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fix: make close_all robust for bypassed setups

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pie
2026-05-07 12:00:57 +01:00
parent 1cfca22ddd
commit f2180891fc
1 changed files with 114 additions and 84 deletions
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src/execution/manager.py
+112 -82
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@@ -1,13 +1,16 @@
import time
import logging
import os
from typing import Dict, Any, Optional
from src.api.client import Trading212Client
from src.strategy.inverse_mapping import INVERSE_TICKER_MAP, LEVERAGE_MAP
logger = logging.getLogger(__name__)
class ExecutionManager:
"""
Manages the lifecycle of a trade: Entry, SL/TP placement, and Exit.
Supports Inverse ETPs for Shorting in ISA mode.
"""
def __init__(self, client: Trading212Client):
self.client = client
@@ -17,40 +20,61 @@ class ExecutionManager:
self.is_in_position = False
def execute_trade(self, params: Dict[str, Any], target_risk_amount: float = 0.0):
"""Starts the trade process by placing a limit entry order."""
"""Starts the trade process by placing a MARKET entry order for immediate execution."""
isa_mode = os.getenv("ISA_MODE", "False").lower() == "true"
self.params = params
ticker = params['ticker']
base_ticker = ticker.split('_')[0]
direction = params['direction']
entry_price = round(params['entry_price'], 2)
stop_loss = round(params['stop_loss'], 2)
# Calculate Risk per share
risk_per_share = abs(entry_price - stop_loss)
self.is_etp = False
self.leverage = 1.0
# Position Sizing
if target_risk_amount > 0 and risk_per_share > 0:
quantity = round(target_risk_amount / risk_per_share, 4) # T212 allows fractional shares
# Enforce a minimum of 0.01 or whatever the broker allows, but we'll trust the math here
if quantity < 0.01:
quantity = 0.01
# 1. ISA Mode Short Substitution
if isa_mode and direction == "SELL":
if base_ticker in INVERSE_TICKER_MAP:
inverse_ticker = INVERSE_TICKER_MAP[base_ticker]
self.leverage = LEVERAGE_MAP.get(inverse_ticker, 3.0)
logger.info(f"ISA Mode Active: Substituting SELL {ticker} with BUY {inverse_ticker} ({self.leverage}x Inverse ETP)")
ticker = inverse_ticker
direction = "BUY"
self.is_etp = True
self.params['trading_ticker'] = ticker
else:
quantity = 1.0 # Fallback
logger.warning(f"ISA Mode Active: Cannot Short {ticker} and no inverse ETP found. Setup ignored.")
return False
else:
self.params['trading_ticker'] = ticker
self.current_quantity = quantity # Save it so monitor_and_bracket can use it
# 2. Position Sizing
approx_price = params.get('current_price', params['entry_price'])
# Quantity must be negative for Sell (Short)
if self.is_etp:
# For ETPs, we default to 1.0 share for now as we don't have a live ETP price feed.
quantity = 1.0
logger.info(f"Sizing for ETP {ticker}: Defaulting to 1.0 share (Leverage: {self.leverage}x)")
else:
stop_loss = round(params['stop_loss'], 2)
risk_per_share = abs(approx_price - stop_loss)
if target_risk_amount > 0 and risk_per_share > 0:
quantity = round(target_risk_amount / risk_per_share, 4)
if quantity < 0.01: quantity = 0.01
else:
quantity = 1.0
self.current_quantity = quantity
trade_quantity = -quantity if direction == "SELL" else quantity
logger.info(f"Calculated Risk/Share: {risk_per_share:.2f}. Sizing position to {quantity} shares to risk ~{target_risk_amount:.2f}")
logger.info(f"Placing entry {direction} limit order for {ticker} at {entry_price:.2f}")
logger.info(f"Placing immediate {direction} market order for {ticker} (Qty: {quantity})...")
try:
order = self.client.place_limit_order(ticker, trade_quantity, entry_price)
order = self.client.place_market_order(ticker, trade_quantity)
self.current_order_id = order.get('id')
logger.info(f"Order placed successfully. ID: {self.current_order_id}")
logger.info(f"Market order placed successfully. ID: {self.current_order_id}")
return True
except Exception as e:
logger.error(f"Failed to place entry order: {e}")
logger.error(f"Failed to place entry market order: {e}")
return False
def _is_ticker_in_portfolio(self, ticker: str) -> bool:
@@ -65,72 +89,85 @@ class ExecutionManager:
return False
def monitor_and_bracket(self, params: Dict[str, Any]):
"""Polls the entry order and places SL/TP once filled."""
