235 lines
7.7 KiB
Python
235 lines
7.7 KiB
Python
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"""Order execution and management.
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Handles the lifecycle of exchange orders: creation, monitoring,
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cancellation, and retry logic.
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"""
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from __future__ import annotations
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import asyncio
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import uuid
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from dataclasses import dataclass, field
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from datetime import datetime
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from enum import Enum
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from typing import Any, Dict, List, Optional
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from loguru import logger
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from execution.exchange_client import ExchangeClient
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from risk.risk_manager import RiskManager
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from strategy.signal_generator import TradeSignal
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from indicators.multi_timeframe import TradeDirection
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class OrderStatus(str, Enum):
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PENDING = "PENDING"
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FILLED = "FILLED"
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PARTIALLY_FILLED = "PARTIALLY_FILLED"
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CANCELLED = "CANCELLED"
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FAILED = "FAILED"
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@dataclass
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class Order:
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"""Represents an exchange order."""
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id: str
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symbol: str
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side: str # "buy" or "sell"
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order_type: str # "market", "limit", "stop"
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amount: float
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price: Optional[float] = None
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stop_price: Optional[float] = None
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status: OrderStatus = OrderStatus.PENDING
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exchange_order_id: Optional[str] = None
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filled_price: Optional[float] = None
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filled_amount: float = 0.0
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fee: float = 0.0
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created_at: datetime = field(default_factory=datetime.utcnow)
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updated_at: Optional[datetime] = None
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raw: Dict[str, Any] = field(default_factory=dict)
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class OrderManager:
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"""Manage order execution against the exchange.
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Flow for signal execution:
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1. Get RiskManager approval
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2. Calculate position size
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3. Place entry order (limit first, fallback to market)
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4. Place SL/TP orders
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5. Record results
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"""
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MAX_RETRIES = 3
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RETRY_DELAY = 1.0 # seconds
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def __init__(
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self,
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exchange_client: ExchangeClient,
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risk_manager: RiskManager,
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):
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self.client = exchange_client
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self.risk = risk_manager
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self._orders: Dict[str, Order] = {}
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async def execute_signal(self, signal: TradeSignal, balance: float) -> Optional[Order]:
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"""Execute a trade signal end-to-end.
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Returns the filled entry Order, or None if rejected/failed.
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"""
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# 1. Risk approval
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approval = self.risk.approve_trade(
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entry_price=signal.entry_price,
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stop_loss=signal.stop_loss,
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balance=balance,
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)
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if not approval.approved:
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logger.warning(
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"Trade REJECTED for {}: {}", signal.symbol, approval.reason
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)
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return None
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size = approval.position_size
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side = "buy" if signal.direction == TradeDirection.LONG else "sell"
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# 2. Place entry order (try limit, fallback to market)
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entry_order = await self._place_with_retry(
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signal.symbol, side, "limit", size, signal.entry_price
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)
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if entry_order is None or entry_order.status == OrderStatus.FAILED:
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logger.warning("Limit order failed, trying market order")
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entry_order = await self._place_with_retry(
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signal.symbol, side, "market", size
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)
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if entry_order is None or entry_order.status == OrderStatus.FAILED:
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logger.error("Failed to place entry order for {}", signal.symbol)
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return None
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# 3. Place SL order
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sl_side = "sell" if side == "buy" else "buy"
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await self._place_stop_loss(
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signal.symbol, sl_side, size, signal.stop_loss
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)
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self.risk.on_position_opened()
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logger.info(
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"Order executed: {} {} {} @ {}",
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side.upper(), signal.symbol, size, entry_order.filled_price or signal.entry_price,
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)
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return entry_order
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async def create_order(
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self,
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symbol: str,
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side: str,
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order_type: str,
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amount: float,
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price: float | None = None,
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) -> Order:
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"""Create a single order on the exchange."""
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order_id = str(uuid.uuid4())[:8]
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order = Order(
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id=order_id,
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symbol=symbol,
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side=side,
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order_type=order_type,
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amount=amount,
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price=price,
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)
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try:
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if order_type == "market":
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if side == "buy":
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raw = await self.client.create_market_buy(symbol, amount)
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else:
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raw = await self.client.create_market_sell(symbol, amount)
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elif order_type == "limit" and price is not None:
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if side == "buy":
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raw = await self.client.create_limit_buy(symbol, amount, price)
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else:
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raw = await self.client.create_limit_sell(symbol, amount, price)
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else:
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raise ValueError(f"Unsupported order type: {order_type}")
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order.exchange_order_id = raw.get("id")
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order.status = OrderStatus.FILLED if raw.get("status") == "closed" else OrderStatus.PENDING
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order.filled_price = raw.get("average") or raw.get("price")
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order.filled_amount = raw.get("filled", 0.0)
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order.fee = raw.get("fee", {}).get("cost", 0.0)
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order.raw = raw
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except Exception as e:
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logger.error("Order failed: {} {} {} -- {}", side, symbol, amount, e)
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order.status = OrderStatus.FAILED
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order.updated_at = datetime.utcnow()
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self._orders[order.id] = order
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return order
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async def cancel_order(self, order_id: str, symbol: str) -> bool:
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"""Cancel an order on the exchange."""
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try:
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order = self._orders.get(order_id)
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exchange_id = order.exchange_order_id if order else order_id
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await self.client.cancel_order(exchange_id, symbol)
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if order:
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order.status = OrderStatus.CANCELLED
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order.updated_at = datetime.utcnow()
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return True
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except Exception as e:
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logger.error("Cancel failed for {}: {}", order_id, e)
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return False
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async def _place_with_retry(
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self,
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symbol: str,
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side: str,
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order_type: str,
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amount: float,
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price: float | None = None,
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) -> Optional[Order]:
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"""Place an order with automatic retry on failure."""
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for attempt in range(1, self.MAX_RETRIES + 1):
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order = await self.create_order(symbol, side, order_type, amount, price)
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if order.status != OrderStatus.FAILED:
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return order
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logger.warning(
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"Retry {}/{} for {} {} {}", attempt, self.MAX_RETRIES, side, symbol, order_type
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)
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await asyncio.sleep(self.RETRY_DELAY * attempt)
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return None
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async def _place_stop_loss(
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self, symbol: str, side: str, amount: float, stop_price: float
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) -> Optional[Order]:
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"""Place a stop-loss order."""
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order_id = str(uuid.uuid4())[:8]
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order = Order(
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id=order_id,
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symbol=symbol,
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side=side,
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order_type="stop",
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amount=amount,
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stop_price=stop_price,
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)
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try:
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raw = await self.client.create_stop_loss(symbol, side, amount, stop_price)
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order.exchange_order_id = raw.get("id")
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order.status = OrderStatus.PENDING
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order.raw = raw
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except Exception as e:
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logger.error("Stop-loss order failed: {}", e)
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order.status = OrderStatus.FAILED
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self._orders[order.id] = order
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return order
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def get_order(self, order_id: str) -> Optional[Order]:
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return self._orders.get(order_id)
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def get_open_orders(self) -> List[Order]:
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return [o for o in self._orders.values() if o.status == OrderStatus.PENDING]
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