From 9f5b578eb6f59d68a4895457879ef891fd9ddeff Mon Sep 17 00:00:00 2001
From: m5l14i11 <siarhei.melnik@proton.me>
Date: Sat, 14 Sep 2024 17:51:40 +0300
Subject: [PATCH] upd

---
 core/interfaces/abstract_exchange.py |  4 +-
 exchange/_bybit.py                   | 60 ++++++++++++++++++----------
 sor/_router.py                       | 13 ++++--
 3 files changed, 52 insertions(+), 25 deletions(-)

diff --git a/core/interfaces/abstract_exchange.py b/core/interfaces/abstract_exchange.py
index 93185644..93761033 100644
--- a/core/interfaces/abstract_exchange.py
+++ b/core/interfaces/abstract_exchange.py
@@ -42,7 +42,9 @@ def fetch_position(self, symbol: Symbol, side: PositionSide):
         pass
 
     @abstractmethod
-    def fetch_trade(self, symbol: Symbol, side: PositionSide, limit: int):
+    def fetch_trade(
+        self, symbol: Symbol, side: PositionSide, since: int, size: float, limit: int
+    ):
         pass
 
     @abstractmethod
diff --git a/exchange/_bybit.py b/exchange/_bybit.py
index 51e0f3b9..b6d3e9a6 100644
--- a/exchange/_bybit.py
+++ b/exchange/_bybit.py
@@ -95,12 +95,14 @@ def cancel_order(self, order_id: str, symbol: Symbol):
             logger.error(f"{symbol}: {e}")
             return
 
-    def fetch_trade(self, symbol: Symbol, side: PositionSide, limit: int):
-        trades = sorted(
-            self.connector.fetch_my_trades(symbol.name, limit=limit * 3),
-            key=lambda trade: trade["timestamp"],
-            reverse=True,
-        )
+    def fetch_trade(
+        self, symbol: Symbol, side: PositionSide, since: int, size: float, limit: int
+    ):
+        last_trades = [
+            trade
+            for trade in self.connector.fetch_my_trades(symbol.name, limit=limit * 2)
+            if trade["timestamp"] >= since
+        ]
 
         def round_down_to_minute(timestamp):
             return datetime.utcfromtimestamp(timestamp // 1000).replace(
@@ -109,21 +111,36 @@ def round_down_to_minute(timestamp):
 
         aggregated_trades = defaultdict(lambda: {"amount": 0, "price": 0, "fee": 0})
 
-        for trade in trades:
-            if trade["side"] == "buy" if side == PositionSide.SHORT else "sell":
-                timestamp = round_down_to_minute(trade["timestamp"])
-                aggregated_trades[timestamp]["amount"] += trade["amount"]
-                aggregated_trades[timestamp]["price"] += trade["price"]
-                aggregated_trades[timestamp]["fee"] += trade["fee"]["cost"]
-
-        for timestamp, trade_data in aggregated_trades.items():
-            count = sum(
-                1
-                for item in trades
-                if round_down_to_minute(item["timestamp"]) == timestamp
-            )
-            if count > 0:
-                trade_data["price"] /= count
+        opposite_side = "buy" if side == PositionSide.SHORT else "sell"
+
+        trade_stack = sorted(
+            [trade for trade in last_trades if trade["side"] == opposite_side],
+            key=lambda trade: trade["timestamp"],
+            reverse=True,
+        )
+
+        acc_size = 0
+
+        for trade in trade_stack:
+            if acc_size >= size:
+                break
+
+            trade_amount = trade["amount"]
+            key = round_down_to_minute(trade["timestamp"])
+
+            trade_amount = min(trade["amount"], size - acc_size)
+
+            aggregated_trades[key]["amount"] += trade_amount
+            aggregated_trades[key]["price"] += trade["price"] * trade_amount
+            aggregated_trades[key]["fee"] += (
+                trade["fee"]["cost"] / trade["amount"]
+            ) * trade_amount
+
+            acc_size += trade_amount
+
+        for _, trade_data in aggregated_trades.items():
+            if trade_data["amount"] > 0:
+                trade_data["price"] /= trade_data["amount"]
 
         return next(iter(aggregated_trades.values()), None)
 
@@ -234,6 +251,7 @@ def fetch_position(self, symbol: Symbol, side: PositionSide):
                 else PositionSide.SHORT,
                 "entry_price": float(position.get("entryPrice", 0)),
                 "position_size": float(position.get("contracts", 0)),
+                "open_fee": -float(position.get("info", {}).get("curRealisedPnl", 0)),
             }
 
         return None
diff --git a/sor/_router.py b/sor/_router.py
index 8d468d79..57acfa41 100644
--- a/sor/_router.py
+++ b/sor/_router.py
@@ -49,6 +49,7 @@ def get_open_position(self, query: GetOpenPosition):
                 status=OrderStatus.EXECUTED,
                 size=broker_position["position_size"],
                 price=broker_position["entry_price"],
+                fee=broker_position["open_fee"],
             )
 
     @query_handler(GetClosePosition)
@@ -57,7 +58,11 @@ def get_close_position(self, query: GetClosePosition):
         symbol = position.signal.symbol
 
         trade = self.exchange.fetch_trade(
-            symbol, position.side, self.config["max_order_slice"]
+            symbol,
+            position.side,
+            position.last_modified,
+            position.size,
+            self.config["max_order_slice"],
         )
 
         if not trade:
@@ -88,13 +93,15 @@ def get_account_balance(self, query: GetBalance):
     def has_position(self, query: HasPosition):
         position = query.position
         symbol = position.signal.symbol
+        side = position.side
 
-        existing_position = self.exchange.fetch_position(symbol, position.side)
+        existing_position = self.exchange.fetch_position(symbol, side)
 
         if existing_position:
-            logging.info(f"Position for {symbol} on {position.side} already exists")
+            logging.info(f"Position check: {side} position for {symbol} exists.")
             return True
 
+        logging.info(f"Position check: No existing {side} position found for {symbol}.")
         return False
 
     @command_handler(UpdateSettings)