mirror of
https://github.com/NoFxAiOS/nofx.git
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Ai grid (#1344)
* feat: add AI grid trading and market regime classification - Add GridTrader interface with PlaceLimitOrder, CancelOrder, GetOrderBook - Implement GridTrader for all exchanges (Binance, Bybit, OKX, Bitget, Hyperliquid, Aster, Lighter) - Add grid engine with ATR-based boundary calculation and fund distribution - Add market regime classification documents (Chinese/English) - Add GridConfigEditor component for frontend configuration * fix: implement GetOpenOrders for Lighter exchange * debug: add logging for Lighter GetActiveOrders API call * fix: correct Lighter API response parsing for GetOpenOrders - Changed response field from 'data' to 'orders' to match Lighter API - Updated OrderResponse struct to match Lighter's actual field names - Fixed field types: price/quantity as strings, is_ask for side * feat: implement GetOpenOrders for Aster, OKX, Bitget exchanges - Aster: uses /fapi/v3/openOrders endpoint - OKX: uses /api/v5/trade/orders-pending and orders-algo-pending - Bitget: uses /api/v2/mix/order/orders-pending and orders-plan-pending * fix: address code review issues for GetOpenOrders - Add error logging for OKX/Bitget API failures (was silently swallowed) - Fix Lighter position side logic to handle reduce-only orders - Change verbose debug logs from Infof to Debugf level * fix: provide FromAccountIndex and ApiKeyIndex for Lighter nonce auto-fetch Root cause: SDK requires these fields to fetch nonce from API, otherwise nonce gets cached/stuck * fix: use auth query parameter instead of Authorization header for Lighter API * test: add Lighter API authentication tests and diagnostic tools * fix(grid): add leverage setting before order placement CRITICAL BUG FIX: - Call SetLeverage() in GridTraderAdapter.PlaceLimitOrder() - Set leverage during grid initialization - Log leverage setting results * fix(grid): prevent CancelOrder from canceling all orders CRITICAL BUG FIX: - CancelOrder no longer calls CancelAllOrders - Try exchange-specific CancelOrder if available - Return error if individual cancellation not supported * fix(grid): add total position value limit check CRITICAL: Prevent excessive position accumulation - New checkTotalPositionLimit() function - Checks current + pending + new order value - Rejects orders that would exceed TotalInvestment x Leverage - Logs clear error messages when limit exceeded * feat(grid): implement stop loss execution CRITICAL: Add code-level stop loss protection - New checkAndExecuteStopLoss() function - Checks each filled level against StopLossPct - Automatically closes positions exceeding stop loss - Called during every grid state sync * feat(grid): add breakout detection and auto-pause CRITICAL: Detect price breakout from grid range - New checkBreakout() function to detect upper/lower breakouts - Auto-pause grid on significant breakout (>2%) - Cancel all orders when breakout detected - Prevent continued losses in trending market - Minor breakouts (1-2%) logged for AI consideration * feat(grid): enforce max drawdown limit with emergency exit CRITICAL: Add drawdown protection - New checkMaxDrawdown() function tracks peak equity - emergencyExit() closes all positions and cancels orders - Auto-pause grid when MaxDrawdownPct exceeded - Protect capital from excessive losses * feat(grid): enforce daily loss limit - Add checkDailyLossLimit() function to check if daily loss exceeds limit - Track daily PnL with auto-reset at midnight - Pause grid when DailyLossLimitPct exceeded - Add updateDailyPnL() helper for realized PnL tracking - Prevent excessive single-day losses * fix(grid): update daily PnL when stop loss is executed The updateDailyPnL() function was added but never called, leaving DailyPnL always at 0 and preventing daily loss limit checks from triggering. This fix updates DailyPnL and TotalProfit directly in checkAndExecuteStopLoss() when a stop loss is executed. We update directly rather than calling updateDailyPnL() because the mutex is already held in that function. * feat(grid): add automatic grid adjustment - New checkGridSkew() detects imbalanced grid - autoAdjustGrid() reinitializes around current price - Prevents grid from becoming ineffective after drift - Triggers when one side is 3x more filled than other * fix(grid): recalculate bounds in autoAdjustGrid before reinitializing levels Critical fix for grid auto-adjustment: - Recalculate grid bounds (UpperPrice, LowerPrice, GridSpacing) centered on current price before reinitializing grid levels - Preserve filled positions during adjustment by saving and restoring them to the closest new level after reinitialization - Hold mutex lock for the entire adjustment operation to ensure atomicity - Add locked variants of calculateDefaultBounds, calculateATRBounds, and initializeGridLevels to use during adjustment Without this fix, autoAdjustGrid was using old boundaries when creating new grid levels, defeating the purpose of auto-adjustment when price moved significantly. * fix(grid): improve order state sync logic - Don't assume missing orders are filled - Compare position size to determine fill vs cancel - Properly reset cancelled orders to empty state - More accurate grid state tracking * fix(grid): use actual PositionSize sum instead of count in syncGridState heuristic The position-based heuristic was using `float64(previousFilledCount) * level.OrderQuantity` which incorrectly assumed uniform order quantities. Since the grid uses weighted distribution (gaussian, pyramid, uniform) where orders have different quantities, this could lead to incorrect fill detection. Now sums the actual PositionSize from filled levels for accurate comparison. Also adds warning log when GetPositions() fails. * docs: add grid market regime detection design Design for enhanced market state recognition with: - Multi-dimensional indicators (ATR, Bollinger, EMA, MACD, RSI) - Multi-period box indicators (72/240/500 1h candles) - 4-level ranging classification - Breakout detection and handling - Frontend risk control panel * docs: add grid market regime implementation plan 20 tasks covering: - Donchian channel calculation - Box data types and API - Regime classification (4 levels) - Breakout detection and handling - False breakout recovery - Frontend risk panel - AI prompt updates * feat(market): add Donchian channel calculation Add calculateDonchian function to compute highest high and lowest low over a specified period. This is the foundation for box (range) detection in the multi-period box indicator system for grid trading. * fix(market): handle invalid period in calculateDonchian * feat(market): add BoxData and RegimeLevel types * feat(market): add GetBoxData for multi-period box calculation Adds calculateBoxData internal function and GetBoxData public API that fetches 1h klines and computes three Donchian box levels (short/mid/long). This will be used by the grid trading system to detect market regime. * feat(store): add box and regime fields to grid models * feat(trader): add regime classification and breakout detection Implements Tasks 6-9 for grid market regime awareness: - Task 6: classifyRegimeLevel with Bollinger/ATR thresholds - Task 7: detectBoxBreakout for multi-period box breakouts - Task 8: confirmBreakout with 3-candle confirmation logic - Task 9: getBreakoutAction mapping breakout levels to actions * feat(trader): integrate box breakout detection into grid cycle - Task 10: Add checkBoxBreakout with 3-candle confirmation - Task 11: Add checkFalseBreakoutRecovery for 50% position recovery - Task 12: Add box/breakout/regime fields to GridState * feat: add grid risk panel with API endpoint - Task 13: Add GridRiskInfo type to frontend - Task 14: Add /traders/:id/grid-risk API endpoint - Task 15: Add GetGridRiskInfo method to AutoTrader - Task 16: Create GridRiskPanel component with i18n * feat(kernel): add box indicators to AI prompt - Add BoxData field to GridContext - Add box indicator table to both zh/en prompts - Show breakout/warning alerts based on price position * feat(web): integrate GridRiskPanel into TraderDashboardPage * feat(lighter): improve API key validation and market caching - Add API key validation status tracking - Add market list caching to reduce API calls - Improve logging (debug vs info levels) - Add comprehensive integration tests - Update trader manager and store for lighter support * fix: remove hardcoded test wallet address * fix(grid): improve GridRiskPanel layout and fix liquidation data - Make panel collapsible with summary badges when collapsed - Use compact 2-column grid layout for detailed info - Fix auth token key (token -> auth_token) - Only calculate liquidation distance when position exists * fix(grid): add isRunning checks to prevent trades after Stop() is called
This commit is contained in:
tinkle-community
@@ -1,12 +1,11 @@
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package trader
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import (
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"bytes"
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"encoding/json"
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"fmt"
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"io"
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"mime/multipart"
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"net/http"
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"net/url"
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"nofx/logger"
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"strconv"
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@@ -100,15 +99,18 @@ func (t *LighterTraderV2) GetOrderStatus(symbol string, orderID string) (map[str
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return nil, fmt.Errorf("invalid auth token: %w", err)
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}
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// Build request URL
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endpoint := fmt.Sprintf("%s/api/v1/order/%s", t.baseURL, orderID)
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// URL encode auth token (contains colons that need encoding)
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// Authentication: Use "auth" query parameter (not Authorization header)
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encodedAuth := url.QueryEscape(t.authToken)
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// Build request URL with auth query parameter
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endpoint := fmt.Sprintf("%s/api/v1/order/%s?auth=%s", t.baseURL, orderID, encodedAuth)
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req, err := http.NewRequest("GET", endpoint, nil)
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if err != nil {
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return nil, err
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}
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req.Header.Set("Authorization", t.authToken)
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req.Header.Set("Content-Type", "application/json")
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resp, err := t.client.Do(req)
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@@ -148,7 +150,7 @@ func (t *LighterTraderV2) GetOrderStatus(symbol string, orderID string) (map[str
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"orderId": order.OrderID,
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"status": unifiedStatus,
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"avgPrice": order.Price,
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"executedQty": order.FilledQty,
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"executedQty": order.FilledBaseAmount,
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"commission": 0.0,
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}, nil
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}
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@@ -210,9 +212,15 @@ func (t *LighterTraderV2) GetActiveOrders(symbol string) ([]OrderResponse, error
