Stage 05.6 - order draft logic improvements
This commit is contained in:
@@ -1,3 +1,5 @@
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# app/src/integrations/exchange/models.py
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from __future__ import annotations
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from dataclasses import dataclass
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@@ -36,6 +38,9 @@ class ExchangeSymbol:
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market_modes: list[str]
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market_type: str
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tick_size: float | None
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step_size: float | None
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min_qty: float | None
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min_notional: float | None
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@dataclass(slots=True)
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@@ -50,4 +55,4 @@ class SymbolValidationResult:
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@dataclass(slots=True)
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class PrivateAuthHealth:
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ok: bool
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message: str
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message: str
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@@ -1,3 +1,5 @@
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# app/src/integrations/exchange/service.py
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from __future__ import annotations
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from datetime import datetime
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@@ -227,28 +229,85 @@ class ExchangeService:
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if isinstance(inner, dict) and isinstance(inner.get("symbols"), list):
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symbols_raw = inner["symbols"]
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else:
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raise ExchangeError(
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"Field 'symbols' is missing in exchangeInfo response."
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)
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raise ExchangeError("Field 'symbols' is missing in exchangeInfo response.")
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def _safe_str(value: object, default: str = "") -> str:
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if value is None:
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return default
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return str(value).strip()
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def _safe_float(value: object) -> float | None:
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if value in (None, ""):
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return None
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try:
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return float(str(value).strip())
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except (TypeError, ValueError):
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return None
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def _extract_filter_value(
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filters: object,
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filter_names: list[str],
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keys: list[str],
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) -> float | None:
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if not isinstance(filters, list):
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return None
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normalized_filter_names = {name.upper() for name in filter_names}
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for entry in filters:
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if not isinstance(entry, dict):
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continue
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filter_type = str(entry.get("filterType", "")).strip().upper()
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if filter_type not in normalized_filter_names:
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continue
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for key in keys:
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value = _safe_float(entry.get(key))
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if value is not None:
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return value
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return None
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items: list[ExchangeSymbol] = []
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for item in symbols_raw:
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if not isinstance(item, dict):
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continue
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tick_size_raw = item.get("tickSize")
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tick_size = None
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if tick_size_raw not in (None, ""):
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try:
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tick_size = float(str(tick_size_raw))
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except (TypeError, ValueError):
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tick_size = None
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filters = item.get("filters")
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tick_size = _safe_float(item.get("tickSize"))
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if tick_size is None:
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tick_size = _extract_filter_value(
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filters,
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filter_names=["PRICE_FILTER"],
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keys=["tickSize"],
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)
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step_size = _safe_float(item.get("stepSize"))
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if step_size is None:
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step_size = _extract_filter_value(
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filters,
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filter_names=["LOT_SIZE", "MARKET_LOT_SIZE"],
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keys=["stepSize"],
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)
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min_qty = _safe_float(item.get("minQty"))
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if min_qty is None:
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min_qty = _extract_filter_value(
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filters,
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filter_names=["LOT_SIZE", "MARKET_LOT_SIZE"],
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keys=["minQty"],
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)
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min_notional = _safe_float(item.get("minNotional"))
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if min_notional is None:
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min_notional = _extract_filter_value(
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filters,
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filter_names=["MIN_NOTIONAL", "NOTIONAL"],
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keys=["minNotional", "notional"],
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)
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market_modes_raw = item.get("marketModes")
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if isinstance(market_modes_raw, list):
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@@ -259,7 +318,11 @@ class ExchangeService:
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market_modes = []
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market_type_raw = item.get("marketType")
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market_type = str(market_type_raw).strip() if market_type_raw is not None else "unknown"
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market_type = (
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str(market_type_raw).strip()
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if market_type_raw is not None
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else "unknown"
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)
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items.append(
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ExchangeSymbol(
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@@ -271,6 +334,9 @@ class ExchangeService:
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market_modes=market_modes,
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market_type=market_type,
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tick_size=tick_size,
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step_size=step_size,
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min_qty=min_qty,
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min_notional=min_notional,
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)
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)
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@@ -1,3 +1,5 @@
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# app/src/storage/repositories/order_drafts.py
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from __future__ import annotations
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import json
