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