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tinkle-community
7e96c5d0f2
* 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
282 lines
12 KiB
Markdown
282 lines
12 KiB
Markdown
# Market Regime Classification Framework
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> A comprehensive market state identification system for quantitative trading strategy matching
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---
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## 1. Classification Dimensions Overview
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Market state identification requires analysis across multiple dimensions:
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| Dimension | Sub-dimensions | Description |
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|-----------|---------------|-------------|
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| **Trend** | Direction, Strength | Determine market movement direction and momentum |
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| **Volatility** | Amplitude, Frequency | Measure price fluctuation characteristics |
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| **Structure** | Pattern, Phase | Identify market structure and cycle position |
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---
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## 2. Primary Classification (5 Categories)
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### 2.1 Classification Overview
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| Code | Name | Key Characteristics | Suitable Strategies |
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|------|------|---------------------|---------------------|
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| `TREND_UP` | Uptrend | Higher highs & higher lows | Trend following, Breakout |
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| `TREND_DOWN` | Downtrend | Lower highs & lower lows | Trend following, Short selling |
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| `RANGE` | Range-bound | Price oscillates within bounds | Grid trading, Mean reversion |
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| `TRANSITION` | Transition | Uncertain directional period | Wait & watch, Small positions |
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| `BREAKOUT` | Breakout | Price breaks key levels | Breakout trading |
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### 2.2 Identification Indicators
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- **ADX (Average Directional Index)**: Measures trend strength
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- ADX > 25: Clear trend exists
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- ADX < 20: Range-bound market
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- **EMA Alignment**: Determines trend direction
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- EMA20 > EMA50 > EMA200: Bullish alignment
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- EMA20 < EMA50 < EMA200: Bearish alignment
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---
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## 3. Secondary Classification (18 Sub-categories)
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### 3.1 Uptrend Sub-categories (5 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `TU_STRONG_LOW_VOL` | Strong Uptrend · Low Vol | Steady rise, shallow pullbacks | ADX>40, ATR%<2%, Pullback<38.2% |
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| `TU_STRONG_HIGH_VOL` | Strong Uptrend · High Vol | Rapid surge, high volatility | ADX>40, ATR%>4%, MACD histogram expanding |
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| `TU_WEAK_CHOPPY` | Weak Uptrend · Choppy | Two steps forward, one back | ADX 20-30, RSI oscillating 50-70 |
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| `TU_PARABOLIC` | Parabolic Acceleration | Exponential price increase | Price far from MA, RSI>80, Volume surge |
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| `TU_EXHAUSTION` | Uptrend Exhaustion | New highs but weakening momentum | Price new high + MACD/RSI divergence |
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**Strategy Matching:**
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- Strong Low Vol: Heavy trend following, pyramid adding
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- Strong High Vol: Medium position, trailing stops
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- Weak Choppy: Light swing trading
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- Parabolic: Cautious, prepare to exit
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- Exhaustion: Reduce positions, prepare for reversal
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### 3.2 Downtrend Sub-categories (5 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `TD_STRONG_LOW_VOL` | Strong Downtrend · Low Vol | Steady decline, weak bounces | ADX>40, ATR%<2%, Bounce<38.2% |
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| `TD_STRONG_HIGH_VOL` | Strong Downtrend · High Vol | Panic selling, wild swings | ADX>40, ATR%>5%, VIX spike |
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| `TD_WEAK_CHOPPY` | Weak Downtrend · Choppy | Grinding lower with bounces | ADX 20-30, RSI oscillating 30-50 |
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| `TD_CAPITULATION` | Capitulation | High volume crash, extreme fear | RSI<20, Volume>3x average |
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| `TD_EXHAUSTION` | Downtrend Exhaustion | New lows but selling pressure fading | Price new low + MACD/RSI divergence |
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**Strategy Matching:**
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- Strong Low Vol: Short trend following
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- Strong High Vol: Stay flat or light hedge
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- Weak Choppy: Wait for stabilization
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- Capitulation: Light bottom fishing possible
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- Exhaustion: Gradually build long positions
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### 3.3 Range Sub-categories (4 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `RG_TIGHT_LOW_VOL` | Tight Range · Low Vol | Extreme contraction, coiling | BB Width<2%, ATR at new lows |
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| `RG_TIGHT_HIGH_VOL` | Tight Range · High Vol | Violent swings within range | BB Width<3%, ATR%>3% |
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| `RG_WIDE_LOW_VOL` | Wide Range · Low Vol | Large range, slow movement | BB Width>5%, ATR%<2% |
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| `RG_WIDE_HIGH_VOL` | Wide Range · High Vol | Large range, fast movement | BB Width>5%, ATR%>3% |
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**Strategy Matching:**
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- Tight Low Vol: Dense grid, wait for breakout
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- Tight High Vol: Fast grid, small frequent profits
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- Wide Low Vol: Sparse grid, patient holding
