from __future__ import annotations import time from datetime import datetime, timezone from src.trader_mcp.strategy_sdk import Strategy from src.trader_mcp.logging_utils import log_event class Strategy(Strategy): LABEL = "Grid Trader" STRATEGY_PROFILE = { "expects": { "trend": "none", "volatility": "low", "event_risk": "low", "liquidity": "normal", }, "avoids": { "trend": "strong", "volatility": "expanding", "event_risk": "high", "liquidity": "thin", }, "risk_profile": "medium", "capabilities": ["structure_harvesting", "range_making", "liquidity_harvesting"], "role": "primary", "inventory_behavior": "balanced", "requires_rebalance_before_start": False, "requires_rebalance_before_stop": False, "safe_when_unbalanced": False, "can_run_with": ["exposure_protector"], } TICK_MINUTES = 0.50 CONFIG_SCHEMA = { "grid_levels": {"type": "int", "default": 6, "min": 1, "max": 20}, "grid_step_pct": {"type": "float", "default": 0.012, "min": 0.001, "max": 0.1}, "volatility_timeframe": {"type": "string", "default": "1h"}, "volatility_multiplier": {"type": "float", "default": 0.5, "min": 0.0, "max": 10.0}, "grid_step_min_pct": {"type": "float", "default": 0.005, "min": 0.0001, "max": 0.5}, "grid_step_max_pct": {"type": "float", "default": 0.03, "min": 0.0001, "max": 1.0}, "order_size": {"type": "float", "default": 0.0, "min": 0.0}, "recenter_pct": {"type": "float", "default": 0.05, "min": 0.0, "max": 0.5}, "recenter_atr_multiplier": {"type": "float", "default": 0.35, "min": 0.0, "max": 10.0}, "recenter_min_pct": {"type": "float", "default": 0.0025, "min": 0.0, "max": 0.5}, "recenter_max_pct": {"type": "float", "default": 0.03, "min": 0.0, "max": 0.5}, "fee_rate": {"type": "float", "default": 0.0025, "min": 0.0, "max": 0.05}, "trade_sides": {"type": "string", "default": "both"}, "max_notional_per_order": {"type": "float", "default": 0.0, "min": 0.0}, "dust_collect": {"type": "bool", "default": False}, "order_call_delay_ms": {"type": "int", "default": 250, "min": 0, "max": 10000}, "debug_orders": {"type": "bool", "default": True}, } STATE_SCHEMA = { "center_price": {"type": "float", "default": 0.0}, "last_price": {"type": "float", "default": 0.0}, "seeded": {"type": "bool", "default": False}, "last_action": {"type": "string", "default": "idle"}, "last_error": {"type": "string", "default": ""}, "orders": {"type": "list", "default": []}, "order_ids": {"type": "list", "default": []}, "debug_log": {"type": "list", "default": []}, "base_available": {"type": "float", "default": 0.0}, "counter_available": {"type": "float", "default": 0.0}, "regimes_updated_at": {"type": "string", "default": ""}, "account_snapshot_updated_at": {"type": "string", "default": ""}, "last_balance_log_signature": {"type": "string", "default": ""}, "last_balance_log_at": {"type": "string", "default": ""}, "grid_refresh_pending_until": {"type": "string", "default": ""}, "mismatch_ticks": {"type": "int", "default": 0}, "recovery_cooldown_until": {"type": "string", "default": ""}, } def init(self): return { "center_price": 0.0, "last_price": 0.0, "seeded": False, "last_action": "idle", "last_error": "", "orders": [], "order_ids": [], "debug_log": ["init cancel all orders"], "base_available": 0.0, "counter_available": 0.0, "regimes_updated_at": "", "account_snapshot_updated_at": "", "last_balance_log_signature": "", "last_balance_log_at": "", "grid_refresh_pending_until": "", "mismatch_ticks": 0, "recovery_cooldown_until": "", } def _log(self, message: str) -> None: state = getattr(self, "state", {}) or {} log = list(state.get("debug_log") or []) log.append(message) state["debug_log"] = log[-12:] self.state = state log_event("grid", message) def _log_decision(self, action: str, **fields) -> None: parts = [action] for key, value in fields.items(): parts.append(f"{key}={value}") self._log(", ".join(parts)) def _set_grid_refresh_pause(self, seconds: float = 30.0) -> None: self.state["grid_refresh_pending_until"] = (datetime.now(timezone.utc).timestamp() + max(seconds, 0.0)) def _grid_refresh_paused(self) -> bool: try: until = float(self.state.get("grid_refresh_pending_until") or 0.0) except Exception: until = 0.0 return until > datetime.now(timezone.utc).timestamp() def _recovery_paused(self) -> bool: try: until = float(self.state.get("recovery_cooldown_until") or 0.0) except Exception: until = 0.0 return until > datetime.now(timezone.utc).timestamp() def _trip_recovery_pause(self, seconds: float = 30.0) -> None: self.state["recovery_cooldown_until"] = (datetime.now(timezone.utc).timestamp() + max(seconds, 0.0)) def _recover_grid(self, price: float) -> None: self._log(f"recovery mode: cancel all and rebuild from {price}") try: self.context.cancel_all_orders() except