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This commit is contained in:
cryptoking1106
413
2_copy trading bot(node) using gRPC/services/riskManager.js
Normal file
413
2_copy trading bot(node) using gRPC/services/riskManager.js
Normal file
@@ -0,0 +1,413 @@
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import { config } from '../config.js';
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import logger from '../utils/logger.js';
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import notificationService from './notifications.js';
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class RiskManager {
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constructor() {
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this.dailyStats = {
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totalTrades: 0,
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profitableTrades: 0,
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losingTrades: 0,
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totalProfit: 0,
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totalLoss: 0,
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netPnL: 0,
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startTime: new Date(),
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};
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this.activePositions = new Map();
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this.tradeHistory = [];
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this.lastTradeTime = 0;
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// Reset daily stats at midnight
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this.scheduleDailyReset();
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}
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// Check if a new trade is allowed
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canExecuteTrade(amount, tokenMint) {
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const now = Date.now();
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const errors = [];
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// Check daily loss limit
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if (this.dailyStats.netPnL <= -config.risk.maxDailyLoss) {
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errors.push(`Daily loss limit reached: ${this.dailyStats.netPnL.toFixed(4)} SOL`);
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}
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// Check single trade loss limit
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if (amount > config.risk.maxSingleLoss) {
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errors.push(`Trade amount ${amount} SOL exceeds single trade limit ${config.risk.maxSingleLoss} SOL`);
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}
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// Check position limit
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if (this.activePositions.size >= config.trading.maxPositions) {
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errors.push(`Maximum positions limit reached: ${this.activePositions.size}/${config.trading.maxPositions}`);
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}
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// Check cooldown period
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if (now - this.lastTradeTime < config.risk.tradeCooldown) {
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const remainingCooldown = config.risk.tradeCooldown - (now - this.lastTradeTime);
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errors.push(`Trade cooldown active: ${Math.ceil(remainingCooldown / 1000)}s remaining`);
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}
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// Check if token is already in active positions
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if (this.activePositions.has(tokenMint)) {
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errors.push(`Token ${tokenMint} already has an active position`);
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}
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if (errors.length > 0) {
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logger.warn('Trade blocked by risk manager', { errors, amount, tokenMint });
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return { allowed: false, errors };
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}
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return { allowed: true, errors: [] };
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}
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// Record a new trade
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recordTrade(tradeType, tokenMint, amount, price, txHash) {
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const now = Date.now();
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this.lastTradeTime = now;
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const trade = {
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id: `${tokenMint}-${now}`,
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type: tradeType,
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tokenMint,
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amount,
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price,
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txHash,
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timestamp: now,
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status: 'pending',
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};
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if (tradeType === 'buy') {
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this.activePositions.set(tokenMint, {
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entryPrice: price,
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entryAmount: amount,
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entryTime: now,
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entryValue: amount * price,
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currentPrice: price,
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tradeId: trade.id,
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});
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logger.info(`Position opened: ${tokenMint}`, {
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entryPrice: price,
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entryAmount: amount,
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entryValue: amount * price,
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});
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notificationService.notifyPositionUpdate('opened', tokenMint, {
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entryPrice: price,
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entryAmount: amount,
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entryValue: amount * price,
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});
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} else if (tradeType === 'sell') {
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const position = this.activePositions.get(tokenMint);
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if (position) {
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const exitValue = amount * price;
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const pnl = exitValue - position.entryValue;
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const pnlRatio = exitValue / position.entryValue;
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trade.pnl = pnl;
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trade.pnlRatio = pnlRatio;
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trade.entryPrice = position.entryPrice;
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trade.entryValue = position.entryValue;
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// Update daily stats
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this.updateDailyStats(pnl, pnlRatio > 1);
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// Remove from active positions
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this.activePositions.delete(tokenMint);
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logger.info(`Position closed: ${tokenMint}`, {
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pnl,
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pnlRatio: pnlRatio.toFixed(2),
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entryPrice: position.entryPrice,
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exitPrice: price,
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});
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// Send appropriate notification
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if (pnlRatio >= config.trading.profitTarget) {
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notificationService.notifyProfitTarget(tokenMint, pnlRatio, amount);
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} else if (pnlRatio <= config.trading.stopLoss) {
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notificationService.notifyStopLoss(tokenMint, pnlRatio, amount);
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} else {
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notificationService.notifyPositionUpdate('closed', tokenMint, {
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pnl,
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pnlRatio: pnlRatio.toFixed(2),
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reason: 'manual',
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});
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}
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}
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}
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this.tradeHistory.push(trade);
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logger.debug('Trade recorded', trade);
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return trade;
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}
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// Update position price
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updatePositionPrice(tokenMint, newPrice) {
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const position = this.activePositions.get(tokenMint);
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if (position) {
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position.currentPrice = newPrice;
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position.currentValue = position.entryAmount * newPrice;
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position.pnl = position.currentValue - position.entryValue;
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position.pnlRatio = position.currentValue / position.entryValue;
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}
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}
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// Check if position should be closed based on risk parameters
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shouldClosePosition(tokenMint) {
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const position = this.activePositions.get(tokenMint);
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if (!position) return { shouldClose: false, reason: null };
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const now = Date.now();
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const holdTime = now - position.entryTime;
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// Check profit target
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if (position.pnlRatio >= config.trading.profitTarget) {
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return { shouldClose: true, reason: 'profit_target', pnlRatio: position.pnlRatio };
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}
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// Check stop loss
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if (position.pnlRatio <= config.trading.stopLoss) {
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return { shouldClose: true, reason: 'stop_loss', pnlRatio: position.pnlRatio };
