mirror of
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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
GitHub
+8
-1
@@ -130,7 +130,8 @@ type Context struct {
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// Decision AI trading decision
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type Decision struct {
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Symbol string `json:"symbol"`
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Action string `json:"action"` // "open_long", "open_short", "close_long", "close_short", "hold", "wait"
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Action string `json:"action"` // Standard: "open_long", "open_short", "close_long", "close_short", "hold", "wait"
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// Grid actions: "place_buy_limit", "place_sell_limit", "cancel_order", "cancel_all_orders", "pause_grid", "resume_grid", "adjust_grid"
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// Opening position parameters
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Leverage int `json:"leverage,omitempty"`
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@@ -138,6 +139,12 @@ type Decision struct {
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StopLoss float64 `json:"stop_loss,omitempty"`
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TakeProfit float64 `json:"take_profit,omitempty"`
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// Grid trading parameters
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Price float64 `json:"price,omitempty"` // Limit order price (for grid)
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Quantity float64 `json:"quantity,omitempty"` // Order quantity (for grid)
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LevelIndex int `json:"level_index,omitempty"` // Grid level index
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OrderID string `json:"order_id,omitempty"` // Order ID (for cancel)
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// Common parameters
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Confidence int `json:"confidence,omitempty"` // Confidence level (0-100)
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RiskUSD float64 `json:"risk_usd,omitempty"` // Maximum USD risk
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@@ -0,0 +1,587 @@
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package kernel
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import (
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"encoding/json"
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"fmt"
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"nofx/logger"
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"nofx/market"
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"nofx/mcp"
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"nofx/store"
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"strings"
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"time"
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)
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// ============================================================================
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// Grid Trading Context and Types
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// ============================================================================
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// GridLevelInfo represents a single grid level's current state
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type GridLevelInfo struct {
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Index int `json:"index"` // Level index (0 = lowest)
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Price float64 `json:"price"` // Target price for this level
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State string `json:"state"` // "empty", "pending", "filled"
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Side string `json:"side"` // "buy" or "sell"
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OrderID string `json:"order_id"` // Current order ID (if pending)
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OrderQuantity float64 `json:"order_quantity"` // Order quantity
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PositionSize float64 `json:"position_size"` // Position size (if filled)
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PositionEntry float64 `json:"position_entry"` // Entry price (if filled)
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AllocatedUSD float64 `json:"allocated_usd"` // USD allocated to this level
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UnrealizedPnL float64 `json:"unrealized_pnl"` // Unrealized P&L (if filled)
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}
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// GridContext contains all information needed for AI grid decision making
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type GridContext struct {
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// Basic info
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Symbol string `json:"symbol"`
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CurrentTime string `json:"current_time"`
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CurrentPrice float64 `json:"current_price"`
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// Grid configuration
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GridCount int `json:"grid_count"`
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TotalInvestment float64 `json:"total_investment"`
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Leverage int `json:"leverage"`
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UpperPrice float64 `json:"upper_price"`
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LowerPrice float64 `json:"lower_price"`
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GridSpacing float64 `json:"grid_spacing"`
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Distribution string `json:"distribution"`
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// Grid state
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Levels []GridLevelInfo `json:"levels"`
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ActiveOrderCount int `json:"active_order_count"`
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FilledLevelCount int `json:"filled_level_count"`
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IsPaused bool `json:"is_paused"`
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// Market data
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ATR14 float64 `json:"atr14"`
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BollingerUpper float64 `json:"bollinger_upper"`
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BollingerMiddle float64 `json:"bollinger_middle"`
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BollingerLower float64 `json:"bollinger_lower"`
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BollingerWidth float64 `json:"bollinger_width"` // Percentage
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EMA20 float64 `json:"ema20"`
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EMA50 float64 `json:"ema50"`
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EMADistance float64 `json:"ema_distance"` // Percentage
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RSI14 float64 `json:"rsi14"`
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MACD float64 `json:"macd"`
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MACDSignal float64 `json:"macd_signal"`
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MACDHistogram float64 `json:"macd_histogram"`
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FundingRate float64 `json:"funding_rate"`
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Volume24h float64 `json:"volume_24h"`
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PriceChange1h float64 `json:"price_change_1h"`
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PriceChange4h float64 `json:"price_change_4h"`
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// Account info
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TotalEquity float64 `json:"total_equity"`
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AvailableBalance float64 `json:"available_balance"`
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CurrentPosition float64 `json:"current_position"` // Net position size
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UnrealizedPnL float64 `json:"unrealized_pnl"`
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// Performance
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TotalProfit float64 `json:"total_profit"`
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TotalTrades int `json:"total_trades"`
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WinningTrades int `json:"winning_trades"`
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MaxDrawdown float64 `json:"max_drawdown"`
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DailyPnL float64 `json:"daily_pnl"`
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// Box indicators (Donchian Channels)
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BoxData *market.BoxData `json:"box_data,omitempty"`
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}
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// ============================================================================
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// Grid Prompt Building
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// ============================================================================
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// BuildGridSystemPrompt builds the system prompt for grid trading AI
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func BuildGridSystemPrompt(config *store.GridStrategyConfig, lang string) string {
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if lang == "zh" {
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return buildGridSystemPromptZh(config)
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}
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return buildGridSystemPromptEn(config)
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}
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func buildGridSystemPromptZh(config *store.GridStrategyConfig) string {
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return fmt.Sprintf(`# 你是一个专业的网格交易AI
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## 角色定义
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你是一个经验丰富的网格交易专家，负责管理 %s 的网格交易策略。你的任务是：
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1. 判断当前市场状态（震荡/趋势/高波动）
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2. 决定是否需要调整网格或暂停交易
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3. 管理每个网格层级的订单
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## 网格配置
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- 交易对: %s
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- 网格层数: %d
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- 总投资: %.2f USDT
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- 杠杆: %dx
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- 价格分布: %s
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## 决策规则
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### 市场状态判断
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- **震荡市场** (适合网格): 布林带宽度 < 3%%, EMA20/50 距离 < 1%%, 价格在布林带中轨附近
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- **趋势市场** (暂停网格): 布林带宽度 > 4%%, EMA20/50 距离 > 2%%, 价格持续突破布林带
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- **高波动市场** (谨慎): ATR异常放大, 价格剧烈波动
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### 可执行的操作
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- place_buy_limit: 在指定价格下买入限价单
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- place_sell_limit: 在指定价格下卖出限价单
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- cancel_order: 取消指定订单
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- cancel_all_orders: 取消所有订单
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- pause_grid: 暂停网格交易（趋势市场时）
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- resume_grid: 恢复网格交易（震荡市场时）
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- adjust_grid: 调整网格边界
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- hold: 保持当前状态不操作
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## 输出格式
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输出JSON数组，每个决策包含:
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- symbol: 交易对
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- action: 操作类型
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- price: 价格（限价单用）
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- quantity: 数量
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- level_index: 网格层级索引
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- order_id: 订单ID（取消订单用）
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- confidence: 置信度 0-100
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- reasoning: 决策理由
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示例:
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[
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{"symbol": "BTCUSDT", "action": "place_buy_limit", "price": 94000, "quantity": 0.01, "level_index": 2, "confidence": 85, "reasoning": "第2层价格接近，下买单"},
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{"symbol": "BTCUSDT", "action": "hold", "confidence": 90, "reasoning": "市场震荡，保持当前网格"}
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]
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`, config.Symbol, config.Symbol, config.GridCount, config.TotalInvestment, config.Leverage, config.Distribution)
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}
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func buildGridSystemPromptEn(config *store.GridStrategyConfig) string {
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return fmt.Sprintf(`# You are a Professional Grid Trading AI
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## Role Definition
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You are an experienced grid trading expert managing a grid strategy for %s. Your tasks are:
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1. Assess current market regime (ranging/trending/volatile)
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2. Decide whether to adjust grid or pause trading
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3. Manage orders at each grid level
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## Grid Configuration
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- Symbol: %s
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- Grid Levels: %d
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- Total Investment: %.2f USDT
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- Leverage: %dx
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- Distribution: %s
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## Decision Rules
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### Market Regime Assessment
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- **Ranging Market** (ideal for grid): Bollinger width < 3%%, EMA20/50 distance < 1%%, price near middle band
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- **Trending Market** (pause grid): Bollinger width > 4%%, EMA20/50 distance > 2%%, price breaking bands
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- **High Volatility** (caution): ATR spike, erratic price movement
