()}) - Short close logged but not executed")
|
|
# Calculate simulated fees in simulation mode
|
|
taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
|
|
simulated_fees = position.quantity * current_price * taker_fee_rate
|
|
|
|
# Calculate P&L for short position and hold time
|
|
pnl = position.calculate_pnl(current_price)
|
|
exit_time = datetime.now()
|
|
hold_time_seconds = (exit_time - position.entry_time).total_seconds()
|
|
|
|
# Create trade record
|
|
trade_record = TradeRecord(
|
|
symbol=symbol,
|
|
side='SHORT',
|
|
quantity=position.quantity,
|
|
entry_price=position.entry_price,
|
|
exit_price=current_price,
|
|
entry_time=position.entry_time,
|
|
exit_time=exit_time,
|
|
pnl=pnl,
|
|
fees=simulated_fees,
|
|
confidence=confidence,
|
|
hold_time_seconds=hold_time_seconds
|
|
)
|
|
|
|
self.trade_history.append(trade_record)
|
|
self.daily_loss += max(0, -pnl) # Add to daily loss if negative
|
|
|
|
# Update consecutive losses
|
|
if pnl < -0.001: # A losing trade
|
|
self.consecutive_losses += 1
|
|
elif pnl > 0.001: # A winning trade
|
|
self.consecutive_losses = 0
|
|
else: # Breakeven trade
|
|
self.consecutive_losses = 0
|
|
|
|
# Remove position
|
|
del self.positions[symbol]
|
|
self.last_trade_time[symbol] = datetime.now()
|
|
self.daily_trades += 1
|
|
|
|
logger.info(f"Position closed - P&L: ${pnl:.2f}")
|
|
return True
|
|
|
|
try:
|
|
# Get order type from config
|
|
order_type = self.mexc_config.get('order_type', 'market').lower()
|
|
|
|
# For limit orders, set price slightly above market for immediate execution
|
|
limit_price = None
|
|
if order_type == 'limit':
|
|
# Set buy price slightly above market to ensure immediate execution
|
|
limit_price = current_price * 1.001 # 0.1% above market
|
|
|
|
# Place buy order to close short
|
|
if order_type == 'market':
|
|
order = self.exchange.place_order(
|
|
symbol=symbol,
|
|
side='buy', # Buy to close short position
|
|
order_type=order_type,
|
|
quantity=position.quantity
|
|
)
|
|
else:
|
|
# For limit orders, price is required
|
|
assert limit_price is not None, "limit_price required for limit orders"
|
|
order = self.exchange.place_order(
|
|
symbol=symbol,
|
|
side='buy', # Buy to close short position
|
|
order_type=order_type,
|
|
quantity=position.quantity,
|
|
price=limit_price
|
|
)
|
|
|
|
if order:
|
|
# Calculate simulated fees in simulation mode
|
|
taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
|
|
simulated_fees = position.quantity * current_price * taker_fee_rate
|
|
|
|
# Calculate P&L, fees, and hold time
|
|
pnl = position.calculate_pnl(current_price)
|
|
fees = simulated_fees
|
|
exit_time = datetime.now()
|
|
hold_time_seconds = (exit_time - position.entry_time).total_seconds()
|
|
|
|
# Create trade record
|
|
trade_record = TradeRecord(
|
|
symbol=symbol,
|
|
side='SHORT',
|
|
quantity=position.quantity,
|
|
entry_price=position.entry_price,
|
|
exit_price=current_price,
|
|
entry_time=position.entry_time,
|
|
exit_time=exit_time,
|
|
pnl=pnl - fees,
|
|
fees=fees,
|
|
confidence=confidence,
|
|
hold_time_seconds=hold_time_seconds
|
|
)
|
|
|
|
self.trade_history.append(trade_record)
|
|
self.daily_loss += max(0, -(pnl - fees)) # Add to daily loss if negative
|
|
|
|
# Update consecutive losses
|
|
if pnl < -0.001: # A losing trade
|
|
self.consecutive_losses += 1
|
|
elif pnl > 0.001: # A winning trade
|
|
self.consecutive_losses = 0
|
|
else: # Breakeven trade
|
|
self.consecutive_losses = 0
|
|
|
|
# Remove position
|
|
del self.positions[symbol]
|
|
self.last_trade_time[symbol] = datetime.now()
|
|
self.daily_trades += 1
|
|
|
|
logger.info(f"SHORT close order executed: {order}")
|
|
logger.info(f"SHORT position closed - P&L: ${pnl - fees:.2f}")
|
|
return True
|
|
else:
|
|
logger.error("Failed to place SHORT close order")
|
|
return False