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return nil, fmt.Errorf("failed to get market index: %w", err)
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}
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// Build request URL
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endpoint := fmt.Sprintf("%s/api/v1/accountActiveOrders?account_index=%d&market_id=%d",
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t.baseURL, t.accountIndex, marketIndex)
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// URL encode auth token (contains colons that need encoding)
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// Authentication: Use "auth" query parameter (not Authorization header)
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encodedAuth := url.QueryEscape(t.authToken)
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// Build request URL with auth query parameter
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endpoint := fmt.Sprintf("%s/api/v1/accountActiveOrders?account_index=%d&market_id=%d&auth=%s",
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t.baseURL, t.accountIndex, marketIndex, encodedAuth)
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logger.Debugf("📋 LIGHTER GetActiveOrders: endpoint=%s", endpoint[:min(len(endpoint), 120)]+"...")
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// Send GET request
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req, err := http.NewRequest("GET", endpoint, nil)
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@@ -220,8 +228,6 @@ func (t *LighterTraderV2) GetActiveOrders(symbol string) ([]OrderResponse, error
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return nil, fmt.Errorf("failed to create request: %w", err)
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}
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// Add authentication header
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req.Header.Set("Authorization", t.authToken)
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req.Header.Set("Content-Type", "application/json")
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resp, err := t.client.Do(req)
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@@ -235,11 +241,13 @@ func (t *LighterTraderV2) GetActiveOrders(symbol string) ([]OrderResponse, error
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return nil, fmt.Errorf("failed to read response: %w", err)
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}
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// Parse response
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logger.Debugf("📋 LIGHTER GetActiveOrders raw response: %s", string(body))
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// Parse response - Lighter API uses "orders" field, not "data"
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var apiResp struct {
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Code int `json:"code"`
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Message string `json:"message"`
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Data []OrderResponse `json:"data"`
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Orders []OrderResponse `json:"orders"`
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}
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if err := json.Unmarshal(body, &apiResp); err != nil {
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@@ -250,11 +258,15 @@ func (t *LighterTraderV2) GetActiveOrders(symbol string) ([]OrderResponse, error
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return nil, fmt.Errorf("failed to get active orders (code %d): %s", apiResp.Code, apiResp.Message)
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}
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logger.Infof("✓ LIGHTER - Retrieved %d active orders", len(apiResp.Data))
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return apiResp.Data, nil
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logger.Infof("✓ LIGHTER - Retrieved %d active orders", len(apiResp.Orders))
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for i, order := range apiResp.Orders {
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logger.Debugf(" Order[%d]: order_id=%s, order_index=%d, market=%d", i, order.OrderID, order.OrderIndex, order.MarketIndex)
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}
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return apiResp.Orders, nil
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}
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// CancelOrder Cancel a single order
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// orderID can be either a numeric order_index or a tx_hash string
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func (t *LighterTraderV2) CancelOrder(symbol, orderID string) error {
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if t.txClient == nil {
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return fmt.Errorf("TxClient not initialized")
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@@ -267,10 +279,15 @@ func (t *LighterTraderV2) CancelOrder(symbol, orderID string) error {
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}
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marketIndex := uint8(marketIndexU16) // SDK expects uint8
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// Convert orderID to int64
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// Try to parse orderID as numeric order_index first
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orderIndex, err := strconv.ParseInt(orderID, 10, 64)
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if err != nil {
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return fmt.Errorf("invalid order ID: %w", err)
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// orderID is a tx_hash, need to query order to get numeric order_index
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logger.Debugf("📋 LIGHTER CancelOrder: orderID is tx_hash, querying order...")
