ˈiIdZddlmZmZddlmZmZddlmZddlm Z m Z m Z ddl m Z ddlmZmZGdd e ZGd d e ZGd d e ZeGddZeGddZGddeZGddeZy)z Order placement and execution engine. Provides abstract interface for order execution that can be implemented for backtesting (simulated) or live trading (exchange API). )ABCabstractmethod) dataclassfield)datetime)ListOptionalDict)Enum)normalize_pricenormalize_lot_sizeceZdZdZdZdZdZy) OrderTypezOrder type enumeration.marketlimitstopN)__name__ __module__ __qualname____doc__MARKETLIMITSTOP./var/www/html/crpytotradingbot/order_engine.pyrrs! F E DrrceZdZdZdZdZy) OrderSidezOrder side enumeration.buysellN)rrrrBUYSELLrrrrrs! C Drrc eZdZdZdZdZdZdZy) OrderStatuszOrder status enumeration.pendingopenclosed cancelledN)rrrrPENDINGOPENCLOSED CANCELLEDrrrr$r$s#G D FIrr$ceZdZUdZeed<eed<eed<eed<e ed<e ed<dZ e e ed <dZ e e ed <e jZe ed <dZe eed <dZe eed <dZe e ed<dZe ed<dZeed<dZeed<defdZdefdZy)OrderzOrder data structure.order_idsymbolside order_typelotspriceNtp_pricesl_pricestatus open_time close_time close_priceprofitrmagiccommentreturnc<|jtjk(S)z!Check if order is currently open.)r7r$r*selfs ris_openz Order.is_open9s{{k....rc<|jtjk(S)zCheck if order is closed.)r7r$r+rBs r is_closedzOrder.is_closed=s{{k0000r)rrrrint__annotations__strrrfloatr5r r6r$r)r7r8rr9r:r<r=r?boolrDrFrrrr.r.&sM K O K L $Hhuo$ $Hhuo$%--FK-$(Ix!(%)J")#'K%'FEE3NGS//141rr.ceZdZUdZeed<eed<eed<eed<eed<eed<dZ e eed <dZ e eed <dZ e e ed <d Zeed <dZeed<dedefdZy)PositionzActive position data structure. position_idr0r1r3 entry_price current_priceNr5r6r8rr=r;unrealized_pnlr@c||_|jtjk(r-|j||j z z|_|j S|j|j |z z|_|j S)z!Update and return unrealized P&L.)rPr1rr!r3rOrQ)rCrPs r update_pnlzPosition.update_pnlQsn* 99 %"&))}t?O?O/O"PD """#'))t/?/?-/O"PD """r)rrrrrGrHrIrrJr5r r6r8rr=rQrSrrrrMrMBsw) K O K $Hhuo$ $Hhuo$$(Ix!(E3NNE##%#rrMceZdZdZdefdZdefdZe dde de e d e e d ed ede e f d Z e dde de e d e e d ed ede e f d Z e d dede e de e fdZe d dede e de e fdZedefdZede de ddfdZdee fdZdeefdZd edee fdZd edeefdZdede defdZdede defdZy)! OrderEnginez Abstract base class for order execution engines. Implementations provide either simulated (backtest) or real (exchange API) order execution. r0c<||_d|_i|_i|_y)za Initialize order engine. Args: symbol: Trading pair symbol rN)r0_order_counterorders positions)rCr0s r__init__zOrderEngine.__init__cs! (* .0rr@cD|xjdz c_|jS)zGenerate next order ID.)rWrBs r_next_order_idzOrderEngine._next_order_idos q """rNr3r5r6r=r?cy)a: Place a buy order. Args: lots: Position size tp_price: Take profit price sl_price: Stop loss price magic: Magic number for tracking comment: Order comment Returns: Order object if successful, None otherwise NrrCr3r5r6r=r?s rplace_buy_orderzOrderEngine.place_buy_ordert, rcy)a; Place a sell order. Args: lots: Position size tp_price: Take profit price sl_price: Stop loss price magic: Magic number for tracking comment: Order comment Returns: Order object if successful, None otherwise Nrr_s rplace_sell_orderzOrderEngine.place_sell_orderrarr/r:cy)z Close an open order/position. Args: order_id: Order ID to close close_price: Price to close at (optional, uses current if not specified) Returns: Profit/loss from the closed position Nr)rCr/r:s r close_orderzOrderEngine.close_order rrNcy)z Close an open position. Args: position_id: Position ID to close close_price: Price to close