115 lines
3.0 KiB
Python
115 lines
3.0 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass, field
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from typing import List, Dict, Any
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from .events import BookEvent
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from .orders import MarketBuy, MarketSell
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from .fees import calculate_okx_fee
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@dataclass
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class PortfolioState:
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cash_usd: float
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coin: float = 0.0
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entry_price: float | None = None
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entry_time_ms: int | None = None
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fees_paid: float = 0.0
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equity_curve: list[tuple[int, float]] = field(default_factory=list)
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def process_event(
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state: PortfolioState,
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event: BookEvent,
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orders: list,
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stoploss_pct: float,
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is_maker: bool,
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) -> list[Dict[str, Any]]:
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"""Apply orders at top-of-book and update stop-loss logic.
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Returns log entries for any executions that occurred.
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"""
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logs: list[Dict[str, Any]] = []
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# Evaluate stop-loss for an open long position
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if state.coin > 0 and state.entry_price is not None:
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threshold = state.entry_price * (1.0 - stoploss_pct)
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if event.best_bid <= threshold:
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# Exit at the worse of best_bid and threshold to emulate slippage
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exit_price = min(event.best_bid, threshold)
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gross = state.coin * exit_price
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fee = calculate_okx_fee(gross, is_maker=is_maker)
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state.cash_usd = gross - fee
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state.fees_paid += fee
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pnl = (exit_price - state.entry_price) / state.entry_price
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logs.append({
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"type": "stop_loss",
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"time": event.timestamp_ms,
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"price": exit_price,
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"usd": state.cash_usd,
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"coin": 0.0,
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"pnl": pnl,
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"fee": fee,
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})
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state.coin = 0.0
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state.entry_price = None
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state.entry_time_ms = None
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# Apply incoming orders
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for order in orders:
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if isinstance(order, MarketBuy):
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if state.cash_usd <= 0:
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continue
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# Execute at best ask
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price = event.best_ask
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notional = min(order.usd_notional, state.cash_usd)
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qty = notional / price if price > 0 else 0.0
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fee = calculate_okx_fee(notional, is_maker=is_maker)
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# Deduct both notional and fee from cash
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state.cash_usd -= (notional + fee)
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state.fees_paid += fee
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state.coin += qty
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state.entry_price = price
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state.entry_time_ms = event.timestamp_ms
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logs.append({
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"type": "buy",
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"time": event.timestamp_ms,
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"price": price,
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"usd": state.cash_usd,
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"coin": state.coin,
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"fee": fee,
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})
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elif isinstance(order, MarketSell):
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if state.coin <= 0:
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continue
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price = event.best_bid
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qty = min(order.amount, state.coin)
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gross = qty * price
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fee = calculate_okx_fee(gross, is_maker=is_maker)
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state.cash_usd += (gross - fee)
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state.fees_paid += fee
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state.coin -= qty
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pnl = 0.0
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if state.entry_price:
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pnl = (price - state.entry_price) / state.entry_price
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logs.append({
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"type": "sell",
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"time": event.timestamp_ms,
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"price": price,
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"usd": state.cash_usd,
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"coin": state.coin,
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"pnl": pnl,
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"fee": fee,
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})
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if state.coin <= 0:
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state.entry_price = None
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state.entry_time_ms = None
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# Track equity at each event using best bid for mark-to-market
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mark_price = event.best_bid
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equity = state.cash_usd + state.coin * mark_price
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state.equity_curve.append((event.timestamp_ms, equity))
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return logs
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