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orderIndex, err = t.getOrderIndexByTxHash(symbol, orderID)
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if err != nil {
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return fmt.Errorf("failed to get order index from tx_hash: %w", err)
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}
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}
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// Build cancel order request
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@@ -280,22 +297,26 @@ func (t *LighterTraderV2) CancelOrder(symbol, orderID string) error {
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}
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// Sign transaction using SDK
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// Must provide FromAccountIndex and ApiKeyIndex for nonce auto-fetch to work
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nonce := int64(-1) // -1 means auto-fetch
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apiKeyIdx := t.apiKeyIndex
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tx, err := t.txClient.GetCancelOrderTransaction(txReq, &types.TransactOpts{
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Nonce: &nonce,
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FromAccountIndex: &t.accountIndex,
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ApiKeyIndex: &apiKeyIdx,
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Nonce: &nonce,
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})
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if err != nil {
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return fmt.Errorf("failed to sign cancel order: %w", err)
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}
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// Serialize transaction
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txBytes, err := json.Marshal(tx)
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// Get tx_info from SDK (consistent with CreateOrder and other transactions)
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txInfo, err := tx.GetTxInfo()
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if err != nil {
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return fmt.Errorf("failed to serialize transaction: %w", err)
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return fmt.Errorf("failed to get tx info: %w", err)
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}
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// Submit cancel order to LIGHTER API
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_, err = t.submitCancelOrder(txBytes)
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// Submit cancel order to LIGHTER API using unified submitOrder function
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_, err = t.submitOrder(int(tx.GetTxType()), txInfo)
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if err != nil {
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return fmt.Errorf("failed to submit cancel order: %w", err)
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}
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@@ -304,65 +325,21 @@ func (t *LighterTraderV2) CancelOrder(symbol, orderID string) error {
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return nil
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}
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// submitCancelOrder Submit signed cancel order to LIGHTER API using multipart/form-data
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func (t *LighterTraderV2) submitCancelOrder(signedTx []byte) (map[string]interface{}, error) {
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const TX_TYPE_CANCEL_ORDER = 15
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// Build multipart form data (Lighter API requires form-data, not JSON)
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var body bytes.Buffer
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writer := multipart.NewWriter(&body)
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// Add tx_type field
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if err := writer.WriteField("tx_type", strconv.Itoa(TX_TYPE_CANCEL_ORDER)); err != nil {
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return nil, fmt.Errorf("failed to write tx_type: %w", err)
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}
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// Add tx_info field
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if err := writer.WriteField("tx_info", string(signedTx)); err != nil {
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return nil, fmt.Errorf("failed to write tx_info: %w", err)
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}
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// Close multipart writer
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if err := writer.Close(); err != nil {
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return nil, fmt.Errorf("failed to close multipart writer: %w", err)
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}
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// Send POST request to /api/v1/sendTx
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endpoint := fmt.Sprintf("%s/api/v1/sendTx", t.baseURL)
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httpReq, err := http.NewRequest("POST", endpoint, &body)
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// getOrderIndexByTxHash finds the numeric order_index by searching active orders for the tx_hash
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func (t *LighterTraderV2) getOrderIndexByTxHash(symbol, txHash string) (int64, error) {
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// Get all active orders for this symbol
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orders, err := t.GetActiveOrders(symbol)
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if err != nil {
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return nil, err
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return 0, fmt.Errorf("failed to get active orders: %w", err)
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}
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httpReq.Header.Set("Content-Type", writer.FormDataContentType())
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resp, err := t.client.Do(httpReq)
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if err != nil {
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return nil, err
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}
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defer resp.Body.Close()
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respBody, err := io.ReadAll(resp.Body)
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if err != nil {
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return nil, err
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// Search for the order with matching tx_hash (order_id)
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for _, order := range orders {
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if order.OrderID == txHash {
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logger.Debugf("📋 LIGHTER Found order_index %d for tx_hash %s", order.OrderIndex, txHash)
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return order.OrderIndex, nil
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}
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}
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// Parse response
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var sendResp SendTxResponse
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if err := json.Unmarshal(respBody, &sendResp); err != nil {
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return nil, fmt.Errorf("failed to parse response: %w, body: %s", err, string(respBody))
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}
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// Check response code
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if sendResp.Code != 200 {
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return nil, fmt.Errorf("failed to submit cancel order (code %d): %s", sendResp.Code, sendResp.Message)
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}
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result := map[string]interface{}{
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"tx_hash": sendResp.Data["tx_hash"],
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"status": "cancelled",
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}
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logger.Infof("✓ Cancel order submitted to LIGHTER - tx_hash: %v", sendResp.Data["tx_hash"])
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return result, nil
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return 0, fmt.Errorf("order not found with tx_hash: %s (may already be filled or cancelled)", txHash)
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}
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