916 lines
41 KiB
Python
916 lines
41 KiB
Python
import os
|
||
import sys
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import logging
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import json
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import time
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from datetime import datetime, timedelta
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from pathlib import Path
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from dotenv import load_dotenv
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import pandas as pd
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import numpy as np
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import pytz
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||
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from .api import AlpacaClient
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from .indicators import sma, ema, rsi, atr, adx, macd, bollinger
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from .filters import check_volume, check_candle_pattern, check_macd_confirmation, check_200_sma_filter, detect_market_regime, get_vix
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from .filters import check_multiframe_confluence
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from .utils import EASTERN, seconds_to_human_readable
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SCRIPT_DIR = Path(__file__).parent
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LOG_PATH = SCRIPT_DIR / "trading.log"
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DEBUG_LOG_PATH = SCRIPT_DIR / "debug.log"
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logging.basicConfig(
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level=logging.INFO,
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format='%(asctime)s - %(levelname)s - %(message)s',
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handlers=[
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logging.FileHandler(LOG_PATH, mode='a'),
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logging.StreamHandler(sys.stdout)
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]
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)
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logger = logging.getLogger(__name__)
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debug_logger = logging.getLogger('debug')
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debug_logger.setLevel(logging.DEBUG)
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debug_handler = logging.FileHandler(DEBUG_LOG_PATH, mode='a')
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debug_handler.setFormatter(logging.Formatter('%(asctime)s - %(levelname)s - %(message)s'))
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debug_logger.addHandler(debug_handler)
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debug_logger.propagate = False
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CONFIG_PATH = SCRIPT_DIR / "config.json"
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ENV_PATH = SCRIPT_DIR / ".env"
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DEFAULT_CONFIG = {
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"DEBUG_MODE": True,
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"SYMBOL": "SPY",
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||
"BAR_TIMEFRAME": "5Min",
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||
"RISK_PER_TRADE": 0.01,
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||
"SHORT_WINDOW": 10,
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||
"LONG_WINDOW": 30,
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||
"MIN_NOTIONAL": 1.0,
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||
"POLL_INTERVAL": 60,
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||
"MAX_DRAWDOWN": 0.08,
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||
"PDT_RULE": True,
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||
"USE_TRAILING_STOP": True,
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||
"PROFIT_TARGET_1": 2.0,
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||
"PROFIT_TARGET_2": 4.0,
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||
"VOLATILITY_ADJUSTMENT": True,
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||
"MARKET_HOURS_FILTER": False,
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||
"ENABLE_SLIPPAGE": True,
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||
"SLIPPAGE_PCT": 0.0005,
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||
"COMMISSION_PCT": 0.0005,
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||
"MIN_SIGNAL_STRENGTH": 0.3,
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||
"BACKTEST_DAYS": 90,
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||
"USE_LIMIT_ORDERS": False,
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||
"LIMIT_ORDER_TIMEOUT": 60,
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||
"ADX_THRESHOLD": 25,
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"VOLUME_MULTIPLIER": 0.5,
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"ATR_STOP_MULTIPLIER": 2.0,
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"MAX_HOLD_TIME": 3600,
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"REGIME_DETECTION": True,
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"MULTIFRAME_FILTER": False,
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"BB_WINDOW": 20,
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"BB_STD": 2.0,
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"USE_EMA": True,
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"REQUIRE_CANDLE_PATTERN": False,
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"USE_PIVOT_POINTS": False,
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"VIX_THRESHOLD": 30,
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"USE_VIX_FILTER": False,
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"USE_FIBONACCI": False,
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"MAX_TRADES_PER_DAY": 5,
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"SKIP_MONDAYS_FRIDAYS": False,
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||
"USE_200_SMA_FILTER": False,
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"REQUIRE_MACD_CONFIRMATION": False,
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||
"MIN_RISK_REWARD": 2.0,
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"PULLBACK_PERCENTAGE": 0.382,
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"ENABLE_SHORT_SELLING": True,
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"RSI_BUY_MAX": 55,
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"RSI_SELL_MIN": 45,
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"RSI_SELL_MAX": 70,
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"RSI_RANGE_OVERSOLD": 30,
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"RSI_RANGE_OVERBOUGHT": 70,
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"REQUIRE_MA_CROSSOVER": True,
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"CROSSOVER_LOOKBACK": 5
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}
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if not ENV_PATH.exists():
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placeholder = (
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'APCA_API_KEY_ID="YOUR_REAL_KEY_ID"\n'
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'APCA_API_SECRET_KEY="YOUR_REAL_SECRET_KEY"\n'
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'APCA_API_BASE_URL="https://paper-api.alpaca.markets"\n'
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)
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with open(ENV_PATH, "w") as f:
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f.write(placeholder)
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load_dotenv(ENV_PATH)
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logger.warning("⚠️ .env file was missing – a placeholder has been created at:")
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logger.warning(f" {ENV_PATH}")
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logger.warning(" Edit this file and replace the placeholder values with your real Alpaca API credentials.")
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logger.warning(' Example lines to replace:')
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logger.warning(' APCA_API_KEY_ID="YOUR_REAL_KEY_ID"')
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logger.warning(' APCA_API_SECRET_KEY="YOUR_REAL_SECRET_KEY"')
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logger.warning(' After editing, restart the script.')
