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feat(hedger): add edge protection and large hedge override to clp_hedger.py

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DiTus
2025-12-19 22:50:05 +01:00
parent 215cde556c
commit 63c01bcf51
1 changed files with 48 additions and 4 deletions
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52
clp_hedger.py
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@ -683,21 +683,65 @@ class ScalperHedger:
time.sleep(CHECK_INTERVAL)
continue
# 6. Execute Trade
# 6. Execute Trade (with Edge Protection)
bypass_cooldown = False
override_reason = ""
# Edge Proximity Check
if active_pos.get('status') == 'OPEN':
position_edge_proximity = POSITION_OPEN_EDGE_PROXIMITY_PCT
range_width = self.strategy.high_range - self.strategy.low_range
distance_from_bottom = price - self.strategy.low_range
distance_from_top = self.strategy.high_range - price
edge_distance = range_width * position_edge_proximity
is_near_bottom = distance_from_bottom <= edge_distance
is_near_top = distance_from_top <= edge_distance
if is_near_bottom or is_near_top:
bypass_cooldown = True
override_reason = f"EDGE PROXIMITY ({position_edge_proximity*100:.1f}% edge)"
if is_near_bottom:
override_reason += f" ({distance_from_bottom:.2f} from bottom)"
else:
override_reason += f" ({distance_from_top:.2f} from top)"
# Large Hedge Check
if not bypass_cooldown:
if diff_abs > (rebalance_threshold * LARGE_HEDGE_MULTIPLIER):
bypass_cooldown = True
override_reason = f"LARGE HEDGE NEEDED ({diff_abs:.4f} vs {rebalance_threshold:.4f})"
can_trade = False
cooldown_text = ""
if diff_abs > rebalance_threshold:
if time.time() - self.last_trade_time > MIN_TIME_BETWEEN_TRADES:
if bypass_cooldown:
can_trade = True
logger.info(f"[WARN] COOLDOWN BYPASSED: {override_reason}")
elif time.time() - self.last_trade_time > MIN_TIME_BETWEEN_TRADES:
can_trade = True
else:
time_left = MIN_TIME_BETWEEN_TRADES - (time.time() - self.last_trade_time)
cooldown_text = f" | [WAIT] Cooldown ({time_left:.0f}s)"
if can_trade:
is_buy = (calc['action'] == "BUY")
# Taker execution for rebalance
exec_price = levels['ask'] * Decimal("1.001") if is_buy else levels['bid'] * Decimal("0.999")
logger.info(f"[TRIG] Rebalance: {calc['action']} {diff_abs:.4f} (Diff > {rebalance_threshold:.4f})")
urgency = "URGENT" if bypass_cooldown else "NORMAL"
logger.info(f"[TRIG] Rebalance ({urgency}): {calc['action']} {diff_abs:.4f} (Diff > {rebalance_threshold:.4f})")
oid = self.place_limit_order(COIN_SYMBOL, is_buy, diff_abs, exec_price, "Ioc")
if oid:
self.last_trade_time = time.time()
self.track_fills_and_pnl(force=True)
else:
if time.time() - self.last_idle_log_time > 30:
logger.info(f"[WAIT] Cooldown. Diff: {diff_abs:.4f}")
logger.info(f"[WAIT] Cooldown. Diff: {diff_abs:.4f}{cooldown_text}")
self.last_idle_log_time = time.time()
else:
if time.time() - self.last_idle_log_time > 30: