Files
nofx/trader/lighter_trader_v2_orders.go
tinkle-community 7e96c5d0f2 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
2026-01-19 12:07:14 +08:00

346 lines
11 KiB
Go

package trader
import (
"encoding/json"
"fmt"
"io"
"net/http"
"net/url"
"nofx/logger"
"strconv"
"github.com/elliottech/lighter-go/types"
)
// SetStopLoss Set stop-loss order (implements Trader interface)
// IMPORTANT: Uses StopLossOrder type (type=2) with TriggerPrice, NOT regular limit order
func (t *LighterTraderV2) SetStopLoss(symbol string, positionSide string, quantity, stopPrice float64) error {
if t.txClient == nil {
return fmt.Errorf("TxClient not initialized")
}
logger.Infof("🛑 LIGHTER Setting stop-loss: %s %s qty=%.4f, trigger=%.2f", symbol, positionSide, quantity, stopPrice)
// Determine order direction (long position uses sell order, short position uses buy order)
isAsk := (positionSide == "LONG" || positionSide == "long")
// Create stop-loss order with TriggerPrice (type=2: StopLossOrder)
_, err := t.CreateStopOrder(symbol, isAsk, quantity, stopPrice, "stop_loss")
if err != nil {
return fmt.Errorf("failed to set stop-loss: %w", err)
}
logger.Infof("✓ LIGHTER stop-loss set: trigger=%.2f", stopPrice)
return nil
}
// SetTakeProfit Set take-profit order (implements Trader interface)
// IMPORTANT: Uses TakeProfitOrder type (type=4) with TriggerPrice, NOT regular limit order
func (t *LighterTraderV2) SetTakeProfit(symbol string, positionSide string, quantity, takeProfitPrice float64) error {
if t.txClient == nil {
return fmt.Errorf("TxClient not initialized")
}
logger.Infof("🎯 LIGHTER Setting take-profit: %s %s qty=%.4f, trigger=%.2f", symbol, positionSide, quantity, takeProfitPrice)
// Determine order direction (long position uses sell order, short position uses buy order)
isAsk := (positionSide == "LONG" || positionSide == "long")
// Create take-profit order with TriggerPrice (type=4: TakeProfitOrder)
_, err := t.CreateStopOrder(symbol, isAsk, quantity, takeProfitPrice, "take_profit")
if err != nil {
return fmt.Errorf("failed to set take-profit: %w", err)
}
logger.Infof("✓ LIGHTER take-profit set: trigger=%.2f", takeProfitPrice)
return nil
}
// CancelAllOrders Cancel all orders (implements Trader interface)
func (t *LighterTraderV2) CancelAllOrders(symbol string) error {
if t.txClient == nil {
return fmt.Errorf("TxClient not initialized")
}
if err := t.ensureAuthToken(); err != nil {
return fmt.Errorf("invalid auth token: %w", err)
}
// Get all active orders
orders, err := t.GetActiveOrders(symbol)
if err != nil {
return fmt.Errorf("failed to get active orders: %w", err)
}
if len(orders) == 0 {
logger.Infof("✓ LIGHTER - No orders to cancel (no active orders)")
return nil
}
// Batch cancel
canceledCount := 0
for _, order := range orders {
if err := t.CancelOrder(symbol, order.OrderID); err != nil {
logger.Infof("⚠️ Failed to cancel order (ID: %s): %v", order.OrderID, err)
} else {
canceledCount++
}
}
logger.Infof("✓ LIGHTER - Canceled %d orders", canceledCount)
return nil
}
// GetOrderStatus Get order status (implements Trader interface)
func (t *LighterTraderV2) GetOrderStatus(symbol string, orderID string) (map[string]interface{}, error) {
// LIGHTER market orders are usually filled immediately
// Try to query order status
if err := t.ensureAuthToken(); err != nil {
return nil, fmt.Errorf("invalid auth token: %w", err)
}
// URL encode auth token (contains colons that need encoding)
// Authentication: Use "auth" query parameter (not Authorization header)
encodedAuth := url.QueryEscape(t.authToken)
// Build request URL with auth query parameter
endpoint := fmt.Sprintf("%s/api/v1/order/%s?auth=%s", t.baseURL, orderID, encodedAuth)
req, err := http.NewRequest("GET", endpoint, nil)
if err != nil {
return nil, err
}
req.Header.Set("Content-Type", "application/json")
resp, err := t.client.Do(req)
if err != nil {
// ✅ 正确做法:查询失败返回错误,而不是假设成交
return nil, fmt.Errorf("failed to query order status: %w", err)
}
defer resp.Body.Close()
body, err := io.ReadAll(resp.Body)
if err != nil {
return nil, fmt.Errorf("failed to read response body: %w", err)
}
// Check HTTP status code
if resp.StatusCode != 200 {
return nil, fmt.Errorf("API returned status %d: %s", resp.StatusCode, string(body))
}
var order OrderResponse
if err := json.Unmarshal(body, &order); err != nil {
return nil, fmt.Errorf("failed to parse order response: %w, body: %s", err, string(body))
}
// Convert status to unified format
unifiedStatus := order.Status
switch order.Status {
case "filled":
unifiedStatus = "FILLED"
case "open":
unifiedStatus = "NEW"
case "cancelled":
unifiedStatus = "CANCELED"
}
return map[string]interface{}{
"orderId": order.OrderID,
"status": unifiedStatus,
"avgPrice": order.Price,
"executedQty": order.FilledBaseAmount,
"commission": 0.0,
}, nil
}
// CancelStopLossOrders Cancel only stop-loss orders (implements Trader interface)
func (t *LighterTraderV2) CancelStopLossOrders(symbol string) error {
// LIGHTER cannot distinguish between stop-loss and take-profit orders yet, will cancel all stop orders
logger.Infof("⚠️ LIGHTER cannot distinguish stop-loss/take-profit orders, will cancel all stop orders")
return t.CancelStopOrders(symbol)
}
// CancelTakeProfitOrders Cancel only take-profit orders (implements Trader interface)
func (t *LighterTraderV2) CancelTakeProfitOrders(symbol string) error {
// LIGHTER cannot distinguish between stop-loss and take-profit orders yet, will cancel all stop orders
logger.Infof("⚠️ LIGHTER cannot distinguish stop-loss/take-profit orders, will cancel all stop orders")
return t.CancelStopOrders(symbol)
}
// CancelStopOrders Cancel stop-loss/take-profit orders for this symbol (implements Trader interface)
func (t *LighterTraderV2) CancelStopOrders(symbol string) error {
if t.txClient == nil {
return fmt.Errorf("TxClient not initialized")
}
if err := t.ensureAuthToken(); err != nil {
return fmt.Errorf("invalid auth token: %w", err)
}
// Get active orders
orders, err := t.GetActiveOrders(symbol)
if err != nil {
return fmt.Errorf("failed to get active orders: %w", err)
}
canceledCount := 0
for _, order := range orders {
// TODO: Check order type, only cancel stop orders
// For now, cancel all orders
if err := t.CancelOrder(symbol, order.OrderID); err != nil {
logger.Infof("⚠️ Failed to cancel order (ID: %s): %v", order.OrderID, err)
} else {
canceledCount++
}
}
logger.Infof("✓ LIGHTER - Canceled %d stop orders", canceledCount)
return nil
}
// GetActiveOrders Get active orders
func (t *LighterTraderV2) GetActiveOrders(symbol string) ([]OrderResponse, error) {
if err := t.ensureAuthToken(); err != nil {
return nil, fmt.Errorf("invalid auth token: %w", err)
}
// Get market index
marketIndex, err := t.getMarketIndex(symbol)
if err != nil {
return nil, fmt.Errorf("failed to get market index: %w", err)
}
// URL encode auth token (contains colons that need encoding)
// Authentication: Use "auth" query parameter (not Authorization header)
encodedAuth := url.QueryEscape(t.authToken)
// Build request URL with auth query parameter
endpoint := fmt.Sprintf("%s/api/v1/accountActiveOrders?account_index=%d&market_id=%d&auth=%s",
t.baseURL, t.accountIndex, marketIndex, encodedAuth)
logger.Debugf("📋 LIGHTER GetActiveOrders: endpoint=%s", endpoint[:min(len(endpoint), 120)]+"...")