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sys.exit(1)
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else:
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load_dotenv(ENV_PATH)
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if CONFIG_PATH.exists():
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try:
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with open(CONFIG_PATH, "r") as f:
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config = json.load(f)
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except json.JSONDecodeError:
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print("⚠️ config.json is invalid – recreating with defaults")
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config = DEFAULT_CONFIG.copy()
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with open(CONFIG_PATH, "w") as f:
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json.dump(DEFAULT_CONFIG, f, indent=4)
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else:
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with open(CONFIG_PATH, "w") as f:
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json.dump(DEFAULT_CONFIG, f, indent=4)
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config = DEFAULT_CONFIG.copy()
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print(f"✅ Created default config file at {CONFIG_PATH}")
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DEBUG_MODE = bool(config.get("DEBUG_MODE", False))
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SYMBOL = config["SYMBOL"]
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BAR_TIMEFRAME = config.get("BAR_TIMEFRAME", "5Min")
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RISK_PER_TRADE = float(config["RISK_PER_TRADE"])
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SHORT_WINDOW = int(config["SHORT_WINDOW"])
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LONG_WINDOW = int(config["LONG_WINDOW"])
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if SHORT_WINDOW >= LONG_WINDOW:
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logger.error(f"⚠️ Configuration error: SHORT_WINDOW ({SHORT_WINDOW}) must be less than LONG_WINDOW ({LONG_WINDOW})")
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sys.exit(1)
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try:
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test_client = AlpacaClient(
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os.getenv("APCA_API_KEY_ID"),
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os.getenv("APCA_API_SECRET_KEY"),
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os.getenv("APCA_API_BASE_URL", "https://paper-api.alpaca.markets"),
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api_version="v2"
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)
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test_client.get_account()
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logger.info("✅ API credentials validated")
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except Exception as e:
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logger.error(f"⚠️ Invalid API credentials: {e}")
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logger.error(" Please check your .env file and ensure your Alpaca API keys are correct")
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sys.exit(1)
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MIN_NOTIONAL = float(config["MIN_NOTIONAL"])
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POLL_INTERVAL = int(config["POLL_INTERVAL"])
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MAX_DRAWDOWN = float(config["MAX_DRAWDOWN"])
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PDT_RULE = bool(config["PDT_RULE"])
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USE_TRAILING_STOP = bool(config["USE_TRAILING_STOP"])
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PROFIT_TARGET_1 = float(config["PROFIT_TARGET_1"])
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PROFIT_TARGET_2 = float(config["PROFIT_TARGET_2"])
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VOLATILITY_ADJUSTMENT = bool(config["VOLATILITY_ADJUSTMENT"])
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MARKET_HOURS_FILTER = bool(config["MARKET_HOURS_FILTER"])
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ENABLE_SLIPPAGE = bool(config["ENABLE_SLIPPAGE"])
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SLIPPAGE_PCT = float(config["SLIPPAGE_PCT"])
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COMMISSION_PCT = float(config["COMMISSION_PCT"])
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MIN_SIGNAL_STRENGTH = float(config["MIN_SIGNAL_STRENGTH"])
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BACKTEST_DAYS = int(config["BACKTEST_DAYS"])
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USE_LIMIT_ORDERS = bool(config["USE_LIMIT_ORDERS"])
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LIMIT_ORDER_TIMEOUT = int(config["LIMIT_ORDER_TIMEOUT"])
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ADX_THRESHOLD = float(config["ADX_THRESHOLD"])
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VOLUME_MULTIPLIER = float(config["VOLUME_MULTIPLIER"])
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ATR_STOP_MULTIPLIER = float(config["ATR_STOP_MULTIPLIER"])
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MAX_HOLD_TIME = int(config["MAX_HOLD_TIME"])
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REGIME_DETECTION = bool(config["REGIME_DETECTION"])
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MULTIFRAME_FILTER = bool(config["MULTIFRAME_FILTER"])
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BB_WINDOW = int(config["BB_WINDOW"])
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BB_STD = float(config["BB_STD"])
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USE_EMA = bool(config["USE_EMA"])
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REQUIRE_CANDLE_PATTERN = bool(config["REQUIRE_CANDLE_PATTERN"])
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USE_PIVOT_POINTS = bool(config["USE_PIVOT_POINTS"])
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VIX_THRESHOLD = float(config["VIX_THRESHOLD"])