at Returns: Profit/loss from the closed position NrrCrNr:s rclose_positionzOrderEngine.close_positionrfrcy)zf Get current bid/ask prices. Returns: Tuple of (bid, ask) prices NrrBs rget_current_pricezOrderEngine.get_current_prices rbidaskcy)z Update current market prices. Args: bid: Current bid price ask: Current ask price Nr)rCrlrms r update_priceszOrderEngine.update_pricess rc~|jjDcgc]}|js|c}Scc}w)zX Get all open orders. Returns: List of open orders )rXvaluesrD)rCos rget_open_orderszOrderEngine.get_open_orderss- ;;--/?a199;???s::cHt|jjS)z^ Get all open positions. Returns: List of open positions )listrYrqrBs rget_open_positionszOrderEngine.get_open_positionssDNN))+,,rc||jjDcgc]}|j|k(s|c}Scc}w)z Get orders by magic number. Args: magic: Magic number to filter by Returns: List of matching orders )rXrqr=)rCr=rrs rget_orders_by_magiczOrderEngine.get_orders_by_magics0 ;;--/Da177e3CDDD99c||jjDcgc]}|j|k(s|c}Scc}w)z Get positions by magic number. Args: magic: Magic number to filter by Returns: List of matching positions )rYrqr=)rCr=ps rget_positions_by_magicz"OrderEngine.get_positions_by_magics0 >>002Gaagg6FGGGrypositionrPc|jy|jtjk(r||jk\S||jkS)z Check if take profit has been hit. Args: position: Position to check current_price: Current market price Returns: True if TP has been hit F)r5r1rr!rCr}rPs r check_tp_hitzOrderEngine.check_tp_hitE    $ ==IMM ) H$5$55 5 H$5$55 5rc|jy|jtjk(r||jkS||jk\S)z Check if stop loss has been hit. Args: position: Position to check current_price: Current market price Returns: True if SL has been hit F)r6r1rr!rs r check_sl_hitzOrderEngine.check_sl_hitrrNNrr>N)rrrrrIrZrGr]rrJr r.r`rcrerituplerkrorrsrMrvrxr|rKrrrrrrUrU[s7 1s 1## %)$(   5/ 5/       %  .%)$(   5/ 5/       %  .(,  e_  %   "(,  e_  %   " 5    U t  @e@-DN- E Ee E HC HDN H6X6e66&6X6e66rrUc~eZdZdZ d#dedededeffd Zdedd fd Zd ed edd fd Z de fdZ dededefdZ d$dede ede ededede ef dZ d$dede ede ededede ef dZ d%dede ede efdZ d%dede ede efdZdefdZdefdZded edee fd!Zdefd"ZxZS)&BacktestOrderEnginezm Order engine for backtesting. Simulates order execution with configurable spread and slippage. r0initial_balancecommission_percent slippage_pipsct||||_||_||_||_d|_d|_d|_g|_ d|_ y)a Initialize backtest order engine. Args: symbol: Trading pair symbol initial_balance: Starting balance commission_percent: Commission per trade (percentage) slippage_pips: Simulated slippage in pips r;N) superrZrbalancerr _current_bid _current_ask _current_time trade_historytotal_commission)rCr0rrr __class__s rrZzBacktestOrderEngine.__init__5sY  .& "4*15*, #rtimer@Nc||_y)zSet current simulation time.N)r)rCrs rset_timezBacktestOrderEngine.set_timeRs !rrlrmc||_||_|jjD]}|j |y)zUpdate current market prices.N)rrrYrqrS)rCrlrmr}s rroz!BacktestOrderEngine.update_pricesVs>--/ %H    $ %rc2|j|jfS)zGet current bid/ask prices.)rrrBs rrkz%BacktestOrderEngine.get_current_price_s!!4#4#455rr3r4c0||z}||jdz zS)z!Calculate commission for a trade.d)r)rCr3r4position_values r_calculate_commissionz)BacktestOrderEngine._calculate_commissioncs!!8!83!>??rr5r6r=r?ct||j}|j}|jdkDr&ddlm}|||j|jz }t ||j}|j}|dkry|j||} |xj| z c_ |xj| zc_ |j} t| |jtjtj |||rt ||jnd|rt ||jndt"j$|j&|| } | |j(| <t+| |jtj|||j,| j.