kroutony
b6bd45b151
- Fix realized_pnl always being 0 on SELL (use amount*price instead of amount_usdt) - Add debug logging for all-HOLD LLM cycles (log sample HOLD reasons) - Fix nonce collision in Bitfinex API auth (add counter) - Fix timezone to UTC+8 in main, trade_logger, sync_cost_basis, check_errors - Fix stop-loss retry with longer delay after cancel - Add min order amount check in trader before BUY - Fix risk_manager to skip positions with amount <= 0 - Cap trade_history to 500 entries to prevent unbounded growth - Fix greedy regex in LLM response parser - Reset cost_tracking start dates to null Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
345 lines
12 KiB
Python
345 lines
12 KiB
Python
#!/usr/bin/env python3
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"""Sync cost basis (entry_price), wallet balances, and per-coin amounts from order history.
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Designed to run every 30 minutes via cron.
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"""
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import json
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import logging
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import os
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import sys
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import time
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from datetime import datetime, timezone, timedelta
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import config
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import data_fetcher
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import slack_notifier
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# ---------------------------------------------------------------------------
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# Logging setup (separate log file)
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# ---------------------------------------------------------------------------
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_TZ_UTC8 = timezone(timedelta(hours=8))
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logging.basicConfig(
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level=logging.INFO,
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format="%(asctime)s [%(levelname)s] %(name)s: %(message)s",
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handlers=[
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logging.StreamHandler(sys.stdout),
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logging.FileHandler("sync_cost_basis.log"),
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],
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)
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logging.Formatter.converter = lambda *args: datetime.now(_TZ_UTC8).timetuple()
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logger = logging.getLogger("sync_cost_basis")
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# ---------------------------------------------------------------------------
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# Helpers
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# ---------------------------------------------------------------------------
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def _symbol_to_currency(symbol: str) -> str:
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"""Convert symbol like 'tETHUST' or 'tAVAX:UST' to currency code like 'ETH'."""
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return symbol[1:].replace(":UST", "").replace("UST", "")
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def _build_currency_to_symbol() -> dict[str, str]:
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"""Build mapping: currency code → symbol from TOP_15_SYMBOLS."""
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return {_symbol_to_currency(sym): sym for sym in config.TOP_15_SYMBOLS}
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# ---------------------------------------------------------------------------
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# Cost tracking persistence
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# ---------------------------------------------------------------------------
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def load_cost_tracking() -> dict:
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if os.path.exists(config.COST_TRACKING_FILE):
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try:
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with open(config.COST_TRACKING_FILE) as f:
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return json.load(f)
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except (json.JSONDecodeError, IOError):
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pass
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return {}
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def save_cost_tracking(data: dict):
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with open(config.COST_TRACKING_FILE, "w") as f:
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json.dump(data, f, indent=2)
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def init_cost_tracking(positions: dict) -> dict:
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"""Initialize cost_tracking for current positions with default start_ms."""
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tracking = {}
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for sym in positions:
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tracking[sym] = config.INIT_COST_BASIS_START_MS
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return tracking
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# ---------------------------------------------------------------------------
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# Fetch order history with pagination
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# ---------------------------------------------------------------------------
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def fetch_orders_hist(symbol: str, start_ms: int) -> list[list]:
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"""Fetch all filled orders for symbol from start_ms to now, with pagination."""
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all_orders = []
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end_ms = int(time.time() * 1000)
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while True:
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body = {"start": start_ms, "end": end_ms, "limit": 500}
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path = f"/v2/auth/r/orders/{symbol}/hist"
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try:
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raw = data_fetcher._auth_post(path, body)
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except Exception as e:
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logger.error("Failed to fetch orders for %s: %s", symbol, e)
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break
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if not raw or not isinstance(raw, list):
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break
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all_orders.extend(raw)
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if len(raw) < 500:
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break
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# Paginate: default is descending, so oldest is last
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last_mts = min(o[4] for o in raw) # earliest mts_create
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end_ms = last_mts - 1
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# Sort by mts_create ascending (Bitfinex default order is unreliable)
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all_orders.sort(key=lambda o: o[4])
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return all_orders
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# ---------------------------------------------------------------------------
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# Cost basis calculation
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# ---------------------------------------------------------------------------
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def calculate_cost_basis(orders: list[list]) -> tuple[float, float]:
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"""Calculate cost basis from sorted orders.