Exception as exc: self.state["last_error"] = str(exc) self._log(f"recovery cancel-all failed: {exc}") self.state["orders"] = [] self.state["order_ids"] = [] self.state["open_order_count"] = 0 self.state["center_price"] = price self.state["seeded"] = True self._place_grid(price) self._sync_open_orders_state() self.state["mismatch_ticks"] = 0 self._trip_recovery_pause() def _order_count_mismatch(self, tracked_ids: list[str], live_orders: list[dict]) -> bool: live_ids = [str(order.get("bitstamp_order_id") or order.get("order_id") or order.get("id") or order.get("client_order_id") or "") for order in live_orders if isinstance(order, dict)] live_ids = [oid for oid in live_ids if oid] if len(live_ids) != len([oid for oid in tracked_ids if oid]): return True return False def _base_symbol(self) -> str: return (self.context.base_currency or self.context.market_symbol or "XRP").split("/")[0].upper() def _market_symbol(self) -> str: return self.context.market_symbol or f"{self._base_symbol().lower()}usd" def _live_fee_rates(self) -> tuple[float, float]: try: payload = self.context.get_fee_rates(self._market_symbol()) maker = float(payload.get("maker") or 0.0) taker = float(payload.get("taker") or 0.0) return maker, taker except Exception as exc: self._log(f"fee lookup failed: {exc}") fallback = float(self.config.get("fee_rate", 0.0025) or 0.0) return fallback, fallback def _live_fee_rate(self) -> float: _maker, taker = self._live_fee_rates() return taker def _mode(self) -> str: return getattr(self.context, "mode", "active") or "active" def apply_policy(self): policy = super().apply_policy() risk = str(policy.get("risk_posture") or "normal").lower() priority = str(policy.get("priority") or "normal").lower() step_map = {"cautious": 0.008, "normal": 0.012, "assertive": 0.018} recenter_map = {"cautious": 0.035, "normal": 0.05, "assertive": 0.07} levels_map = {"cautious": 4, "normal": 6, "assertive": 8} delay_map = {"cautious": 500, "normal": 250, "assertive": 120} if priority in {"low", "background"}: risk = "cautious" elif priority in {"high", "urgent"}: risk = "assertive" self.config["grid_step_pct"] = step_map.get(risk, 0.012) self.config["recenter_pct"] = recenter_map.get(risk, 0.05) self.config["grid_levels"] = levels_map.get(risk, 6) self.config["order_call_delay_ms"] = delay_map.get(risk, 250) self.state["policy_derived"] = { "grid_step_pct": self.config["grid_step_pct"], "recenter_pct": self.config["recenter_pct"], "grid_levels": self.config["grid_levels"], "order_call_delay_ms": self.config["order_call_delay_ms"], } return policy def _price(self) -> float: payload = self.context.get_price(self._base_symbol()) return float(payload.get("price") or 0.0) def _regime_snapshot(self) -> dict: timeframes = ["1d", "4h", "1h", "15m"] snapshot = {} for tf in timeframes: try: snapshot[tf] = self.context.get_regime(self._base_symbol(), tf) except Exception as exc: snapshot[tf] = {"error": str(exc)} return snapshot def _refresh_regimes(self) -> None: self.state["regimes"] = self._regime_snapshot() self.state["regimes_updated_at"] = datetime.now(timezone.utc).isoformat() def _recenter_threshold_pct(self) -> float: base_threshold = float(self.config.get("recenter_pct", 0.05) or 0.05) atr_multiplier = float(self.config.get("recenter_atr_multiplier", 0.35) or 0.0) min_threshold = float(self.config.get("recenter_min_pct", 0.0025) or 0.0) max_threshold = float(self.config.get("recenter_max_pct", 0.03) or 1.0) try: tf = str(self.config.get("volatility_timeframe", "1h") or "1h") regime = self.context.get_regime(self._base_symbol(), tf) short_regime = self.context.get_regime(self._base_symbol(), "15m") atr_pct = float((regime or {}).get("volatility", {}).get("atr_percent") or 0.0) short_atr_pct = float((short_regime or {}).get("volatility", {}).get("atr_percent") or 0.0) atr_pct = max(atr_pct, short_atr_pct) except Exception: atr_pct = 0.0 threshold = (atr_pct / 100.0) * atr_multiplier if atr_pct > 0 else base_threshold threshold = max(threshold, min_threshold) threshold = min(threshold, max_threshold) self.state["recenter_pct_live"] = threshold self.state["recenter_atr_percent"] = atr_pct return threshold def _grid_step_pct(self) -> float: base_step = float(self.config.get("grid_step_pct", 0.012) or 0.012) tf = str(self.config.get("volatility_timeframe", "1h") or "1h") multiplier = float(self.config.get("volatility_multiplier", 0.5) or 0.0) min_step = float(self.config.get("grid_step_min_pct", 0.005) or 0.0) max_step = float(self.config.get("grid_step_max_pct", 0.03) or 1.0) try: regime = self.context.get_regime(self._base_symbol(), tf) short_regime = self.context.get_regime(self._base_symbol(), "15m") tf_atr_pct = float((regime or {}).get("volatility", {}).get("atr_percent") or 0.0) atr_pct = float((regime or {}).get("volatility", {}).get("atr_percent") or 0.0) short_atr_pct = float((short_regime or {}).get("volatility", {}).get("atr_percent") or 0.0) atr_pct = max(atr_pct, short_atr_pct) self.state["regimes"] = self._regime_snapshot() except Exception as exc: self._log(f"regime fetch failed: {exc}") tf_atr_pct = 0.0 atr_pct = 0.0 short_atr_pct = 0.0 adaptive = (atr_pct / 100.0) * multiplier if atr_pct > 0 else base_step step = adaptive if atr_pct > 0 else base_step step = max(step, min_step) step = min(step, max_step) self.state["grid_step_pct"] = step self.state["atr_percent_tf"] = tf_atr_pct self.state["atr_percent_15m"] = short_atr_pct self.state["atr_percent"] = atr_pct return step def _config_warning(self) -> str | None: recenter_pct = float(self.state.get("recenter_pct_live") or self._recenter_threshold_pct()) grid_step_pct = float(self.state.get("grid_step_pct") or self._grid_step_pct()) if grid_step_pct <= 0: return None ratio = recenter_pct / grid_step_pct # If the recenter threshold is too close to the first step, the grid # can keep rebuilding before it has a fair chance to trade. if ratio <= 1.0: return f"warning: recenter threshold ({recenter_pct:.4f}) is <= grid step ({grid_step_pct:.4f}), it may recenter before trading" if ratio < 1.5: return f"warning: recenter threshold ({recenter_pct:.4f}) is only {ratio:.2f}x the grid step ({grid_step_pct:.4f}), consider widening it" return None def _available_balance(self, asset_code: str) -> float: try: info = self.context.get_account_info() except Exception as exc: self._log(f"account info failed: {exc}") return 0.0 balances = info.get("balances") if isinstance(info, dict) else [] if not isinstance(balances, list): return 0.0 wanted = str(asset_code or "").upper() for balance in balances: if not isinstance(balance, dict): continue if str(balance.get("asset_code") or "").upper() != wanted: continue try: return float(balance.get("available") if balance.get("available") is not None else balance.get("total") or 0.0) except Exception: return 0.0 return 0.0 def _refresh_balance_snapshot(self) -> None: try: info = self.context.get_account_info() except Exception as exc: self._log(f"balance refresh failed: {exc}") return balances = info.get("balances") if isinstance(info, dict) else [] if not isinstance(balances, list): return base = self._base_symbol() quote = self.context.counter_currency or "USD" for balance in balances: if not isinstance(balance, dict): continue asset = str(balance.get("asset_code") or "").upper() try: available = float(balance.get("available") if balance.get("available") is not None else balance.get("total") or 0.0) except Exception: continue if asset == base: self.state["base_available"] = available if asset == str(quote).upper(): self.state["counter_available"] = available self.state["account_snapshot_updated_at"] = datetime.now(timezone.utc).isoformat() signature = f"{base}:{self.state.get('base_available', 0.0):.8f}|{quote}:{self.state.get('counter_available', 0.0):.8f}" last_signature = str(self.state.get("last_balance_log_signature") or "") last_logged_at = str(self.state.get("last_balance_log_at") or "") now_iso = self.state["account_snapshot_updated_at"] should_log = signature != last_signature or not last_logged_at if not should_log: try: from datetime import datetime as _dt elapsed = (_dt.fromisoformat(now_iso) - _dt.fromisoformat(last_logged_at)).total_seconds() should_log = elapsed >= 60 except Exception: should_log = True if should_log: self.state["last_balance_log_signature"] = signature self.state["last_balance_log_at"] = now_iso self._log_decision( "balance snapshot", base=base, base_available=f"{self.state.get('base_available', 0.0):.6g}", quote=quote, quote_available=f"{self.state.get('counter_available', 0.0):.6g}", updated_at=now_iso, ) def _supported_levels(self, side: str, price: float, min_notional: float, *, balance_total: float | None = None) -> int: if min_notional <= 0 or price <= 0: return 0 safety = 0.995 fee_rate = self._live_fee_rate() if side == "buy": quote = self.context.counter_currency or "USD" quote_available = self._available_balance(quote) self.state["counter_available"] = quote_available usable_notional = (quote_available if balance_total is None else balance_total) * safety return max(int(usable_notional / min_notional), 0) base = self._base_symbol() base_available = self._available_balance(base) self.state["base_available"] = base_available usable_base = base_available if balance_total is None else balance_total usable_notional = usable_base * safety * price / (1 + fee_rate) return max(int(usable_notional / min_notional), 0) def _side_allowed(self, side: str) -> bool: selected = str(self.config.get("trade_sides", "both") or "both").strip().lower() if selected == "both": return True return selected == side def _desired_sides(self) -> set[str]: selected = str(self.config.get("trade_sides", "both") or "both").strip().lower() if selected == "both": return {"buy", "sell"} if selected in {"buy", "sell"}: return {selected} return {"buy", "sell"} def _suggest_amount(self, side: str, price: float, levels: int, min_notional: float) -> float: return self.context.suggest_order_amount( side=side, price=price, levels=levels, min_notional=min_notional, fee_rate=self._live_fee_rate(), max_notional_per_order=float(self.config.get("max_notional_per_order", 0.0) or 0.0), dust_collect=bool(self.config.get("dust_collect", False)), order_size=float(self.config.get("order_size", 0.0) or 0.0), ) def _target_levels_for_side(self, side: str, center: float, live_orders: list[dict], balance_total: float, expected_levels: int, min_notional: float) -> int: if expected_levels <= 0 or center <= 0 or balance_total <= 0: return 0 side_orders = [ order for order in live_orders if isinstance(order, dict) and str(order.get("side") or "").lower() == side ] amount = 0.0 if side_orders: amounts = [] for order in side_orders: try: amounts.append(float(order.get("amount") or 0.0)) except Exception: continue if amounts: amount = sum(amounts) / len(amounts) if amount <= 0: amount = self._suggest_amount(side, center, max(expected_levels, 1), min_notional) if amount <= 0: return 0 fee_rate = self._live_fee_rate() safety = 0.995 step = self._grid_step_pct() spendable_total = balance_total * safety for level_count in range(expected_levels, 0, -1): feasible = True if side == "buy": needed = 0.0 for i in range(1, level_count + 1): level_price = center * (1 - (step * i)) min_size = (min_notional / level_price) if level_price > 0 and min_notional > 0 else 0.0 if amount < min_size: feasible = False break needed += amount * level_price * (1 + fee_rate) else: needed = amount * level_count for i in range(1, level_count + 1): level_price = center * (1 + (step * i)) min_size = (min_notional / level_price) if level_price > 0 and min_notional > 0 else 0.0 if amount < min_size: feasible = False break if feasible and needed <= spendable_total + 1e-9: return level_count return 0 def _place_grid(self, center: float) -> None: center = self._maybe_refresh_center(center) mode = self._mode() levels = int(self.config.get("grid_levels", 6) or 6) step = self._grid_step_pct() min_notional = float(self.context.minimum_order_value or 0.0) market = self._market_symbol() orders = [] order_ids = [] def _capture_order_id(result): if isinstance(result, dict): return result.get("bitstamp_order_id") or result.get("order_id") or result.get("id") or result.get("client_order_id") return None buy_levels = min(levels, self._supported_levels("buy", center, min_notional)) if (mode == "active" and self._side_allowed("buy")) else (levels if self._side_allowed("buy") else 0) sell_levels = min(levels, self._supported_levels("sell", center, min_notional)) if (mode == "active" and self._side_allowed("sell")) else (levels if self._side_allowed("sell") else 0) buy_amount = self._suggest_amount("buy", center, max(buy_levels, 1), min_notional) sell_amount = self._suggest_amount("sell", center, max(sell_levels, 1), min_notional) for i in range(1, levels + 1): buy_price = round(center * (1 - (step * i)), 8) sell_price = round(center * (1 + (step * i)), 8) if mode != "active": orders.append({"side": "buy", "price": buy_price, "amount": buy_amount, "result": {"simulated": True}}) orders.append({"side": "sell", "price": sell_price, "amount": sell_amount, "result": {"simulated": True}}) self._log(f"plan level {i}: buy {buy_price} amount {buy_amount:.6g} / sell {sell_price} amount {sell_amount:.6g}") continue if i > buy_levels and i > sell_levels: self._log(f"skip level {i}: no capacity on either side") continue min_size_buy = (min_notional / buy_price) if buy_price > 0 else 0.0 min_size_sell = (min_notional / sell_price) if sell_price > 0 else 0.0 try: if i <= buy_levels and buy_amount >= min_size_buy: buy = self.context.place_order(side="buy", order_type="limit", amount=buy_amount, price=buy_price, market=market) orders.append({"side": "buy", "price": buy_price, "amount": buy_amount, "result": buy}) buy_id = _capture_order_id(buy) if buy_id is not None: order_ids.append(str(buy_id)) if i <= sell_levels and sell_amount >= min_size_sell: sell = self.context.place_order(side="sell", order_type="limit", amount=sell_amount, price=sell_price, market=market) orders.append({"side": "sell", "price": sell_price, "amount": sell_amount, "result": sell}) sell_id = _capture_order_id(sell) if sell_id is not None: order_ids.append(str(sell_id)) self._log(f"seed level {i}: buy {buy_price} amount {buy_amount:.6g} / sell {sell_price} amount {sell_amount:.6g}") except Exception as exc: # best effort for first draft self.state["last_error"] = str(exc) self._log(f"seed level {i} failed: {exc}") continue delay = max(int(self.config.get("order_call_delay_ms", 250) or 0), 0) / 1000.0 if delay > 0: time.sleep(delay) self._refresh_balance_snapshot() self.state["orders"] = orders self.state["order_ids"] = order_ids self.state["last_action"] = "seeded grid" self._set_grid_refresh_pause() def _top_up_grid(self, center: float, live_orders: list[dict]) -> list[str]: center = self._maybe_refresh_center(center) levels = int(self.config.get("grid_levels", 6) or 6) if levels <= 0 or center <= 0: return [] min_notional = float(self.context.minimum_order_value or 0.0) step = self._grid_step_pct() market = self._market_symbol() placed: list[str] = [] live_by_side: dict[str, int] = {"buy": 0, "sell": 0} for order in live_orders: if not isinstance(order, dict): continue side = str(order.get("side") or "").lower() if side in live_by_side: live_by_side[side] += 1 for side in ("buy", "sell"): live_count = live_by_side.get(side, 0) max_levels = self._supported_levels(side, center, min_notional) target_levels = min(levels, max_levels) if target_levels <= live_count: continue amount = self._suggest_amount(side, center, max(target_levels, 1), min_notional) for i in range(live_count + 1, target_levels + 1): price = round(center * (1 - (step * i)) if side == "buy" else center * (1 + (step * i)), 8) min_size = (min_notional / price) if price > 0 else 0.0 if amount < min_size: self._log_decision( f"skip top-up {side} level {i}", reason="below_min_size", amount=f"{amount:.6g}", min_size=f"{min_size:.6g}", price=price, ) continue try: self._log_decision(f"top-up {side} level {i}", price=price, amount=f"{amount:.6g}") result = self.context.place_order(side=side, order_type="limit", amount=amount, price=price, market=market) order_id = None if isinstance(result, dict): order_id = result.get("bitstamp_order_id") or result.get("order_id") or result.get("id") or result.get("client_order_id") if order_id is not None: placed.append(str(order_id)) live_orders.append({"side": side, "price": price, "amount": amount, "result": result}) self._refresh_balance_snapshot() except Exception as exc: self.state["last_error"] = str(exc) self._log_decision(f"top-up {side} level {i} failed", error=str(exc)) continue delay = max(int(self.config.get("order_call_delay_ms", 250) or 0), 0) / 1000.0 if delay > 0: time.sleep(delay) return placed def _recenter_and_rebuild_from_fill(self, fill_price: float) -> None: fill_price = self._maybe_refresh_center(fill_price) """Treat a fill as the new market anchor and rebuild the full grid from there.""" if fill_price <= 0: return self._recenter_and_rebuild_from_price(fill_price, "fill rebuild") def _recenter_and_rebuild_from_price(self, price: float, reason: str) -> None: if price <= 0: return current = float(self.state.get("center_price") or 0.0) self._log(f"{reason}: recenter from {current} to {price}") try: self.context.cancel_all_orders() except Exception as exc: self.state["last_error"] = str(exc) self._log(f"{reason} cancel-all failed: {exc}") # Give the exchange a moment to release balance before we rebuild. time.sleep(3.0) self._refresh_balance_snapshot() self.state["center_price"] = price self.state["seeded"] = True self._place_grid(price) self._refresh_balance_snapshot() self._set_grid_refresh_pause() def on_stop(self): self._log("stopping: cancel all open orders") try: self.context.cancel_all_orders() except Exception as exc: self.state["last_error"] = str(exc) self._log(f"stop cancel-all failed: {exc}") self.state["orders"] = [] self.state["order_ids"] = [] self.state["open_order_count"] = 0 self.state["last_action"] = "stopped" def _maybe_refresh_center(self, price: float) -> float: if price <= 0: return price current = float(self.state.get("center_price") or 0.0) if current <= 0: self.state["center_price"] = price return price deviation = abs(price - current) / current if current else 0.0 threshold = self._recenter_threshold_pct() if deviation >= threshold: self._log(f"recenter anchor from {current} to {price} dev={deviation:.4f} threshold={threshold:.4f}") self.state["center_price"] = price return price return current def _sync_open_orders_state(self) -> list[dict]: try: open_orders = self.context.get_open_orders() except Exception as exc: self.state["last_error"] = str(exc) self._log(f"open orders sync failed: {exc}") return [] if not isinstance(open_orders, list): open_orders = [] live_orders = [order for order in open_orders if isinstance(order, dict)] live_ids = [str(order.get("bitstamp_order_id") or order.get("order_id") or order.get("id") or order.get("client_order_id") or "") for order in live_orders] live_ids = [oid for oid in live_ids if oid] live_sides = [str(order.get("side") or "").lower() for order in live_orders] self.state["orders"] = live_orders self.state["order_ids"] = live_ids self.state["open_order_count"] = len(live_ids) self._log(f"sync live orders: count={len(live_ids)} sides={live_sides} ids={live_ids}") return live_orders def _cancel_orders(self, order_ids) -> None: for order_id in order_ids or []: self._log(f"dropping stale order {order_id} from state") def _reconcile_after_sync(self, previous_orders: list[dict], live_orders: list[dict], desired_sides: set[str], price: float) -> tuple[list[dict], list[str], int]: live_ids = list(self.state.get("order_ids") or []) open_order_count = len(live_ids) if self._mode() != "active": return live_orders, live_ids, open_order_count previous_ids = { str(order.get("bitstamp_order_id") or order.get("order_id") or order.get("id") or order.get("client_order_id") or "") for order in previous_orders if isinstance(order, dict) } current_ids = { str(order.get("bitstamp_order_id") or order.get("order_id") or order.get("id") or order.get("client_order_id") or "") for order in live_orders if isinstance(order, dict) } vanished_orders = [ order for order in previous_orders if isinstance(order, dict) and str(order.get("bitstamp_order_id") or order.get("order_id") or order.get("id") or order.get("client_order_id") or "") in (previous_ids - current_ids) ] if vanished_orders and not self._grid_refresh_paused(): for order in vanished_orders: order_id = str(order.get("bitstamp_order_id") or order.get("order_id") or order.get("id") or order.get("client_order_id") or "") if not order_id: continue try: payload = self.context.query_order(order_id) except Exception as exc: self._log(f"order status query failed for {order_id}: {exc}") continue raw = payload.get("raw") if isinstance(payload, dict) else {} if not isinstance(raw, dict): raw = {} status = str(payload.get("status") or raw.get("status") or order.get("status") or "").strip().lower() if status in {"finished", "filled", "closed"}: fill_price = 0.0 for candidate in (raw.get("price"), order.get("price"), price): try: fill_price = float(candidate or 0.0) except Exception: fill_price = 0.0 if fill_price > 0: break if fill_price > 0: self._log(f"filled order {order_id} detected via exec status={status}, recentering at {fill_price}") self._recenter_and_rebuild_from_fill(fill_price) live_orders = self._sync_open_orders_state() live_ids = list(self.state.get("order_ids") or []) open_order_count = len(live_ids) return live_orders, live_ids, open_order_count if status in {"cancelled", "expired", "missing"}: self._log(f"vanished order {order_id} resolved as {status}") continue return live_orders, live_ids, open_order_count def on_tick(self, tick): previous_orders = list(self.state.get("orders") or []) tracked_ids_before_sync = list(self.state.get("order_ids") or []) rebuild_done = False self._refresh_balance_snapshot() price = self._price() self.state["last_price"] = price self.state["last_error"] = "" self._refresh_regimes() try: live_orders = self._sync_open_orders_state() live_ids = list(self.state.get("order_ids") or []) open_order_count = len(live_ids) expected_ids = [str(oid) for oid in tracked_ids_before_sync if oid] stale_ids = [] missing_ids = [] except Exception as exc: open_order_count = -1 live_orders = [] live_ids = [] expected_ids = [] stale_ids = [] missing_ids = [] self.state["last_error"] = str(exc) self._log(f"open orders check failed: {exc}") self.state["open_order_count"] = open_order_count desired_sides = self._desired_sides() mode = self._mode() if mode != "active": if open_order_count > 0: self._log("observe mode: cancel all open orders") try: self.context.cancel_all_orders() except Exception as exc: self.state["last_error"] = str(exc) self._log(f"observe cancel failed: {exc}") self.state["orders"] = [] self.state["order_ids"] = [] self.state["open_order_count"] = 0 if not self.state.get("seeded") or not self.state.get("center_price"): self.state["center_price"] = price self.state["seeded"] = True self.state["last_action"] = "observe monitor" self._log(f"observe at {price} dev 0.0000") return {"action": "observe", "price": price, "deviation": 0.0} center = float(self.state.get("center_price") or price) recenter_pct = float(self.config.get("recenter_pct", 0.05) or 0.05) deviation = abs(price - center) / center if center else 0.0 if deviation >= recenter_pct: self.state["center_price"] = price self.state["last_action"] = "observe monitor" self._log(f"observe at {price} dev {deviation:.4f}") return {"action": "observe", "price": price, "deviation": deviation} self.state["last_action"] = "observe monitor" self._log(f"observe at {price} dev {deviation:.4f}") return {"action": "observe", "price": price, "deviation": deviation} if stale_ids: self._log(f"stale live orders: {stale_ids}") self._cancel_orders(stale_ids) live_ids = [oid for oid in live_ids if oid not in stale_ids] if missing_ids: self._log(f"missing tracked orders: {missing_ids}") self.state["order_ids"] = live_ids missing_tracked = bool(set(expected_ids) - set(live_ids)) center = self._maybe_refresh_center(float(self.state.get("center_price") or price)) recenter_pct = self._recenter_threshold_pct() deviation = abs(price - center) / center if center else 0.0 if mode == "active" and deviation >= recenter_pct and not self._grid_refresh_paused(): if rebuild_done: return {"action": "hold", "price": price} self._log(f"recenter needed at price={price} center={center} dev={deviation:.4f} threshold={recenter_pct:.4f}") rebuild_done = True self._recenter_and_rebuild_from_price(price, "recenter") live_orders = self._sync_open_orders_state() live_ids = list(self.state.get("order_ids") or []) open_order_count = len(live_ids) self.state["last_action"] = "recentered" return {"action": "recenter", "price": price, "deviation": deviation} live_orders, live_ids, open_order_count = self._reconcile_after_sync(previous_orders, live_orders, desired_sides, price) if desired_sides != {"buy", "sell"}: self._log("single-side mode is disabled for this strategy, forcing full-grid rebuilds only") current_sides = {str(order.get("side") or "").lower() for order in live_orders if isinstance(order, dict)} current_buy = sum(1 for order in live_orders if isinstance(order, dict) and str(order.get("side") or "").lower() == "buy") current_sell = sum(1 for order in live_orders if isinstance(order, dict) and str(order.get("side") or "").lower() == "sell") expected_levels = int(self.config.get("grid_levels", 6) or 6) quote_currency = self.context.counter_currency or "USD" quote_available = self._available_balance(quote_currency) base_symbol = self._base_symbol() base_available = self._available_balance(base_symbol) reserved_quote = sum( float(order.get("price") or 0.0) * float(order.get("amount") or 0.0) for order in live_orders if isinstance(order, dict) and str(order.get("side") or "").lower() == "buy" ) reserved_base = sum( float(order.get("amount") or 0.0) for order in live_orders if isinstance(order, dict) and str(order.get("side") or "").lower() == "sell" ) total_quote = quote_available + reserved_quote total_base = base_available + reserved_base target_buy = self._target_levels_for_side("buy", price, live_orders, total_quote, expected_levels, float(self.context.minimum_order_value or 0.0)) target_sell = self._target_levels_for_side("sell", price, live_orders, total_base, expected_levels, float(self.context.minimum_order_value or 0.0)) target_total = target_buy + target_sell grid_not_as_expected = ( bool(live_orders) and ( current_buy != target_buy or current_sell != target_sell ) ) can_make_better = target_total > 0 and (current_buy != target_buy or current_sell != target_sell) if grid_not_as_expected and can_make_better and not self._grid_refresh_paused(): if rebuild_done: return {"action": "hold", "price": price} self._log( f"grid shape mismatch, rebuilding full grid: live_buy={current_buy} live_sell={current_sell} target_buy={target_buy} target_sell={target_sell}" ) rebuild_done = True self.state["center_price"] = price self._recenter_and_rebuild_from_price(price, "grid shape rebuild") live_orders = self._sync_open_orders_state() mode = self._mode() self.state["last_action"] = "reseeded" if mode == "active" else f"{mode} monitor" return {"action": "reseed" if mode == "active" else "plan", "price": price} if grid_not_as_expected and not can_make_better: self._log( f"grid shape left unchanged, balance cannot improve it: live_buy={current_buy} live_sell={current_sell} target_buy={target_buy} target_sell={target_sell}" ) if self._order_count_mismatch(tracked_ids_before_sync, live_orders): if rebuild_done: return {"action": "hold", "price": price} self._log(f"grid mismatch detected, rebuilding full grid: tracked={len(tracked_ids_before_sync)} live={len(live_orders)}") rebuild_done = True self.state["center_price"] = price self._recenter_and_rebuild_from_price(price, "grid mismatch rebuild") live_orders = self._sync_open_orders_state() mode = self._mode() self.state["last_action"] = "reseeded" if mode == "active" else f"{mode} monitor" return {"action": "reseed" if mode == "active" else "plan", "price": price} if (not self.state.get("seeded") or not self.state.get("center_price")) and not self._grid_refresh_paused(): self.state["center_price"] = price self._place_grid(price) live_orders = self._sync_open_orders_state() self.state["seeded"] = True mode = self._mode() self._log(f"{'seeded' if mode == 'active' else 'planned'} grid at {price}") return {"action": "seed" if mode == "active" else "plan", "price": price} if ((open_order_count == 0) or missing_tracked) and not self._grid_refresh_paused(): if rebuild_done: return {"action": "hold", "price": price} self._log("missing tracked order(s), rebuilding full grid") rebuild_done = True self.state["center_price"] = price self._recenter_and_rebuild_from_price(price, "missing order rebuild") live_orders = self._sync_open_orders_state() mode = self._mode() self.state["last_action"] = "reseeded" if mode == "active" else f"{mode} monitor" return {"action": "reseed" if mode == "active" else "plan", "price": price} mode = self._mode() self.state["last_action"] = "hold" if mode == "active" else f"{mode} monitor" self._log(f"hold at {price} dev {deviation:.4f}") return {"action": "hold" if mode == "active" else "plan", "price": price, "deviation": deviation} def report(self): snapshot = self.context.get_strategy_snapshot() if hasattr(self.context, "get_strategy_snapshot") else {} return { "identity": snapshot.get("identity", {}), "control": snapshot.get("control", {}), "fit": dict(getattr(self, "STRATEGY_PROFILE", {}) or {}), "position": { "balances": { "base_available": self.state.get("base_available", 0.0), "counter_available": self.state.get("counter_available", 0.0), }, "open_orders": self.state.get("orders") or [], "exposure": "grid", }, "state": { "center_price": self.state.get("center_price", 0.0), "last_price": self.state.get("last_price", 0.0), "last_action": self.state.get("last_action", "idle"), "open_order_count": self.state.get("open_order_count", 0), "regimes_updated_at": self.state.get("regimes_updated_at", ""), }, "assessment": { "confidence": None, "uncertainty": None, "reason": "structure-based grid management", "warnings": [w for w in [self._config_warning()] if w], "policy": dict(self.config.get("policy") or {}), }, "execution": snapshot.get("execution", {}), } def render(self): # Refresh the market-derived display values on render so the dashboard # reflects the same inputs the strategy would use on the next tick. live_step_pct = float(self.state.get("grid_step_pct") or 0.0) live_atr_pct = float(self.state.get("atr_percent") or 0.0) try: self._refresh_balance_snapshot() live_step_pct = self._grid_step_pct() live_atr_pct = float(self.state.get("atr_percent") or live_atr_pct) except Exception as exc: self._log(f"render refresh failed: {exc}") return { "widgets": [ {"type": "metric", "label": "market", "value": self._market_symbol()}, {"type": "metric", "label": "center", "value": round(float(self.state.get("center_price") or 0.0), 6)}, {"type": "metric", "label": "last price", "value": round(float(self.state.get("last_price") or 0.0), 6)}, {"type": "metric", "label": "state", "value": self.state.get("last_action", "idle")}, {"type": "metric", "label": "orders", "value": len(self.state.get("orders") or [])}, {"type": "metric", "label": "open orders", "value": self.state.get("open_order_count", 0)}, {"type": "metric", "label": f"ATR({self.config.get('volatility_timeframe', '1h')}) %", "value": round(live_atr_pct, 4)}, {"type": "metric", "label": "grid step %", "value": round(live_step_pct * 100.0, 4)}, {"type": "metric", "label": "1d", "value": ((self.state.get('regimes') or {}).get('1d') or {}).get('trend', {}).get('state', 'n/a')}, {"type": "metric", "label": "4h", "value": ((self.state.get('regimes') or {}).get('4h') or {}).get('trend', {}).get('state', 'n/a')}, {"type": "metric", "label": "1h", "value": ((self.state.get('regimes') or {}).get('1h') or {}).get('trend', {}).get('state', 'n/a')}, {"type": "metric", "label": "15m", "value": ((self.state.get('regimes') or {}).get('15m') or {}).get('trend', {}).get('state', 'n/a')}, {"type": "metric", "label": f"{self._base_symbol()} avail", "value": round(float(self.state.get("base_available") or 0.0), 8)}, {"type": "metric", "label": f"{self.context.counter_currency or 'USD'} avail", "value": round(float(self.state.get("counter_available") or 0.0), 8)}, *([ {"type": "text", "label": "config warning", "value": warning}, ] if (warning := self._config_warning()) else []), {"type": "text", "label": "error", "value": self.state.get("last_error", "") or "none"}, {"type": "log", "label": "debug log", "lines": self.state.get("debug_log") or []}, ] }