Phase 0.1: SELL-Eskalationsleiter statt Market-Dump (CLOB-kritisch)
Behebt die April-Verlustquelle: SELLs wurden als Market-Order mit 0.01-Limit ins
oft leergeraeumte Orderbuch geworfen -> wir wurden zur Exit-Liquidity. Jetzt:
GTC-Limit nahe am Master-Exit, stufenweises Nachpreisen bis zum Floor.
- Position.ExitPending (runtime-only, EF-ignoriert): Position wird bei SELL NICHT
mehr optimistisch entfernt, sondern als ExitPending zurueckgestellt (kein
Doppel-SELL, Limits rechnen korrekt; Sync schliesst nach bestaetigtem Fill).
- CopyTradingState.ExitLadders + ExitLadderState (transienter Leiter-Zustand).
- SellLogic (pure, getestet): FirstLimit (HF-fest/prozentual), Floor (SellFloorPct),
NextPrice (relative Stufe, auf Floor geclamped), IsAtFloor, LadderStepPct (3%),
LadderIntervalSeconds (HF 20s / sonst 120s).
- SellLadderService (BackgroundService): senkt offene Exit-Limits stufenweise
(cancel via CancelConflictingOrdersAsync -> tiefer neu platzieren), am Floor ohne
Fill Position halten + Threema-Benachrichtigung. Fills erkennt der bestehende Sync.
- CopyTradingEngine SELL-Live-Pfad ruft die Leiter; Demo-Pfad unveraendert.
Doppel-SELL-Guard ueber ExitPending. Umfangreiches Logging (kein Live-Test moeglich).
163 Tests gruen. Build/Smoke gruen. Backup-Rollback: Commit 1dffc9e.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Richard
co-authored by
Claude Opus 4.8
Claude Opus 4.8
parent
1dffc9e253
commit
e22a6e3091
@@ -23,5 +23,12 @@ namespace PolyTraderSharp.Models
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public decimal CurrentValueUsd { get; set; }
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public System.DateTime? ExpiryDate { get; set; }
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public System.DateTime OpenedAt { get; set; } = System.DateTime.UtcNow;
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/// <summary>
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/// Runtime-only (nicht persistiert): Für diese Position läuft gerade eine SELL-Eskalations-
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/// leiter (Phase 0.1). Verhindert Doppel-SELL und hält die Limits-Berechnung korrekt, bis der
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/// Fill über den Sync bestätigt ist. Nach App-Neustart bewusst false (Ladder-Zustand ist transient).
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/// </summary>
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public bool ExitPending { get; set; }
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}
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}
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@@ -41,6 +41,7 @@ namespace PolyTrader.Core.Persistence.Ef
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{
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e.ToTable("core_positions");
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e.HasKey(x => new { x.AccountId, x.IsDemo, x.TokenId });
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e.Ignore(x => x.ExitPending); // Runtime-only (SELL-Eskalationsleiter)
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e.Property(x => x.TokenId).HasMaxLength(120);
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e.Property(x => x.MarketSlug).HasMaxLength(300);
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e.Property(x => x.ConditionId).HasMaxLength(120);
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@@ -65,6 +65,9 @@ namespace PolyTrader.Modules.CopyTrading
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// Polymarket-Markt-WSS (Auto-Redeem nach Copytrading-Settings).
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services.AddHostedService<AlchemyWebsocketService>();
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services.AddHostedService<PolymarketWssClient>();
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// Phase 0.1: SELL-Eskalationsleiter (preist offene Exit-Limits stufenweise nach).
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services.AddHostedService<SellLadderService>();
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}
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public void RegisterUi(IModuleUiHost host, IServiceProvider services)
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@@ -55,5 +55,30 @@ namespace PolyTraderSharp
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// Master Trader Position Tracker (Key: "{TraderId}_{TokenId}", Value: (Shares, LastUpdated))
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// Entscheidet, ob ein SELL-Signal ein Teilverkauf (ignorieren) oder ein Voll-Exit (kopieren) ist.
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public ConcurrentDictionary<string, (decimal Shares, DateTime LastUpdated)> MasterTraderPositions { get; } = new();
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// Aktive SELL-Eskalationsleitern (Phase 0.1). Key: "{AccountId}_{TokenId}".