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### Available Actions
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- place_buy_limit: Place buy limit order at specified price
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- place_sell_limit: Place sell limit order at specified price
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- cancel_order: Cancel specific order
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- cancel_all_orders: Cancel all orders
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- pause_grid: Pause grid trading (in trending market)
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- resume_grid: Resume grid trading (in ranging market)
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- adjust_grid: Adjust grid boundaries
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- hold: Maintain current state
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## Output Format
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Output JSON array, each decision contains:
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- symbol: Trading pair
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- action: Action type
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- price: Price (for limit orders)
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- quantity: Quantity
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- level_index: Grid level index
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- order_id: Order ID (for cancel)
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- confidence: Confidence 0-100
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- reasoning: Decision reason
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Example:
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[
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{"symbol": "BTCUSDT", "action": "place_buy_limit", "price": 94000, "quantity": 0.01, "level_index": 2, "confidence": 85, "reasoning": "Level 2 price approaching, place buy order"},
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{"symbol": "BTCUSDT", "action": "hold", "confidence": 90, "reasoning": "Market ranging, maintain current grid"}
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]
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`, config.Symbol, config.Symbol, config.GridCount, config.TotalInvestment, config.Leverage, config.Distribution)
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}
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// BuildGridUserPrompt builds the user prompt with current grid context
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func BuildGridUserPrompt(ctx *GridContext, lang string) string {
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if lang == "zh" {
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return buildGridUserPromptZh(ctx)
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}
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return buildGridUserPromptEn(ctx)
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}
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func buildGridUserPromptZh(ctx *GridContext) string {
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var sb strings.Builder
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sb.WriteString(fmt.Sprintf("## 当前时间: %s\n\n", ctx.CurrentTime))
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// Market data section
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sb.WriteString("## 市场数据\n")
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sb.WriteString(fmt.Sprintf("- 当前价格: $%.2f\n", ctx.CurrentPrice))
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sb.WriteString(fmt.Sprintf("- 1小时涨跌: %.2f%%\n", ctx.PriceChange1h))
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sb.WriteString(fmt.Sprintf("- 4小时涨跌: %.2f%%\n", ctx.PriceChange4h))
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sb.WriteString(fmt.Sprintf("- ATR14: $%.2f (%.2f%%)\n", ctx.ATR14, ctx.ATR14/ctx.CurrentPrice*100))
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sb.WriteString(fmt.Sprintf("- 布林带: 上轨 $%.2f, 中轨 $%.2f, 下轨 $%.2f\n", ctx.BollingerUpper, ctx.BollingerMiddle, ctx.BollingerLower))
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sb.WriteString(fmt.Sprintf("- 布林带宽度: %.2f%%\n", ctx.BollingerWidth))
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sb.WriteString(fmt.Sprintf("- EMA20: $%.2f, EMA50: $%.2f, 距离: %.2f%%\n", ctx.EMA20, ctx.EMA50, ctx.EMADistance))
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sb.WriteString(fmt.Sprintf("- RSI14: %.1f\n", ctx.RSI14))
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sb.WriteString(fmt.Sprintf("- MACD: %.4f, Signal: %.4f, Histogram: %.4f\n", ctx.MACD, ctx.MACDSignal, ctx.MACDHistogram))
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sb.WriteString(fmt.Sprintf("- 资金费率: %.4f%%\n", ctx.FundingRate*100))
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sb.WriteString("\n")
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// Box Indicator Section
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if ctx.BoxData != nil {
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sb.WriteString("## 箱体指标 (唐奇安通道)\n\n")