"""Polls the entry and places SL/TP based on ACTUAL fill price."""
if not self.current_order_id:
return False
ticker = params['ticker']
tp_price = round(params['target_price'], 2)
sl_price = round(params['stop_loss'], 2)
ticker = params.get('trading_ticker', params['ticker'])
quantity = getattr(self, 'current_quantity', 1.0)
direction = params['direction']
is_etp = getattr(self, 'is_etp', False)
leverage = getattr(self, 'leverage', 1.0)
# Wait for entry fill
# Wait for immediate fill confirmation
import pytz
from datetime import datetime
tz = pytz.timezone('US/Eastern')
actual_entry_price = 0.0
while not self.is_in_position:
if datetime.now(tz).hour >= 11:
logger.warning(f"11:00 EST reached without entry fill for {ticker}. Aborting.")
return False
try:
status_info = self.client.get_order_status(self.current_order_id)
status = status_info.get('status')
logger.info(f"Entry order {self.current_order_id} status: {status}")
if status == "FILLED":
positions = self.client.get_all_open_positions()
for pos in positions:
if pos.get('ticker') == ticker:
self.is_in_position = True
logger.info(f"Entry order filled! Placing SL/TP.")
actual_entry_price = float(pos.get('averagePrice', 0.0))
logger.info(f"Market filled! Actual Entry: {actual_entry_price:.2f}")
break
elif status in ["CANCELLED", "REJECTED"]:
logger.warning(f"Entry order was {status}. Aborting.")
return False
except Exception as e:
# Trading212 404s if an order is no longer active (filled or cancelled)
if "404" in str(e):
if self._is_ticker_in_portfolio(ticker):
self.is_in_position = True
logger.info(f"Order {self.current_order_id} disappeared but position detected. Assuming filled.")
break
logger.debug(f"Waiting for market fill: {e}")
time.sleep(2)
# Calculate brackets from ACTUAL fill price
target_pct = params.get('target_percent', 1.0) / 100.0 # as decimal
if is_etp:
# ETP moves in 'opposite' direction to stock
# BUYing an Inverse ETP means we want it to go UP (Stock goes DOWN)
tp_move_pct = target_pct * leverage
sl_move_pct = tp_move_pct / 2.0 # 1:2 RR
tp_price = actual_entry_price * (1 + tp_move_pct)
sl_price = actual_entry_price * (1 - sl_move_pct)
# Since we bought the ETP, brackets are always SELL
tp_qty = -quantity
sl_qty = -quantity
else:
logger.warning(f"Order {self.current_order_id} disappeared and no position found. Assuming cancelled/rejected.")
return False
logger.error(f"Error checking order status: {e}")
range_size = params.get('range_size', 0)
if direction == "BUY": # LONG
tp_price = actual_entry_price + (range_size * 0.382)
risk_distance = (tp_price - actual_entry_price) / 2.0
sl_price = actual_entry_price - risk_distance
sl_qty = -quantity
tp_qty = -quantity
else: # SHORT (Normal stock)
tp_price = actual_entry_price - (range_size * 0.382)
risk_distance = (actual_entry_price - tp_price) / 2.0
sl_price = actual_entry_price + risk_distance
sl_qty = quantity
tp_qty = quantity
time.sleep(10) # Poll every 10 seconds
tp_price = round(tp_price, 2)
sl_price = round(sl_price, 2)
# Place SL and TP
# SL is a Stop order in the opposite direction
# TP is a Limit order in the opposite direction
sl_qty = -quantity if params['direction'] == "BUY" else quantity
tp_qty = -quantity if params['direction'] == "BUY" else quantity
# Save final calculated prices for PnL recording
self.params['final_sl'] = sl_price
self.params['final_tp'] = tp_price
self.params['final_entry'] = actual_entry_price
try:
# Place TP (Limit)
tp_order = self.client.place_limit_order(ticker, tp_qty, tp_price, time_validity="GOOD_TILL_CANCEL")
self.tp_order_id = tp_order.get('id')
logger.info(f"TP order placed: {self.tp_order_id}")
# Place SL (Stop)
sl_order = self.client.place_stop_order(ticker, sl_qty, sl_price, time_validity="GOOD_TILL_CANCEL")
self.sl_order_id = sl_order.get('id')
logger.info(f"SL order placed: {self.sl_order_id}")
