07.4.4.1.9.6.2 Momentum & Breakout Semantic Engine

app/src/trading/execution/engine.py

@@ -501,6 +501,9 @@ class ExecutionEngine:
         repeat_count = int(state.last_signal_repeat_count or 0)
         unrealized_pnl = 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)
+        signal = (state.last_signal or "").upper()
 
         if confidence < self._min_flip_confidence:
             return (
@@ -519,6 +522,19 @@ class ExecutionEngine:
                 "позиция открыта слишком недавно "
                 f"({hold_seconds}с < {self._min_flip_hold_seconds}с)"
             )
+        
+        if signal == "BUY" and momentum_direction == "DOWN":
+            return "momentum направлен против BUY сигнала"
+
+        if signal == "SELL" and momentum_direction == "UP":
+            return "momentum направлен против SELL сигнала"
+
+        if momentum_state in {"BREAKOUT_UP", "BREAKOUT_DOWN"}:
+            if confidence < 0.85:
+                return (
+                    "flip заблокирован во время breakout impulse "
+                    f"({confidence:.2f} < 0.85)"
+                )
 
         if unrealized_pnl < 0 and confidence < self._loss_flip_confidence:
             return (
@@ -711,6 +727,38 @@ class ExecutionEngine:
         elif market_phase in {"RANGE", "SQUEEZE"}:
             multiplier *= 0.7
 
+        momentum_state = getattr(state, "momentum_state", None)
+        momentum_direction = getattr(state, "momentum_direction", None)
+        momentum_strength = getattr(state, "momentum_strength", None)
+
+        signal = (state.last_signal or "").upper()
+
+        if momentum_state in {"BREAKOUT_UP", "BREAKOUT_DOWN"}:
+            multiplier *= 1.15
+
+        elif momentum_state in {"MOMENTUM_UP", "MOMENTUM_DOWN"}:
+            multiplier *= 1.05
+
+        if momentum_strength is not None:
+            try:
+                strength = float(momentum_strength)
+
+                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
+
+        if signal == "SELL":
+            if momentum_direction == "UP":
+                multiplier *= 0.75
+                
         execution_quality = getattr(state, "execution_quality", None)
         execution_quality_reason = getattr(state, "execution_quality_reason", None)
 
@@ -762,6 +810,9 @@ class ExecutionEngine:
             "market_trend_strength": getattr(state, "market_trend_strength", None),
             "market_trend_quality": getattr(state, "market_trend_quality", None),
             "market_phase": getattr(state, "market_phase", None),
+            "momentum_state": getattr(state, "momentum_state", None),
+            "momentum_direction": getattr(state, "momentum_direction", None),
+            "momentum_strength": getattr(state, "momentum_strength", None),
             "execution_quality": getattr(state, "execution_quality", None),
             "execution_quality_reason": getattr(state, "execution_quality_reason", None),
             "spread_percent": getattr(state, "spread_percent", None),