gitadmin/dzentra_bot
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

07.4.3.16 — Production Execution Pricing Layer

Browse Source
This commit is contained in:
Sergey
2026-05-09 13:08:29 +03:00
parent 71cf206e32
commit e97dcd372b
15 changed files with 1179 additions and 188 deletions
Download Patch File Download Diff File Expand all files Collapse all files

136
app/src/trading/execution/engine.py
View File

@@ -3,6 +3,7 @@
from __future__ import annotations
import math
from dataclasses import dataclass
from datetime import datetime
from src.core.event_bus import EventBus
@@ -13,6 +14,15 @@ from src.trading.journal.service import JournalService
from src.trading.position.state import PositionState
@dataclass(slots=True)
class _ExecutionPrice:
price: float
source: str
age_seconds: float | None
updated_at: str
pricing_role: str
class ExecutionEngine:
_position = PositionState()
_size_precision = 5
@@ -60,7 +70,8 @@ class ExecutionEngine:
return ExecutionDecision("NONE", False, "Позиция уже открыта.")
try:
entry_price = self._entry_price_for_side(state.symbol, side)
entry = self._entry_price_for_side(state.symbol, side)
entry_price = entry.price
except Exception as exc:
return ExecutionDecision("NONE", False, f"Не удалось получить цену для paper execution: {exc}")
@@ -116,6 +127,10 @@ class ExecutionEngine:
"reason": state.last_signal_reason,
"opened_at": now,
"pricing": "ask_for_long_bid_for_short",
"pricing_role": entry.pricing_role,
"price_source": entry.source,
"price_age_seconds": entry.age_seconds,
"price_updated_at": entry.updated_at,
}
JournalService().log_ui_info(
@@ -142,8 +157,10 @@ class ExecutionEngine:
return ExecutionDecision("NONE", False, "Нет направления для flip.")
try:
exit_price = self._exit_price_for_side(position.symbol or state.symbol, position.side)
new_entry_price = self._entry_price_for_side(state.symbol, new_side)
exit_execution = self._exit_price_for_side(position.symbol or state.symbol, position.side)
entry_execution = self._entry_price_for_side(state.symbol, new_side)
exit_price = exit_execution.price
new_entry_price = entry_execution.price
except Exception as exc:
return ExecutionDecision("NONE", False, f"Ошибка получения цены для flip: {exc}")
@@ -218,6 +235,14 @@ class ExecutionEngine:
"closed_at": now,
"new_opened_at": now,
"pricing": "exit_by_side_then_entry_by_side",
"exit_pricing_role": exit_execution.pricing_role,
"exit_price_source": exit_execution.source,
"exit_price_age_seconds": exit_execution.age_seconds,
"exit_price_updated_at": exit_execution.updated_at,
"entry_pricing_role": entry_execution.pricing_role,
"entry_price_source": entry_execution.source,
"entry_price_age_seconds": entry_execution.age_seconds,
"entry_price_updated_at": entry_execution.updated_at,
}
JournalService().log_ui_info(
@@ -243,6 +268,7 @@ class ExecutionEngine:
forced_reason: str | None = None,
forced_exit_price: float | None = None,
forced_pnl: float | None = None,
forced_price_meta: _ExecutionPrice | None = None,
) -> ExecutionDecision:
position = type(self)._position
@@ -252,9 +278,11 @@ class ExecutionEngine:
if forced_exit_price is not None:
exit_price = forced_exit_price
exit_execution = forced_price_meta
else:
try:
exit_price = self._exit_price_for_side(position.symbol or state.symbol, position.side)
exit_execution = self._exit_price_for_side(position.symbol or state.symbol, position.side)
exit_price = exit_execution.price
except Exception as exc:
return ExecutionDecision("NONE", False, f"Ошибка получения цены для закрытия: {exc}")
@@ -283,6 +311,10 @@ class ExecutionEngine:
"opened_at": position.opened_at,
"closed_at": now,
"pricing": "bid_for_long_exit_ask_for_short_exit",
"pricing_role": exit_execution.pricing_role if exit_execution else None,
"price_source": exit_execution.source if exit_execution else None,
"price_age_seconds": exit_execution.age_seconds if exit_execution else None,
"price_updated_at": exit_execution.updated_at if exit_execution else None,
}
JournalService().log_ui_info(
@@ -318,7 +350,8 @@ class ExecutionEngine:
return None
try:
current_price = self._exit_price_for_side(position.symbol or state.symbol, position.side)
current_execution = self._exit_price_for_side(position.symbol or state.symbol, position.side)
current_price = current_execution.price
except Exception:
return None
@@ -331,6 +364,7 @@ class ExecutionEngine:
forced_reason="MAX_LOSS",
forced_exit_price=current_price,
forced_pnl=unrealized_pnl,
forced_price_meta=current_execution,
)
if self._is_stop_loss_hit(state, price_move_percent):
@@ -339,6 +373,7 @@ class ExecutionEngine:
forced_reason="STOP_LOSS",
forced_exit_price=current_price,
forced_pnl=unrealized_pnl,
forced_price_meta=current_execution,
)
if self._is_take_profit_hit(state, price_move_percent):
@@ -347,6 +382,7 @@ class ExecutionEngine:
forced_reason="TAKE_PROFIT",
forced_exit_price=current_price,
forced_pnl=unrealized_pnl,
forced_price_meta=current_execution,
)
return None
@@ -412,7 +448,8 @@ class ExecutionEngine:
return
try:
current_price = self._exit_price_for_side(position.symbol or state.symbol, position.side)
current_execution = self._exit_price_for_side(position.symbol or state.symbol, position.side)
current_price = current_execution.price
except Exception:
self._sync_state_from_position(state)
return
@@ -438,7 +475,7 @@ class ExecutionEngine:
if price is None:
try:
price = self._signal_entry_price(state)
price = self._signal_entry_price(state).price
except Exception:
return 0.0
@@ -487,7 +524,7 @@ class ExecutionEngine:
state.execution_size_adjustment_reason = "MARGIN_LIMIT"
return self._round_size(max_size)
def _signal_entry_price(self, state: AutoTradeState) -> float:
def _signal_entry_price(self, state: AutoTradeState) -> _ExecutionPrice:
if state.last_signal == "BUY":
return self._entry_price_for_side(state.symbol, "LONG")
@@ -496,50 +533,83 @@ class ExecutionEngine:
return self._market_last_price(state.symbol)
def _entry_price_for_side(self, symbol: str, side: str) -> float:
snapshot = ExchangeService().get_market_snapshot(symbol)
def _entry_price_for_side(self, symbol: str, side: str) -> _ExecutionPrice:
snapshot = ExchangeService().get_execution_snapshot(symbol)
if side == "LONG":
return self._snapshot_price(snapshot, "ask_price", "last_price")
return _ExecutionPrice(
price=self._snapshot_price(snapshot.ask_price, "ask_price"),
source=snapshot.source,
age_seconds=snapshot.age_seconds,
updated_at=snapshot.updated_at,
pricing_role="LONG_ENTRY_ASK",
)
if side == "SHORT":
return self._snapshot_price(snapshot, "bid_price", "last_price")
return _ExecutionPrice(
price=self._snapshot_price(snapshot.bid_price, "bid_price"),
source=snapshot.source,
age_seconds=snapshot.age_seconds,
updated_at=snapshot.updated_at,
pricing_role="SHORT_ENTRY_BID",
)
return self._snapshot_price(snapshot, "last_price")
return _ExecutionPrice(
price=self._snapshot_price(snapshot.last_price, "last_price"),
source=snapshot.source,
age_seconds=snapshot.age_seconds,
updated_at=snapshot.updated_at,
pricing_role="ENTRY_LAST",
)
def _exit_price_for_side(self, symbol: str, side: str) -> float:
snapshot = ExchangeService().get_market_snapshot(symbol)
def _exit_price_for_side(self, symbol: str, side: str) -> _ExecutionPrice:
snapshot = ExchangeService().get_execution_snapshot(symbol)
if side == "LONG":
return self._snapshot_price(snapshot, "bid_price", "last_price")
return _ExecutionPrice(
price=self._snapshot_price(snapshot.bid_price, "bid_price"),
source=snapshot.source,
age_seconds=snapshot.age_seconds,
updated_at=snapshot.updated_at,
pricing_role="LONG_EXIT_BID",
)
if side == "SHORT":
return self._snapshot_price(snapshot, "ask_price", "last_price")
return _ExecutionPrice(
price=self._snapshot_price(snapshot.ask_price, "ask_price"),
source=snapshot.source,
age_seconds=snapshot.age_seconds,
updated_at=snapshot.updated_at,
pricing_role="SHORT_EXIT_ASK",
)
return self._snapshot_price(snapshot, "last_price")
return _ExecutionPrice(
price=self._snapshot_price(snapshot.last_price, "last_price"),
source=snapshot.source,
age_seconds=snapshot.age_seconds,
updated_at=snapshot.updated_at,
pricing_role="EXIT_LAST",
)
def _market_last_price(self, symbol: str) -> float:
snapshot = ExchangeService().get_market_snapshot(symbol)
return self._snapshot_price(snapshot, "last_price")
def _market_last_price(self, symbol: str) -> _ExecutionPrice:
snapshot = ExchangeService().get_execution_snapshot(symbol)
def _snapshot_price(
self,
snapshot: dict[str, object],
primary_key: str,
fallback_key: str | None = None,
) -> float:
raw_price = snapshot.get(primary_key)
if raw_price is None and fallback_key is not None:
raw_price = snapshot.get(fallback_key)
return _ExecutionPrice(
price=self._snapshot_price(snapshot.last_price, "last_price"),
source=snapshot.source,
age_seconds=snapshot.age_seconds,
updated_at=snapshot.updated_at,
pricing_role="MARKET_LAST",
)
def _snapshot_price(self, raw_price: object, name: str) -> float:
if raw_price is None:
raise ValueError(f"Market snapshot price '{primary_key}' is missing.")
raise ValueError(f"Execution snapshot price '{name}' is missing.")
price = float(raw_price)
if price <= 0:
raise ValueError(f"Market snapshot price '{primary_key}' is invalid: {price}")
raise ValueError(f"Execution snapshot price '{name}' is invalid: {price}")
return price