mirror of
https://github.com/laoxong/nofx.git
synced 2026-06-04 09:58:22 +08:00
fix: use actual fill price from exchange API for position records
- Remove trader_orders table and OrderSyncManager (never worked correctly) - Poll GetOrderStatus to get actual avgPrice, executedQty, and commission - Get entry price from exchange GetPositions API when closing positions - Pass fee to trader_positions table on close - Move TraderStats type to position.go
This commit is contained in:
tinkle-community
+94
-55
@@ -572,14 +572,32 @@ func (at *AutoTrader) buildTradingContext() (*decision.Context, error) {
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// Calculate P&L percentage (based on margin, considering leverage)
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pnlPct := calculatePnLPercentage(unrealizedPnl, marginUsed)
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// Track position first seen time
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// Get position open time from exchange (preferred) or fallback to local tracking
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posKey := symbol + "_" + side
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currentPositionKeys[posKey] = true
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if _, exists := at.positionFirstSeenTime[posKey]; !exists {
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// New position, record current time
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at.positionFirstSeenTime[posKey] = time.Now().UnixMilli()
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var updateTime int64
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// Priority 1: Get from database (trader_positions table) - most accurate
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if at.store != nil {
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if dbPos, err := at.store.Position().GetOpenPositionBySymbol(at.id, symbol, side); err == nil && dbPos != nil {
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if !dbPos.EntryTime.IsZero() {
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updateTime = dbPos.EntryTime.UnixMilli()
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}
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}
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}
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// Priority 2: Get from exchange API (Bybit: createdTime, OKX: createdTime)
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if updateTime == 0 {
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if createdTime, ok := pos["createdTime"].(int64); ok && createdTime > 0 {
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updateTime = createdTime
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}
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}
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// Priority 3: Fallback to local tracking
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if updateTime == 0 {
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if _, exists := at.positionFirstSeenTime[posKey]; !exists {
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at.positionFirstSeenTime[posKey] = time.Now().UnixMilli()
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}
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updateTime = at.positionFirstSeenTime[posKey]
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}
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updateTime := at.positionFirstSeenTime[posKey]
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// Get peak profit rate for this position
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at.peakPnLCacheMutex.RLock()
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@@ -910,13 +928,21 @@ func (at *AutoTrader) executeCloseLongWithRecord(decision *decision.Decision, ac
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}
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actionRecord.Price = marketData.CurrentPrice
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// Get entry price (for P&L calculation)
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// Get entry price and quantity from exchange API (most accurate)
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var entryPrice float64
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var quantity float64
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if at.store != nil {
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if openOrder, err := at.store.Order().GetLatestOpenOrder(at.id, decision.Symbol, "long"); err == nil {
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entryPrice = openOrder.AvgPrice
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quantity = openOrder.ExecutedQty
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positions, err := at.trader.GetPositions()
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if err == nil {
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for _, pos := range positions {
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if pos["symbol"] == decision.Symbol && pos["side"] == "long" {
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if ep, ok := pos["entryPrice"].(float64); ok {
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entryPrice = ep
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}
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if amt, ok := pos["positionAmt"].(float64); ok && amt > 0 {
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quantity = amt
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}
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break
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}
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}
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}
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@@ -949,13 +975,21 @@ func (at *AutoTrader) executeCloseShortWithRecord(decision *decision.Decision, a
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}
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actionRecord.Price = marketData.CurrentPrice
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// Get entry price (for P&L calculation)
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// Get entry price and quantity from exchange API (most accurate)
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var entryPrice float64
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var quantity float64
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if at.store != nil {
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if openOrder, err := at.store.Order().GetLatestOpenOrder(at.id, decision.Symbol, "short"); err == nil {
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entryPrice = openOrder.AvgPrice
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quantity = openOrder.ExecutedQty
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positions, err := at.trader.GetPositions()
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if err == nil {
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for _, pos := range positions {
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if pos["symbol"] == decision.Symbol && pos["side"] == "short" {
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if ep, ok := pos["entryPrice"].(float64); ok {
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entryPrice = ep
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}
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if amt, ok := pos["positionAmt"].(float64); ok {
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quantity = -amt // positionAmt is negative for short
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}
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break
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}
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}
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}
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@@ -1435,7 +1469,7 @@ func (at *AutoTrader) ClearPeakPnLCache(symbol, side string) {
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delete(at.peakPnLCache, posKey)
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}
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// recordAndConfirmOrder records order and polls for confirmation status
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// recordAndConfirmOrder polls order status for actual fill data and records position
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// action: open_long, open_short, close_long, close_short
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// entryPrice: entry price when closing (0 when opening)
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func (at *AutoTrader) recordAndConfirmOrder(orderResult map[string]interface{}, symbol, action string, quantity float64, price float64, leverage int, entryPrice float64) {
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@@ -1461,53 +1495,58 @@ func (at *AutoTrader) recordAndConfirmOrder(orderResult map[string]interface{},