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USE_VIX_FILTER = bool(config["USE_VIX_FILTER"])
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USE_FIBONACCI = bool(config["USE_FIBONACCI"])
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MAX_TRADES_PER_DAY = int(config["MAX_TRADES_PER_DAY"])
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SKIP_MONDAYS_FRIDAYS = bool(config["SKIP_MONDAYS_FRIDAYS"])
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USE_200_SMA_FILTER = bool(config["USE_200_SMA_FILTER"])
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REQUIRE_MACD_CONFIRMATION = bool(config["REQUIRE_MACD_CONFIRMATION"])
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MIN_RISK_REWARD = float(config["MIN_RISK_REWARD"])
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PULLBACK_PERCENTAGE = float(config["PULLBACK_PERCENTAGE"])
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ENABLE_SHORT_SELLING = bool(config.get("ENABLE_SHORT_SELLING", False))
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RSI_BUY_MAX = float(config.get("RSI_BUY_MAX", 55))
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RSI_SELL_MIN = float(config.get("RSI_SELL_MIN", 45))
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RSI_SELL_MAX = float(config.get("RSI_SELL_MAX", 70))
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RSI_RANGE_OVERSOLD = float(config.get("RSI_RANGE_OVERSOLD", 30))
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RSI_RANGE_OVERBOUGHT = float(config.get("RSI_RANGE_OVERBOUGHT", 70))
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REQUIRE_MA_CROSSOVER = bool(config.get("REQUIRE_MA_CROSSOVER", True))
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CROSSOVER_LOOKBACK = int(config.get("CROSSOVER_LOOKBACK", 5))
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api = AlpacaClient(
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os.getenv('APCA_API_KEY_ID'),
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os.getenv('APCA_API_SECRET_KEY'),
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os.getenv('APCA_API_BASE_URL'),
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api_version='v2'
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)
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class SignalState:
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def __init__(self):
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self.last_bullish_crossover_bar = -999
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self.last_bearish_crossover_bar = -999
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def reset(self):
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self.last_bullish_crossover_bar = -999
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self.last_bearish_crossover_bar = -999
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signal_state = SignalState()
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def debug_print(message):
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if DEBUG_MODE:
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debug_logger.debug(f"🔎 {message}")
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print(f"{datetime.now(EASTERN).strftime('%Y-%m-%d %H:%M:%S,%f')[:-3]} - DEBUG - 🔎 {message}", flush=True)
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def fetch_equity():
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debug_print("Fetching account equity")
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account = api.get_account()
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equity = float(account.equity)
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debug_print(f"Current equity: ${equity:.2f}")
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return equity
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def fetch_buying_power():
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debug_print("Fetching buying power")
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account = api.get_account()
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bp = float(account.buying_power)
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debug_print(f"Buying power: ${bp:.2f}")
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return bp
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def get_recent_bars(symbol, limit=100):
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debug_print(f"Fetching {limit} bars for {symbol} ({BAR_TIMEFRAME})")
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try:
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bars = api.get_bars(symbol, BAR_TIMEFRAME, limit=limit)
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if bars is None or len(bars) == 0:
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debug_print(f"No bars returned for {symbol}")
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return None
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debug_print(f"Retrieved {len(bars)} bars")
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return bars
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||
except Exception as e:
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logger.error(f"Error fetching bars: {e}")
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debug_print(f"Error fetching bars: {e}")
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||
return None
|
||
|
||
def current_position_qty(symbol):
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debug_print(f"Checking position for {symbol}")
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||
try:
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positions = api.list_positions()
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||
for pos in positions:
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if pos.symbol == symbol:
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||
qty = float(pos.qty)
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debug_print(f"Found position: {qty} shares")
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||
return qty
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||
debug_print("No position found")
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||
return 0
