213 lines
9.6 KiB
Python
213 lines
9.6 KiB
Python
import logging
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import pandas as pd
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from ib_insync import Contract, IB
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from bars import BarManager, is_market_active, parse_bar_size_seconds, to_completed_df
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from config import config
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from orders import execute_market_order
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from state import PositionTracker
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from strategies.base import BaseStrategy
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logger = logging.getLogger(__name__)
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class MAStockStrategy(BaseStrategy):
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"""SMA fast/slow golden-cross strategy with ADX trend filter.
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Exits (re-evaluated every cycle while in position):
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- hard stop loss at -stop_loss_pct (always honoured)
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- fast MA below slow MA, once profit >= min_profit_pct
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"""
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def __init__(self, ib: IB, bar_manager: BarManager, tracker: PositionTracker):
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super().__init__(ib, bar_manager, tracker)
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self.cfg = config.stock
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self.fast_period = self.cfg.fast_ma_period
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self.slow_period = self.cfg.slow_ma_period
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self.bar_seconds = parse_bar_size_seconds(self.cfg.bar_size)
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self.contracts: dict[str, Contract] = {}
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async def on_start(self):
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logger.info(
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"Stock MA strategy started: symbols=%s, fast=%d, slow=%d, value=$%.0f, "
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"stop_loss=%.1f%%, min_profit=%.1f%%, confirm_bars=%d",
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self.cfg.symbols, self.fast_period, self.slow_period, self.cfg.trade_value_usd,
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self.cfg.stop_loss_pct, self.cfg.min_profit_pct, self.cfg.entry_confirm_bars,
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)
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for symbol in self.cfg.symbols:
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contract = self._contract(symbol)
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await self.ib.qualifyContractsAsync(contract)
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if not contract.conId:
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logger.error("Stock %s: failed to qualify contract, skipped", symbol)
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continue
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self.contracts[symbol] = contract
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await self.bar_manager.subscribe(
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contract, self.cfg.bar_size, f"{self.cfg.lookback_days} D", "TRADES"
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)
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logger.info("Stock %s: subscribed, owned=%s", symbol, self.tracker.get(self.name, symbol))
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@staticmethod
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def _calc_adx(df: pd.DataFrame, period: int = 14) -> pd.Series:
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"""ADX with standard Wilder smoothing."""
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high, low, close = df["high"], df["low"], df["close"]
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prev_close = close.shift(1)
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tr = pd.concat([
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(high - low).abs(),
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(high - prev_close).abs(),
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(low - prev_close).abs(),
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], axis=1).max(axis=1)
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up_move = high.diff()
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down_move = -low.diff() # Wilder: positive only when the low moves DOWN
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plus_dm = ((up_move > down_move) & (up_move > 0)).astype(float) * up_move
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minus_dm = ((down_move > up_move) & (down_move > 0)).astype(float) * down_move
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atr = tr.ewm(alpha=1 / period, adjust=False).mean()
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plus_di = 100 * plus_dm.ewm(alpha=1 / period, adjust=False).mean() / atr
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minus_di = 100 * minus_dm.ewm(alpha=1 / period, adjust=False).mean() / atr
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dx = 100 * (plus_di - minus_di).abs() / (plus_di + minus_di).replace(0, float("nan"))
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return dx.ewm(alpha=1 / period, adjust=False).mean()
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async def _get_df(self, contract: Contract) -> pd.DataFrame:
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bars = self.bar_manager.get(contract, self.cfg.bar_size, "TRADES")
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if bars is None:
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bars = await self.bar_manager.subscribe(
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contract, self.cfg.bar_size, f"{self.cfg.lookback_days} D", "TRADES"
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)
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return to_completed_df(bars, self.bar_seconds)
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async def on_bar(self):
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await self._sync_stop_orders()
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for symbol, contract in self.contracts.items():
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try:
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await self._process_symbol(symbol, contract)
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except Exception as e:
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logger.exception("Stock %s: error: %s", symbol, e)
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async def _process_symbol(self, symbol: str, contract: Contract):
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df = await self._get_df(contract)
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if len(df) < self.slow_period + 28:
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return
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if not is_market_active(df, self.bar_seconds):
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return # market closed / stale data - never trade
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df = df.copy()
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df["fast_ma"] = df["close"].rolling(self.fast_period).mean()
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df["slow_ma"] = df["close"].rolling(self.slow_period).mean()
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df["adx"] = self._calc_adx(df)
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last = df.iloc[-1]
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prev = df.iloc[-2]
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fast_above = last["fast_ma"] > last["slow_ma"]
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# entry confirmation: the cross happened (confirm_bars-1) bars back and
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# the fast MA is still above the slow MA now -> filters 1-bar whipsaws
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cb = self.cfg.entry_confirm_bars
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ref = df.iloc[-cb]
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ref_prev = df.iloc[-cb - 1]
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cross_then = ref["fast_ma"] > ref["slow_ma"] and ref_prev["fast_ma"] <= ref_prev["slow_ma"]
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confirmed = cross_then and fast_above
