upd

risk/_actor.py

@@ -1,6 +1,6 @@
 import asyncio
 from collections import deque
-from typing import Optional, Union
+from typing import List, Optional, Union
 
 from core.actors import Actor
 from core.events.ohlcv import NewMarketDataReceived
@@ -118,14 +118,23 @@ async def _close_position(self, event: PositionClosed):
     async def _handle_market_risk(self, event: NewMarketDataReceived):
         async with self.lock:
             self._ohlcv.append(event.ohlcv)
+            visited = set()
+            ohlcvs = []
+
+            for i in range(len(self._ohlcv)):
+                if self._ohlcv[i].timestamp not in visited:
+                    ohlcvs.append(self._ohlcv[i])
+                    visited.add(self._ohlcv[i].timestamp)
+
+            ohlcvs = sorted(ohlcvs, key=lambda x: x.timestamp)
 
             long_position, short_position = self._position
 
             if long_position or short_position:
                 long_position, short_position = await asyncio.gather(
                     *[
-                        self._process_position(long_position),
-                        self._process_position(short_position),
+                        self._process_position(long_position, ohlcvs),
+                        self._process_position(short_position, ohlcvs),
                     ]
                 )
 
@@ -167,15 +176,14 @@ async def _handle_signal_exit(
                     event.exit_price,
                 )
 
-    async def _process_position(self, position: Optional[Position]):
-        ohlcvs = list(self._ohlcv)
+    async def _process_position(
+        self, position: Optional[Position], ohlcvs: List[OHLCV]
+    ):
         next_position = position
 
         if position and len(ohlcvs) > 1:
             next_position = position.next(ohlcvs)
-            last_candle = ohlcvs[-1]
-
-            exit_event = self._create_exit_event(next_position, last_candle)
+            exit_event = self._create_exit_event(next_position, ohlcvs[-1])
 
             if exit_event:
                 await self.tell(exit_event)