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||
except Exception as e:
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||
debug_print(f"Error checking position: {e}")
|
||
return 0
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||
|
||
def close_all_positions():
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||
debug_print("Closing all positions")
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||
try:
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||
api.close_all_positions()
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logger.info("✅ All positions closed")
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||
debug_print("All positions closed successfully")
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||
except Exception as e:
|
||
logger.error(f"Error closing positions: {e}")
|
||
debug_print(f"Error closing positions: {e}")
|
||
|
||
def get_bid_ask(symbol):
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||
debug_print(f"Getting bid/ask for {symbol}")
|
||
try:
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||
quote = api.get_latest_quote(symbol)
|
||
bid = float(quote.bid_price)
|
||
ask = float(quote.ask_price)
|
||
debug_print(f"Bid: ${bid:.2f}, Ask: ${ask:.2f}")
|
||
return bid, ask
|
||
except Exception as e:
|
||
logger.error(f"Error getting quote: {e}")
|
||
debug_print(f"Error getting quote: {e}")
|
||
return None, None
|
||
|
||
def submit_market_buy(symbol, position_size):
|
||
debug_print(f"Submitting market buy order: {symbol}, size=${position_size:.2f}")
|
||
try:
|
||
execution_price = api.place_order(symbol, "buy", position_size, None, LIMIT_ORDER_TIMEOUT)
|
||
if execution_price:
|
||
logger.info(f"🟢 BUY {symbol} @ ${execution_price:.2f}")
|
||
debug_print(f"Buy order filled @ ${execution_price:.2f}")
|
||
return execution_price
|
||
except Exception as e:
|
||
logger.error(f"Buy order failed: {e}")
|
||
debug_print(f"Buy order failed: {e}")
|
||
return None
|
||
|
||
def submit_market_sell(symbol, qty):
|
||
debug_print(f"Submitting market sell order: {symbol}, qty={qty}")
|
||
try:
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||
shares = int(qty)
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order = api.submit_order(symbol=symbol, qty=shares, side="sell", type="market", time_in_force="day")
|
||
status = api.get_order(order.id)
|
||
while status.status not in {"filled", "cancelled", "expired", "rejected"}:
|
||
time.sleep(0.5)
|
||
status = api.get_order(order.id)
|
||
if status.status == "filled":
|
||
price = float(status.filled_avg_price)
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||
logger.info(f"🔴 SELL {symbol} @ ${price:.2f}")
|
||
debug_print(f"Sell order filled @ ${price:.2f}")
|
||
return price
|
||
except Exception as e:
|
||
logger.error(f"Sell order failed: {e}")
|
||
debug_print(f"Sell order failed: {e}")
|
||
return None
|
||
|
||
def submit_limit_buy(symbol, position_size, limit_price):
|
||
debug_print(f"Submitting limit buy: {symbol}, size=${position_size:.2f}, limit=${limit_price:.2f}")
|
||
try:
|
||
execution_price = api.place_order(symbol, "buy", position_size, limit_price, LIMIT_ORDER_TIMEOUT)
|
||
if execution_price:
|
||
logger.info(f"🟢 BUY {symbol} @ ${execution_price:.2f}")
|
||
debug_print(f"Limit buy filled @ ${execution_price:.2f}")
|
||
else:
|
||
debug_print("Limit order timeout, attempting market order")
|
||
execution_price = api.place_order(symbol, "buy", position_size, None, LIMIT_ORDER_TIMEOUT)
|
||
if execution_price:
|
||
logger.info(f"🟢 BUY {symbol} @ ${execution_price:.2f} (market)")
|
||
debug_print(f"Market buy filled @ ${execution_price:.2f}")
|
||
return execution_price
|
||
except Exception as e:
|
||
logger.error(f"Buy order failed: {e}")
|
||
debug_print(f"Buy order failed: {e}")
|
||
return None
|
||
|
||
def submit_short_sell(symbol, position_size):
|
||
debug_print(f"Submitting short sell: {symbol}, size=${position_size:.2f}")
|
||
try:
|
||
execution_price = api.place_order(symbol, "sell", position_size, None, LIMIT_ORDER_TIMEOUT)
|
||
if execution_price:
|
||
logger.info(f"🔴 SHORT {symbol} @ ${execution_price:.2f}")
|
||
debug_print(f"Short sell filled @ ${execution_price:.2f}")
|
||
return execution_price
|
||
except Exception as e:
|
||
logger.error(f"Short sell failed: {e}")
|
||
debug_print(f"Short sell failed: {e}")
|
||
return None
|
||
|
||
def submit_limit_short_sell(symbol, position_size, limit_price):
|
||
debug_print(f"Submitting limit short: {symbol}, size=${position_size:.2f}, limit=${limit_price:.2f}")
|
||
try:
|
||
execution_price = api.place_order(symbol, "sell", position_size, limit_price, LIMIT_ORDER_TIMEOUT)
|
||
if execution_price:
|
||
logger.info(f"🔴 SHORT {symbol} @ ${execution_price:.2f}")
|
||
debug_print(f"Limit short filled @ ${execution_price:.2f}")
|
||
else:
|
||
debug_print("Limit order timeout, attempting market order")
|
||
execution_price = api.place_order(symbol, "sell", position_size, None, LIMIT_ORDER_TIMEOUT)
|
||
if execution_price:
|
||
logger.info(f"🔴 SHORT {symbol} @ ${execution_price:.2f} (market)")
|
||
debug_print(f"Market short filled @ ${execution_price:.2f}")
|
||
return execution_price
|
||
except Exception as e:
|
||
logger.error(f"Short sell failed: {e}")
|
||
debug_print(f"Short sell failed: {e}")
|
||
return None
|
||
|
||
def submit_buy_to_cover(symbol, qty):
|
||
debug_print(f"Submitting buy to cover: {symbol}, qty={qty}")
|
||
try:
|
||
shares = int(qty)
|
||
order = api.submit_order(symbol=symbol, qty=shares, side="buy", type="market", time_in_force="day")
|
||
status = api.get_order(order.id)
|
||
while status.status not in {"filled", "cancelled", "expired", "rejected"}:
|
||
time.sleep(0.5)
|
||
status = api.get_order(order.id)
|
||
if status.status == "filled":
|
||
price = float(status.filled_avg_price)
|
||
logger.info(f"🟢 COVER {symbol} @ ${price:.2f}")
|
||
debug_print(f"Buy to cover filled @ ${price:.2f}")
|
||
return price
|
||
except Exception as e:
|
||
logger.error(f"Buy to cover failed: {e}")
|
||
debug_print(f"Buy to cover failed: {e}")
|
||
return None
|
||
|
||
def calculate_position_size(equity, stop_loss, current_price):
|
||
debug_print(f"Calculating position size: equity=${equity:.2f}, stop=${stop_loss:.2f}, price=${current_price:.2f}")
