valentineus/overnight-trading-bot
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seventh version

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This commit is contained in:
Valentin Popov
2026-06-08 11:11:50 +00:00
parent 8a552dec56
commit ebea17b411
11 changed files with 511 additions and 138 deletions
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internal/scheduler/scheduler.go
+32 -5
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@@ -492,7 +492,7 @@ func (s *Scheduler) placeEntryOrders(ctx context.Context, now time.Time) error {
}
continue
}
pre, err := s.preTradeCheck(ctx, now, sig.InstrumentUID, portfolio, projectedOpenPositions, tradingStatus, book.ReceivedAt)
pre, err := s.preTradeCheck(ctx, now, sig.InstrumentUID, portfolio, projectedOpenPositions, false, tradingStatus, book.ReceivedAt)
if err != nil {
return err
}
@@ -567,7 +567,11 @@ func (s *Scheduler) monitorEntryOrders(ctx context.Context, now time.Time) error
return err
}
if monitored.FilledLots > order.FilledLots || monitored.Commission.GreaterThan(order.Commission) {
if err := s.recordEntryFill(ctx, instrument, monitored); err != nil {
fill := entryFillDelta(order, monitored)
if fill.FilledLots <= 0 && fill.Commission.IsZero() {
continue
}
if err := s.recordEntryFill(ctx, instrument, fill); err != nil {
return err
}
}
@@ -660,7 +664,7 @@ func (s *Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
if err != nil {
return err
}
pre, err := s.preTradeCheck(ctx, now, pos.InstrumentUID, portfolio, len(positionsList), tradingStatus, book.ReceivedAt)
pre, err := s.preTradeCheck(ctx, now, pos.InstrumentUID, portfolio, len(positionsList), true, tradingStatus, book.ReceivedAt)
if err != nil {
return err
}
@@ -1173,7 +1177,7 @@ func (s Scheduler) repostPreTradeCheck(ctx context.Context, now time.Time, order
if err != nil {
return err
}
pre, err := s.preTradeCheck(ctx, now, order.InstrumentUID, portfolio, len(openPositions), tradingStatus, book.ReceivedAt)
pre, err := s.preTradeCheck(ctx, now, order.InstrumentUID, portfolio, len(openPositions), order.Side == domain.SideSell, tradingStatus, book.ReceivedAt)
if err != nil {
return err
}
@@ -1194,7 +1198,7 @@ func (s Scheduler) checkEntryInstrumentBeforeOrder(instrument domain.Instrument,
return nil
}
func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, instrumentUID string, portfolio domain.Portfolio, openPositions int, tradingStatus domain.TradingStatus, quoteReceivedAt time.Time) (risk.PreTradeResult, error) {
func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, instrumentUID string, portfolio domain.Portfolio, openPositions int, closingPosition bool, tradingStatus domain.TradingStatus, quoteReceivedAt time.Time) (risk.PreTradeResult, error) {
metrics, err := s.riskMetrics(ctx, now, portfolio)
if err != nil {
if haltErr := s.halt(ctx, "database_unavailable", fmt.Sprintf("pre-trade risk metrics unavailable: %s", err), instrumentUID); haltErr != nil {
@@ -1209,6 +1213,7 @@ func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, instrumentU
result := s.svc.Risk.PreTradeCheck(risk.PreTradeInput{
Portfolio: portfolio,
OpenPositions: openPositions,
ClosingPosition: closingPosition,
DailyPnL: metrics.dailyPnL,
WeeklyPnL: metrics.weeklyPnL,
MonthlyDrawdownPct: metrics.monthlyDrawdownPct,
@@ -1509,6 +1514,28 @@ func (s Scheduler) logWarn(msg string, args ...any) {
}
}
func entryFillDelta(previous, current domain.Order) domain.Order {
fill := current
fill.FilledLots = current.FilledLots - previous.FilledLots
if fill.FilledLots < 0 {
fill.FilledLots = 0
}
fill.Commission = current.Commission.Sub(previous.Commission)
if fill.Commission.IsNegative() {
fill.Commission = decimal.Zero
}
if fill.FilledLots > 0 {
currentValue := current.AvgFillPrice.Mul(decimal.NewFromInt(current.FilledLots))
previousValue := previous.AvgFillPrice.Mul(decimal.NewFromInt(previous.FilledLots))
fill.AvgFillPrice = currentValue.Sub(previousValue).Div(decimal.NewFromInt(fill.FilledLots))
}
fill.QuantityLots = current.QuantityLots - previous.FilledLots
if fill.QuantityLots < 0 {
fill.QuantityLots = 0
}
return fill
}
func exitFillDelta(previous, current domain.Order) domain.Order {
fill := current
fill.FilledLots = current.FilledLots - previous.FilledLots