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@@ -34,7 +36,7 @@ class OrderDraftRepository:
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with connection.cursor() as cursor:
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cursor.execute(
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'''
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SELECT created_at, symbol, side, order_type, quantity::text, status
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SELECT id, created_at, symbol, side, order_type, quantity::text, status
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FROM order_drafts
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ORDER BY created_at DESC, id DESC
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LIMIT %s
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@@ -47,20 +49,63 @@ class OrderDraftRepository:
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for row in rows:
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items.append(
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{
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"created_at": str(row[0]),
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"symbol": str(row[1]),
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"side": str(row[2]),
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"order_type": str(row[3]),
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"quantity": str(row[4]),
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"status": str(row[5]),
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"id": str(row[0]),
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"created_at": str(row[1]),
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"symbol": str(row[2]),
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"side": str(row[3]),
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"order_type": str(row[4]),
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"quantity": str(row[5]),
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"status": str(row[6]),
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}
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)
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return items
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def get_draft_by_id(self, draft_id: str) -> dict[str, str] | None:
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with get_connection() as connection:
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with connection.cursor() as cursor:
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cursor.execute(
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'''
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SELECT id, created_at, symbol, side, order_type, quantity::text, status, payload_json
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FROM order_drafts
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WHERE id = %s
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LIMIT 1
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''',
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(draft_id,),
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)
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row = cursor.fetchone()
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if not row:
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return None
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payload_raw = row[7]
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payload: dict[str, Any] = {}
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if isinstance(payload_raw, dict):
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payload = payload_raw
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elif payload_raw:
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try:
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payload = json.loads(str(payload_raw))
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except Exception:
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payload = {}
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price = payload.get("price")
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price_text = str(price) if price not in (None, "") else ""
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return {
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"id": str(row[0]),
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"created_at": str(row[1]),
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"symbol": str(row[2]),
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"side": str(row[3]),
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"order_type": str(row[4]),
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"quantity": str(row[5]),
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"status": str(row[6]),
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"price": price_text,
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}
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def count_drafts(self) -> int:
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with get_connection() as connection:
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with connection.cursor() as cursor:
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cursor.execute("SELECT COUNT(*) FROM order_drafts")
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row = cursor.fetchone()
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return int(row[0]) if row else 0
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return int(row[0]) if row else 0
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@@ -1,3 +1,5 @@
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# app/src/trading/orders/models.py
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from __future__ import annotations
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from dataclasses import dataclass, field
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@@ -24,7 +26,7 @@ class OrderEntryContext:
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last_price: float
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bid_price: float
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ask_price: float
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quantity_presets: list[str]
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quantity_presets: list[str] = field(default_factory=list)
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@dataclass(slots=True)
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@@ -1,8 +1,11 @@
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# /app/src/trading/orders/service.py
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from __future__ import annotations
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from decimal import Decimal, InvalidOperation
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from decimal import Decimal, InvalidOperation, ROUND_DOWN
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from src.core.config import load_settings
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from src.integrations.exchange.models import ExchangeSymbol
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from src.integrations.exchange.service import ExchangeService
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from src.storage.repositories.order_drafts import OrderDraftRepository
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from src.trading.journal.service import JournalService
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@@ -33,6 +36,30 @@ class OrderDraftsService:
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status="draft",
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)
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def get_entry_rules(self) -> dict[str, str | None]:
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validation = self.exchange.validate_symbol(self.settings.default_symbol)
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symbol_info = validation.symbol_info
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if symbol_info is None:
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return {
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"min_qty": None,
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"step_size": None,
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"min_notional": None,
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"tick_size": None,
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}
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min_qty = getattr(symbol_info, "min_qty", None)
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step_size = getattr(symbol_info, "step_size", None)
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min_notional = getattr(symbol_info, "min_notional", None)
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tick_size = getattr(symbol_info, "tick_size", None)
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return {
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"min_qty": str(min_qty) if min_qty not in (None, "") else None,
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"step_size": str(step_size) if step_size not in (None, "") else None,
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"min_notional": str(min_notional) if min_notional not in (None, "") else None,
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"tick_size": str(tick_size) if tick_size not in (None, "") else None,
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}
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def save_draft(self, draft: OrderDraft) -> None:
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validation = self.validate_draft(draft)
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if not validation.is_valid:
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@@ -101,6 +128,21 @@ class OrderDraftsService:
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if quantity is None or quantity <= 0:
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errors.append("Количество должно быть числом больше нуля.")