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is_trending = last["adx"] > self.cfg.adx_min
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slow_rising = True
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if self.cfg.require_slow_ma_slope and len(df) >= 2:
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# slow MA must itself be rising over the confirmation window
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slow_rising = last["slow_ma"] > df["slow_ma"].iloc[-self.cfg.entry_confirm_bars - 1]
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owned = self.tracker.get(self.name, symbol)
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if owned:
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entry = owned["entry_price"]
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profit_pct = (last["close"] - entry) / entry * 100
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# soft stop is only a fallback: the exchange-side STP order is primary
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if not self._has_active_stop(symbol) and last["close"] <= entry * (1 - self.cfg.stop_loss_pct / 100):
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logger.info(
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"STOCK STOP-LOSS SELL (soft fallback): %s close=%.2f entry=%.2f (%.2f%%)",
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symbol, last["close"], entry, profit_pct,
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)
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await self._sell(symbol, contract, owned["quantity"])
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self._mark_stop_cooldown(symbol)
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elif not fast_above:
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# re-checked every cycle: exits as soon as profit requirement is met
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if profit_pct >= self.cfg.min_profit_pct:
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logger.info(
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"STOCK SELL: %s (fast MA %.2f < slow MA %.2f, profit=%.2f%%, ADX=%.1f)",
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symbol, last["fast_ma"], last["slow_ma"], profit_pct, last["adx"],
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)
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await self._sell(symbol, contract, owned["quantity"])
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else:
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logger.debug(
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"STOCK SELL WAITING: %s profit %.2f%% < min %.1f%%",
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symbol, profit_pct, self.cfg.min_profit_pct,
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)
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else:
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if confirmed and is_trending and slow_rising:
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if self._in_stop_cooldown(symbol):
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logger.info("STOCK BUY SKIPPED: %s (stop-out cooldown %d min)",
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symbol, self.cfg.stop_cooldown_minutes)
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return
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value = self._trade_value_usd(symbol)
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ok, reason = self._can_open_position(symbol, value, last["close"])
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if not ok:
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logger.info("STOCK BUY SKIPPED: %s (%s)", symbol, reason)
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return
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qty = self._order_quantity(symbol, last["close"])
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logger.info(
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"STOCK BUY: %s x%d (cross confirmed over %d bars, fast MA %.2f > slow MA %.2f, ADX=%.1f)",
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symbol, qty, self.cfg.entry_confirm_bars, last["fast_ma"], last["slow_ma"], last["adx"],
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)
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await self._buy(symbol, contract, qty)
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async def _buy(self, symbol: str, contract: Contract, quantity: int):
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ref = f"{self.name}:{symbol}"
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trade = await execute_market_order(self.ib, contract, "BUY", quantity, ref)
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if trade and trade.orderStatus.filled > 0:
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self.tracker.record_buy(
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self.name, symbol, trade.orderStatus.filled, trade.orderStatus.avgFillPrice
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)
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if self._use_hard_stop():
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stop_price = self._target_stop_price(
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symbol, trade.orderStatus.avgFillPrice, None
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)
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await self._place_stop(
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symbol, contract, trade.orderStatus.filled, stop_price
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)
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else:
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# order rejected/timed out (e.g. insufficient buying power):
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# cool down to avoid retrying every cycle
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self._mark_cooldown(symbol, "order failed")
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async def _sell(self, symbol: str, contract: Contract, quantity: float):
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# cancel the hard stop first; it may have filled in the cancel race
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if self._use_hard_stop():
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stop_filled, stop_price, cancel_confirmed = await self._cancel_stop(symbol)
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if stop_filled > 0:
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logger.info("%s: stop order filled %g during cancel", symbol, stop_filled)
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self.tracker.record_sell(self.name, symbol, stop_filled, stop_price)
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quantity -= stop_filled
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if quantity <= 0:
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return
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if not cancel_confirmed:
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# STP may still be live - a market sell could double-sell;
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# leave the position for the next cycle
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logger.warning(
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"STOCK SELL ABORTED: %s (stop cancel not confirmed - "
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"may still be active, will retry next cycle)", symbol,
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)
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return
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ref = f"{self.name}:{symbol}"
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trade = await execute_market_order(self.ib, contract, "SELL", quantity, ref)
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if trade and trade.orderStatus.filled > 0:
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self.tracker.record_sell(self.name, symbol, trade.orderStatus.filled, trade.orderStatus.avgFillPrice)
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async def on_tick(self):
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pass
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def _contract(self, symbol: str):
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return Contract(
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symbol=symbol,
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secType="STK",
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exchange=self.cfg.exchange,
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currency=self.cfg.currency,
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)
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