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// Transient (nach App-Neustart leer) – siehe Position.ExitPending.
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public ConcurrentDictionary<string, ExitLadderState> ExitLadders { get; } = new();
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}
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/// <summary>
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/// Laufzeit-Zustand einer SELL-Eskalationsleiter (Phase 0.1): schrittweises Absenken des
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/// Limit-Preises vom Master-Exit bis zum Floor, verwaltet vom SellLadderService.
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/// </summary>
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public sealed class ExitLadderState
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{
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public int AccountId { get; set; }
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public string TokenId { get; set; } = string.Empty;
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public int SourceTraderId { get; set; }
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public string MarketQuestion { get; set; } = string.Empty;
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public decimal ReferencePrice { get; set; } // Master-Exit-Preis
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public decimal CurrentLimit { get; set; } // aktuell platziertes Limit
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public decimal Floor { get; set; } // absolute Untergrenze
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public bool IsHf { get; set; }
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public int Attempt { get; set; } = 1;
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public DateTime LastActionAt { get; set; } = DateTime.UtcNow;
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public bool FloorNotified { get; set; }
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}
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}
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@@ -51,5 +51,14 @@ namespace PolyTrader.Modules.CopyTrading.Logic
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/// <summary>Leiter erschöpft: aktueller Preis hat den Floor erreicht/unterschritten.</summary>
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public static bool IsAtFloor(decimal currentPrice, decimal floor) => currentPrice <= floor;
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/// <summary>Relative Schrittweite je Leiter-Stufe (%). Plan: „2 ¢ oder 3 % relativ".</summary>
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public const decimal LadderStepPct = 3.0m;
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/// <summary>
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/// Wartezeit ohne Fill, bevor eine Stufe tiefer nachgepreist wird: HF-Trader (schnelle
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/// Märkte) ~20 s, sonst ~120 s. Aus dem Plan.
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/// </summary>
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public static int LadderIntervalSeconds(bool isHf) => isHf ? 20 : 120;
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}
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}
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@@ -576,6 +576,14 @@ namespace PolyTraderSharp.Services
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}
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}
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// Läuft für diese Position bereits eine SELL-Eskalationsleiter (Phase 0.1)?
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// Dann NICHT erneut verkaufen – der SellLadderService preist selbst nach.
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if (account.OpenPositions.TryGetValue(signal.TokenId, out var laddering) && laddering.ExitPending)
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{
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_logger.Info($"SELL [{signal.MarketQuestion}] ignoriert: Eskalationsleiter läuft bereits (Konto {account.Name}).");
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return;
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}
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bool removed = account.OpenPositions.TryRemove(signal.TokenId, out var openPos);
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// Defense-in-depth: Verify the removed position actually belongs to this trader
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@@ -647,46 +655,65 @@ namespace PolyTraderSharp.Services
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}
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else
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{
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decimal sellLimit = 0.01m; // Market Order Fallback Limit (PolyMarket Safety)
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decimal expectedUsdc = openPos.Size * sellLimit;
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var exact = PolymarketClobClient.CalculateExactOrderAmounts(expectedUsdc, sellLimit, sellLimit, "SELL", "MARKET");
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// ===== Phase 0.1: SELL-Eskalationsleiter statt Market-Dump =====
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// Statt eines Market-SELLs mit 0.01-Limit (April-Verlustquelle: wir wurden
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// zur Exit-Liquidity) platzieren wir ein GTC-Limit nahe am Master-Exit.
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// Der SellLadderService senkt es stufenweise bis zum Floor. Die Position wird
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// NICHT optimistisch entfernt, sondern als ExitPending zurückgestellt; der Sync
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// schließt sie nach bestätigtem Fill.