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sb.WriteString("| 箱体级别 | 上轨 | 下轨 | 宽度 |\n")
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sb.WriteString("|----------|------|------|------|\n")
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shortWidth := 0.0
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midWidth := 0.0
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longWidth := 0.0
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if ctx.BoxData.CurrentPrice > 0 {
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shortWidth = (ctx.BoxData.ShortUpper - ctx.BoxData.ShortLower) / ctx.BoxData.CurrentPrice * 100
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midWidth = (ctx.BoxData.MidUpper - ctx.BoxData.MidLower) / ctx.BoxData.CurrentPrice * 100
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longWidth = (ctx.BoxData.LongUpper - ctx.BoxData.LongLower) / ctx.BoxData.CurrentPrice * 100
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}
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sb.WriteString(fmt.Sprintf("| 短期 (3天) | %.2f | %.2f | %.2f%% |\n",
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ctx.BoxData.ShortUpper, ctx.BoxData.ShortLower, shortWidth))
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sb.WriteString(fmt.Sprintf("| 中期 (10天) | %.2f | %.2f | %.2f%% |\n",
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ctx.BoxData.MidUpper, ctx.BoxData.MidLower, midWidth))
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sb.WriteString(fmt.Sprintf("| 长期 (21天) | %.2f | %.2f | %.2f%% |\n",
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ctx.BoxData.LongUpper, ctx.BoxData.LongLower, longWidth))
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sb.WriteString(fmt.Sprintf("\n当前价格: %.2f\n", ctx.BoxData.CurrentPrice))
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// Check position relative to boxes
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price := ctx.BoxData.CurrentPrice
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if price > ctx.BoxData.LongUpper || price < ctx.BoxData.LongLower {
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sb.WriteString("⚠️ 突破: 价格突破长期箱体!\n")
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} else if price > ctx.BoxData.MidUpper || price < ctx.BoxData.MidLower {
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sb.WriteString("⚠️ 警告: 价格接近长期箱体边界\n")
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}
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sb.WriteString("\n")
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}
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|
||||
// Account section
|
||||
sb.WriteString("## 账户状态\n")
|
||||
sb.WriteString(fmt.Sprintf("- 总权益: $%.2f\n", ctx.TotalEquity))
|
||||
sb.WriteString(fmt.Sprintf("- 可用余额: $%.2f\n", ctx.AvailableBalance))
|
||||
sb.WriteString(fmt.Sprintf("- 当前持仓: %.4f (净头寸)\n", ctx.CurrentPosition))
|
||||
sb.WriteString(fmt.Sprintf("- 未实现盈亏: $%.2f\n", ctx.UnrealizedPnL))
|
||||
sb.WriteString("\n")
|
||||
|
||||
// Grid state section
|
||||
sb.WriteString("## 网格状态\n")
|
||||
sb.WriteString(fmt.Sprintf("- 网格范围: $%.2f - $%.2f\n", ctx.LowerPrice, ctx.UpperPrice))
|
||||
sb.WriteString(fmt.Sprintf("- 网格间距: $%.2f\n", ctx.GridSpacing))
|
||||
sb.WriteString(fmt.Sprintf("- 活跃订单数: %d\n", ctx.ActiveOrderCount))
|
||||
sb.WriteString(fmt.Sprintf("- 已成交层数: %d\n", ctx.FilledLevelCount))
|
||||
sb.WriteString(fmt.Sprintf("- 网格已暂停: %v\n", ctx.IsPaused))
|
||||
sb.WriteString("\n")
|
||||
|
||||
// Grid levels detail
|
||||
sb.WriteString("## 网格层级详情\n")
|
||||
sb.WriteString("| 层级 | 价格 | 状态 | 方向 | 订单数量 | 持仓数量 | 未实现盈亏 |\n")
|
||||
sb.WriteString("|------|------|------|------|----------|----------|------------|\n")
|
||||
for _, level := range ctx.Levels {
|
||||
sb.WriteString(fmt.Sprintf("| %d | $%.2f | %s | %s | %.4f | %.4f | $%.2f |\n",
|
||||
level.Index, level.Price, level.State, level.Side,
|
||||
level.OrderQuantity, level.PositionSize, level.UnrealizedPnL))
|
||||
}
|
||||
sb.WriteString("\n")
|
||||
|
||||
// Performance section
|
||||
sb.WriteString("## 绩效统计\n")
|
||||
sb.WriteString(fmt.Sprintf("- 总利润: $%.2f\n", ctx.TotalProfit))
|
||||
sb.WriteString(fmt.Sprintf("- 总交易次数: %d\n", ctx.TotalTrades))
|
||||
sb.WriteString(fmt.Sprintf("- 胜率: %.1f%%\n", float64(ctx.WinningTrades)/float64(max(ctx.TotalTrades, 1))*100))
|
||||
sb.WriteString(fmt.Sprintf("- 最大回撤: %.2f%%\n", ctx.MaxDrawdown))
|
||||
sb.WriteString(fmt.Sprintf("- 今日盈亏: $%.2f\n", ctx.DailyPnL))
|
||||
sb.WriteString("\n")
|
||||
|
||||
sb.WriteString("## 请分析以上数据，做出网格交易决策\n")
|
||||
sb.WriteString("输出JSON数组格式的决策列表。\n")
|
||||
|
||||
return sb.String()
|
||||
}
|
||||
|
||||
func buildGridUserPromptEn(ctx *GridContext) string {
|
||||
var sb strings.Builder
|
||||
|
||||
sb.WriteString(fmt.Sprintf("## Current Time: %s\n\n", ctx.CurrentTime))
|
||||
|
||||
// Market data section
|
||||
sb.WriteString("## Market Data\n")
|
||||
sb.WriteString(fmt.Sprintf("- Current Price: $%.2f\n", ctx.CurrentPrice))
|
||||
sb.WriteString(fmt.Sprintf("- 1h Change: %.2f%%\n", ctx.PriceChange1h))
|
||||
sb.WriteString(fmt.Sprintf("- 4h Change: %.2f%%\n", ctx.PriceChange4h))
|
||||
sb.WriteString(fmt.Sprintf("- ATR14: $%.2f (%.2f%%)\n", ctx.ATR14, ctx.ATR14/ctx.CurrentPrice*100))