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return
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}
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// Determine side and positionSide
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var side, positionSide string
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// Determine positionSide
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var positionSide string
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switch action {
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case "open_long":
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side = "BUY"
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case "open_long", "close_long":
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positionSide = "LONG"
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case "close_long":
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side = "SELL"
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positionSide = "LONG"
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case "open_short":
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side = "SELL"
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positionSide = "SHORT"
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case "close_short":
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side = "BUY"
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case "open_short", "close_short":
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positionSide = "SHORT"
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}
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// Create order record
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order := &store.TraderOrder{
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TraderID: at.id,
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OrderID: orderID,
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Symbol: symbol,
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Side: side,
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PositionSide: positionSide,
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Action: action,
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OrderType: "MARKET",
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Quantity: quantity,
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Price: price,
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Leverage: leverage,
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Status: "NEW",
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EntryPrice: entryPrice,
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// Poll order status to get actual fill price, quantity and fee
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var actualPrice = price // fallback to market price
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var actualQty = quantity // fallback to requested quantity
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var fee float64
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// Wait for order to be filled and get actual fill data
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time.Sleep(500 * time.Millisecond)
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for i := 0; i < 5; i++ {
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status, err := at.trader.GetOrderStatus(symbol, orderID)
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if err == nil {
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statusStr, _ := status["status"].(string)
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if statusStr == "FILLED" {
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// Get actual fill price
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if avgPrice, ok := status["avgPrice"].(float64); ok && avgPrice > 0 {
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actualPrice = avgPrice
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}
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// Get actual executed quantity
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if execQty, ok := status["executedQty"].(float64); ok && execQty > 0 {
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actualQty = execQty
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}
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// Get commission/fee
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if commission, ok := status["commission"].(float64); ok {
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fee = commission
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}
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logger.Infof(" ✅ Order filled: avgPrice=%.6f, qty=%.6f, fee=%.6f", actualPrice, actualQty, fee)
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break
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} else if statusStr == "CANCELED" || statusStr == "EXPIRED" || statusStr == "REJECTED" {
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logger.Infof(" ⚠️ Order %s, skipping position record", statusStr)
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return
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}
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}
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time.Sleep(500 * time.Millisecond)
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}
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// Save to database
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if err := at.store.Order().Create(order); err != nil {
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logger.Infof(" ⚠️ Failed to record order: %v", err)
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return
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}
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logger.Infof(" 📝 Recording position (ID: %s, action: %s, price: %.6f, qty: %.6f, fee: %.4f)",
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orderID, action, actualPrice, actualQty, fee)
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logger.Infof(" 📝 Order recorded (ID: %s, action: %s)", orderID, action)
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// Record position change
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at.recordPositionChange(orderID, symbol, positionSide, action, quantity, price, leverage, entryPrice)
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// Record position change with actual fill data
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at.recordPositionChange(orderID, symbol, positionSide, action, actualQty, actualPrice, leverage, entryPrice, fee)
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}
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// recordPositionChange records position change (create record on open, update record on close)
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func (at *AutoTrader) recordPositionChange(orderID, symbol, side, action string, quantity, price float64, leverage int, entryPrice float64) {
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func (at *AutoTrader) recordPositionChange(orderID, symbol, side, action string, quantity, price float64, leverage int, entryPrice float64, fee float64) {
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if at.store == nil {
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return
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}
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@@ -1555,14 +1594,14 @@ func (at *AutoTrader) recordPositionChange(orderID, symbol, side, action string,
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price, // exitPrice
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orderID, // exitOrderID
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realizedPnL,
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0, // fee (not calculated yet)
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fee, // fee from exchange API
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"ai_decision",
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)
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if err != nil {
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logger.Infof(" ⚠️ Failed to update position: %v", err)
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} else {
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logger.Infof(" 📊 Position closed [%s] %s %s @ %.4f → %.4f, P&L: %.2f",
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at.id[:8], symbol, side, openPos.EntryPrice, price, realizedPnL)
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logger.Infof(" 📊 Position closed [%s] %s %s @ %.4f → %.4f, P&L: %.2f, Fee: %.4f",
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at.id[:8], symbol, side, openPos.EntryPrice, price, realizedPnL, fee)
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}
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}
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}
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