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Fix engine sizing, OR-FVG gap units, and runtime errors

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justin committed 2026-03-09 11:52:40 -07:00
1 parent 278c44aa9f
commit a6ae001e69
2 files changed
+22 -20
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alpaca_trader/engine.py
+17 -14
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@@ -163,6 +163,7 @@ BAR_TIMEFRAME = config.get("BAR_TIMEFRAME", "5Min")
RISK_PER_TRADE = float(config["RISK_PER_TRADE"])
SHORT_WINDOW = int(config["SHORT_WINDOW"])
LONG_WINDOW = int(config["LONG_WINDOW"])
ENABLE_SHORT_SELLING = bool(config.get("ENABLE_SHORT_SELLING", False))
STRATEGY_MODE = config.get("STRATEGY_MODE", "ma_crossover")
OR_FVG_ENABLED = bool(config.get("OR_FVG_ENABLED", False))
@@ -291,7 +292,6 @@ USE_200_SMA_FILTER = bool(config["USE_200_SMA_FILTER"])
REQUIRE_MACD_CONFIRMATION = bool(config["REQUIRE_MACD_CONFIRMATION"])
MIN_RISK_REWARD = float(config["MIN_RISK_REWARD"])
PULLBACK_PERCENTAGE = float(config["PULLBACK_PERCENTAGE"])
ENABLE_SHORT_SELLING = bool(config.get("ENABLE_SHORT_SELLING", False))
RSI_BUY_MAX = float(config.get("RSI_BUY_MAX", 55))
RSI_SELL_MIN = float(config.get("RSI_SELL_MIN", 45))
RSI_SELL_MAX = float(config.get("RSI_SELL_MAX", 70))
@@ -876,6 +876,10 @@ def calculate_position_size(equity, stop_loss, current_price):
if position_value > max_position:
position_value = max_position
debug_print(f"Position capped at 25% equity: ${position_value:.2f}")
if position_value < MIN_NOTIONAL:
position_value = MIN_NOTIONAL
debug_print(f"Position set to minimum: ${position_value:.2f}")
debug_print(f"Calculated position size: ${position_value:.2f}")
return position_value
class ORFVGState:
@@ -918,18 +922,18 @@ def detect_fair_value_gap(bars, min_gap_pct=0.05):
if bullish_gap:
gap_size = candle_3_low - candle_1_high
if candle_2_high > 0:
gap_pct = (gap_size / candle_2_high) * 100
gap_pct = gap_size / candle_2_high
if gap_pct >= min_gap_pct:
debug_print(f"Bullish FVG detected: gap={gap_size:.2f} ({gap_pct:.2f}%)")
debug_print(f"Bullish FVG detected: gap={gap_size:.2f} ({gap_pct*100:.2f}%)")
return "bullish", i + 2
bearish_gap = candle_3_high < candle_1_low
if bearish_gap:
gap_size = candle_1_low - candle_3_high
if candle_2_low > 0:
gap_pct = (gap_size / candle_2_low) * 100
gap_pct = gap_size / candle_2_low
if gap_pct >= min_gap_pct:
debug_print(f"Bearish FVG detected: gap={gap_size:.2f} ({gap_pct:.2f}%)")
debug_print(f"Bearish FVG detected: gap={gap_size:.2f} ({gap_pct*100:.2f}%)")
return "bearish", i + 2
return None, None
@@ -1060,12 +1064,6 @@ def or_fvg_signal_generator(symbol):
return signal, strength, stop_loss, position_type
if position_value < MIN_NOTIONAL:
position_value = MIN_NOTIONAL
debug_print(f"Position set to minimum: ${position_value:.2f}")
debug_print(f"Calculated position size: ${position_value:.2f}")
return position_value
def advanced_signal_generator(symbol):
debug_print(f"Generating signal for {symbol}")
bars = get_recent_bars(symbol, BARS_FOR_SIGNAL)
@@ -1161,7 +1159,11 @@ def advanced_signal_generator(symbol):
stop = 0
position_type = None
if regime == "trend":
effective_regime = regime
if regime in ("high_vol", "low_vol"):
effective_regime = "trend"
if effective_regime == "trend":
if short_ma > long_ma and rsi_val < RSI_BUY_MAX:
if REQUIRE_MA_CROSSOVER and not bullish_crossover:
debug_print("Bullish signal rejected: no recent crossover")
@@ -1190,7 +1192,7 @@ def advanced_signal_generator(symbol):
position_type = "short"
debug_print(f"SELL signal: strength={strength:.2f}, stop=${stop:.2f}")
elif regime == "range":
elif effective_regime == "range":
if current_price <= lower.iloc[-1] and rsi_val < RSI_RANGE_OVERSOLD:
if REQUIRE_CANDLE_PATTERN and not bullish_pattern:
debug_print("Range buy rejected: candle pattern required")
@@ -1226,7 +1228,7 @@ def scale_out_profit_taking(symbol, entry_price, current_price, stop_loss, posit
if entry_price <= 0:
debug_print("Invalid entry_price, skipping scale out")
return False
return False, None
if position_type == 'long':
profit_pct = ((current_price - entry_price) / entry_price) * 100
@@ -2034,3 +2036,4 @@ def run():
if __name__ == "__main__":
main()