217 lines
9.6 KiB
Python
217 lines
9.6 KiB
Python
import logging
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from datetime import date
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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 ShortTermMAVWAPStrategy(BaseStrategy):
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"""Fast EMA cross above slow EMA with price above daily VWAP.
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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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- max holding period reached
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- fast EMA below slow EMA, 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.short_term
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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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hold_desc = "unlimited" if self.cfg.max_hold_days <= 0 else f"{self.cfg.max_hold_days} days"
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logger.info(
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"Short-term MA+VWAP strategy started: symbols=%s, fast=%d, slow=%d, value=$%.0f, "
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"max_hold=%s, 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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hold_desc, self.cfg.stop_loss_pct, self.cfg.min_profit_pct,
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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("ShortTerm %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("ShortTerm %s: subscribed, owned=%s", symbol, self.tracker.get(self.name, symbol))
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@staticmethod
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def _calc_vwap(df: pd.DataFrame) -> pd.Series:
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"""VWAP reset each trading day (vectorized, no groupby-apply)."""
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typical_price = (df["high"] + df["low"] + df["close"]) / 3
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pv = typical_price * df["volume"]
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day = df["date"].dt.date
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cum_pv = pv.groupby(day).cumsum()
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cum_vol = df["volume"].groupby(day).cumsum()
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return cum_pv / cum_vol.replace(0, float("nan"))
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@staticmethod
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def _calc_ema(series: pd.Series, period: int) -> pd.Series:
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return series.ewm(span=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("ShortTerm %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 + 2:
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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_ema"] = self._calc_ema(df["close"], self.fast_period)
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df["slow_ema"] = self._calc_ema(df["close"], self.slow_period)
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df["vwap"] = self._calc_vwap(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_ema"] > last["slow_ema"]
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# entry confirmation: the cross happened (confirm_bars-1) bars back and
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# the fast EMA is still above the slow EMA 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_ema"] > ref["slow_ema"] and ref_prev["fast_ema"] <= ref_prev["slow_ema"]
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confirmed = cross_then and fast_above
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price_above_vwap = last["close"] > last["vwap"]
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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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"ShortTerm 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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return
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entry_date = date.fromisoformat(owned["entry_date"]) if owned.get("entry_date") else None
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if entry_date and self.cfg.max_hold_days > 0:
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hold_days = (date.today() - entry_date).days
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if hold_days >= self.cfg.max_hold_days:
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logger.info("ShortTerm SELL %s: max hold reached (%d days)", symbol, hold_days)
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await self._sell(symbol, contract, owned["quantity"])
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return
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if 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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"ShortTerm SELL: %s (fast EMA %.2f < slow EMA %.2f, profit=%.2f%%)",
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symbol, last["fast_ema"], last["slow_ema"], profit_pct,
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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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"ShortTerm 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 price_above_vwap:
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if self._in_stop_cooldown(symbol):
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logger.info("ShortTerm 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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ok, reason = self._can_open_position(symbol, self._trade_value_usd(symbol), last["close"])
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if not ok:
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logger.info("ShortTerm 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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"ShortTerm BUY: %s x%d (cross confirmed over %d bars, fast EMA %.2f > slow EMA %.2f, close %.2f > VWAP %.2f)",
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symbol, qty, self.cfg.entry_confirm_bars,
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last["fast_ema"], last["slow_ema"], last["close"], last["vwap"],
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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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"ShortTerm 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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