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07.4.4.1.11 — Advanced Trend Quality & EMA Distance Layer

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This commit is contained in:
Sergey
2026-05-20 21:15:00 +03:00
parent 2c75f95b46
commit 06ea376cb5
36 changed files with 6260 additions and 2092 deletions
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148
app/src/trading/execution/engine.py
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@@ -13,6 +13,8 @@ from src.trading.auto.state import AutoTradeState
from src.trading.execution.models import ExecutionDecision
from src.trading.journal.service import JournalService
from src.trading.position.state import PositionState
from src.core.numbers import safe_float
from src.core.types import JsonDict, NumericLike
@dataclass(slots=True)
@@ -108,7 +110,7 @@ class ExecutionEngine:
final_size=size,
)
size = self._round_order_size(size)
size = self._round_size(size)
if size <= 0:
return ExecutionDecision(
@@ -134,7 +136,7 @@ class ExecutionEngine:
state.last_execution_action = action
state.last_execution_reason = f"Позиция {side} открыта."
payload = {
payload: JsonDict = {
"execution_type": "ENTRY",
"action": action,
"symbol": state.symbol,
@@ -218,7 +220,7 @@ class ExecutionEngine:
final_size=new_size,
)
new_size = self._round_order_size(new_size)
new_size = self._round_size(new_size)
if new_size <= 0:
return ExecutionDecision(
@@ -230,11 +232,10 @@ class ExecutionEngine:
state.realized_pnl_usd += pnl
state.cycle_realized_pnl_usd += pnl
state.last_flip_old_side = old_side
state.last_flip_new_side = new_side
state.last_flip_pnl_usd = pnl
state.last_flip_reason = state.last_signal_reason
state.last_flip_monotonic_at = time.monotonic()
state.cycle_closed_trades += 1
if pnl > 0:
state.cycle_winning_trades += 1
old_side = position.side
old_entry_price = position.entry_price
@@ -242,6 +243,12 @@ class ExecutionEngine:
old_leverage = position.leverage
old_opened_at = position.opened_at
state.last_flip_old_side = old_side
state.last_flip_new_side = new_side
state.last_flip_pnl_usd = pnl
state.last_flip_reason = state.last_signal_reason
state.last_flip_monotonic_at = time.monotonic()
type(self)._position = PositionState(
side=new_side,
symbol=state.symbol,
@@ -261,7 +268,7 @@ class ExecutionEngine:
state.last_flip_at = now
type(self)._last_flip_block_key = None
payload = {
payload: JsonDict = {
"execution_type": "FLIP",
"action": f"FLIP_{old_side}_TO_{new_side}",
"symbol": state.symbol,
@@ -326,8 +333,8 @@ class ExecutionEngine:
state: AutoTradeState,
*,
forced_reason: str | None = None,
forced_exit_price: float | None = None,
forced_pnl: float | None = None,
forced_exit_price: NumericLike | None = None,
forced_pnl: NumericLike | None = None,
forced_price_meta: _ExecutionPrice | None = None,
) -> ExecutionDecision:
position = type(self)._position
@@ -337,7 +344,7 @@ class ExecutionEngine:
return ExecutionDecision("NONE", False, "Нет открытой позиции для закрытия.")
if forced_exit_price is not None:
exit_price = forced_exit_price
exit_price = safe_float(forced_exit_price) or 0.0
exit_execution = forced_price_meta
else:
try:
@@ -346,14 +353,26 @@ class ExecutionEngine:
except Exception as exc:
return ExecutionDecision("NONE", False, f"Ошибка получения цены для закрытия: {exc}")
pnl = forced_pnl if forced_pnl is not None else self._calculate_pnl(exit_price)
pnl = (
safe_float(forced_pnl)
if forced_pnl is not None
else self._calculate_pnl(exit_price)
)
if pnl is None:
pnl = 0.0
state.realized_pnl_usd += pnl
state.cycle_realized_pnl_usd += pnl
state.cycle_closed_trades += 1
if pnl > 0:
state.cycle_winning_trades += 1
now = self._now_time()
payload = {
payload: JsonDict = {
"execution_type": "EXIT",
"action": "CLOSE",
"symbol": state.symbol,
@@ -413,7 +432,7 @@ class ExecutionEngine:
f"Позиция закрыта по правилу защиты: {forced_reason}.",
)
return ExecutionDecision("CLOSE", True, "Позиция закрыта.")