|
||||
sb.WriteString(fmt.Sprintf("- Bollinger Bands: Upper $%.2f, Middle $%.2f, Lower $%.2f\n", ctx.BollingerUpper, ctx.BollingerMiddle, ctx.BollingerLower))
|
||||
sb.WriteString(fmt.Sprintf("- Bollinger Width: %.2f%%\n", ctx.BollingerWidth))
|
||||
sb.WriteString(fmt.Sprintf("- EMA20: $%.2f, EMA50: $%.2f, Distance: %.2f%%\n", ctx.EMA20, ctx.EMA50, ctx.EMADistance))
|
||||
sb.WriteString(fmt.Sprintf("- RSI14: %.1f\n", ctx.RSI14))
|
||||
sb.WriteString(fmt.Sprintf("- MACD: %.4f, Signal: %.4f, Histogram: %.4f\n", ctx.MACD, ctx.MACDSignal, ctx.MACDHistogram))
|
||||
sb.WriteString(fmt.Sprintf("- Funding Rate: %.4f%%\n", ctx.FundingRate*100))
|
||||
sb.WriteString("\n")
|
||||
|
||||
// Box Indicator Section
|
||||
if ctx.BoxData != nil {
|
||||
sb.WriteString("## Box Indicators (Donchian Channels)\n\n")
|
||||
sb.WriteString("| Box Level | Upper | Lower | Width |\n")
|
||||
sb.WriteString("|-----------|-------|-------|-------|\n")
|
||||
|
||||
shortWidth := 0.0
|
||||
midWidth := 0.0
|
||||
longWidth := 0.0
|
||||
|
||||
if ctx.BoxData.CurrentPrice > 0 {
|
||||
shortWidth = (ctx.BoxData.ShortUpper - ctx.BoxData.ShortLower) / ctx.BoxData.CurrentPrice * 100
|
||||
midWidth = (ctx.BoxData.MidUpper - ctx.BoxData.MidLower) / ctx.BoxData.CurrentPrice * 100
|
||||
longWidth = (ctx.BoxData.LongUpper - ctx.BoxData.LongLower) / ctx.BoxData.CurrentPrice * 100
|
||||
}
|
||||
|
||||
sb.WriteString(fmt.Sprintf("| Short (3d) | %.2f | %.2f | %.2f%% |\n",
|
||||
ctx.BoxData.ShortUpper, ctx.BoxData.ShortLower, shortWidth))
|
||||
sb.WriteString(fmt.Sprintf("| Mid (10d) | %.2f | %.2f | %.2f%% |\n",
|
||||
ctx.BoxData.MidUpper, ctx.BoxData.MidLower, midWidth))
|
||||
sb.WriteString(fmt.Sprintf("| Long (21d) | %.2f | %.2f | %.2f%% |\n",
|
||||
ctx.BoxData.LongUpper, ctx.BoxData.LongLower, longWidth))
|
||||
|
||||
sb.WriteString(fmt.Sprintf("\nCurrent Price: %.2f\n", ctx.BoxData.CurrentPrice))
|
||||
|
||||
// Check position relative to boxes
|
||||
price := ctx.BoxData.CurrentPrice
|
||||
if price > ctx.BoxData.LongUpper || price < ctx.BoxData.LongLower {
|
||||
sb.WriteString("⚠️ BREAKOUT: Price outside long-term box!\n")
|
||||
} else if price > ctx.BoxData.MidUpper || price < ctx.BoxData.MidLower {
|
||||
sb.WriteString("⚠️ WARNING: Price approaching long-term box boundary\n")
|
||||
}
|
||||
sb.WriteString("\n")
|
||||
}
|
||||
|
||||
// Account section
|
||||
sb.WriteString("## Account Status\n")
|
||||
sb.WriteString(fmt.Sprintf("- Total Equity: $%.2f\n", ctx.TotalEquity))
|
||||
sb.WriteString(fmt.Sprintf("- Available Balance: $%.2f\n", ctx.AvailableBalance))
|
||||
sb.WriteString(fmt.Sprintf("- Current Position: %.4f (net)\n", ctx.CurrentPosition))
|
||||
sb.WriteString(fmt.Sprintf("- Unrealized PnL: $%.2f\n", ctx.UnrealizedPnL))
|
||||
sb.WriteString("\n")
|
||||
|
||||
// Grid state section
|
||||
sb.WriteString("## Grid Status\n")
|
||||
sb.WriteString(fmt.Sprintf("- Grid Range: $%.2f - $%.2f\n", ctx.LowerPrice, ctx.UpperPrice))
|
||||
sb.WriteString(fmt.Sprintf("- Grid Spacing: $%.2f\n", ctx.GridSpacing))
|
||||
sb.WriteString(fmt.Sprintf("- Active Orders: %d\n", ctx.ActiveOrderCount))
|
||||
sb.WriteString(fmt.Sprintf("- Filled Levels: %d\n", ctx.FilledLevelCount))
|
||||
sb.WriteString(fmt.Sprintf("- Grid Paused: %v\n", ctx.IsPaused))
|
||||
sb.WriteString("\n")
|
||||
|
||||
// Grid levels detail
|
||||
sb.WriteString("## Grid Levels Detail\n")
|
||||
sb.WriteString("| Level | Price | State | Side | Order Qty | Position | Unrealized PnL |\n")
|
||||
sb.WriteString("|-------|-------|-------|------|-----------|----------|----------------|\n")
|
||||
for _, level := range ctx.Levels {
|
||||
sb.WriteString(fmt.Sprintf("| %d | $%.2f | %s | %s | %.4f | %.4f | $%.2f |\n",
|
||||
level.Index, level.Price, level.State, level.Side,
|
||||
level.OrderQuantity, level.PositionSize, level.UnrealizedPnL))
|
||||
}
|
||||
sb.WriteString("\n")
|
||||
|
||||
// Performance section
|
||||
sb.WriteString("## Performance Stats\n")
|
||||
sb.WriteString(fmt.Sprintf("- Total Profit: $%.2f\n", ctx.TotalProfit))
|
||||
sb.WriteString(fmt.Sprintf("- Total Trades: %d\n", ctx.TotalTrades))
|
||||
sb.WriteString(fmt.Sprintf("- Win Rate: %.1f%%\n", float64(ctx.WinningTrades)/float64(max(ctx.TotalTrades, 1))*100))
|
||||
sb.WriteString(fmt.Sprintf("- Max Drawdown: %.2f%%\n", ctx.MaxDrawdown))
|
||||
sb.WriteString(fmt.Sprintf("- Daily PnL: $%.2f\n", ctx.DailyPnL))
|
||||
sb.WriteString("\n")
|
||||
|
||||
sb.WriteString("## Please analyze the data above and make grid trading decisions\n")
|
||||
sb.WriteString("Output a JSON array of decisions.\n")
|
||||
|
||||
return sb.String()
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Grid Decision Functions
|
||||
// ============================================================================
|
||||
|
||||
// GetGridDecisions gets AI decisions for grid trading
|
||||
func GetGridDecisions(ctx *GridContext, mcpClient mcp.AIClient, config *store.GridStrategyConfig, lang string) (*FullDecision, error) {
|
||||
startTime := time.Now()
|
||||
|
||||
// Build prompts
|
||||
systemPrompt := BuildGridSystemPrompt(config, lang)
|
||||
userPrompt := BuildGridUserPrompt(ctx, lang)
|
||||
|
||||
logger.Infof("🤖 [Grid] Calling AI for grid decisions...")