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bool isHf = trader != null && trader.Category == "HF";
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decimal firstLimit = SellLogic.FirstLimit(signal.Price, isHf, settings.MaxPriceDifference);
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decimal floor = SellLogic.Floor(signal.Price, settings.SellFloorPct);
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firstLimit = Math.Clamp(firstLimit, 0.01m, 0.99m);
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floor = Math.Clamp(floor, 0.01m, 0.99m);
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if (floor > firstLimit) floor = firstLimit; // Floor nie über dem Startlimit
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var exact = PolymarketClobClient.CalculateExactOrderAmounts(openPos.Size * firstLimit, firstLimit, firstLimit, "SELL");
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if (exact.shares <= 0)
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{
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_logger.TradeReasoning($"❌ Trade SELL [{signal.MarketQuestion}] [{shareType}] fehlgeschlagen!\n" +
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$" Konto: {account.Name}\n" +
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$" Grund: Mathematical Order Size Error (Dust Token).");
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// We don't return to OpenPositions to let dust drop gracefully
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_logger.TradeReasoning($"❌ Trade SELL [{signal.MarketQuestion}] [{shareType}] übersprungen (Dust): mathematisch keine Order möglich. Position wird gehalten.");
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openPos.ExitPending = false;
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account.OpenPositions.TryAdd(signal.TokenId, openPos);
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return;
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}
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_logger.Info($"🌐 [LIVE-EXECUTION] Sende MARKET SELL an Polymarket CTF-Router...\n" +
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$" Account: {account.Name}\n" +
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$" Order: MARKET (Target: {signal.Price:F3})");
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// Position als ExitPending zurückstellen (kein Doppel-SELL; Limits rechnen korrekt weiter).
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openPos.ExitPending = true;
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account.OpenPositions.TryAdd(signal.TokenId, openPos);
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_positionRepo.UpsertLive(account.AccountId, openPos);
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var result = await _clob.PlaceOrderAsync(account, signal.TokenId, signal.Side, expectedUsdc, sellLimit, "MARKET", _state.DebugOrderPayloadLog, isNegRisk);
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_logger.Trade($"🪜 [LIVE SELL-LEITER Start]\n" +
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$" Konto: {account.Name}\n" +
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$" Markt: {signal.MarketQuestion}\n" +
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$" Referenz: {signal.Price:F3} (Master-Exit) | Startlimit: {firstLimit:F3} | Floor: {floor:F3}\n" +
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$" Stufen: {(isHf ? "HF ~20s" : "~120s")}/Schritt, {SellLogic.LadderStepPct}% relativ");
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var result = await _clob.PlaceOrderAsync(account, signal.TokenId, "SELL", openPos.Size * firstLimit, firstLimit, "GTC", _state.DebugOrderPayloadLog, isNegRisk);
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if (result == "OK")
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{
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// Track order placement time for stale order cleanup / sync routines
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_copyState.ExitLadders[orderKey] = new ExitLadderState
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{
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AccountId = account.AccountId,
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TokenId = signal.TokenId,
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SourceTraderId = signal.TraderId,
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MarketQuestion = signal.MarketQuestion,
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ReferencePrice = signal.Price,
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CurrentLimit = firstLimit,
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Floor = floor,
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IsHf = isHf,
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Attempt = 1,
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LastActionAt = DateTime.UtcNow
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};
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_copyState.PendingOrderTimestamps[orderKey] = (DateTime.UtcNow, signal.TraderId);
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_logger.Trade($"✅ [LIVE MARKET SELL PLATZIERT] - {account.Name} - MARKET Swept. Gewinne/Verluste in Kürze im API Sync sichtbar.");
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_logger.Trade($"✅ [LIVE SELL-LEITER platziert] {account.Name} | GTC-Limit {firstLimit:F3} für {openPos.Size:F2} Shares.");
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}
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else
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{
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// Call failed, log it so the user knows Sells are being attempted but failing.
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_logger.TradeReasoning($"❌ Trade SELL [{signal.MarketQuestion}] [{shareType}] fehlgeschlagen!\n" +
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$" Konto: {account.Name}\n" +
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$" Grund: {result}\n" +
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$" Aktion: Position bleibt vorerst im Portfolio erhalten.");
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// Temporären Cooldown (5 Sek) setzen, um Log-Spam durch wiederholte API-Fehler zu vermeiden
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// Startorder fehlgeschlagen: Position bleibt (ExitPending zurücksetzen), Cooldown.