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symbol_info = symbol_validation.symbol_info
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if quantity is not None and quantity > 0 and symbol_info is not None:
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min_qty = self._to_decimal(getattr(symbol_info, "min_qty", None))
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if min_qty is not None and min_qty > 0 and quantity < min_qty:
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errors.append(
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f"Количество должно быть не меньше minQty = {getattr(symbol_info, 'min_qty', None)}."
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)
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step_size = self._to_decimal(getattr(symbol_info, "step_size", None))
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if step_size is not None and step_size > 0 and not self._fits_step(quantity, step_size):
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errors.append(
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f"Количество должно соответствовать шагу stepSize = {getattr(symbol_info, 'step_size', None)}."
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)
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if draft.order_type == "LIMIT":
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if not draft.price:
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errors.append("Для LIMIT ордера требуется цена.")
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@@ -109,25 +151,35 @@ class OrderDraftsService:
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if price is None or price <= 0:
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errors.append("Цена должна быть числом больше нуля.")
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else:
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tick_size = None
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if symbol_validation.symbol_info is not None:
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tick_size = symbol_validation.symbol_info.tick_size
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tick_size = self._to_decimal(getattr(symbol_info, "tick_size", None))
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if tick_size is not None and tick_size > 0:
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tick = Decimal(str(tick_size))
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if not self._fits_step(price, tick):
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if not self._fits_step(price, tick_size):
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errors.append(
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f"Цена должна соответствовать шагу tickSize = {tick_size}."
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f"Цена должна соответствовать шагу tickSize = {getattr(symbol_info, 'tick_size', None)}."
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)
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if quantity is not None and quantity > 0 and symbol_info is not None:
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reference_price = self._resolve_reference_price_for_validation(draft, symbol_info)
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if reference_price is not None:
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min_notional = self._to_decimal(getattr(symbol_info, "min_notional", None))
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if min_notional is not None and min_notional > 0:
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notional = quantity * reference_price
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if notional < min_notional:
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errors.append(
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f"Сумма ордера должна быть не меньше minNotional = {getattr(symbol_info, 'min_notional', None)}."
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)
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return OrderValidationResult(
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is_valid=len(errors) == 0,
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errors=errors,
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)
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def list_recent_drafts(self, limit: int = 5) -> list[dict[str, str]]:
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def list_recent_drafts(self, limit: int = 5) -> list[dict[str, str | int]]:
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return self.repository.list_recent_drafts(limit=limit)
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def get_draft_by_id(self, draft_id: str) -> dict[str, str] | None:
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return self.repository.get_draft_by_id(draft_id)
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def get_entry_context(self, *, side: str, order_type: str) -> OrderEntryContext:
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validation = self.exchange.validate_symbol(self.settings.default_symbol)
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if not validation.is_valid or validation.symbol_info is None:
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@@ -158,12 +210,11 @@ class OrderDraftsService:
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reference_price = float(market["bid_price"])
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max_qty = available_balance
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quantity_presets = [
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self._format_number(max_qty * 0.25),
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self._format_number(max_qty * 0.50),
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self._format_number(max_qty * 0.75),
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self._format_number(max_qty),
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]
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quantity_presets = self._build_quantity_presets(
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max_qty=max_qty,
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reference_price=reference_price,
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symbol_info=validation.symbol_info,
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)
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return OrderEntryContext(
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symbol=self.settings.default_symbol,
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@@ -178,6 +229,127 @@ class OrderDraftsService:
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quantity_presets=quantity_presets,
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)
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def validate_entry_quantity(
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self,
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*,
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side: str,
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order_type: str,
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quantity: str,
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price: str | None = None,
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) -> list[str]:
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errors: list[str] = []
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validation = self.exchange.validate_symbol(self.settings.default_symbol)
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if not validation.is_valid or validation.symbol_info is None:
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errors.append(validation.message)
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return errors
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symbol_info = validation.symbol_info
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quantity_dec = self._to_decimal(quantity)
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if quantity_dec is None or quantity_dec <= 0:
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errors.append("Количество должно быть числом больше нуля.")
