feat(live): disaster-SL on-book con lifecycle completo (idempotente) nel loop di esecuzione
ensure_disaster_sl(): garantisce UN solo STOP_MARKET reduce_only a ~-30% coerente con la posizione, ad ogni run del loop, per asset: - flat -> cancella i bracket orfani; - long -> assicura lo stop (size = posizione, prezzo al tick); - gia' coerente (1 bracket, amount~=, stop entro 5%) -> lascia com'e' (niente churn ne' gap di protezione fra cancel e place). - deribit.py: open_orders (merge type all+trigger_all), disaster_stop_price. - execution.py: cancel_order + ensure_disaster_sl. - live_execute.py: gestione bracket ogni run, gated come l'esecuzione. Validato armato: flat -> disaster-SL 'flat' (cleanup), zero ordini. Test 28/28. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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@@ -15,7 +15,7 @@ from __future__ import annotations
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from dataclasses import dataclass
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from src.live.deribit import DeribitRead, notional_to_amount, quantize_price
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from src.live.deribit import DeribitRead, disaster_stop_price, notional_to_amount, quantize_price
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# Conto USDC -> perp LINEARE USDC (amount in base-coin). MAX_AMOUNT = TETTO HARD anti-fat-finger
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# (~$630/$430 su un conto ~$600): backstop sopra il sizing di TP01, non il sizing operativo (quello
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@@ -148,4 +148,38 @@ class DeribitTrader(DeribitRead):
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opp = "sell" if side_held == "buy" else "buy"
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return self._submit(instrument, opp, amount, reduce_only=True, label=label,
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order_type="stop_market", price=quantize_price(instrument, stop_price))
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# trade_history e' ereditato da DeribitRead (read-only)
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def cancel_order(self, order_id: str) -> dict:
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return self._unwrap(self._post("/mcp-deribit/tools/cancel_order", {"order_id": order_id})) or {}
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DISASTER_LABEL = "tp01-disaster"
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def ensure_disaster_sl(self, instrument: str, sl_pct: float) -> dict:
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"""Garantisce UN disaster-SL coerente con la posizione (lifecycle completo, idempotente):
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- flat -> cancella eventuali bracket orfani;
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- long -> assicura UN solo STOP_MARKET reduce_only a ~-sl_pct, size = posizione;
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- gia' coerente (1 bracket, amount~=, stop entro 5%) -> lascia com'e' (niente churn/gap)."""
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pos = self.position_usd(instrument)
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brackets = [o for o in self.open_orders(instrument) if (o.get("label") or "") == self.DISASTER_LABEL]
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if abs(pos) < FLAT_USD:
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for o in brackets:
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self.cancel_order(o.get("order_id"))
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return {"state": "flat", "cancelled": len(brackets)}
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mark = self.mark_price(instrument)
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long = pos > 0
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want_amount = notional_to_amount(instrument, abs(pos), price=mark)
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want_stop = disaster_stop_price(instrument, mark, sl_pct, long=long)
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if len(brackets) == 1:
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o = brackets[0]
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amt = float(o.get("amount") or 0)
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stp = float(o.get("trigger_price") or o.get("stop_price") or o.get("price") or 0)
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if want_amount and abs(amt - want_amount) < want_amount * 0.1 and stp > 0 \
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and abs(stp - want_stop) / want_stop < 0.05:
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return {"state": "ok", "stop": stp, "amount": amt}
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for o in brackets: # incoerente o multipli -> ricostruisci UN bracket
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self.cancel_order(o.get("order_id"))
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f = self.place_disaster_sl(instrument, "buy" if long else "sell", want_amount, want_stop,
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label=self.DISASTER_LABEL)
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return {"state": "placed" if f.verified else "place-failed", "stop": want_stop,
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"amount": want_amount, "notes": f.notes}
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# trade_history / open_orders ereditati da DeribitRead (read-only)
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