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openPos.ExitPending = false;
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_copyState.PendingOrderTimestamps[orderKey] = (DateTime.UtcNow.AddSeconds(-15), signal.TraderId);
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// Reverse the TryRemove if it failed, so the next poll can try again
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account.OpenPositions.TryAdd(signal.TokenId, openPos);
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_logger.TradeReasoning($"❌ [LIVE SELL-LEITER] Startorder fehlgeschlagen: {result}. Position bleibt im Portfolio; neuer Versuch beim nächsten Signal/Sync.");
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}
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}
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}
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@@ -0,0 +1,141 @@
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using System;
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using System.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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using Microsoft.Extensions.Hosting;
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using PolyTrader.Modules.CopyTrading.Logic;
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using PolyTraderSharp.Models;
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namespace PolyTraderSharp.Services
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{
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/// <summary>
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/// Phase 0.1 – SELL-Eskalationsleiter. Statt SELLs als Market-Order ins (oft leergeräumte)
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/// Orderbuch zu werfen (April-Verlustquelle), platziert die Engine ein GTC-Limit nahe am
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/// Master-Exit und markiert die Position <see cref="Position.ExitPending"/>. Dieser Service
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/// senkt das Limit stufenweise (relative Schrittweite) bis zum Floor, wenn kein Fill kommt:
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/// canceln → eine Stufe tiefer neu platzieren. Am Floor ohne Fill: Position halten +
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/// Threema-Benachrichtigung. Fills erkennt der bestehende Sync (TraderMonitorService), der die
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/// Position entfernt → die Leiter endet dann von selbst.
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///
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/// Bewusst separat vom CLOB-Order-Code gehalten; die Preislogik ist in <see cref="SellLogic"/>
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/// pur und unit-getestet. Umfangreiches Logging, da (noch) kein Live-Test möglich ist.
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/// </summary>
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public class SellLadderService : BackgroundService
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{
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private static readonly TimeSpan Tick = TimeSpan.FromSeconds(5);
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private readonly CopyTradingState _copyState;
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private readonly TradingState _state;
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private readonly PolymarketClobClient _clob;
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private readonly TerminalLogger _logger;
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private readonly ThreemaService _threema;
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public SellLadderService(
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CopyTradingState copyState,
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TradingState state,
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PolymarketClobClient clob,
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TerminalLogger logger,
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ThreemaService threema)
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{
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_copyState = copyState;
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_state = state;
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_clob = clob;
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_logger = logger;
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_threema = threema;
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}
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protected override async Task ExecuteAsync(CancellationToken stoppingToken)
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{
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_logger.Info("SELL-Eskalationsleiter-Service gestartet.");
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while (!stoppingToken.IsCancellationRequested)
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{
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try
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{
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await Task.Delay(Tick, stoppingToken);
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foreach (var kvp in _copyState.ExitLadders.ToArray())
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{
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await ProcessLadderAsync(kvp.Key, kvp.Value);
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}
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}
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catch (OperationCanceledException) { break; }
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catch (Exception ex)
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{
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_logger.Error($"SellLadderService Fehler: {ex.Message}");
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}
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}
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}
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private async Task ProcessLadderAsync(string key, ExitLadderState ladder)
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{
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// Account weg? -> Leiter verwerfen.
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if (!_state.Accounts.TryGetValue(ladder.AccountId, out var account))
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{
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_copyState.ExitLadders.TryRemove(key, out _);
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return;
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}
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// Position weg -> Sync hat den Fill erkannt und geschlossen. Leiter fertig.
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if (!account.OpenPositions.TryGetValue(ladder.TokenId, out var pos))
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{
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_copyState.ExitLadders.TryRemove(key, out _);
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_logger.Trade($"✅ [SELL-LEITER fertig] {account.Name} | {ladder.MarketQuestion} | Position gefüllt/geschlossen (Sync).");
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return;
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}
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// Noch nicht Zeit für die nächste Stufe?
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double waited = (DateTime.UtcNow - ladder.LastActionAt).TotalSeconds;
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if (waited < SellLogic.LadderIntervalSeconds(ladder.IsHf)) return;
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// Bereits am Floor: halten + einmalig benachrichtigen (Order ruht weiter auf dem Floor).