// Send GET request
req, err := http.NewRequest("GET", endpoint, nil)
if err != nil {
return nil, fmt.Errorf("failed to create request: %w", err)
}
req.Header.Set("Content-Type", "application/json")
resp, err := t.client.Do(req)
if err != nil {
return nil, fmt.Errorf("request failed: %w", err)
}
defer resp.Body.Close()
body, err := io.ReadAll(resp.Body)
if err != nil {
return nil, fmt.Errorf("failed to read response: %w", err)
}
logger.Debugf("📋 LIGHTER GetActiveOrders raw response: %s", string(body))
// Parse response - Lighter API uses "orders" field, not "data"
var apiResp struct {
Code int `json:"code"`
Message string `json:"message"`
Orders []OrderResponse `json:"orders"`
}
if err := json.Unmarshal(body, &apiResp); err != nil {
return nil, fmt.Errorf("failed to parse response: %w, body: %s", err, string(body))
}
if apiResp.Code != 200 {
return nil, fmt.Errorf("failed to get active orders (code %d): %s", apiResp.Code, apiResp.Message)
}
logger.Infof("✓ LIGHTER - Retrieved %d active orders", len(apiResp.Orders))
for i, order := range apiResp.Orders {
logger.Debugf(" Order[%d]: order_id=%s, order_index=%d, market=%d", i, order.OrderID, order.OrderIndex, order.MarketIndex)
}
return apiResp.Orders, nil
}
// CancelOrder Cancel a single order
// orderID can be either a numeric order_index or a tx_hash string
func (t *LighterTraderV2) CancelOrder(symbol, orderID string) error {
if t.txClient == nil {
return fmt.Errorf("TxClient not initialized")
}
// Get market index
marketIndexU16, err := t.getMarketIndex(symbol)
if err != nil {
return fmt.Errorf("failed to get market index: %w", err)
}
marketIndex := uint8(marketIndexU16) // SDK expects uint8
// Try to parse orderID as numeric order_index first
orderIndex, err := strconv.ParseInt(orderID, 10, 64)
if err != nil {
// orderID is a tx_hash, need to query order to get numeric order_index
logger.Debugf("📋 LIGHTER CancelOrder: orderID is tx_hash, querying order...")
orderIndex, err = t.getOrderIndexByTxHash(symbol, orderID)
if err != nil {
return fmt.Errorf("failed to get order index from tx_hash: %w", err)
}
}
// Build cancel order request
txReq := &types.CancelOrderTxReq{
MarketIndex: marketIndex,
Index: orderIndex,
}
// Sign transaction using SDK
// Must provide FromAccountIndex and ApiKeyIndex for nonce auto-fetch to work
nonce := int64(-1) // -1 means auto-fetch
apiKeyIdx := t.apiKeyIndex
tx, err := t.txClient.GetCancelOrderTransaction(txReq, &types.TransactOpts{
FromAccountIndex: &t.accountIndex,
ApiKeyIndex: &apiKeyIdx,
Nonce: &nonce,
})
if err != nil {
return fmt.Errorf("failed to sign cancel order: %w", err)
}
// Get tx_info from SDK (consistent with CreateOrder and other transactions)
txInfo, err := tx.GetTxInfo()
if err != nil {
return fmt.Errorf("failed to get tx info: %w", err)
}
// Submit cancel order to LIGHTER API using unified submitOrder function
_, err = t.submitOrder(int(tx.GetTxType()), txInfo)
if err != nil {
return fmt.Errorf("failed to submit cancel order: %w", err)
}
logger.Infof("✓ LIGHTER order canceled - ID: %s", orderID)
return nil
}
// getOrderIndexByTxHash finds the numeric order_index by searching active orders for the tx_hash
func (t *LighterTraderV2) getOrderIndexByTxHash(symbol, txHash string) (int64, error) {
// Get all active orders for this symbol
orders, err := t.GetActiveOrders(symbol)
if err != nil {
return 0, fmt.Errorf("failed to get active orders: %w", err)
}
// Search for the order with matching tx_hash (order_id)
for _, order := range orders {
if order.OrderID == txHash {
logger.Debugf("📋 LIGHTER Found order_index %d for tx_hash %s", order.OrderIndex, txHash)
return order.OrderIndex, nil
}
}
return 0, fmt.Errorf("order not found with tx_hash: %s (may already be filled or cancelled)", txHash)
}