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- Wide High Vol: Swing trading, high profit targets
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### 3.4 Transition (2 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `TR_BOTTOM_FORMING` | Bottom Forming | Decline slowing, testing support | Price stabilizing + Volume drying up + RSI divergence |
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| `TR_TOP_FORMING` | Top Forming | Rally slowing, testing resistance | Price stalling + Volume drying up + RSI divergence |
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### 3.5 Breakout (2 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `BK_UPWARD` | Upward Breakout | Breaking resistance with volume | Price>Previous high, Volume>2x, BB breakout |
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| `BK_DOWNWARD` | Downward Breakout | Breaking support with volume | Price<Previous low, Volume>2x, BB breakdown |
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---
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## 4. Tertiary Classification (36 Ultra-fine Categories)
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### 4.1 Trend Phase Classification
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Uptrend lifecycle consists of 5 phases:
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| Phase Code | Name | Description | Quantitative Criteria |
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|------------|------|-------------|----------------------|
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| `TU_S1_INITIATION` | Uptrend Initiation | First break above MA or previous high | MACD bullish cross, Price>EMA20 |
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| `TU_S2_ACCELERATION` | Uptrend Acceleration | Momentum increasing, slope steepening | MACD histogram expanding, ADX rising |
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| `TU_S3_MAIN_WAVE` | Main Wave | Sustained rise, shallow pullbacks | RSI 60-80, Pullbacks hold EMA20 |
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| `TU_S4_EXHAUSTION` | Uptrend Exhaustion | Slowing momentum, divergences appearing | RSI divergence, MACD divergence |
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| `TU_S5_REVERSAL` | Trend Reversal | Breakdown, trend ending | Break below EMA50, MACD bearish cross |
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Downtrend phases follow same pattern: `TD_S1` through `TD_S5`
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### 4.2 Range Position Classification
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| Position Code | Name | Description | Strategy Suggestion |
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|---------------|------|-------------|---------------------|
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| `RG_UPPER` | Upper Range | Price near resistance | Bias toward short |
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| `RG_MIDDLE` | Mid Range | Price near middle band | Neutral grid trading |
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| `RG_LOWER` | Lower Range | Price near support | Bias toward long |
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| `RG_SQUEEZE` | Squeeze Pattern | Highs and lows converging | Wait for direction |
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| `RG_EXPAND` | Expanding Pattern | Highs and lows diverging | Boundary reversal |
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### 4.3 Volatility Grades
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| Code | Name | ATR% | BB Width | Strategy Suggestion |
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|------|------|------|----------|---------------------|
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| `VOL_EXTREME_LOW` | Extreme Low Vol | <1% | <1.5% | Option selling |
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| `VOL_LOW` | Low Volatility | 1-2% | 1.5-2.5% | Grid / Mean reversion |
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| `VOL_NORMAL` | Normal Volatility | 2-3% | 2.5-4% | Trend following |
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| `VOL_HIGH` | High Volatility | 3-5% | 4-6% | Momentum / Breakout |
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| `VOL_EXTREME_HIGH` | Extreme High Vol | >5% | >6% | Reduce exposure / Hedge |
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---
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## 5. Complete State Encoding Rules
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### 5.1 Encoding Format
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```
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{Primary}_{Volatility}_{Phase}_{Position}
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```
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### 5.2 Encoding Examples
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| Full Code | Interpretation |
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|-----------|----------------|
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| `TU_LV_S3_M` | Uptrend_LowVol_MainWave_Middle |
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| `TD_HV_S2_L` | Downtrend_HighVol_Acceleration_Lower |
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| `RG_NV_SQ_U` | Range_NormalVol_Squeeze_Upper |
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| `BK_HV_UP_M` | Breakout_HighVol_Upward_Middle |
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---
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## 6. Core Identification Indicators
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### 6.1 Trend Indicators
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| Indicator | Calculation | Criteria |
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|-----------|-------------|----------|
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| ADX | 14-period Average Directional Index | >40 Strong, 25-40 Medium, <25 Weak/Range |
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| Trend Score | Composite EMA/MACD/Price structure | -100 to +100, Positive=Bullish, Negative=Bearish |
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| EMA Alignment | Relative position of EMA20/50/200 | Bullish/Bearish/Mixed alignment |
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### 6.2 Volatility Indicators
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| Indicator | Calculation | Purpose |
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| ATR Percent | ATR(14) / Current Price × 100% | Measure relative volatility |
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| BB Width | (Upper - Lower) / Middle × 100% | Measure price range |
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| Volatility Rank | Current vol percentile in history | Determine vol level |
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### 6.3 Momentum Indicators
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| Indicator | Calculation | Criteria |
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|-----------|-------------|----------|
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| RSI | 14-period Relative Strength Index | >70 Overbought, <30 Oversold, 50 Neutral |