def _risk_close_decision(self, state: AutoTradeState) -> ExecutionDecision | None:
@@ -475,18 +494,24 @@ class ExecutionEngine:
return False
return unrealized_pnl <= -abs(state.max_loss_usd)
def _calculate_price_move_percent(self, current_price: float) -> float:
def _calculate_price_move_percent(
self,
current_price: NumericLike | None,
) -> float:
position = type(self)._position
entry = position.entry_price or 0.0
price = safe_float(current_price) or 0.0
entry = safe_float(position.entry_price) or 0.0
if entry <= 0:
return 0.0
if position.side == "LONG":
return round(((current_price - entry) / entry) * 100, 4)
return round(((price - entry) / entry) * 100, 4)
if position.side == "SHORT":
return round(((entry - current_price) / entry) * 100, 4)
return round(((entry - price) / entry) * 100, 4)
return 0.0
@@ -507,9 +532,9 @@ class ExecutionEngine:
def _flip_block_reason(self, state: AutoTradeState) -> str | None:
position = type(self)._position
confidence = float(state.last_signal_confidence or 0.0)
repeat_count = int(state.last_signal_repeat_count or 0)
unrealized_pnl = float(state.unrealized_pnl_usd or 0.0)
confidence = safe_float(state.last_signal_confidence) or 0.0
repeat_count = int(safe_float(state.last_signal_repeat_count) or 0)
unrealized_pnl = safe_float(state.unrealized_pnl_usd) or 0.0
hold_seconds = self._position_hold_seconds(position)
momentum_direction = getattr(state, "momentum_direction", None)
momentum_state = getattr(state, "momentum_state", None)
@@ -560,7 +585,7 @@ class ExecutionEngine:
reason: str,
) -> ExecutionDecision:
position = type(self)._position
confidence = float(state.last_signal_confidence or 0.0)
confidence = safe_float(state.last_signal_confidence) or 0.0
state.execution_block_reason = reason
state.last_flip_block_reason = reason
@@ -578,7 +603,7 @@ class ExecutionEngine:
if block_key != type(self)._last_flip_block_key:
type(self)._last_flip_block_key = block_key
payload = {
payload: JsonDict = {
"execution_type": "FLIP_BLOCKED",
"symbol": state.symbol,
"position_side": position.side,
@@ -700,8 +725,10 @@ class ExecutionEngine:
multiplier = 1.0
execution_confidence_score = getattr(state, "execution_confidence_score", None)
if execution_confidence_score is not None:
score = max(0.0, min(1.0, float(execution_confidence_score)))
score_raw = safe_float(execution_confidence_score)
if score_raw is not None:
score = max(0.0, min(1.0, score_raw))
if score < 0.55:
multiplier *= 0.0
@@ -750,17 +777,14 @@ class ExecutionEngine:
multiplier *= 1.05
if momentum_strength is not None:
try:
strength = float(momentum_strength)
strength = safe_float(momentum_strength)
if strength is not None:
if strength >= 1.5:
multiplier *= 1.1
elif strength <= 0.7:
multiplier *= 0.8
except Exception:
pass
if signal == "BUY":
if momentum_direction == "DOWN":
multiplier *= 0.75
@@ -800,7 +824,10 @@ class ExecutionEngine:
state.adaptive_size_final = self._round_size(final_size)
state.adaptive_size_multiplier = multiplier
base_risk_percent = float(state.risk_percent or 0.0)
if multiplier != 1:
state.adaptive_size_changed_at = time.monotonic()
base_risk_percent = safe_float(state.risk_percent) or 0.0
state.effective_risk_percent = round(
base_risk_percent * multiplier,
@@ -847,7 +874,7 @@ class ExecutionEngine:
base_size: float,
final_size: float,
) -> None:
adaptive_final = float(state.adaptive_size_final or 0.0)
adaptive_final = safe_float(state.adaptive_size_final) or 0.0
if adaptive_final <= 0:
state.effective_risk_percent = 0.0
@@ -859,7 +886,7 @@ class ExecutionEngine:
min(1.0, final_size / adaptive_final),
)
current_effective_risk = float(state.effective_risk_percent or 0.0)
current_effective_risk = safe_float(state.effective_risk_percent) or 0.0
state.effective_risk_percent = round(
current_effective_risk * margin_ratio,
@@ -917,7 +944,7 @@ class ExecutionEngine:
limited_size = self._round_size(max_size)
adaptive_final = float(state.adaptive_size_final or 0.0)
adaptive_final = safe_float(state.adaptive_size_final) or 0.0
if adaptive_final > 0:
effective_multiplier = limited_size / adaptive_final
@@ -1011,32 +1038,55 @@ class ExecutionEngine:
pricing_role="MARKET_LAST",
)
def _snapshot_price(self, raw_price: object, name: str) -> float:
def _snapshot_price(
self,
raw_price: NumericLike | None,
name: str,
) -> float:
if raw_price is None:
raise ValueError(f"Execution snapshot price '{name}' is missing.")
raise ValueError(
f"Execution snapshot price '{name}' is missing."
)
price = float(raw_price)
price = safe_float(raw_price)
if price is None:
raise ValueError(
f"Execution snapshot price '{name}' is invalid."
)
if price <= 0:
raise ValueError(f"Execution snapshot price '{name}' is invalid: {price}")
raise ValueError(
f"Execution snapshot price '{name}' is invalid: {price}"
)
return price
def _round_size(self, size: float) -> float:
factor = 10 ** self._size_precision
return math.floor(float(size) * factor) / factor
def _round_size(self, size: NumericLike | None) -> float:
value = safe_float(size)
def _calculate_pnl(self, current_price: float) -> float:
if value is None:
return 0.0
factor = 10 ** self._size_precision
return math.floor(value * factor) / factor
def _calculate_pnl(
self,
current_price: NumericLike | None,
) -> float:
position = type(self)._position
entry = position.entry_price or 0.0
size = position.size or 0.0
price = safe_float(current_price) or 0.0
entry = safe_float(position.entry_price) or 0.0
size = safe_float(position.size) or 0.0
if position.side == "LONG":
return round((current_price - entry) * size, 4)
return round((price - entry) * size, 4)
if position.side == "SHORT":
return round((entry - current_price) * size, 4)
return round((entry - price) * size, 4)
return 0.0
@@ -1048,9 +1098,5 @@ class ExecutionEngine:
state.position_size = position.size
state.unrealized_pnl_usd = position.unrealized_pnl_usd
def _round_order_size(self, value: float) -> float:
factor = 10 ** self._size_precision
return math.floor(float(value) * factor) / factor
def _now_time(self) -> str:
return datetime.now().strftime("%H:%M:%S")