from __future__ import annotations from dataclasses import dataclass from decimal import Decimal, ROUND_DOWN from src.execution.order_intent import OrderIntent CORE = {"BTC", "ETH", "SOL", "LINK"} RESEARCH_ALT = {"WLD", "SUI", "ENA", "BCH"} ALLOWED = CORE | RESEARCH_ALT @dataclass(frozen=True) class MarketContext: coin: str symbol: str current_price: Decimal recent_high: Decimal sma_fast: Decimal sma_slow: Decimal volume_24h: Decimal breadth_positive_candidates: int relative_strength_rank: int baseline_price: Decimal wallet_equity_usdc: Decimal coin_leakage_blocked: bool = False risk_multiplier: Decimal = Decimal("1") data_quality_allowed: bool = True data_quality_reasons: tuple[str, ...] = () strict_anti_chase: bool = False retest_low: Decimal | None = None atr_pct: Decimal = Decimal("1.20") move_15m_pct: Decimal = Decimal("0") move_1h_pct: Decimal = Decimal("0") pullback_from_high_pct: Decimal = Decimal("0") spread_pct: Decimal = Decimal("0.03") expected_slippage_pct: Decimal = Decimal("0.02") funding_rate_hourly_pct: Decimal = Decimal("0") vwap_distance_pct: Decimal = Decimal("0") upper_wick_pct: Decimal = Decimal("0") candle_body_pct: Decimal = Decimal("0") open_interest_change_pct: Decimal = Decimal("0") premium_pct: Decimal = Decimal("0") def _size_for_notional(notional: Decimal, price: Decimal) -> Decimal: return (notional / price).quantize(Decimal("0.00000001"), rounding=ROUND_DOWN) def strict_anti_chase_blockers(context: MarketContext) -> list[str]: """Conservative v76 strict entry timing guards. The original v76 strict Paper edge was inflated by immediate expected-move exits. Under the real lifecycle, late entries produce too many time exits and stop losses. These guards keep the strategy from buying local tops and require a basic retest/reclaim shape before opening a lifecycle position. """ if not context.strict_anti_chase: return [] blockers: list[str] = [] if context.atr_pct <= 0: blockers.append("anti_chase_missing_atr") if context.spread_pct > Decimal("0.08"): blockers.append("anti_chase_spread_too_wide") if context.funding_rate_hourly_pct > Decimal("0.015"): blockers.append("anti_chase_crowded_positive_funding") if context.open_interest_change_pct > Decimal("12") and context.funding_rate_hourly_pct > Decimal("0.005"): blockers.append("anti_chase_oi_funding_crowded") if context.premium_pct > Decimal("0.10"): blockers.append("anti_chase_premium_too_high") if context.vwap_distance_pct > Decimal("1.20"): blockers.append("anti_chase_vwap_distance_too_high") if context.atr_pct > Decimal("0") and context.move_15m_pct > context.atr_pct * Decimal("2.50"): blockers.append("anti_chase_atr_pump") if context.upper_wick_pct > max(Decimal("0.60"), context.candle_body_pct * Decimal("1.50")): blockers.append("anti_chase_upper_wick_rejection") if context.move_1h_pct > context.atr_pct * Decimal("3.50") and context.upper_wick_pct > Decimal("0.35"): blockers.append("anti_chase_exhaustion_candle") overextended = context.move_15m_pct > context.atr_pct * Decimal("1.50") or context.move_1h_pct > context.atr_pct * Decimal("2.75") no_retest = context.pullback_from_high_pct < max(Decimal("0.35"), context.atr_pct * Decimal("0.30")) if overextended and no_retest: blockers.append("anti_chase_overextended_no_retest") retest_low = context.retest_low if context.retest_low is not None else context.sma_slow retest_held = context.current_price >= context.sma_fast >= context.sma_slow and context.current_price > retest_low not_chasing_high = context.current_price <= context.recent_high * Decimal("1.015") if context.current_price > context.recent_high and not no_retest: retest_held = context.sma_fast >= context.sma_slow and not_chasing_high if not retest_held: blockers.append("anti_chase_no_retest_reclaim") if not not_chasing_high and no_retest: blockers.append("anti_chase_buying_above_local_high") return blockers def build_v76_order_intent(context: MarketContext, *, client_order_id: str) -> OrderIntent | None: coin = context.coin.upper() if coin not in ALLOWED: return None if context.coin_leakage_blocked: return None if not context.data_quality_allowed: return None if context.volume_24h < Decimal("12000000"): return None if context.breadth_positive_candidates < 3 or context.relative_strength_rank > 4: return None if strict_anti_chase_blockers(context): return None breakout = context.current_price > context.recent_high and context.sma_fast >= context.sma_slow survival_reclaim = context.current_price < context.baseline_price and context.current_price >= context.sma_fast if breakout: reason = "confirmed_squeeze_breakout" risk_pct = Decimal("0.25") stop_distance_pct = Decimal("1.25") elif survival_reclaim: reason = "survival_rebound_sma_reclaim" risk_pct = Decimal("0.125") stop_distance_pct = Decimal("1.0") else: return None risk_usd = context.wallet_equity_usdc * risk_pct / Decimal("100") * context.risk_multiplier notional = risk_usd / (stop_distance_pct / Decimal("100")) if risk_usd > 0 else Decimal("0") max_notional = context.wallet_equity_usdc * Decimal("20") / Decimal("100") notional = min(notional, max_notional) if notional < Decimal("10"): return None size = _size_for_notional(notional, context.current_price) stop_loss = context.current_price * (Decimal("1") - stop_distance_pct / Decimal("100")) return OrderIntent( strategy_id="candidate_v76_hl_confirmed_squeeze_hybrid", symbol=context.symbol, coin=coin, side="buy", reduce_only=False, order_type="market", tif="Ioc", size=size, price=None, trigger_price=None, stop_loss=stop_loss.quantize(Decimal("0.00000001"), rounding=ROUND_DOWN), take_profit=None, client_order_id=client_order_id, reason=reason, risk_usd=risk_usd, estimated_notional_usd=notional, )