|
||
risk_amount = equity * RISK_PER_TRADE
|
||
price_risk = abs(current_price - stop_loss)
|
||
if price_risk == 0:
|
||
debug_print("Price risk is zero, returning MIN_NOTIONAL")
|
||
return MIN_NOTIONAL
|
||
shares = risk_amount / price_risk
|
||
position_value = shares * current_price
|
||
max_position = equity * 0.25
|
||
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
|
||
|
||
def advanced_signal_generator(symbol):
|
||
debug_print(f"Generating signal for {symbol}")
|
||
bars = get_recent_bars(symbol, 200)
|
||
if bars is None or len(bars) < LONG_WINDOW:
|
||
debug_print("Insufficient data for signal generation")
|
||
return None, 0, 0, None
|
||
|
||
closes = bars['close']
|
||
highs = bars['high']
|
||
lows = bars['low']
|
||
current_price = closes.iloc[-1]
|
||
|
||
debug_print("Calculating indicators...")
|
||
if USE_EMA:
|
||
short_ma_series = ema(closes, SHORT_WINDOW)
|
||
long_ma_series = ema(closes, LONG_WINDOW)
|
||
short_ma = short_ma_series.iloc[-1]
|
||
long_ma = long_ma_series.iloc[-1]
|
||
else:
|
||
short_ma_series = sma(closes, SHORT_WINDOW)
|
||
long_ma_series = sma(closes, LONG_WINDOW)
|
||
short_ma = short_ma_series.iloc[-1]
|
||
long_ma = long_ma_series.iloc[-1]
|
||
|
||
bullish_crossover = False
|
||
bearish_crossover = False
|
||
|
||
if REQUIRE_MA_CROSSOVER and len(bars) >= LONG_WINDOW + CROSSOVER_LOOKBACK:
|
||
current_bar_index = len(bars) - 1
|
||
|
||
for i in range(1, CROSSOVER_LOOKBACK + 1):
|
||
bar_index = current_bar_index - i
|
||
if short_ma_series.iloc[-i-1] <= long_ma_series.iloc[-i-1] and short_ma_series.iloc[-i] > long_ma_series.iloc[-i]:
|
||
if bar_index > signal_state.last_bullish_crossover_bar:
|
||
bullish_crossover = True
|
||
signal_state.last_bullish_crossover_bar = bar_index
|
||
debug_print(f"Bullish crossover detected {i} bars ago")
|
||
break
|
||
|
||
for i in range(1, CROSSOVER_LOOKBACK + 1):
|
||
bar_index = current_bar_index - i
|
||
if short_ma_series.iloc[-i-1] >= long_ma_series.iloc[-i-1] and short_ma_series.iloc[-i] < long_ma_series.iloc[-i]:
|
||
if bar_index > signal_state.last_bearish_crossover_bar:
|
||
bearish_crossover = True
|
||
signal_state.last_bearish_crossover_bar = bar_index
|
||
debug_print(f"Bearish crossover detected {i} bars ago")
|
||
break
|
||
|
||
rsi_val = rsi(closes, 14).iloc[-1]
|
||
adx_val = adx(highs, lows, closes).iloc[-1]
|
||
atr_val = atr(highs, lows, closes).iloc[-1]
|
||
upper, middle, lower = bollinger(closes, BB_WINDOW, BB_STD)
|
||
|
||
debug_print(f"Indicators: MA_short={short_ma:.2f}, MA_long={long_ma:.2f}, RSI={rsi_val:.1f}, ADX={adx_val:.1f}")
|
||
|
||
vix_level = get_vix(api, SYMBOL, USE_VIX_FILTER)
|
||
if USE_VIX_FILTER and vix_level > VIX_THRESHOLD:
|
||
debug_print(f"VIX filter triggered: {vix_level:.1f} > {VIX_THRESHOLD}")
|
||
return None, 0, 0, None
|
||
|
||
if not check_volume(bars, VOLUME_MULTIPLIER):
|
||
debug_print("Volume filter failed")
|
||
return None, 0, 0, None
|
||
|
||
bullish_pattern, bearish_pattern = check_candle_pattern(bars)
|
||
macd_signal = check_macd_confirmation(bars)
|
||
multiframe_trend = check_multiframe_confluence(SYMBOL, USE_EMA, api) if MULTIFRAME_FILTER else "neutral"
|
||
regime = detect_market_regime(bars, ADX_THRESHOLD) if REGIME_DETECTION else "trend"
|
||
|
||
debug_print(f"Filters: regime={regime}, multiframe={multiframe_trend}, macd={macd_signal}")
|
||
|
||
signal = None
|
||
strength = 0
|
||
stop = 0
|
||
position_type = None
|
||
|
||
if 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")
|
||
elif REQUIRE_CANDLE_PATTERN and not bullish_pattern:
|
||
debug_print("Bullish signal rejected: candle pattern required")
|
||
elif REQUIRE_MACD_CONFIRMATION and macd_signal != "bullish":
|
||
debug_print("Bullish signal rejected: MACD confirmation required")
|
||
else:
|
||
signal = "buy"
|
||
strength = min(1.0, (adx_val / 40) * 0.7 + 0.3)
|
||
stop = current_price - atr_val * ATR_STOP_MULTIPLIER
|
||
position_type = "long"
|
||
debug_print(f"BUY signal: strength={strength:.2f}, stop=${stop:.2f}")
|
||
|
||
if short_ma < long_ma and rsi_val < RSI_SELL_MAX:
|
||
if REQUIRE_MA_CROSSOVER and not bearish_crossover:
|
||
debug_print("Bearish signal rejected: no recent crossover")
|
||
elif REQUIRE_CANDLE_PATTERN and not bearish_pattern:
|
||
debug_print("Bearish signal rejected: candle pattern required")
|
||
elif REQUIRE_MACD_CONFIRMATION and macd_signal != "bearish":
|
||
debug_print("Bearish signal rejected: MACD confirmation required")
|
||
else:
|
||
signal = "sell"
|
||
strength = min(1.0, (adx_val / 40) * 0.7 + 0.3)
|
||
stop = current_price + atr_val * ATR_STOP_MULTIPLIER
|
||
position_type = "short"
|
||
debug_print(f"SELL signal: strength={strength:.2f}, stop=${stop:.2f}")
|
||
|
||
elif regime == "range":
|
||
if current_price <= lower.iloc[-1] and rsi_val < RSI_RANGE_OVERSOLD:
|
||
if REQUIRE_CANDLE_PATTERN and not bullish_pattern:
|
||
debug_print("Range buy rejected: candle pattern required")
|
||
else:
|
||
signal = "buy"
|
||
strength = 0.85
|
||
stop = current_price - atr_val * ATR_STOP_MULTIPLIER
|
||
position_type = "long"
|
||
debug_print(f"Range BUY signal: strength={strength:.2f}, stop=${stop:.2f}")
|
||
|
||
if current_price >= upper.iloc[-1] and rsi_val > RSI_RANGE_OVERBOUGHT:
|
||
if REQUIRE_CANDLE_PATTERN and not bearish_pattern:
|
||
debug_print("Range sell rejected: candle pattern required")
|
||
else:
|
||
signal = "sell"
|
||
strength = 0.85
|
||
stop = current_price + atr_val * ATR_STOP_MULTIPLIER
|
||
position_type = "short"
|
||
debug_print(f"Range SELL signal: strength={strength:.2f}, stop=${stop:.2f}")
|
||
|
||
if strength < MIN_SIGNAL_STRENGTH:
|
||
debug_print(f"Signal rejected: strength {strength:.2f} < {MIN_SIGNAL_STRENGTH}")
|
||
return None, 0, 0, None
|
||
|
||
return signal, strength, stop, position_type
|
||
|
||
def scale_out_profit_taking(symbol, entry_price, current_price, stop_loss, position_type):
|
||
debug_print(f"Checking scale out: entry=${entry_price:.2f}, current=${current_price:.2f}")
|
||
|
||
if position_type == 'long':
|
||
profit_pct = ((current_price - entry_price) / entry_price) * 100
|
||
else:
|
||
profit_pct = ((entry_price - current_price) / entry_price) * 100
|
||
|
||
risk_pct = abs((entry_price - stop_loss) / entry_price) * 100