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error closing SHORT position: {e}")
|
|
return False
|
|
|
|
def _close_long_position(self, symbol: str, confidence: float, current_price: float) -> bool:
|
|
"""Close a long position by selling"""
|
|
if symbol not in self.positions:
|
|
logger.warning(f"No position to close in {symbol}")
|
|
return False
|
|
|
|
position = self.positions[symbol]
|
|
if position.side != 'LONG':
|
|
logger.warning(f"Position in {symbol} is not LONG, cannot close with SELL")
|
|
return False
|
|
|
|
logger.info(f"Closing LONG position: {position.quantity:.6f} {symbol} at ${current_price:.2f} "
|
|
f"(confidence: {confidence:.2f})")
|
|
|
|
if self.simulation_mode:
|
|
logger.info(f"SIMULATION MODE ({self.trading_mode.upper()}) - Long close logged but not executed")
|
|
# Calculate simulated fees in simulation mode
|
|
taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
|
|
simulated_fees = position.quantity * current_price * taker_fee_rate
|
|
|
|
# Calculate P&L for long position and hold time
|
|
pnl = position.calculate_pnl(current_price)
|
|
exit_time = datetime.now()
|
|
hold_time_seconds = (exit_time - position.entry_time).total_seconds()
|
|
|
|
# Create trade record
|
|
trade_record = TradeRecord(
|
|
symbol=symbol,
|
|
side='LONG',
|
|
quantity=position.quantity,
|
|
entry_price=position.entry_price,
|
|
exit_price=current_price,
|
|
entry_time=position.entry_time,
|
|
exit_time=exit_time,
|
|
pnl=pnl,
|
|
fees=simulated_fees,
|
|
confidence=confidence,
|
|
hold_time_seconds=hold_time_seconds
|
|
)
|
|
|
|
self.trade_history.append(trade_record)
|
|
self.daily_loss += max(0, -pnl) # Add to daily loss if negative
|
|
|
|
# Update consecutive losses
|
|
if pnl < -0.001: # A losing trade
|
|
self.consecutive_losses += 1
|
|
elif pnl > 0.001: # A winning trade
|
|
self.consecutive_losses = 0
|
|
else: # Breakeven trade
|
|
self.consecutive_losses = 0
|
|
|
|
# Remove position
|
|
del self.positions[symbol]
|
|
self.last_trade_time[symbol] = datetime.now()
|
|
self.daily_trades += 1
|
|
|
|
logger.info(f"Position closed - P&L: ${pnl:.2f}")
|
|
return True
|
|
|
|
try:
|
|
# Get order type from config
|
|
order_type = self.mexc_config.get('order_type', 'market').lower()
|
|
|
|
# For limit orders, set price slightly below market for immediate execution
|
|
limit_price = None
|
|
if order_type == 'limit':
|
|
# Set sell price slightly below market to ensure immediate execution
|
|
limit_price = current_price * 0.999 # 0.1% below market
|
|
|
|
# Place sell order to close long
|
|
if order_type == 'market':
|
|
order = self.exchange.place_order(
|
|
symbol=symbol,
|
|
side='sell', # Sell to close long position
|
|
order_type=order_type,
|
|
quantity=position.quantity
|
|
)
|
|
else:
|
|
# For limit orders, price is required
|
|
assert limit_price is not None, "limit_price required for limit orders"
|
|
order = self.exchange.place_order(
|
|
symbol=symbol,
|
|
side='sell', # Sell to close long position
|
|
order_type=order_type,
|
|
quantity=position.quantity,
|
|
price=limit_price
|
|
)
|
|
|
|
if order:
|
|
# Calculate simulated fees in simulation mode
|
|
taker_fee_rate = self.mexc_config.get('trading_fees', {}).get('taker_fee', 0.0006)
|
|
simulated_fees = position.quantity * current_price * taker_fee_rate
|
|
|
|
# Calculate P&L, fees, and hold time
|
|
pnl = position.calculate_pnl(current_price)
|
|
fees = simulated_fees
|
|
exit_time = datetime.now()
|
|
hold_time_seconds = (exit_time - position.entry_time).total_seconds()
|
|
|
|
# Create trade record
|
|
trade_record = TradeRecord(
|
|
symbol=symbol,
|
|
side='LONG',
|
|
quantity=position.quantity,
|
|
entry_price=position.entry_price,
|
|
exit_price=current_price,
|
|
entry_time=position.entry_time,
|
|
exit_time=exit_time,
|
|
pnl=pnl - fees,
|
|
fees=fees,
|
|
confidence=confidence,