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if (SellLogic.IsAtFloor(ladder.CurrentLimit, ladder.Floor))
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{
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if (!ladder.FloorNotified)
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{
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ladder.FloorNotified = true;
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string msg = $"⚠️ SELL-Floor ohne Fill erreicht – Position wird gehalten.\n" +
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$"Konto: {account.Name}\nMarkt: {ladder.MarketQuestion}\n" +
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$"Floor: {ladder.Floor:F3} (Master-Exit war {ladder.ReferencePrice:F3})";
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_logger.Warning($"🛑 [SELL-LEITER Floor] {account.Name} | {ladder.MarketQuestion} | Floor {ladder.Floor:F3} ohne Fill – halte Position.");
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try { await _threema.SendMessageAsync(msg); } catch (Exception ex) { _logger.Error($"Threema-Benachrichtigung fehlgeschlagen: {ex.Message}"); }
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}
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ladder.LastActionAt = DateTime.UtcNow; // Re-Notify-Spam vermeiden
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return;
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}
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// Eine Stufe tiefer: alte Order canceln, tiefer neu platzieren.
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decimal next = SellLogic.NextPrice(ladder.CurrentLimit, SellLogic.LadderStepPct, ladder.Floor);
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bool isNegRisk = _state.MarketCache.TryGetValue(ladder.TokenId, out var md) && md.NegRisk;
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_logger.Trade($"🪜 [SELL-LEITER Stufe {ladder.Attempt + 1}] {account.Name} | {ladder.MarketQuestion}\n" +
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$" Limit {ladder.CurrentLimit:F3} → {next:F3} (Floor {ladder.Floor:F3}, {(ladder.IsHf ? "HF" : "Standard")})");
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try
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{
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await _clob.CancelConflictingOrdersAsync(account, ladder.TokenId, next, "SELL");
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decimal usdc = pos.Size * next;
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var result = await _clob.PlaceOrderAsync(account, ladder.TokenId, "SELL", usdc, next, "GTC", _state.DebugOrderPayloadLog, isNegRisk);
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if (result == "OK")
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{
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ladder.CurrentLimit = next;
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ladder.Attempt++;
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ladder.LastActionAt = DateTime.UtcNow;
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_copyState.PendingOrderTimestamps[key] = (DateTime.UtcNow, ladder.SourceTraderId);
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_logger.Trade($"✅ [SELL-LEITER Stufe {ladder.Attempt}] {account.Name} | neues GTC-Limit {next:F3} für {pos.Size:F2} Shares.");
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}
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else
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{
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ladder.LastActionAt = DateTime.UtcNow; // beim nächsten Tick erneut versuchen
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_logger.Warning($"⚠️ [SELL-LEITER] Nachpreisen fehlgeschlagen ({result}) – nächster Versuch in {SellLogic.LadderIntervalSeconds(ladder.IsHf)}s.");
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}
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}
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catch (Exception ex)
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{
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ladder.LastActionAt = DateTime.UtcNow;
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_logger.Error($"[SELL-LEITER] Fehler beim Nachpreisen: {ex.Message}");
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}
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}
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}
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}
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@@ -85,5 +85,33 @@ namespace PolyTrader.Tests
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Assert.True(IsAtFloor(0.79m, 0.80m));
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Assert.False(IsAtFloor(0.81m, 0.80m));
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}
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[Theory]
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[InlineData(true, 20)] // HF-Trader: schnelles Nachpreisen
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[InlineData(false, 120)] // Standard
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public void LadderIntervalSeconds_hf_is_faster(bool isHf, int expected)
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{
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Assert.Equal(expected, LadderIntervalSeconds(isHf));
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}
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[Fact]
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public void Ladder_walks_down_in_steps_until_floor()
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{
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// Simuliert den Service: von Startlimit in 3%-Schritten bis zum Floor, dann Stopp.
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decimal reference = 0.99m;
|
||||
decimal price = FirstLimit(reference, isHf: false, maxPriceDifferencePct: 2m); // 0.9702
|
||||
decimal floor = Floor(reference, 15m); // 0.8415
|
||||
|
||||
int steps = 0;
|
||||
while (!IsAtFloor(price, floor) && steps < 100)
|
||||
{
|
||||
price = NextPrice(price, LadderStepPct, floor);
|
||||
steps++;
|
||||
}
|
||||
|
||||
Assert.True(IsAtFloor(price, floor));
|
||||
Assert.Equal(floor, price); // endet exakt auf dem Floor (geclamped)
|
||||
Assert.InRange(steps, 1, 20); // terminiert in wenigen Schritten
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user