upd

copilot/_actor.py

@@ -30,9 +30,9 @@
 
 from ._prompt import (
     signal_contrarian_risk_prompt,
-    signal_risk_pattern,
     signal_trend_risk_prompt,
     system_prompt,
+    signal_risk_pattern,
 )
 
 CopilotEvent = Union[EvaluateSignal, EvaluateSession]
@@ -171,7 +171,8 @@ async def _evaluate_signal(self, msg: EvaluateSignal) -> SignalRisk:
             type=risk_type,
         )
 
-        bar = sorted(prev_bar + [curr_bar], key=lambda x: x.timestamp)
+        bar = [f"{b}" for b in sorted(prev_bar + [curr_bar], key=lambda x: x.timestamp)]
+
         strategy_type = (
             StrategyType.CONTRARIAN
             if "SUP" not in str(signal.strategy)
@@ -258,6 +259,7 @@ async def _evaluate_session(self, msg: EvaluateSession) -> SessionRiskType:
             mfi = np.array(ta.volume.mfi[-LOOKBACK:])
             vwap = np.array(ta.volume.vwap[-LOOKBACK:])
             nvol = np.array(ta.volume.nvol[-LOOKBACK:])
+            vo = np.array(ta.volume.vo[-LOOKBACK:])
             yz = np.array(ta.volatility.yz[-LOOKBACK:])
             tr = np.array(ta.volatility.tr[-LOOKBACK:])
 
@@ -279,7 +281,7 @@ async def _evaluate_session(self, msg: EvaluateSession) -> SessionRiskType:
                     vwap,
                     tr,
                     nvol,
-                    hlcc4,
+                    vo,
                 )
             )
 

core/events/ohlcv.py

@@ -1,6 +1,6 @@
 from dataclasses import dataclass, field
 
-from core.models.ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
 from core.models.symbol import Symbol
 from core.models.timeframe import Timeframe
 

core/interfaces/abstract_market_repository.py

@@ -1,7 +1,7 @@
 from abc import abstractmethod
 
 from core.interfaces.abstract_event_manager import AbstractEventManager
-from core.models.ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
 from core.models.symbol import Symbol
 from core.models.timeframe import Timeframe
 

core/interfaces/abstract_position_risk_strategy.py

@@ -1,7 +1,7 @@
 from abc import ABC, abstractmethod
 from typing import List, Tuple
 
-from core.models.ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
 from core.models.signal import SignalSide
 
 

core/interfaces/abstract_timeseries.py

@@ -1,7 +1,7 @@
 from abc import ABC, abstractmethod
 from typing import Optional
 
-from core.models.ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
 from core.models.symbol import Symbol
 from core.models.timeframe import Timeframe
 

core/models/candle_type.py

@@ -0,0 +1,10 @@
+from enum import Enum, auto
+
+
+class CandleType(Enum):
+    BULLISH = auto()
+    BEARISH = auto()
+    NEUTRAL = auto()
+
+    def __str__(self):
+        return self.name.upper()

core/models/indicator.py

@@ -1,11 +1,10 @@
-from abc import ABC
 from dataclasses import asdict, dataclass, fields
 from enum import Enum
 from typing import Any
 
 
 @dataclass(frozen=True)
-class Indicator(ABC):
+class Indicator:
     type: Any
 
     def to_dict(self) -> dict:

core/models/position.py

@@ -6,7 +6,7 @@
 
 import numpy as np
 
-from .ohlcv import OHLCV
+from .entity.ohlcv import OHLCV
 from .order import Order, OrderStatus
 from .position_risk import PositionRisk
 from .profit_target import ProfitTarget
@@ -356,29 +356,21 @@ def target_filter(target, tp):
         dist_ratio = dist / entry_price
         is_exit = session_risk == SessionRiskType.EXIT
 
-        trail_threshold = 0.0008
+        trail_threshold = 0.0011
 
         if dist > trl_dist and trl_ratio > trail_threshold:
             logger.info("Activating trailing stop mechanism")
             next_position = next_position.trail(ta)
 
         if is_exit:
-            exit_ratio = exit_dist / entry_price
             dist_ratio = dist / entry_price
 
-            if exit_ratio > 0.005:
-                next_position = next_position.trail(ta)
-
-                logger.info(
-                    f"TRAIL NEXT SL: {next_position.stop_loss:.6f}, "
-                    f"CURR PRICE: {next_position.risk_bar.close:.6f}"
-                )
-            else:
-                logger.info(
-                    f"Exit condition not met: "
-                    f"CURR_DIST: {dist:.6f} ({dist_ratio:.2%}), "
-                    f"EXIT_DIST: {exit_dist:.6f} ({exit_ratio:.2%})"
-                )
+            next_position = next_position.trail(ta)
+
+            logger.info(
+                f"TRAIL NEXT SL: {next_position.stop_loss:.6f}, "
+                f"CURR PRICE: {next_position.risk_bar.close:.6f}"
+            )
 
         next_sl = next_position.stop_loss
         next_risk = next_position.position_risk

core/models/position_risk.py

@@ -13,7 +13,7 @@
 )
 from sklearn.preprocessing import MinMaxScaler, StandardScaler
 
-from .ohlcv import OHLCV
+from .entity.ohlcv import OHLCV
 from .risk_type import PositionRiskType
 from .side import PositionSide
 from .ta import TechAnalysis

core/models/signal.py

@@ -1,6 +1,6 @@
 from dataclasses import dataclass, field
 
-from .ohlcv import OHLCV
+from .entity.ohlcv import OHLCV
 from .side import SignalSide
 from .strategy import Strategy
 from .symbol import Symbol

core/models/strategy_ref.py

@@ -14,7 +14,7 @@
     GoShortSignalReceived,
 )
 from core.models.action import Action
-from core.models.ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
 from core.models.side import SignalSide
 from core.models.signal import Signal
 from core.models.strategy import Strategy

core/models/timeseries_ref.py

@@ -8,7 +8,8 @@
 if typing.TYPE_CHECKING:
     from wasmtime import Instance, Store
 
-from .ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
+
 from .ta import TechAnalysis
 
 

core/queries/copilot.py

@@ -2,7 +2,7 @@
 from typing import List
 
 from core.events.base import EventMeta
-from core.models.ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
 from core.models.risk_type import SessionRiskType
 from core.models.side import PositionSide
 from core.models.signal import Signal

core/queries/ohlcv.py

@@ -2,7 +2,7 @@
 from typing import List
 
 from core.events.base import EventMeta
-from core.models.ohlcv import OHLCV
+from core.models.entity.ohlcv import OHLCV
 from core.models.symbol import Symbol
 from core.models.ta import TechAnalysis
 from core.models.timeframe import Timeframe

exchange/_bybit_ws.py

@@ -6,8 +6,8 @@
 from websockets.exceptions import ConnectionClosedError
 
 from core.interfaces.abstract_ws import AbstractWS
-from core.models.bar import Bar
-from core.models.ohlcv import OHLCV
+from core.models.entity.bar import Bar
+from core.models.entity.ohlcv import OHLCV
 from core.models.timeframe import Timeframe
 from infrastructure.retry import retry