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Returns (amount, entry_price).
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Order fields: [id, gid, cid, symbol, mts_create, mts_update, amount, amount_orig,
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type, type_prev, mts_tif, _, flags, status, _, _, price, price_avg,
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price_trailing, ...]
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- amount (index 6): remaining amount (0 if fully filled)
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- amount_orig (index 7): original order amount (positive=buy, negative=sell)
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- price_avg (index 17): average execution price
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"""
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amount = 0.0
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total_cost = 0.0
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for order in orders:
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status = order[13] if len(order) > 13 else ""
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if not isinstance(status, str):
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continue
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# Include EXECUTED and PARTIALLY FILLED orders; skip CANCELED with no fill
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has_fill = "EXECUTED" in status or "PARTIALLY FILLED" in status
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if not has_fill:
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continue
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amount_orig = float(order[7]) # positive = buy, negative = sell
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amount_remaining = float(order[6]) # 0 if fully filled
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price_avg = float(order[17]) if len(order) > 17 and order[17] else 0
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if price_avg <= 0:
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continue
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# Actual executed amount = amount_orig - amount_remaining
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exec_amt = abs(amount_orig - amount_remaining)
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if exec_amt <= 0:
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continue
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if amount_orig > 0: # BUY
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total_cost += exec_amt * price_avg
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amount += exec_amt
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else: # SELL
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if amount > 0:
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ratio = min(exec_amt / amount, 1.0)
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total_cost *= (1 - ratio)
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amount -= exec_amt
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if amount < 0:
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amount = 0.0
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total_cost = 0.0
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entry_price = total_cost / amount if amount > 0 else 0.0
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return amount, entry_price
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# ---------------------------------------------------------------------------
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# Main sync logic
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# ---------------------------------------------------------------------------
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def run_sync():
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logger.info("=" * 60)
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logger.info("Starting cost basis sync")
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# 1. Fetch wallet balances
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try:
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account_status = data_fetcher.fetch_account_status()
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except Exception as e:
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logger.error("Failed to fetch account status: %s", e)
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return
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wallet_balances: dict[str, float] = {}
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usdt_balance = 0.0
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usdt_available = 0.0
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for w in account_status.get("wallets", []):
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if w.get("type") == "exchange":
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currency = w["currency"]
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bal = w.get("balance", 0)
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if currency in ("UST", "USDT"):
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usdt_balance = bal
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usdt_available = w.get("available", 0) or bal
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else:
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if bal > 0:
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wallet_balances[currency] = bal
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currency_to_symbol = _build_currency_to_symbol()
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# 2. Load cost tracking and positions
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cost_tracking = load_cost_tracking()
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positions_data = {}
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if os.path.exists(config.POSITIONS_FILE):
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try:
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with open(config.POSITIONS_FILE) as f:
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positions_data = json.load(f)
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except (json.JSONDecodeError, IOError):
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pass
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positions = positions_data.get("positions", {})
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# Initialize cost_tracking if empty
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if not cost_tracking:
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cost_tracking = init_cost_tracking(positions)
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save_cost_tracking(cost_tracking)
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logger.info("Initialized cost_tracking.json with %d symbols", len(cost_tracking))
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# 3. Determine which symbols to process
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# Symbols from: current positions + cost_tracking + wallet balances
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all_symbols = set()
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all_symbols.update(positions.keys())
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all_symbols.update(k for k, v in cost_tracking.items() if v is not None)
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for currency, bal in wallet_balances.items():
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sym = currency_to_symbol.get(currency)
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if sym:
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all_symbols.add(sym)
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# 4. Process each symbol
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for sym in sorted(all_symbols):
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currency = _symbol_to_currency(sym)
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wallet_amt = wallet_balances.get(currency, 0)
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start_ms = cost_tracking.get(sym)
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# If no start_ms and no wallet balance, skip
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if start_ms is None and wallet_amt <= 0:
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continue
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# If wallet has balance but no tracking entry, initialize
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if start_ms is None and wallet_amt > 0:
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start_ms = config.INIT_COST_BASIS_START_MS
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cost_tracking[sym] = start_ms
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logger.info("Processing %s (wallet: %.6f, start_ms: %s)", sym, wallet_amt, start_ms)
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# Fetch order history
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orders = fetch_orders_hist(sym, start_ms)
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logger.info(" Fetched %d orders for %s", len(orders), sym)
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if not orders:
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# No orders found — keep existing position data but update amount from wallet
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if wallet_amt > 0:
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existing = positions.get(sym, {})
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existing_entry = existing.get("entry_price", 0)
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if existing_entry > 0:
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positions[sym] = {
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"amount": wallet_amt,
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"entry_price": existing_entry,
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"value_usdt": wallet_amt * existing_entry,
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"last_update": time.time(),
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}
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elif sym in positions:
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# No wallet balance and no orders — remove position
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positions.pop(sym, None)
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cost_tracking[sym] = None
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time.sleep(0.5)
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continue
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# Calculate cost basis
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calc_amount, entry_price = calculate_cost_basis(orders)
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# Deviation check: calculated amount vs wallet balance
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if wallet_amt > 0 and calc_amount > 0:
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deviation = abs(calc_amount - wallet_amt) / wallet_amt
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logger.info(
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" %s: calc_amount=%.6f, wallet=%.6f, entry=%.6g, deviation=%.2f%%",
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sym, calc_amount, wallet_amt, entry_price, deviation * 100,
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)
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if deviation > 0.05:
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msg = (
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f"<!channel>\n"
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f"⚠️ *成本基礎偏差警告*\n"
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f"幣種: {config.SYMBOL_NAMES.get(sym, sym)}\n"
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f"計算量: {calc_amount:.6f}\n"
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f"錢包量: {wallet_amt:.6f}\n"
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f"偏差: {deviation:.2%}\n"
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f"建議檢查 cost_tracking 起始日期"
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)
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slack_notifier._send({"text": msg})
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logger.warning(" Deviation > 5%% for %s, Slack notified", sym)
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else:
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logger.info(
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" %s: calc_amount=%.6f, wallet=%.6f, entry=%.6g",
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sym, calc_amount, wallet_amt, entry_price,
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)
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# Update positions: use wallet amount as authoritative, calculated entry_price
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if wallet_amt > 0 and entry_price > 0:
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positions[sym] = {
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"amount": wallet_amt,
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"entry_price": entry_price,
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"value_usdt": wallet_amt * entry_price,
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"last_update": time.time(),
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}
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elif wallet_amt <= 0:
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# Fully sold — remove position and mark tracking as null
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positions.pop(sym, None)
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cost_tracking[sym] = None
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logger.info(" %s fully sold, marking cost_tracking as null", sym)
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# Update cost_tracking: find first BUY mts_create
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if wallet_amt > 0:
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first_buy_mts = None
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for order in orders:
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status = order[13] if len(order) > 13 else ""
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if isinstance(status, str) and "EXECUTED" in status and float(order[7]) > 0:
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first_buy_mts = order[4] # mts_create
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break
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if first_buy_mts is not None:
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cost_tracking[sym] = first_buy_mts
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time.sleep(1) # Rate limit between symbols (avoid nonce collisions)
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# 5. Remove positions for currencies no longer in wallet
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for sym in list(positions.keys()):
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currency = _symbol_to_currency(sym)
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if wallet_balances.get(currency, 0) <= 0:
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positions.pop(sym, None)
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if sym in cost_tracking:
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cost_tracking[sym] = None
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# 6. Save updated positions (update balances too)
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positions_data["positions"] = positions
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positions_data["total_balance_usdt"] = usdt_balance
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positions_data["available_usdt"] = usdt_available
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positions_data["last_updated"] = time.time()
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with open(config.POSITIONS_FILE, "w") as f:
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json.dump(positions_data, f, indent=2)
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# 7. Save cost tracking
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save_cost_tracking(cost_tracking)
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logger.info("Cost basis sync complete. Updated %d positions.", len(positions))
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if __name__ == "__main__":
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run_sync()
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