|
|
hold_time_seconds=hold_time_seconds
|
|
)
|
|
|
|
self.trade_history.append(trade_record)
|
|
self.daily_loss += max(0, -(pnl - fees)) # Add to daily loss if negative
|
|
|
|
# Update consecutive losses
|
|
if pnl < -0.001: # A losing trade
|
|
self.consecutive_losses += 1
|
|
elif pnl > 0.001: # A winning trade
|
|
self.consecutive_losses = 0
|
|
else: # Breakeven trade
|
|
self.consecutive_losses = 0
|
|
|
|
# Remove position
|
|
del self.positions[symbol]
|
|
self.last_trade_time[symbol] = datetime.now()
|
|
self.daily_trades += 1
|
|
|
|
logger.info(f"LONG close order executed: {order}")
|
|
logger.info(f"LONG position closed - P&L: ${pnl - fees:.2f}")
|
|
return True
|
|
else:
|
|
logger.error("Failed to place LONG close order")
|
|
return False
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error closing LONG position: {e}")
|
|
return False
|
|
|
|
def _calculate_position_size(self, confidence: float, current_price: float) -> float:
|
|
"""Calculate position size - use 100% of account balance for short-term scalping"""
|
|
# Get account balance (simulation or real)
|
|
account_balance = self._get_account_balance_for_sizing()
|
|
|
|
# Use 100% of account balance since we're holding for seconds/minutes only
|
|
# Scale by confidence: 70-100% of balance based on confidence (0.7-1.0 range)
|
|
confidence_multiplier = max(0.7, min(1.0, confidence))
|
|
position_value = account_balance * confidence_multiplier
|
|
|
|
# Apply reduction based on consecutive losses (risk management)
|
|
reduction_factor = self.mexc_config.get('consecutive_loss_reduction_factor', 0.8)
|
|
adjusted_reduction_factor = reduction_factor ** self.consecutive_losses
|
|
position_value *= adjusted_reduction_factor
|
|
|
|
logger.debug(f"Position calculation: account=${account_balance:.2f}, "
|
|
f"confidence_mult={confidence_multiplier:.2f}, "
|
|
f"position=${position_value:.2f}, confidence={confidence:.2f}")
|
|
|
|
return position_value
|
|
|
|
def _get_account_balance_for_sizing(self) -> float:
|
|
"""Get account balance for position sizing calculations"""
|
|
if self.simulation_mode:
|
|
return self.mexc_config.get('simulation_account_usd', 100.0)
|
|
else:
|
|
# For live trading, get actual USDT/USDC balance
|
|
try:
|
|
balances = self.get_account_balance()
|
|
usdt_balance = balances.get('USDT', {}).get('total', 0)
|
|
usdc_balance = balances.get('USDC', {}).get('total', 0)
|
|
return max(usdt_balance, usdc_balance)
|
|
except Exception as e:
|
|
logger.warning(f"Failed to get live account balance: {e}, using simulation default")
|
|
return self.mexc_config.get('simulation_account_usd', 100.0)
|
|
|
|
def update_positions(self, symbol: str, current_price: float):
|
|
"""Update position P&L with current market price"""
|
|
if symbol in self.positions:
|
|
with self.lock:
|
|
self.positions[symbol].calculate_pnl(current_price)
|
|
|
|
def get_positions(self) -> Dict[str, Position]:
|
|
"""Get current positions"""
|
|
return self.positions.copy()
|
|
|
|
def get_trade_history(self) -> List[TradeRecord]:
|
|
"""Get trade history"""
|
|
return self.trade_history.copy()
|
|
|
|
def get_daily_stats(self) -> Dict[str, Any]:
|
|
"""Get daily trading statistics with enhanced fee analysis"""
|
|
total_pnl = sum(trade.pnl for trade in self.trade_history)
|
|
total_fees = sum(trade.fees for trade in self.trade_history)
|
|
gross_pnl = total_pnl + total_fees # P&L before fees
|
|
winning_trades = len([t for t in self.trade_history if t.pnl > 0.001]) # Avoid rounding issues
|
|
losing_trades = len([t for t in self.trade_history if t.pnl < -0.001]) # Avoid rounding issues
|
|
total_trades = len(self.trade_history)
|
|
breakeven_trades = total_trades - winning_trades - losing_trades
|
|
|
|
# Calculate average trade values
|
|
avg_trade_pnl = total_pnl / max(1, total_trades)
|
|
