262 lines
11 KiB
Python
262 lines
11 KiB
Python
import time
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import logging
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import os
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import random
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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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self.current_order_id = None
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self.sl_order_id = None
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self.tp_order_id = None
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self.is_in_position = False
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def _call_with_retry(self, func, *args, **kwargs):
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"""Helper to call an API function with retries and jitter."""
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import random
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max_attempts = 5
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for attempt in range(max_attempts):
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try:
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return func(*args, **kwargs)
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except Exception as e:
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if '429' in str(e):
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wait = (2 ** attempt) + random.uniform(0.1, 1.0)
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logger.warning(f"Rate limited. Retrying in {wait:.1f}s...")
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time.sleep(wait)
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elif '400' in str(e) or '403' in str(e):
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# For 400/403, logging the body is crucial
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if hasattr(e, 'response') and e.response is not None:
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logger.error(f"API Error Body: {e.response.text}")
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raise e
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else:
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raise e
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raise Exception(f"Failed after {max_attempts} attempts")
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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 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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self.is_etp = False
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self.leverage = 1.0
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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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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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# 2. Position Sizing
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approx_price = params.get('current_price', params['entry_price'])
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if self.is_etp:
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# Sizing for ETP: Default to 1.0 share if price unknown, otherwise could fetch.
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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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# We must use round() to avoid 400 Bad Request
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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"Placing immediate {direction} market order for {ticker} (Qty: {quantity})...")
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try:
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order = self._call_with_retry(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"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 market order: {e}")
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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 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.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 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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return False
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try:
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positions = self._call_with_retry(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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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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except Exception as e:
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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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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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tp_qty = -quantity
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sl_qty = -quantity
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else:
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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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tp_price = round(tp_price, 2)
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sl_price = round(sl_price, 2)
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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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# Jitter before placing brackets to avoid 429
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time.sleep(random.uniform(0.5, 2.0))
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try:
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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._call_with_retry(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._call_with_retry(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 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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"""Checks if the SL or TP orders have been filled by the broker."""
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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('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._call_with_retry(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', 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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return True, "TP Hit", 0.0
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else:
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raise e
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if self.sl_order_id:
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try:
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sl_info = self._call_with_retry(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', 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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return True, "SL Hit", 0.0
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else:
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raise e
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except Exception as e:
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logger.error(f"Error checking exit status: {e}")
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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."""
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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._call_with_retry(self.client.cancel_order, self.current_order_id)
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except: pass
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if self.sl_order_id:
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try: self._call_with_retry(self.client.cancel_order, self.sl_order_id)
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except: pass
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if self.tp_order_id:
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try: self._call_with_retry(self.client.cancel_order, self.tp_order_id)
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except: pass
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exit_price = 0.0
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if self.is_in_position:
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try:
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# Portfolio check with retry and jitter
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positions = self._call_with_retry(self.client.get_all_open_positions)
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for pos in positions:
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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))
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if qty != 0:
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self._call_with_retry(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: {e}")
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self.is_in_position = False
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return exit_price
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