valentineus/overnight-trading-bot
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second version

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This commit is contained in:
Valentin Popov
2026-06-07 21:51:20 +00:00
parent 8e2d7efc32
commit 282c841e11
23 changed files with 869 additions and 151 deletions
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internal/app/app.go
+32 -26
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@@ -114,8 +114,9 @@ func Run(ctx context.Context, opts Options) error {
}
accountIDHash := accountHash(cfg.TInvest.AccountID)
recon := reconciliation.New(repo, gateway, cfg.TInvest.AccountID, accountIDHash).
WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours) * time.Hour).
WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec) * time.Second)
WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours)*time.Hour).
WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec)*time.Second).
WithCommissionPolicy(cfg.Commission.RequireZeroCommission, cfg.Commission.QuarantineOnNonZero, cfg.Risk.CommissionToleranceRUB)
diffs, err := recon.Run(ctx)
if err != nil {
return fmt.Errorf("pre-unhalt reconciliation: %w", err)
@@ -155,8 +156,9 @@ func Run(ctx context.Context, opts Options) error {
accountIDHash := accountHash(cfg.TInvest.AccountID)
recon := reconciliation.New(repo, gateway, cfg.TInvest.AccountID, accountIDHash).
WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours) * time.Hour).
WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec) * time.Second)
WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours)*time.Hour).
WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec)*time.Second).
WithCommissionPolicy(cfg.Commission.RequireZeroCommission, cfg.Commission.QuarantineOnNonZero, cfg.Risk.CommissionToleranceRUB)
sm := statemachine.New(repo, cfg.App.Mode)
if _, err := sm.Recover(ctx, recon); err != nil {
log.Warn("state recovery did not resume trading", "err", err)
@@ -201,7 +203,8 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
Start: cfg.Execution.ExitWindowStart,
End: cfg.Execution.ExitWindowEnd,
},
Location: cfg.Location,
IntervalVolumeLookback: 20,
Location: cfg.Location,
})
signalEngine := signalengine.New(signalengine.Config{
MinTStat60: cfg.Strategy.MinTStat60,
@@ -255,27 +258,30 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
Log: log,
}
return scheduler.New(clock, sm, scheduler.Config{
Mode: cfg.App.Mode,
Location: cfg.Location,
RollingLong: cfg.Strategy.RollingLong,
TickInterval: 30 * time.Second,
EntrySignalTime: cfg.Execution.EntrySignalTime,
EntryWindowStart: cfg.Execution.EntryWindowStart,
EntryWindowEnd: cfg.Execution.EntryWindowEnd,
NoNewEntryAfter: cfg.Execution.NoNewEntryAfter,
ExitWatchStart: cfg.Execution.ExitWatchStart,
ExitWindowStart: cfg.Execution.ExitWindowStart,
ExitWindowEnd: cfg.Execution.ExitWindowEnd,
HardExitDeadline: cfg.Execution.HardExitDeadline,
QuoteDepth: cfg.Execution.QuoteDepth,
MaxQuoteAge: time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second,
OrderPollInterval: time.Duration(cfg.Execution.OrderPollIntervalMS) * time.Millisecond,
PassiveImproveTicks: cfg.Execution.PassiveImproveTicks,
MaxEntryOrderAttempts: cfg.Execution.MaxEntryOrderAttempts,
MaxExitOrderAttempts: cfg.Execution.MaxExitOrderAttempts,
MinTimeToClose: time.Duration(cfg.Execution.MinTimeToCloseSec) * time.Second,
MaxClockDrift: time.Duration(cfg.Risk.MaxClockDriftSec) * time.Second,
APIOutageHalt: time.Duration(cfg.Risk.APIOutageHaltSec) * time.Second,
Mode: cfg.App.Mode,
Location: cfg.Location,
RollingLong: cfg.Strategy.RollingLong,
TickInterval: 30 * time.Second,
EntrySignalTime: cfg.Execution.EntrySignalTime,
EntryWindowStart: cfg.Execution.EntryWindowStart,
EntryWindowEnd: cfg.Execution.EntryWindowEnd,
NoNewEntryAfter: cfg.Execution.NoNewEntryAfter,
ExitWatchStart: cfg.Execution.ExitWatchStart,
ExitWindowStart: cfg.Execution.ExitWindowStart,
ExitWindowEnd: cfg.Execution.ExitWindowEnd,
HardExitDeadline: cfg.Execution.HardExitDeadline,
QuoteDepth: cfg.Execution.QuoteDepth,
MaxQuoteAge: time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second,
OrderPollInterval: time.Duration(cfg.Execution.OrderPollIntervalMS) * time.Millisecond,
PassiveImproveTicks: cfg.Execution.PassiveImproveTicks,
MaxEntryOrderAttempts: cfg.Execution.MaxEntryOrderAttempts,
MaxExitOrderAttempts: cfg.Execution.MaxExitOrderAttempts,
MinTimeToClose: time.Duration(cfg.Execution.MinTimeToCloseSec) * time.Second,
MaxClockDrift: time.Duration(cfg.Risk.MaxClockDriftSec) * time.Second,
APIOutageHalt: time.Duration(cfg.Risk.APIOutageHaltSec) * time.Second,
RequireZeroCommission: cfg.Commission.RequireZeroCommission,
QuarantineOnNonZero: cfg.Commission.QuarantineOnNonZero,
ReconciliationInterval: 5 * time.Minute,
}, services)
}