avg_trade_fee = total_fees / max(1, total_trades)
|
|
avg_winning_trade = sum(t.pnl for t in self.trade_history if t.pnl > 0.001) / max(1, winning_trades)
|
|
avg_losing_trade = sum(t.pnl for t in self.trade_history if t.pnl < -0.001) / max(1, losing_trades)
|
|
|
|
# Enhanced fee analysis from config
|
|
fee_structure = self.mexc_config.get('trading_fees', {})
|
|
maker_fee_rate = fee_structure.get('maker', 0.0000)
|
|
taker_fee_rate = fee_structure.get('taker', 0.0005)
|
|
default_fee_rate = fee_structure.get('default', 0.0005)
|
|
|
|
# Calculate fee efficiency
|
|
total_volume = sum(trade.quantity * trade.exit_price for trade in self.trade_history)
|
|
effective_fee_rate = (total_fees / max(0.01, total_volume)) if total_volume > 0 else 0
|
|
fee_impact_on_pnl = (total_fees / max(0.01, abs(gross_pnl))) * 100 if gross_pnl != 0 else 0
|
|
|
|
return {
|
|
'daily_trades': self.daily_trades,
|
|
'daily_loss': self.daily_loss,
|
|
'total_pnl': total_pnl,
|
|
'gross_pnl': gross_pnl,
|
|
'total_fees': total_fees,
|
|
'winning_trades': winning_trades,
|
|
'losing_trades': losing_trades,
|
|
'breakeven_trades': breakeven_trades,
|
|
'total_trades': total_trades,
|
|
'win_rate': winning_trades / max(1, total_trades),
|
|
'avg_trade_pnl': avg_trade_pnl,
|
|
'avg_trade_fee': avg_trade_fee,
|
|
'avg_winning_trade': avg_winning_trade,
|
|
'avg_losing_trade': avg_losing_trade,
|
|
'positions_count': len(self.positions),
|
|
'fee_rates': {
|
|
'maker': f"{maker_fee_rate*100:.3f}%",
|
|
'taker': f"{taker_fee_rate*100:.3f}%",
|
|
'default': f"{default_fee_rate*100:.3f}%",
|
|
'effective': f"{effective_fee_rate*100:.3f}%" # Actual rate based on trades
|
|
},
|
|
'fee_analysis': {
|
|
'total_volume': total_volume,
|
|
'fee_impact_percent': fee_impact_on_pnl,
|
|
'is_fee_efficient': fee_impact_on_pnl < 5.0, # Less than 5% impact is good
|
|
'fee_savings_vs_market': (0.001 - effective_fee_rate) * total_volume if effective_fee_rate < 0.001 else 0
|
|
}
|
|
}
|
|
|
|
def emergency_stop(self):
|
|
"""Emergency stop all trading"""
|
|
logger.warning("EMERGENCY STOP ACTIVATED")
|
|
self.trading_enabled = False
|
|
|
|
# Close all positions if in live mode
|
|
if not self.dry_run:
|
|
for symbol, position in self.positions.items():
|
|
try:
|
|
ticker = self.exchange.get_ticker(symbol)
|
|
if ticker:
|
|
self._execute_sell(symbol, 1.0, ticker['last'])
|
|
except Exception as e:
|
|
logger.error(f"Error closing position {symbol} during emergency stop: {e}")
|
|
|
|
def reset_daily_stats(self):
|
|
"""Reset daily statistics (call at start of new day)"""
|
|
self.daily_trades = 0
|
|
self.daily_loss = 0.0
|
|
logger.info("Daily trading statistics reset")
|
|
|
|
def get_account_balance(self) -> Dict[str, Dict[str, float]]:
|
|
"""Get account balance information from MEXC, including spot and futures.
|
|
|
|
Returns:
|
|
Dict with asset balances in format:
|
|
{
|
|
'USDT': {'free': 100.0, 'locked': 0.0, 'total': 100.0, 'type': 'spot'},
|
|
'ETH': {'free': 0.5, 'locked': 0.0, 'total': 0.5, 'type': 'spot'},
|
|
'FUTURES_USDT': {'free': 500.0, 'locked': 50.0, 'total': 550.0, 'type': 'futures'}
|
|
...
|
|
}
|
|
"""
|
|
try:
|
|
if not self.exchange:
|
|
logger.error("Exchange interface not available")
|
|
return {}
|
|
|
|
combined_balances = {}
|
|
|
|
# 1. Get Spot Account Info
|
|
spot_account_info = self.exchange.get_account_info()
|
|
if spot_account_info and 'balances' in spot_account_info:
|
|
for balance in spot_account_info['balances']:
|
|
asset = balance.get('asset', '')
|
|
free = float(balance.get('free', 0))
|
|
locked = float(balance.get('locked', 0))
|
|
if free > 0 or locked > 0:
|
|
combined_balances[asset] = {
|
|
'free': free,
|
|
'locked': locked,
|
|
'total': free + locked,
|
|
'type': 'spot'
|
|
}
|
|
else:
|
|
logger.warning("Failed to get spot account info from MEXC or no balances found.")
|
|
|
|
# 2. Get Futures Account Info (commented out until futures API is implemented)
|
|
# futures_account_info = self.exchange.get_futures_account_info()
|
|
# if futures_account_info:
|
|
# for currency, asset_data in futures_account_info.items():
|
|
# # MEXC Futures API returns 'availableBalance' and 'frozenBalance'
|
|
# free = float(asset_data.get('availableBalance', 0))
|
|
# locked = float(asset_data.get('frozenBalance', 0))
|
|
# total = free + locked # total is the sum of available and frozen
|
|
# if free > 0 or locked > 0:
|
|
# # Prefix with 'FUTURES_' to distinguish from spot, or decide on a unified key
|
|
# # For now, let's keep them distinct for clarity
|
|
# combined_balances[f'FUTURES_{currency}'] = {
|
|
# 'free': free,
|
|
# 'locked': locked,
|
|
# 'total': total,
|
|
# 'type': 'futures'
|
|
# }
|
|
# else:
|
|
# logger.warning("Failed to get futures account info from MEXC or no futures assets found.")
|
|
|
|
logger.info(f"Retrieved combined balances for {len(combined_balances)} assets.")
|
|
return combined_balances
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error getting account balance: {e}")
|
|
return {}
|
|
|
|
def _calculate_trading_fee(self, order_result: Dict[str, Any], symbol: str,
|
|
quantity: float, price: float) -> float:
|
|
"""Calculate trading fee based on order execution details with enhanced MEXC API support
|
|
|
|
Args:
|
|
order_result: Order result from exchange API
|
|
symbol: Trading symbol
|
|
quantity: Order quantity
|
|
price: Execution price
|
|
|
|
Returns:
|
|
float: Trading fee amount in quote currency
|
|
"""
|
|
try:
|
|
# 1. Try to get actual fee from API response (most accurate)
|
|
# MEXC API can return fees in different formats depending on the endpoint
|
|
|
|
# Check for 'fills' array (most common for filled orders)
|
|
if order_result and 'fills' in order_result:
|
|
total_commission = 0.0
|
|
commission_asset = None
|
|
for fill in order_result['fills']:
|
|
commission = float(fill.get('commission', 0))
|
|
commission_asset = fill.get('commissionAsset', '')
|
|
total_commission += commission
|
|
|
|
if total_commission > 0:
|
|
logger.info(f"Using actual API fee from fills: {total_commission} {commission_asset}")
|
|
# If commission is in different asset, we might need conversion
|
|
# For now, assume it's in quote currency (USDC/USDT)
|
|
return total_commission
|
|
|
|
# 2. Check if order result has fee information directly
|
|
fee_fields = ['fee', 'commission', 'tradeFee', 'fees']
|
|
for field in fee_fields:
|
|
if order_result and field in order_result:
|
|
fee = float(order_result[field])
|
|
if fee > 0:
|
|
logger.info(f"Using API fee field '{field}': {fee}")
|
|
return fee
|
|
|
|
# 3. Check for executedQty and cummulativeQuoteQty for more accurate calculation
|
|
if order_result and 'executedQty' in order_result and 'cummulativeQuoteQty' in order_result:
|
|
executed_qty = float(order_result['executedQty'])
|
|
executed_value = float(order_result['cummulativeQuoteQty'])
|
|
if executed_qty > 0 and executed_value > 0:
|
|
# Use executed values instead of provided price/quantity
|
|
quantity = executed_qty
|
|
price = executed_value / executed_qty
|
|
logger.info(f"Using executed order data: {quantity} @ {price:.6f}")
|
|
|
|
# 4. Fall back to config-based fee calculation with enhanced logic
|
|
trading_fees = self.mexc_config.get('trading_fees', {})
|
|
|
|
# Determine if this was a maker or taker trade
|
|
order_type = order_result.get('type', 'MARKET') if order_result else 'MARKET'
|
|
order_status = order_result.get('status', 'UNKNOWN') if order_result else 'UNKNOWN'
|
|
time_in_force = order_result.get('timeInForce', 'GTC') if order_result else 'GTC'
|
|
|
|
# Enhanced maker/taker detection logic
|
|
if order_type.upper() == 'LIMIT':
|
|
# For limit orders, check execution speed and market conditions
|
|
if order_status == 'FILLED':
|
|
# If it's an IOC (Immediate or Cancel) order, it's likely a taker
|
|
if time_in_force == 'IOC' or time_in_force == 'FOK':
|
|
fee_rate = trading_fees.get('taker', 0.0005)
|
|
logger.info(f"Using taker fee rate for {time_in_force} limit order: {fee_rate*100:.3f}%")
|
|
else:
|
|
# For GTC orders, assume taker if aggressive pricing is used
|
|
# This is a heuristic based on our trading strategy
|
|
fee_rate = trading_fees.get('taker', 0.0005)
|
|
logger.info(f"Using taker fee rate for aggressive limit order: {fee_rate*100:.3f}%")
|
|
else:
|
|
# If not immediately filled, likely a maker (though we don't usually reach here)
|
|
fee_rate = trading_fees.get('maker', 0.0000)
|
|
logger.info(f"Using maker fee rate for pending/partial limit order: {fee_rate*100:.3f}%")
|
|
elif order_type.upper() == 'LIMIT_MAKER':
|
|
# LIMIT_MAKER orders are guaranteed to be makers
|
|
fee_rate = trading_fees.get('maker', 0.0000)
|
|
logger.info(f"Using maker fee rate for LIMIT_MAKER order: {fee_rate*100:.3f}%")
|
|
else:
|
|
# Market orders and other types are always takers
|
|
fee_rate = trading_fees.get('taker', 0.0005)
|
|
logger.info(f"Using taker fee rate for {order_type} order: {fee_rate*100:.3f}%")
|
|
|
|
# Calculate fee amount
|
|
trade_value = quantity * price
|
|
fee_amount = trade_value * fee_rate
|
|
|
|
logger.info(f"Calculated fee: ${fee_amount:.6f} ({fee_rate*100:.3f}% of ${trade_value:.2f})")
|
|
return fee_amount
|
|
|
|
except Exception as e:
|
|
logger.warning(f"Error calculating trading fee: {e}")
|
|
# Ultimate fallback using default rate
|
|
default_fee_rate = self.mexc_config.get('trading_fees', {}).get('default', 0.0005)
|
|
fallback_rate = self.mexc_config.get('trading_fee', default_fee_rate) # Legacy support
|
|
fee_amount = quantity * price * fallback_rate
|
|
logger.info(f"Using fallback fee: ${fee_amount:.6f} ({fallback_rate*100:.3f}%)")
|
|
return fee_amount
|
|
|
|
def get_fee_analysis(self) -> Dict[str, Any]:
|
|
"""Get detailed fee analysis and statistics
|
|
|
|
Returns:
|
|
Dict with fee breakdowns, rates, and impact analysis
|
|
"""
|
|
try:
|
|
fee_structure = self.mexc_config.get('trading_fees', {})
|
|
maker_rate = fee_structure.get('maker', 0.0000)
|
|
taker_rate = fee_structure.get('taker', 0.0005)
|
|
default_rate = fee_structure.get('default', 0.0005)
|
|
|
|
# Calculate total fees paid
|
|
total_fees = sum(trade.fees for trade in self.trade_history)
|
|
total_volume = sum(trade.quantity * trade.exit_price for trade in self.trade_history)
|
|
|
|
# Estimate fee breakdown (since we don't track maker vs taker separately)
|
|
# Assume most of our limit orders are takers due to our pricing strategy
|
|
estimated_taker_volume = total_volume * 0.9 # 90% taker assumption
|
|
estimated_maker_volume = total_volume * 0.1 # 10% maker assumption
|
|
|
|
estimated_taker_fees = estimated_taker_volume * taker_rate
|
|
estimated_maker_fees = estimated_maker_volume * maker_rate
|
|
|
|
# Fee impact analysis
|
|
total_pnl = sum(trade.pnl for trade in self.trade_history)
|
|
gross_pnl = total_pnl + total_fees
|
|
fee_impact_percent = (total_fees / max(1, abs(gross_pnl))) * 100 if gross_pnl != 0 else 0
|
|
|
|
return {
|
|
'fee_rates': {
|
|
'maker': {
|
|
'rate': maker_rate,
|
|
'rate_percent': f"{maker_rate*100:.3f}%"
|
|
},
|
|
'taker': {
|
|
'rate': taker_rate,
|
|
'rate_percent': f"{taker_rate*100:.3f}%"
|
|
},
|
|
'default': {
|
|
'rate': default_rate,
|
|
'rate_percent': f"{default_rate*100:.3f}%"
|
|
}
|
|
},
|
|
'total_fees': total_fees,
|
|
'total_volume': total_volume,
|
|
'estimated_breakdown': {
|
|
'taker_fees': estimated_taker_fees,
|
|
'maker_fees': estimated_maker_fees,
|
|
'taker_volume': estimated_taker_volume,
|
|
'maker_volume': estimated_maker_volume
|
|
},
|
|
'impact_analysis': {
|
|
'fee_impact_percent': fee_impact_percent,
|
|
'pnl_after_fees': total_pnl,
|
|
'pnl_before_fees': gross_pnl,
|
|
'avg_fee_per_trade': total_fees / max(1, len(self.trade_history))
|
|
},
|
|
'fee_efficiency': {
|
|
'volume_to_fee_ratio': total_volume / max(0.01, total_fees),
|
|
'is_efficient': fee_impact_percent < 5.0 # Less than 5% impact is good
|
|
}
|
|
}
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error calculating fee analysis: {e}")
|
|
return {
|
|
'error': str(e),