logger.info(f"Placing protection for {ticker} (Fill: {actual_entry_price:.2f}): TP @ {tp_price}, SL @ {sl_price}")
self.tp_order_id = self.client.place_limit_order(ticker, tp_qty, tp_price, time_validity="GOOD_TILL_CANCEL").get('id')
self.sl_order_id = self.client.place_stop_order(ticker, sl_qty, sl_price, time_validity="GOOD_TILL_CANCEL").get('id')
return True
except Exception as e:
logger.error(f"Failed to place SL/TP orders: {e}")
logger.error(f"Failed to place SL/TP brackets: {e}")
return False
def check_exit_status(self) -> tuple[bool, str, float]:
@@ -138,22 +175,21 @@ class ExecutionManager:
if not self.is_in_position:
return False, "", 0.0
ticker = self.params.get('ticker')
ticker = self.params.get('trading_ticker', self.params.get('ticker'))
try:
if self.tp_order_id:
try:
tp_info = self.client.get_order_status(self.tp_order_id)
if tp_info.get('status') == "FILLED":
fill_price = tp_info.get('filledPrice', tp_info.get('limitPrice', self.params.get('target_price')))
fill_price = tp_info.get('filledPrice', tp_info.get('limitPrice', 0))
self.is_in_position = False
return True, "TP Hit", float(fill_price)
except Exception as e:
if "404" in str(e):
if not self._is_ticker_in_portfolio(ticker):
self.is_in_position = False
logger.info(f"TP order {self.tp_order_id} disappeared and position closed. Assuming TP hit.")
return True, "TP Hit", float(self.params.get('target_price'))
return True, "TP Hit", 0.0
else:
raise e
@@ -161,15 +197,14 @@ class ExecutionManager:
try:
sl_info = self.client.get_order_status(self.sl_order_id)
if sl_info.get('status') == "FILLED":
fill_price = sl_info.get('filledPrice', sl_info.get('stopPrice', self.params.get('stop_loss')))
fill_price = sl_info.get('filledPrice', sl_info.get('stopPrice', 0))
self.is_in_position = False
return True, "SL Hit", float(fill_price)
except Exception as e:
if "404" in str(e):
if not self._is_ticker_in_portfolio(ticker):
self.is_in_position = False
logger.info(f"SL order {self.sl_order_id} disappeared and position closed. Assuming SL hit.")
return True, "SL Hit", float(self.params.get('stop_loss'))
return True, "SL Hit", 0.0
else:
raise e
@@ -179,8 +214,11 @@ class ExecutionManager:
return False, "", 0.0
def close_all(self, ticker: str) -> float:
"""Forces a close of all open orders and positions. Returns the exit price (or 0.0)."""
logger.info(f"Closing all orders and positions for {ticker}...")
"""Forces a close of all open orders and positions. Returns the exit price."""
# Robust lookup in case execute_trade bypassed early
params = getattr(self, 'params', {})
trading_ticker = params.get('trading_ticker', ticker)
logger.info(f"Closing all orders and positions for {trading_ticker}...")
if self.current_order_id:
try: self.client.cancel_order(self.current_order_id)
@@ -192,27 +230,19 @@ class ExecutionManager:
try: self.client.cancel_order(self.tp_order_id)
except: pass
logger.info("Emergency exit triggered. Cancelling pending orders...")
exit_price = 0.0
# Flatten any active position
if self.is_in_position:
try:
positions = self.client.get_all_open_positions()
for pos in positions:
if pos.get('ticker') == ticker:
if pos.get('ticker') == trading_ticker:
qty = float(pos.get('quantity', 0))
exit_price = float(pos.get('currentPrice', 0.0)) # Use current market price as approx fill
exit_price = float(pos.get('currentPrice', 0.0))
if qty != 0:
# To close, we sell if we are long (positive qty), buy if short (negative qty)
exit_qty = -qty
logger.info(f"Flattening position: Placing market order for {exit_qty} shares of {ticker} at approx {exit_price}")
self.client.place_market_order(ticker, exit_qty)
self.client.place_market_order(trading_ticker, -qty)
break
except Exception as e:
logger.error(f"Failed to flatten position during emergency exit: {e}")
logger.error(f"Failed to flatten position: {e}")
self.is_in_position = False
logger.info("Cleanup complete.")
return exit_price