|
||
|
||
target_1_pct = risk_pct * PROFIT_TARGET_1
|
||
target_2_pct = risk_pct * PROFIT_TARGET_2
|
||
|
||
if not hasattr(scale_out_profit_taking, "target_1_hit"):
|
||
scale_out_profit_taking.target_1_hit = False
|
||
|
||
if profit_pct >= target_1_pct and not scale_out_profit_taking.target_1_hit:
|
||
qty = current_position_qty(symbol)
|
||
if qty != 0:
|
||
half_qty = int(qty / 2)
|
||
if half_qty > 0:
|
||
debug_print(f"Target 1 hit ({target_1_pct:.2f}%), scaling out {half_qty} shares")
|
||
if position_type == 'long':
|
||
submit_market_sell(symbol, half_qty)
|
||
else:
|
||
submit_buy_to_cover(symbol, half_qty)
|
||
scale_out_profit_taking.target_1_hit = True
|
||
logger.info(f"💰 Partial profit @ {profit_pct:.2f}% ({half_qty} shares)")
|
||
debug_print(f"Partial profit taken: {half_qty} shares @ {profit_pct:.2f}%")
|
||
|
||
if profit_pct >= target_2_pct:
|
||
qty = current_position_qty(symbol)
|
||
if qty != 0:
|
||
debug_print(f"Target 2 hit ({target_2_pct:.2f}%), closing remaining {qty} shares")
|
||
if position_type == 'long':
|
||
submit_market_sell(symbol, qty)
|
||
else:
|
||
submit_buy_to_cover(symbol, qty)
|
||
logger.info(f"💰💰 Full profit @ {profit_pct:.2f}%")
|
||
debug_print(f"Full profit target hit: closed @ {profit_pct:.2f}%")
|
||
return True
|
||
|
||
return False
|
||
|
||
def atr_based_trailing_stop(symbol, entry_price, current_price, initial_stop, position_type):
|
||
debug_print(f"Checking trailing stop: entry=${entry_price:.2f}, current=${current_price:.2f}")
|
||
|
||
if not hasattr(atr_based_trailing_stop, "trailing_stop"):
|
||
atr_based_trailing_stop.trailing_stop = initial_stop
|
||
debug_print(f"Initialized trailing stop: ${initial_stop:.2f}")
|
||
|
||
bars = get_recent_bars(symbol, 50)
|
||
if bars is None or len(bars) < 14:
|
||
debug_print("Insufficient data for ATR calculation")
|
||
return False
|
||
|
||
current_atr = atr(bars['high'], bars['low'], bars['close']).iloc[-1]
|
||
|
||
if position_type == 'long':
|
||
new_stop = current_price - (current_atr * ATR_STOP_MULTIPLIER)
|
||
if new_stop > atr_based_trailing_stop.trailing_stop:
|
||
debug_print(f"Updating trailing stop: ${atr_based_trailing_stop.trailing_stop:.2f} -> ${new_stop:.2f}")
|
||
atr_based_trailing_stop.trailing_stop = new_stop
|
||
|
||
if current_price <= atr_based_trailing_stop.trailing_stop:
|
||
debug_print(f"Long stop hit: ${current_price:.2f} <= ${atr_based_trailing_stop.trailing_stop:.2f}")
|
||
return True
|
||
else:
|
||
new_stop = current_price + (current_atr * ATR_STOP_MULTIPLIER)
|
||
if new_stop < atr_based_trailing_stop.trailing_stop:
|
||
debug_print(f"Updating trailing stop: ${atr_based_trailing_stop.trailing_stop:.2f} -> ${new_stop:.2f}")
|
||
atr_based_trailing_stop.trailing_stop = new_stop
|
||
|
||
if current_price >= atr_based_trailing_stop.trailing_stop:
|
||
debug_print(f"Short stop hit: ${current_price:.2f} >= ${atr_based_trailing_stop.trailing_stop:.2f}")
|
||
return True
|
||
|
||
return False
|
||
|
||
def main():
|
||
logger.info("🚀 Trading engine starting...")
|
||
debug_print("Trading engine initialized")
|
||
logger.info(f"📊 Symbol: {SYMBOL}, Timeframe: {BAR_TIMEFRAME}")
|
||
logger.info(f"⚙️ Risk/Trade: {RISK_PER_TRADE*100:.2f}%, Stop Mult: {ATR_STOP_MULTIPLIER}x")
|
||
|
||
try:
|
||
while True:
|
||
try:
|
||
clock = api.get_clock()
|
||
if not clock.is_open:
|
||
next_open = clock.next_open.astimezone(EASTERN)
|
||
wait_time = (next_open - datetime.now(EASTERN)).total_seconds()
|
||
logger.info(f"🌙 Market closed. Next open: {next_open.strftime('%I:%M %p ET on %A, %B %d')}")
|
||
debug_print(f"Market closed, waiting {seconds_to_human_readable(int(wait_time))} until next open")
|
||
time.sleep(min(wait_time, 3600))
|
||
continue
|
||
|
||
logger.info("🔔 Market open - session starting")
|
||
debug_print("Market open, starting trading session")
|
||
|
||
opening_equity = fetch_equity()
|
||
logger.info(f"💵 Starting equity: ${opening_equity:.2f}")
|
||
|
||
position_active = False
|
||
entry_price = 0
|
||
entry_time = None
|
||
stop_loss = 0
|
||
position_type = None
|
||
trade_count = 0
|
||
trades_today = 0
|
||
total_pnl = 0
|
||
|
||
signal_state.reset()
|
||
|
||
try:
|
||
existing_position = api.get_position(SYMBOL)
|
||
qty = float(existing_position.qty)
|
||
if qty != 0:
|
||
position_active = True
|
||
entry_price = float(existing_position.avg_entry_price)
|
||
position_type = 'long' if qty > 0 else 'short'
|
||
bars_for_atr = get_recent_bars(SYMBOL, 50)
|
||
if bars_for_atr is not None and len(bars_for_atr) >= 14:
|
||
atr_val = atr(bars_for_atr['high'], bars_for_atr['low'], bars_for_atr['close']).iloc[-1]
|
||
if position_type == 'long':
|
||
stop_loss = entry_price - atr_val * ATR_STOP_MULTIPLIER
|
||
else:
|
||
stop_loss = entry_price + atr_val * ATR_STOP_MULTIPLIER
|
||
else:
|
||
if position_type == 'long':
|
||
stop_loss = entry_price * 0.98
|
||
else:
|
||
stop_loss = entry_price * 1.02
|
||
|
||
logger.info(f"🔄 Recovered existing {position_type.upper()} position: {abs(qty)} shares @ ${entry_price:.2f}, stop=${stop_loss:.2f}")
|
||
debug_print(f"Position recovered from previous session")
|
||
|
||
entry_time = datetime.now(EASTERN)
|
||
|
||
unrealized_plpc = float(existing_position.unrealized_plpc) if hasattr(existing_position, 'unrealized_plpc') else 0
|
||
if unrealized_plpc > 0.01:
|
||
scale_out_profit_taking.target_1_hit = True
|
||
debug_print("Assuming target 1 already hit based on positive P&L")
|
||
|
||
if USE_TRAILING_STOP:
|
||
atr_based_trailing_stop.trailing_stop = stop_loss
|
||
except Exception as e:
|
||
debug_print(f"No existing position found or error during recovery: {e}")
|
||
|
||
while clock.is_open:
|
||
clock = api.get_clock()
|
||
current_equity = fetch_equity()
|
||
drawdown = (opening_equity - current_equity) / opening_equity if opening_equity > 0 else 0
|
||
|
||
if drawdown > MAX_DRAWDOWN:
|
||
logger.warning(f"⚠️ Max drawdown reached: {drawdown:.2%}")
|
||
debug_print(f"Max drawdown triggered: {drawdown:.2%}")
|
||
close_all_positions()
|
||
logger.info("🛑 Trading halted for the day")
|
||
time.sleep(3600)
|
||
break
|
||
|
||
bars = get_recent_bars(SYMBOL, 10)
|
||
if bars is None or len(bars) == 0:
|
||
debug_print("No bars available, retrying...")