|
|
'fee_rates': {
|
|
'maker': {'rate': 0.0000, 'rate_percent': '0.000%'},
|
|
'taker': {'rate': 0.0005, 'rate_percent': '0.050%'}
|
|
}
|
|
}
|
|
|
|
def sync_fees_with_api(self, force: bool = False) -> Dict[str, Any]:
|
|
"""Manually trigger fee synchronization with MEXC API
|
|
|
|
Args:
|
|
force: Force sync even if last sync was recent
|
|
|
|
Returns:
|
|
dict: Sync result with status and details
|
|
"""
|
|
if not self.config_synchronizer:
|
|
return {
|
|
'status': 'error',
|
|
'error': 'Config synchronizer not initialized'
|
|
}
|
|
|
|
try:
|
|
logger.info("TRADING EXECUTOR: Manual fee sync requested")
|
|
sync_result = self.config_synchronizer.sync_trading_fees(force=force)
|
|
|
|
# If fees were updated, reload config
|
|
if sync_result.get('changes_made'):
|
|
logger.info("TRADING EXECUTOR: Reloading config after fee sync")
|
|
self.config = get_config(self.config_synchronizer.config_path)
|
|
self.mexc_config = self.config.get('mexc_trading', {})
|
|
|
|
return sync_result
|
|
|
|
except Exception as e:
|
|
logger.error(f"TRADING EXECUTOR: Error in manual fee sync: {e}")
|
|
return {
|
|
'status': 'error',
|
|
'error': str(e)
|
|
}
|
|
|
|
def auto_sync_fees_if_needed(self) -> bool:
|
|
"""Automatically sync fees if needed (called periodically)
|
|
|
|
Returns:
|
|
bool: True if sync was performed successfully
|
|
"""
|
|
if not self.config_synchronizer:
|
|
return False
|
|
|
|
try:
|
|
return self.config_synchronizer.auto_sync_fees()
|
|
except Exception as e:
|
|
logger.error(f"TRADING EXECUTOR: Error in auto fee sync: {e}")
|
|
return False
|
|
|
|
def get_fee_sync_status(self) -> Dict[str, Any]:
|
|
"""Get current fee synchronization status
|
|
|
|
Returns:
|
|
dict: Fee sync status and history
|
|
"""
|
|
if not self.config_synchronizer:
|
|
return {
|
|
'sync_available': False,
|
|
'error': 'Config synchronizer not initialized'
|
|
}
|
|
|
|
try:
|
|
status = self.config_synchronizer.get_sync_status()
|
|
status['sync_available'] = True
|
|
return status
|
|
except Exception as e:
|
|
logger.error(f"TRADING EXECUTOR: Error getting sync status: {e}")
|
|
return {
|
|
'sync_available': False,
|
|
'error': str(e)
|
|
}
|
|
|
|
def execute_trade(self, symbol: str, action: str, quantity: float) -> bool:
|
|
"""Execute a trade directly (compatibility method for dashboard)
|
|
|
|
Args:
|
|
symbol: Trading symbol (e.g., 'ETH/USDT')
|
|
action: Trading action ('BUY', 'SELL')
|
|
quantity: Quantity to trade
|
|
|
|
Returns:
|
|
bool: True if trade executed successfully
|
|
"""
|
|
try:
|
|
# Get current price
|
|
current_price = None
|
|
ticker = self.exchange.get_ticker(symbol)
|
|
if ticker:
|
|
current_price = ticker['last']
|
|
else:
|
|
logger.error(f"Failed to get current price for {symbol}")
|
|
return False
|
|
|
|
# Calculate confidence based on manual trade (high confidence)
|
|
confidence = 1.0
|
|
|
|
# Execute using the existing signal execution method
|
|
return self.execute_signal(symbol, action, confidence, current_price)
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error executing trade {action} for {symbol}: {e}")
|
|
return False
|
|
|
|
def get_closed_trades(self) -> List[Dict[str, Any]]:
|
|
"""Get closed trades in dashboard format"""
|
|
try:
|
|
trades = []
|
|
for trade in self.trade_history:
|
|
trade_dict = {
|
|
'symbol': trade.symbol,
|
|
'side': trade.side,
|
|
'quantity': trade.quantity,
|
|
'entry_price': trade.entry_price,
|
|
'exit_price': trade.exit_price,
|
|
'entry_time': trade.entry_time,
|
|
'exit_time': trade.exit_time,
|
|
'pnl': trade.pnl,
|
|
'fees': trade.fees,
|
|
'confidence': trade.confidence,
|
|
'hold_time_seconds': trade.hold_time_seconds
|
|
}
|
|
trades.append(trade_dict)
|
|
return trades
|
|
except Exception as e:
|
|
logger.error(f"Error getting closed trades: {e}")
|
|
return []
|
|
|
|
def get_current_position(self, symbol: Optional[str] = None) -> Optional[Dict[str, Any]]:
|
|
"""Get current position for a symbol or all positions
|
|
|
|
Args:
|
|
symbol: Optional symbol to get position for. If None, returns first position.