| j0|j&| } | j3|j,| |j4| <| S)z*Place a buy order (executed at ask price).r pips_to_priceN r/r0r1r2r3r4r5r6r7r8r=r? rNr0r1r3rOrPr5r6r8r=)r r0rr normalizationrr get_equityrrrr]r.rr!rrr$r*rrXrMrr5r6rSrY rCr3r5r6r=r?execution_pricerequity commissionr/orderr}s rr`z#BacktestOrderEngine.place_buy_orderhs"$ 4++    ! 3 }T-?-?M MO)/4;;G" Q;//oF  + " &&(;; ''!?G_Xt{{;T?G_Xt{{;T##((  !& H ;;'++^^^^((   D--.#+x  rct||j}|j}|jdkDr&ddlm}|||j|jz}t ||j}|j}|dkry|j||} |xj| z c_ |xj| zc_ |j} t| |jtjtj |||rt ||jnd|rt ||jndt"j$|j&|| } | |j(| <t+| |jtj|||j,| j.| j0|j&| } | j3|j,| |j4| <| S)z+Place a sell order (executed at bid price).rrNrr)r r0rrrrr rrrrr]r.rr"rrr$r*rrXrMrr5r6rSrYrs rrcz$BacktestOrderEngine.place_sell_orders"$ 4++    ! 3 }T-?-?M MO)/4;;G" Q;//oF  + " &&(;; ''!?G_Xt{{;T?G_Xt{{;T##((  !& H ;;'++^^^^((   D--.#+x  rr/r:c||jvry|j|}|jsy|6|jtjk(r |j }n |j }t||j}|jtjk(r|j||jz z}n|j|j|z z}|j|j|}|xj|z c_ ||z}tj|_|j |_||_||_|xj(|z c_||j*vr |j*|=|j,j/||S)zClose an open order.N)rXrDr1rr!rrr r0r3r4rrr$r+r7rr9r:r<rrYrappend)rCr/r:rr<rs rrezBacktestOrderEngine.close_ordersO 4;; & H%}}  zzY]]*"// "// %k4;;?  :: &ZZ;#<=FZZ5;;#<=F// KH  +*#)) --'    t~~ %x( !!%( rrNc&|j||S)zClose an open position.)rerhs rriz"BacktestOrderEngine.close_positions  [99rcttd|jjD}|j|zS)z.Get current equity (balance + unrealized P&L).c34K|]}|jywr)rQ.0r{s r z1BacktestOrderEngine.get_equity..)sKa))K)sumrYrqr)rC unrealizeds rrzBacktestOrderEngine.get_equity's.K4>>3H3H3JKK ||j((rcVtd|jjDS)z?Get margin used by open positions (simplified: position value).c3NK|]}|j|jzywr)r3rPrs rrz6BacktestOrderEngine.get_margin_used...sM166AOO+Ms#%)rrYrqrBs rget_margin_usedz#BacktestOrderEngine.get_margin_used,s MT^^5J5J5LMMMr high_price low_pricecg}t|jjD]V}|j|}|jd}|jt j k(r||jk\rd}n.|jt jk(r||jkrd}|r3|j||j}||j||df|jd}|jt j k(r||jkrd}n.|jt jk(r||jk\rd}|s#|j||j}|C|j||dfY|S)z Process TP/SL hits within a price range (candle). Args: high_price: High price of the period low_price: Low price of the period Returns: List of (order_id, profit, close_type) tuples FTTPSL) rurYkeysr5r1rr!r"rirr6) rCrrr'rNr}tp_hitr<sl_hits r process_tp_slz!BacktestOrderEngine.process_tp_sl0sZ 3 3 56 CK~~k2H  ,==IMM1jHDUDU6U!F]]inn4hFWFW9W!F!00h>O>OPF) {FD&AB   ,==IMM1i8CTCT6T!F]]inn4xGXGX9X!F!00h>O>OPF) {FD&AB9 C< rc|js#ddddd|j|j ddddd S|jDcgc]}|jdkDs|}}|jDcgc]}|jdks|}}td|jD}|rtd|Dnd}|rtd|Dnd}t |jt |t ||jr$t |t |jz dznd||j|t d|Dd t d |Dd |r|t |z nd|r|t |z d Sdd Scc}wcc}w) zGet trading statistics.rr;) total_tradeswinning_trades losing_tradeswin_rate total_profitr net_profit largest_win largest_loss average_win average_lossc34K|]}|jywrr<rts rrz5BacktestOrderEngine.get_statistics..qs@188@rc34K|]}|jywrrrs rrz5BacktestOrderEngine.get_statistics..rs3a3rc34K|]}|jywrrrs rrz5BacktestOrderEngine.get_statistics..ss41884rrc34K|]}|jywrrrs rrz5BacktestOrderEngine.get_statistics..}s:Q:r)defaultc34K|]}|jywrrrs rrz5BacktestOrderEngine.get_statistics..~s :a :r)rrr<rlenmaxmin)rCrwinnerslosersr total_wins total_lossess rget_statisticsz"BacktestOrderEngine.get_statistics]s!! !"#!" #$($9$9#444" #" #  #00AAHHqL1AA!//@188aS3733A 8>s4V44A   2 23!'l [HLHZHZG s4+=+='>>D`a( $ 5 5&:':AF :6 :AF8?:G 4Q:@L3v;6  GH  B@sE=E='F<F)g@g?r;rr)rrrrrIrJrZrrrorrkrr rGr.r`rcrerirrrrdictr __classcell__)rs@rrr.s")$'" $$$" $  $:"X"$"%%U%t%656@%@@%@%)$( @@5/@5/ @  @  @ %@J%)$( @@5/@5/ @  @  @ %@J(,11e_1 % 1l(,::e_: % :)E) NN++%+DK+Z$ $ rrN)rabcrr dataclassesrrrtypingrr r enumr rr r rrr$r.rMrUrrrrrs$(''= $ 11 16 ## #0P6#P6fS +S r