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| MACD Histogram | MACD - Signal | Positive=Bullish momentum, Negative=Bearish |
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| Momentum Score | Composite RSI/MACD/Volume | Measure current momentum |
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### 6.4 Structure Indicators
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| Indicator | Description | Purpose |
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|-----------|-------------|---------|
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| Swing Structure | HH/HL/LH/LL sequence | Determine trend structure |
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| Support/Resistance | Key price levels | Define trading range |
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| Volume Profile | Volume-price relationship | Validate price action |
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---
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## 7. Strategy Matching Matrix
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### 7.1 Regime-Strategy Mapping
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| Regime Type | Recommended Strategy | Position Size | Stop Loss |
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|-------------|---------------------|---------------|-----------|
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| Strong Uptrend · Low Vol | Trend following + Pyramid | 60-80% | ATR×2 |
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| Strong Uptrend · High Vol | Momentum + Quick profit | 40-60% | ATR×1.5 |
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| Uptrend Exhaustion | Reduce + Reversal short | 20-30% | Previous high |
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| Panic Decline | Wait or light bottom fish | 10-20% | Wide stop |
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| Low Vol Range | Grid trading | 50-70% | Range boundary |
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| High Vol Range | Swing trading | 30-50% | ATR×2 |
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| Squeeze Pattern | Wait for breakout | 10-20% | - |
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| Upward Breakout | Chase + Add on pullback | 50-70% | Breakout level |
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| Bottom Formation | Scale in gradually | 20-40% | New low |
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### 7.2 Grid Strategy Parameter Matching
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| Range Type | Grid Levels | Grid Spacing | Other Parameters |
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|------------|-------------|--------------|------------------|
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| Tight Low Vol | 30-50 levels | Small spacing | Enable Maker Only |
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| Tight High Vol | 15-25 levels | Small spacing | Fast execution mode |
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| Wide Low Vol | 10-20 levels | Large spacing | Patient execution |
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| Wide High Vol | 15-25 levels | Large spacing | High profit targets |
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| Squeeze Pattern | Pause grid | - | Wait for breakout signal |
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| Upper Range | Short bias | Medium | Increase sell weight |
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| Lower Range | Long bias | Medium | Increase buy weight |
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---
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## 8. Real-time Monitoring Guidelines
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### 8.1 State Transition Triggers
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| Current State | Trigger Condition | Transitions To |
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|---------------|-------------------|----------------|
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| Range | Price breakout + Volume + ADX rising | Breakout |
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| Uptrend | RSI divergence + Volume decline | Exhaustion |
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| Downtrend | RSI divergence + Volume decline | Exhaustion |
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| Breakout | Failed breakout, price returns | Range |
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| Exhaustion | Confirmed reversal breakout | Opposite trend |
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### 8.2 Risk Control Rules
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| Regime State | Max Position | Risk Per Trade | Special Rules |
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|--------------|--------------|----------------|---------------|
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| Strong Trend | 80% | 2% | Adding allowed |
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| Weak Trend | 50% | 1.5% | No adding |
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| Range | 60% | 1% | Diversified holding |
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| Transition | 30% | 1% | Reduce activity |
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| High Volatility | 40% | 0.5% | Wide stops |
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---
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## 9. Appendix
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### 9.1 Abbreviation Reference
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| Abbrev | Full Form | Description |
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|--------|-----------|-------------|
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| TU | Trend Up | Upward trend |
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| TD | Trend Down | Downward trend |
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| RG | Range | Range-bound market |
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| TR | Transition | Trend transition |
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| BK | Breakout | Breakout pattern |
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| LV | Low Volatility | Low volatility regime |
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| HV | High Volatility | High volatility regime |
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| NV | Normal Volatility | Normal volatility regime |
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| XLV | Extreme Low Vol | Extremely low volatility |
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| XHV | Extreme High Vol | Extremely high volatility |
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### 9.2 Document Information
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- Version: v1.0
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- Created: January 2026
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- Applicable: Cryptocurrency, Forex, Stocks, and other financial markets
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---
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*This document is designed for market state identification and strategy matching in quantitative trading systems*
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