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return errors
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min_qty = self._to_decimal(getattr(symbol_info, "min_qty", None))
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if min_qty is not None and min_qty > 0 and quantity_dec < min_qty:
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errors.append(
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f"Количество должно быть не меньше minQty = {getattr(symbol_info, 'min_qty', None)}."
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)
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step_size = self._to_decimal(getattr(symbol_info, "step_size", None))
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if step_size is not None and step_size > 0 and not self._fits_step(quantity_dec, step_size):
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errors.append(
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f"Количество должно соответствовать шагу stepSize = {getattr(symbol_info, 'step_size', None)}."
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)
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reference_price = self._resolve_reference_price_for_entry(
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side=side,
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order_type=order_type,
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price=price,
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)
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if reference_price is not None:
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min_notional = self._to_decimal(getattr(symbol_info, "min_notional", None))
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if min_notional is not None and min_notional > 0:
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notional = quantity_dec * reference_price
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if notional < min_notional:
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errors.append(
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f"Сумма ордера должна быть не меньше minNotional = {getattr(symbol_info, 'min_notional', None)}."
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)
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return errors
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def _build_quantity_presets(
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self,
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*,
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max_qty: float,
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reference_price: float,
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symbol_info: ExchangeSymbol,
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) -> list[str]:
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percents = [0.01, 0.05, 0.10, 0.25, 0.50, 1.00]
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max_qty_dec = self._to_decimal(max_qty)
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reference_price_dec = self._to_decimal(reference_price)
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if max_qty_dec is None or max_qty_dec <= 0:
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return []
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step_size = self._to_decimal(getattr(symbol_info, "step_size", None))
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min_qty = self._to_decimal(getattr(symbol_info, "min_qty", None))
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min_notional = self._to_decimal(getattr(symbol_info, "min_notional", None))
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result: list[str] = []
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seen: set[str] = set()
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for percent in percents:
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qty = max_qty_dec * Decimal(str(percent))
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qty = self._normalize_quantity_to_exchange_rules(
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quantity=qty,
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step_size=step_size,
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)
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if qty is None or qty <= 0:
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continue
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if min_qty is not None and min_qty > 0 and qty < min_qty:
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continue
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if reference_price_dec is not None and reference_price_dec > 0:
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if min_notional is not None and min_notional > 0:
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if qty * reference_price_dec < min_notional:
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continue
|
||||
|
||||
if qty > max_qty_dec:
|
||||
continue
|
||||
|
||||
text = self._format_decimal(qty)
|
||||
if text == "0" or text in seen:
|
||||
continue
|
||||
|
||||
seen.add(text)
|
||||
result.append(text)
|
||||
|
||||
if result:
|
||||
return result
|
||||
|
||||
fallback = self._normalize_quantity_to_exchange_rules(
|
||||
quantity=max_qty_dec,
|
||||
step_size=step_size,
|
||||
)
|
||||
if fallback is None or fallback <= 0:
|
||||
return []
|
||||
|
||||
if min_qty is not None and min_qty > 0 and fallback < min_qty:
|
||||
return []
|
||||
|
||||
if reference_price_dec is not None and reference_price_dec > 0:
|
||||
if min_notional is not None and min_notional > 0:
|
||||
if fallback * reference_price_dec < min_notional:
|
||||
return []
|
||||
|
||||
return [self._format_decimal(fallback)]
|
||||
|
||||
@staticmethod
|
||||
def normalize_side(raw: str) -> str | None:
|
||||
value = (raw or "").strip().upper()
|
||||
@@ -225,7 +397,13 @@ class OrderDraftsService:
|
||||
return text or "0"
|
||||
|
||||
@staticmethod
|
||||
def _to_decimal(value: str | None) -> Decimal | None:
|
||||
def _format_decimal(value: Decimal) -> str:
|
||||
text = f"{value:.8f}"
|
||||
text = text.rstrip("0").rstrip(".")