|
||
time.sleep(30)
|
||
continue
|
||
|
||
current_price = bars['close'].iloc[-1]
|
||
vix_level = get_vix(api, SYMBOL, USE_VIX_FILTER)
|
||
|
||
if position_active:
|
||
debug_print(f"Managing active position: {position_type}, entry=${entry_price:.2f}")
|
||
|
||
if MAX_HOLD_TIME > 0 and entry_time:
|
||
time_in_trade = (datetime.now(EASTERN) - entry_time).total_seconds()
|
||
if time_in_trade > MAX_HOLD_TIME:
|
||
logger.info(f"⏰ Max hold time ({MAX_HOLD_TIME//60} min)")
|
||
debug_print(f"Max hold time exceeded, closing position")
|
||
qty = current_position_qty(SYMBOL)
|
||
if qty != 0:
|
||
if position_type == 'long':
|
||
submit_market_sell(SYMBOL, qty)
|
||
else:
|
||
submit_buy_to_cover(SYMBOL, abs(qty))
|
||
position_active = False
|
||
trade_count += 1
|
||
try:
|
||
delattr(scale_out_profit_taking, "target_1_hit")
|
||
except AttributeError:
|
||
pass
|
||
try:
|
||
delattr(atr_based_trailing_stop, "trailing_stop")
|
||
except AttributeError:
|
||
pass
|
||
debug_print(f"Sleeping {seconds_to_human_readable(POLL_INTERVAL)} after exit")
|
||
time.sleep(POLL_INTERVAL)
|
||
continue
|
||
|
||
if scale_out_profit_taking(SYMBOL, entry_price, current_price, stop_loss, position_type):
|
||
remaining_qty = current_position_qty(SYMBOL)
|
||
if remaining_qty == 0:
|
||
position_active = False
|
||
if position_type == 'long':
|
||
trade_pnl = (current_price - entry_price) * 100
|
||
else:
|
||
trade_pnl = (entry_price - current_price) * 100
|
||
total_pnl += trade_pnl
|
||
logger.info(f"✅ Position closed (PnL: ${trade_pnl:.2f})")
|
||
debug_print(f"Position fully closed, PnL: ${trade_pnl:.2f}")
|
||
try:
|
||
delattr(scale_out_profit_taking, "target_1_hit")
|
||
except AttributeError:
|
||
pass
|
||
try:
|
||
delattr(atr_based_trailing_stop, "trailing_stop")
|
||
except AttributeError:
|
||
pass
|
||
debug_print(f"Sleeping {seconds_to_human_readable(POLL_INTERVAL)} after exit")
|
||
time.sleep(POLL_INTERVAL)
|
||
continue
|
||
|
||
if atr_based_trailing_stop(SYMBOL, entry_price, current_price, stop_loss, position_type):
|
||
qty = current_position_qty(SYMBOL)
|
||
if qty != 0:
|
||
if position_type == 'long':
|
||
submit_market_sell(SYMBOL, qty)
|
||
else:
|
||
submit_buy_to_cover(SYMBOL, abs(qty))
|
||
position_active = False
|
||
trade_count += 1
|
||
logger.info("🛑 Stop hit")
|
||
debug_print("Stop hit, position closed")
|
||
try:
|
||
delattr(scale_out_profit_taking, "target_1_hit")
|
||
except AttributeError:
|
||
pass
|
||
try:
|
||
delattr(atr_based_trailing_stop, "trailing_stop")
|
||
except AttributeError:
|
||
pass
|
||
debug_print(f"Sleeping {seconds_to_human_readable(POLL_INTERVAL)} after exit")
|
||
time.sleep(POLL_INTERVAL)
|
||
continue
|
||
|
||
if trades_today >= MAX_TRADES_PER_DAY:
|
||
logger.info(f"📊 Daily limit ({MAX_TRADES_PER_DAY}) - monitoring only")
|
||
debug_print(f"Daily trade limit reached ({trades_today}/{MAX_TRADES_PER_DAY})")
|
||
time.sleep(POLL_INTERVAL)
|
||
continue
|
||
|
||
signal, strength, signal_stop_loss, signal_position_type = advanced_signal_generator(SYMBOL)
|
||
|
||
if signal == 'sell' and not ENABLE_SHORT_SELLING:
|
||
debug_print("Short selling disabled, ignoring sell signal")
|
||
signal = None
|
||
|
||
bars = get_recent_bars(SYMBOL, 50)
|
||
if bars is not None:
|
||
regime = detect_market_regime(bars, ADX_THRESHOLD)
|
||
else:
|
||
regime = 'unknown'
|
||
|
||
if signal in ['buy', 'sell'] and not position_active:
|
||
debug_print(f"Signal detected: {signal}, executing trade...")
