trader-mcp/strategies/grid_trader.py

from __future__ import annotations

import time

from src.trader_mcp.strategy_sdk import Strategy


class Strategy(Strategy):
    LABEL = "Grid Trader"
    TICK_MINUTES = 0.2
    # NOTE:
    # This strategy is currently using a protective workaround for stale order state,
    # because exec-mcp can temporarily report order records that do not reflect the
    # clean post-reset strategy state. The grid prefers its own fresh persisted state
    # first, so the real exchange behavior stays testable while exec-mcp is improved.
    # Expect the reconciliation behavior to change again once exec-mcp is fixed.
    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},
        "inventory_cap_pct": {"type": "float", "default": 0.7, "min": 0.0, "max": 1.0},
        "recenter_pct": {"type": "float", "default": 0.05, "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},
        "order_call_delay_ms": {"type": "int", "default": 250, "min": 0, "max": 10000},
        "debug_orders": {"type": "bool", "default": True},
        "use_all_available": {"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},
    }

    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,
        }

    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

    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 _mode(self) -> str:
        return getattr(self.context, "mode", "active") or "active"

    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 _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")
            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}")
            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"] = atr_pct
        return step

    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 _supported_levels(self, side: str, price: float, min_notional: float) -> int:
        if min_notional <= 0 or price <= 0:
            return 0
        safety = 0.995
        fee_rate = float(self.config.get("fee_rate", 0.0025) or 0.0)
        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 * 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_notional = base_available * 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 _suggest_amount(self, side: str, price: float, levels: int, min_notional: float) -> float:
        if levels <= 0 or price <= 0:
            return 0.0
        safety = 0.995
        fee_rate = float(self.config.get("fee_rate", 0.0025) or 0.0)
        max_notional = float(self.config.get("max_notional_per_order", 0.0) or 0.0)
        manual = float(self.config.get("order_size", 0.0) or 0.0)
        if side == "buy":
            quote = self.context.counter_currency or "USD"
            quote_available = self._available_balance(quote)
            self.state["counter_available"] = quote_available
            spendable_quote = quote_available * safety
            amount = spendable_quote / (max(levels, 1) * price * (1 + fee_rate))
        else:
            base = self._base_symbol()
            base_available = self._available_balance(base)
            self.state["base_available"] = base_available
            spendable_base = (base_available * safety) / (1 + fee_rate)
            amount = spendable_base / max(levels, 1)

        min_size = (min_notional / price) if price > 0 else 0.0
        amount = max(amount, min_size * 1.05)
        if max_notional > 0 and price > 0:
            amount = min(amount, max_notional / (price * (1 + fee_rate)))
        if manual > 0:
            amount = min(amount, manual)
        return max(amount, 0.0)

    def _place_grid(self, center: float) -> None:
        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.state["orders"] = orders
        self.state["order_ids"] = order_ids
        self.state["last_action"] = "seeded grid"

    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 on_tick(self, tick):
        price = self._price()
        self.state["last_price"] = price
        self.state["last_error"] = ""

        try:
            open_orders = self.context.get_open_orders()
            live_ids = []
            if isinstance(open_orders, list):
                for order in open_orders:
                    if isinstance(order, dict):
                        live_ids.append(str(order.get("bitstamp_order_id") or order.get("order_id") or order.get("id") or order.get("client_order_id") or ""))
            live_ids = [oid for oid in live_ids if oid]
            open_order_count = len(live_ids)
            expected_ids = [str(oid) for oid in (self.state.get("order_ids") or []) if oid]
            stale_ids = [oid for oid in live_ids if oid not in expected_ids]
            missing_ids = [oid for oid in expected_ids if oid not in live_ids]
        except Exception as exc:
            open_order_count = -1
            live_ids = []
            expected_ids = []
            stale_ids = []
            missing_ids = []
            self.state["last_error"] = str(exc)
            self._log(f"open orders check failed: {exc}")

        # Workaround: after a reset, trust the fresh strategy state first.
        # This prevents stale exec-mcp records from blocking the next clean test.
        if not (self.state.get("order_ids") or []):
            live_ids = []
            open_order_count = 0
            expected_ids = []
            stale_ids = []
            missing_ids = []

        self.state["open_order_count"] = open_order_count

        mode = self._mode()

        if mode != "active":
            if not self.state.get("seeded") or not self.state.get("center_price"):
                self.state["center_price"] = price
                self._place_grid(price)
                self.state["seeded"] = True
                self._log(f"planned grid at {price}")
                return {"action": "plan", "price": price}

            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._place_grid(price)
                self._log(f"planned recenter to {price}")
                return {"action": "plan", "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

        if not self.state.get("seeded") or not self.state.get("center_price"):
            self.state["center_price"] = price
            self._place_grid(price)
            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 (expected_ids and not set(expected_ids).intersection(set(live_ids))):
            self._log("no open orders, reseeding grid")
            self.state["center_price"] = price
            self._place_grid(price)
            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}

        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:
            try:
                self.context.cancel_all_orders()
            except Exception as exc:
                self.state["last_error"] = str(exc)
            self.state["center_price"] = price
            self._place_grid(price)
            mode = self._mode()
            self.state["last_action"] = "recentered" if mode == "active" else f"{mode} monitor"
            self._log(f"recentered grid to {price}")
            return {"action": "recenter" if mode == "active" else "plan", "price": price, "deviation": deviation}

        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 render(self):
        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": "ATR %", "value": round(float(self.state.get("atr_percent") or 0.0), 4)},
                {"type": "metric", "label": "grid step %", "value": round(float(self.state.get("grid_step_pct") or 0.0) * 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": "error", "value": self.state.get("last_error", "") or "none"},
                {"type": "log", "label": "debug log", "lines": self.state.get("debug_log") or []},
            ]
        }