|
||||
return text or "0"
|
||||
|
||||
@staticmethod
|
||||
def _to_decimal(value: str | float | Decimal | None) -> Decimal | None:
|
||||
if value is None:
|
||||
return None
|
||||
try:
|
||||
@@ -238,4 +416,80 @@ class OrderDraftsService:
|
||||
if step <= 0:
|
||||
return True
|
||||
ratio = value / step
|
||||
return ratio == ratio.to_integral_value()
|
||||
return ratio == ratio.to_integral_value()
|
||||
|
||||
@staticmethod
|
||||
def _floor_to_step(value: Decimal, step: Decimal) -> Decimal:
|
||||
if step <= 0:
|
||||
return value
|
||||
ratio = (value / step).to_integral_value(rounding=ROUND_DOWN)
|
||||
return ratio * step
|
||||
|
||||
def _normalize_quantity_to_exchange_rules(
|
||||
self,
|
||||
*,
|
||||
quantity: Decimal,
|
||||
step_size: Decimal | None,
|
||||
) -> Decimal | None:
|
||||
if quantity <= 0:
|
||||
return None
|
||||
|
||||
if step_size is not None and step_size > 0:
|
||||
quantity = self._floor_to_step(quantity, step_size)
|
||||
|
||||
if quantity <= 0:
|
||||
return None
|
||||
|
||||
return quantity
|
||||
|
||||
def _resolve_reference_price_for_validation(
|
||||
self,
|
||||
draft: OrderDraft,
|
||||
symbol_info: ExchangeSymbol | None,
|
||||
) -> Decimal | None:
|
||||
price = self._to_decimal(draft.price)
|
||||
if price is not None and price > 0:
|
||||
return price
|
||||
|
||||
if symbol_info is None:
|
||||
return None
|
||||
|
||||
try:
|
||||
market = self.exchange.get_market_snapshot(draft.symbol)
|
||||
except Exception:
|
||||
return None
|
||||
|
||||
if draft.side.upper() == "BUY":
|
||||
return self._to_decimal(market.get("ask_price"))
|
||||
return self._to_decimal(market.get("bid_price"))
|
||||
|
||||
def _resolve_reference_price_for_entry(
|
||||
self,
|
||||
*,
|
||||
side: str,
|
||||
order_type: str,
|
||||
price: str | None = None,
|
||||
) -> Decimal | None:
|
||||
if order_type.upper() == "LIMIT":
|
||||
return self._to_decimal(price)
|
||||
|
||||
try:
|
||||
market = self.exchange.get_market_snapshot(self.settings.default_symbol)
|
||||
except Exception:
|
||||
return None
|
||||
|
||||
if side.upper() == "BUY":
|
||||
return self._to_decimal(market.get("ask_price"))
|
||||
return self._to_decimal(market.get("bid_price"))
|
||||
|
||||
def calculate_notional(self, quantity: str, price: str | None) -> float | None:
|
||||
q = self._to_decimal(quantity)
|
||||
p = self._to_decimal(price) if price else None
|
||||
|
||||
if q is None or p is None:
|
||||
return None
|
||||
|
||||
try:
|
||||
return float(q * p)
|
||||
except Exception:
|
||||
return None
|
||||
@@ -1,3 +1,5 @@
|
||||
# /app/src/trading/orders/states.py
|
||||
|
||||
from aiogram.fsm.state import State, StatesGroup
|
||||
|
||||
|
||||
@@ -6,3 +8,4 @@ class NewOrderDraftStates(StatesGroup):
|
||||
waiting_type = State()
|
||||
waiting_quantity = State()
|
||||
waiting_price = State()
|
||||
waiting_confirm = State()
|
||||
Reference in New Issue
Block a user