|
||
buying_power = fetch_buying_power()
|
||
position_size = calculate_position_size(current_equity, signal_stop_loss, current_price)
|
||
|
||
if buying_power >= position_size:
|
||
execution_price = None
|
||
|
||
if signal == 'buy':
|
||
if USE_LIMIT_ORDERS:
|
||
bid, ask = get_bid_ask(SYMBOL)
|
||
limit_price = bid
|
||
execution_price = submit_limit_buy(SYMBOL, position_size, limit_price)
|
||
else:
|
||
execution_price = submit_market_buy(SYMBOL, position_size)
|
||
elif signal == 'sell':
|
||
if USE_LIMIT_ORDERS:
|
||
bid, ask = get_bid_ask(SYMBOL)
|
||
limit_price = ask
|
||
execution_price = submit_limit_short_sell(SYMBOL, position_size, limit_price)
|
||
else:
|
||
execution_price = submit_short_sell(SYMBOL, position_size)
|
||
|
||
if execution_price:
|
||
trade_count += 1
|
||
trades_today += 1
|
||
entry_price = execution_price
|
||
entry_time = datetime.now(EASTERN)
|
||
stop_loss = signal_stop_loss
|
||
position_active = True
|
||
position_type = 'long' if signal == 'buy' else 'short'
|
||
risk_amount = abs(entry_price - stop_loss) / entry_price
|
||
|
||
logger.info(f" Entry=${entry_price:.2f}, Stop=${stop_loss:.2f}, Risk={risk_amount:.2%}")
|
||
logger.info(f" Regime={regime}, Strength={strength:.2f}, Trade #{trade_count} ({trades_today}/{MAX_TRADES_PER_DAY})")
|
||
debug_print(f"Trade executed: entry=${entry_price:.2f}, stop=${stop_loss:.2f}, regime={regime}")
|
||
|
||
atr_based_trailing_stop.trailing_stop = stop_loss
|
||
debug_print(f"Trailing stop initialized: ${stop_loss:.2f}")
|
||
else:
|
||
logger.warning(f"⚠️ Insufficient buying power: ${buying_power:.2f} < ${position_size:.2f}")
|
||
debug_print(f"Insufficient buying power: ${buying_power:.2f} < ${position_size:.2f}")
|
||
|
||
position_status = f"{position_type.upper()}" if position_active else "FLAT"
|
||
|
||
try:
|
||
ts = clock.timestamp
|
||
if ts.tzinfo is None:
|
||
ts = EASTERN.localize(ts)
|
||
else:
|
||
ts = ts.astimezone(EASTERN)
|
||
current_time = ts.strftime("%I:%M:%S %p ET")
|
||
except Exception:
|
||
current_time = datetime.now(EASTERN).strftime("%I:%M:%S %p ET")
|
||
|
||
hourly_trend = check_multiframe_confluence(SYMBOL, USE_EMA, api)
|
||
status_msg = f"⏱️ {current_time} | {position_status} | {regime.upper()}"
|
||
|
||
if position_active:
|
||
pnl_pct = ((current_price - entry_price) / entry_price) * 100 if position_type == 'long' else ((entry_price - current_price) / entry_price) * 100
|
||
status_msg += f" | PnL: {pnl_pct:+.2f}%"
|
||
|
||
status_msg += f" | H:{hourly_trend} | VIX:{vix_level:.1f} | {trades_today}/{MAX_TRADES_PER_DAY}"
|
||
logger.info(status_msg)
|
||
|
||
debug_print(f"Sleeping {seconds_to_human_readable(POLL_INTERVAL)}...")
|
||
time.sleep(POLL_INTERVAL)
|
||
|
||
logger.info("🔚 Session ending...")
|
||
debug_print("Session ending, closing all positions...")
|
||
close_all_positions()
|
||
|
||
final_equity = fetch_equity()
|
||
session_pnl = final_equity - opening_equity
|
||
session_pnl_pct = (session_pnl / opening_equity) * 100 if opening_equity > 0 else 0
|
||
|
||
logger.info(f"📊 Summary: {trade_count} trades")
|
||
logger.info(f"💰 Final: ${final_equity:.2f} (PNL: ${session_pnl:+.2f}, {session_pnl_pct:+.2f}%)")
|
||
logger.info("✅ Day complete. Waiting for next session...")
|
||
debug_print(f"Day complete. Trades: {trade_count}, PnL: ${session_pnl:+.2f}")
|
||
|
||
time.sleep(3600)
|
||
|
||
except Exception as e:
|
||
logger.error(f"💥 Session error: {e}")
|
||
debug_print(f"Session error: {e}")
|
||
import traceback
|
||
logger.error(traceback.format_exc())
|
||
logger.info("⏳ Waiting 5 min before retry...")
|
||
time.sleep(300)
|
||
|
||
except KeyboardInterrupt:
|
||
logger.info("🛑 User interrupt")
|
||
debug_print("User interrupt detected")
|
||
close_all_positions()
|
||
except Exception as e:
|
||
logger.error(f"💥 Fatal error: {e}")
|
||
debug_print(f"Fatal error: {e}")
|
||
import traceback
|
||
logger.error(traceback.format_exc())
|
||
finally:
|
||
logger.info("🔚 Shutdown")
|
||
debug_print("Script shutdown")
|
||
|
||
def run():
|
||
return main()
|
||
|
||
if __name__ == "__main__":
|
||
main()
|