|
|
|
|
Returns:
|
|
dict: Position information or None if no position
|
|
"""
|
|
try:
|
|
if symbol:
|
|
if symbol in self.positions:
|
|
pos = self.positions[symbol]
|
|
return {
|
|
'symbol': pos.symbol,
|
|
'side': pos.side,
|
|
'size': pos.quantity,
|
|
'price': pos.entry_price,
|
|
'entry_time': pos.entry_time,
|
|
'unrealized_pnl': pos.unrealized_pnl
|
|
}
|
|
return None
|
|
else:
|
|
# Return first position if no symbol specified
|
|
if self.positions:
|
|
first_symbol = list(self.positions.keys())[0]
|
|
return self.get_current_position(first_symbol)
|
|
return None
|
|
except Exception as e:
|
|
logger.error(f"Error getting current position: {e}")
|
|
return None
|
|
|
|
def get_leverage(self) -> float:
|
|
"""Get current leverage setting"""
|
|
return self.mexc_config.get('leverage', 50.0)
|
|
|
|
def set_leverage(self, leverage: float) -> bool:
|
|
"""Set leverage (for UI control)
|
|
|
|
Args:
|
|
leverage: New leverage value
|
|
|
|
Returns:
|
|
bool: True if successful
|
|
"""
|
|
try:
|
|
# Update in-memory config
|
|
self.mexc_config['leverage'] = leverage
|
|
logger.info(f"TRADING EXECUTOR: Leverage updated to {leverage}x")
|
|
return True
|
|
except Exception as e:
|
|
logger.error(f"Error setting leverage: {e}")
|
|
return False
|
|
|
|
def get_account_info(self) -> Dict[str, Any]:
|
|
"""Get account information for UI display"""
|
|
try:
|
|
account_balance = self._get_account_balance_for_sizing()
|
|
leverage = self.get_leverage()
|
|
|
|
return {
|
|
'account_balance': account_balance,
|
|
'leverage': leverage,
|
|
'trading_mode': self.trading_mode,
|
|
'simulation_mode': self.simulation_mode,
|
|
'trading_enabled': self.trading_enabled,
|
|
'position_sizing': {
|
|
'base_percent': self.mexc_config.get('base_position_percent', 5.0),
|
|
'max_percent': self.mexc_config.get('max_position_percent', 20.0),
|
|
'min_percent': self.mexc_config.get('min_position_percent', 2.0)
|
|
}
|
|
}
|
|
except Exception as e:
|
|
logger.error(f"Error getting account info: {e}")
|
|
return {
|
|
'account_balance': 100.0,
|
|
'leverage': 50.0,
|
|
'trading_mode': 'simulation',
|
|
'simulation_mode': True,
|
|
'trading_enabled': False,
|
|
'position_sizing': {
|
|
'base_percent': 5.0,
|
|
'max_percent': 20.0,
|
|
'min_percent': 2.0
|
|
}
|
|
}
|
|
|
|
def set_test_mode(self, enabled: bool = True):
|
|
"""Enable test mode to bypass safety checks for testing"""
|
|
self._test_mode = enabled
|
|
if enabled:
|
|
logger.info("TRADING EXECUTOR: Test mode enabled - bypassing safety checks")
|
|
else:
|
|
logger.info("TRADING EXECUTOR: Test mode disabled - normal safety checks active") |