|
||||
|
||||
// Call AI
|
||||
response, err := mcpClient.CallWithMessages(systemPrompt, userPrompt)
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("AI call failed: %w", err)
|
||||
}
|
||||
|
||||
// Parse decisions from response
|
||||
decisions, err := parseGridDecisions(response, ctx.Symbol)
|
||||
if err != nil {
|
||||
logger.Warnf("Failed to parse grid decisions: %v", err)
|
||||
// Return hold decision as fallback
|
||||
decisions = []Decision{{
|
||||
Symbol: ctx.Symbol,
|
||||
Action: "hold",
|
||||
Confidence: 50,
|
||||
Reasoning: "Failed to parse AI response, holding current state",
|
||||
}}
|
||||
}
|
||||
|
||||
duration := time.Since(startTime).Milliseconds()
|
||||
logger.Infof("⏱️ [Grid] AI call duration: %d ms, decisions: %d", duration, len(decisions))
|
||||
|
||||
// Extract chain of thought from response
|
||||
cotTrace := extractCoTTrace(response)
|
||||
|
||||
return &FullDecision{
|
||||
SystemPrompt: systemPrompt,
|
||||
UserPrompt: userPrompt,
|
||||
CoTTrace: cotTrace,
|
||||
Decisions: decisions,
|
||||
RawResponse: response,
|
||||
AIRequestDurationMs: duration,
|
||||
Timestamp: time.Now(),
|
||||
}, nil
|
||||
}
|
||||
|
||||
// parseGridDecisions parses AI response into grid decisions
|
||||
func parseGridDecisions(response string, symbol string) ([]Decision, error) {
|
||||
// Try to find JSON array in response
|
||||
jsonStr := extractJSONArray(response)
|
||||
if jsonStr == "" {
|
||||
return nil, fmt.Errorf("no JSON array found in response")
|
||||
}
|
||||
|
||||
var decisions []Decision
|
||||
if err := json.Unmarshal([]byte(jsonStr), &decisions); err != nil {
|
||||
return nil, fmt.Errorf("failed to parse JSON: %w", err)
|
||||
}
|
||||
|
||||
// Validate and set default symbol
|
||||
for i := range decisions {
|
||||
if decisions[i].Symbol == "" {
|
||||
decisions[i].Symbol = symbol
|
||||
}
|
||||
// Validate action
|
||||
if !isValidGridAction(decisions[i].Action) {
|
||||
logger.Warnf("Invalid grid action: %s", decisions[i].Action)
|
||||
}
|
||||
}
|
||||
|
||||
return decisions, nil
|
||||
}
|
||||
|
||||
// extractJSONArray extracts JSON array from AI response
|
||||
func extractJSONArray(response string) string {
|
||||
// Try to find ```json code block first
|
||||
matches := reJSONFence.FindStringSubmatch(response)
|
||||
if len(matches) > 1 {
|
||||
return matches[1]
|
||||
}
|
||||
|
||||
// Try to find raw JSON array
|
||||
matches = reJSONArray.FindStringSubmatch(response)
|
||||
if len(matches) > 0 {
|
||||
return matches[0]
|
||||
}
|
||||
|
||||
return ""
|
||||
}
|
||||
|
||||
// isValidGridAction checks if action is a valid grid action
|
||||
func isValidGridAction(action string) bool {
|
||||
validActions := map[string]bool{
|
||||
"place_buy_limit": true,
|
||||
"place_sell_limit": true,
|
||||
"cancel_order": true,
|
||||
"cancel_all_orders": true,
|
||||
"pause_grid": true,
|
||||
"resume_grid": true,
|
||||
"adjust_grid": true,
|
||||
"hold": true,
|
||||
// Also support standard actions for compatibility
|
||||
"open_long": true,
|
||||
"open_short": true,
|
||||
"close_long": true,
|
||||
"close_short": true,
|
||||
}
|
||||
return validActions[action]
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// Grid Context Builder Helpers
|
||||
// ============================================================================
|
||||
|
||||
// BuildGridContextFromMarketData builds grid context from market data
|
||||
func BuildGridContextFromMarketData(mktData *market.Data, config *store.GridStrategyConfig) *GridContext {
|
||||
ctx := &GridContext{
|
||||
Symbol: config.Symbol,
|
||||
CurrentTime: time.Now().Format("2006-01-02 15:04:05"),
|
||||
CurrentPrice: mktData.CurrentPrice,
|
||||
|
||||
// Grid config
|
||||
GridCount: config.GridCount,
|
||||
TotalInvestment: config.TotalInvestment,
|
||||
Leverage: config.Leverage,
|
||||
Distribution: config.Distribution,
|
||||
|
||||
// Market data
|
||||
PriceChange1h: mktData.PriceChange1h,
|
||||
PriceChange4h: mktData.PriceChange4h,
|
||||
FundingRate: mktData.FundingRate,
|
||||
}
|
||||
|
||||
// Extract indicators from timeframe data
|
||||
if mktData.TimeframeData != nil {
|
||||
if tf5m, ok := mktData.TimeframeData["5m"]; ok {
|
||||
if len(tf5m.BOLLUpper) > 0 {
|
||||
ctx.BollingerUpper = tf5m.BOLLUpper[len(tf5m.BOLLUpper)-1]
|
||||
ctx.BollingerMiddle = tf5m.BOLLMiddle[len(tf5m.BOLLMiddle)-1]
|
||||
ctx.BollingerLower = tf5m.BOLLLower[len(tf5m.BOLLLower)-1]
|
||||
if ctx.BollingerMiddle > 0 {
|
||||
ctx.BollingerWidth = (ctx.BollingerUpper - ctx.BollingerLower) / ctx.BollingerMiddle * 100
|
||||
}
|
||||
}
|
||||
ctx.ATR14 = tf5m.ATR14
|
||||
if len(tf5m.RSI14Values) > 0 {
|
||||
ctx.RSI14 = tf5m.RSI14Values[len(tf5m.RSI14Values)-1]
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Extract longer term context
|
||||
if mktData.LongerTermContext != nil {
|
||||
if ctx.ATR14 == 0 {
|
||||
ctx.ATR14 = mktData.LongerTermContext.ATR14
|
||||
}
|
||||
ctx.EMA50 = mktData.LongerTermContext.EMA50
|
||||
}
|
||||
|
||||
ctx.EMA20 = mktData.CurrentEMA20
|
||||
ctx.MACD = mktData.CurrentMACD
|
||||
|
||||
// Calculate EMA distance
|
||||
if ctx.EMA50 > 0 {
|
||||
ctx.EMADistance = (ctx.EMA20 - ctx.EMA50) / ctx.EMA50 * 100
|
||||
}
|
||||
|
||||
return ctx
|
||||
}
|
||||
|
||||
// Helper function for max
|
||||
func max(a, b int) int {
|
||||
if a > b {
|
||||
return a
|
||||
}
|
||||
return b
|
||||
}
|
||||
Reference in New Issue
Block a user