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}
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// Check max hold time
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if (holdTime >= config.trading.maxHoldTime) {
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return { shouldClose: true, reason: 'max_hold_time', holdTime };
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}
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return { shouldClose: false, reason: null };
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}
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// Get position information
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getPosition(tokenMint) {
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return this.activePositions.get(tokenMint);
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}
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// Get all active positions
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getActivePositions() {
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return Array.from(this.activePositions.entries()).map(([mint, position]) => ({
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mint,
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...position,
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holdTime: Date.now() - position.entryTime,
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}));
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}
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// Get position summary
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getPositionSummary() {
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const positions = this.getActivePositions();
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const totalValue = positions.reduce((sum, pos) => sum + pos.currentValue, 0);
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const totalPnL = positions.reduce((sum, pos) => sum + pos.pnl, 0);
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return {
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activePositions: positions.length,
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totalValue,
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totalPnL,
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averagePnL: positions.length > 0 ? totalPnL / positions.length : 0,
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};
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}
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// Get daily statistics
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getDailyStats() {
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const now = new Date();
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const startOfDay = new Date(now.getFullYear(), now.getMonth(), now.getDate());
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const uptime = now - this.dailyStats.startTime;
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return {
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...this.dailyStats,
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uptime,
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winRate: this.dailyStats.totalTrades > 0
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? (this.dailyStats.profitableTrades / this.dailyStats.totalTrades * 100).toFixed(2)
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: 0,
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averageProfit: this.dailyStats.profitableTrades > 0
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? this.dailyStats.totalProfit / this.dailyStats.profitableTrades
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: 0,
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averageLoss: this.dailyStats.losingTrades > 0
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? this.dailyStats.totalLoss / this.dailyStats.losingTrades
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: 0,
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};
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}
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// Update daily statistics
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updateDailyStats(pnl, isProfitable) {
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this.dailyStats.totalTrades++;
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if (isProfitable) {
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this.dailyStats.profitableTrades++;
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this.dailyStats.totalProfit += pnl;
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} else {
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this.dailyStats.losingTrades++;
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this.dailyStats.totalLoss += Math.abs(pnl);
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}
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this.dailyStats.netPnL += pnl;
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// Log daily stats update
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logger.debug('Daily stats updated', {
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totalTrades: this.dailyStats.totalTrades,
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netPnL: this.dailyStats.netPnL.toFixed(4),
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});
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// Check if daily loss limit is approaching
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if (this.dailyStats.netPnL <= -config.risk.maxDailyLoss * 0.8) {
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notificationService.sendNotification(
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`⚠️ Daily loss limit approaching: ${this.dailyStats.netPnL.toFixed(4)} SOL`,
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'warning',
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{ dailyStats: this.dailyStats }
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);
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}
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}
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// Reset daily statistics
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resetDailyStats() {
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const previousStats = { ...this.dailyStats };
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this.dailyStats = {
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totalTrades: 0,
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profitableTrades: 0,
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losingTrades: 0,
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totalProfit: 0,
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totalLoss: 0,
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netPnL: 0,
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startTime: new Date(),
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};
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logger.info('Daily stats reset', { previousStats });
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notificationService.sendNotification(
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`📊 Daily trading session ended. Net PnL: ${previousStats.netPnL.toFixed(4)} SOL`,
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'info',
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{ previousStats }
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);
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}
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// Schedule daily reset at midnight
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scheduleDailyReset() {
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const now = new Date();
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const tomorrow = new Date(now.getFullYear(), now.getMonth(), now.getDate() + 1);
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const timeUntilMidnight = tomorrow - now;
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setTimeout(() => {
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this.resetDailyStats();
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// Schedule next reset
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this.scheduleDailyReset();
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}, timeUntilMidnight);
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}
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// Emergency close all positions
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async emergencyCloseAll(reason = 'emergency') {
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logger.warn('Emergency closing all positions', { reason });
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const positions = Array.from(this.activePositions.keys());
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const results = [];
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for (const mint of positions) {
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try {
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const position = this.activePositions.get(mint);
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if (position) {
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// Mark position for emergency closure
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position.emergencyClose = true;
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position.emergencyReason = reason;
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results.push({
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mint,
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status: 'marked_for_closure',
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reason,
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});
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}
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} catch (error) {
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logger.error('Error marking position for emergency closure', { mint, error });
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results.push({
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mint,
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status: 'error',
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error: error.message,
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});
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}
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}
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notificationService.sendNotification(
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`🚨 Emergency closure initiated for ${positions.length} positions`,
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'warning',
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{ reason, results }
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);
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return results;
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}
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// Get risk metrics
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getRiskMetrics() {
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const dailyStats = this.getDailyStats();
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const positionSummary = this.getPositionSummary();
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return {
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dailyStats,
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positionSummary,
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riskLevel: this.calculateRiskLevel(),
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recommendations: this.getRiskRecommendations(),
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};
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}
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// Calculate overall risk level
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calculateRiskLevel() {
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const dailyStats = this.getDailyStats();
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const positionSummary = this.getPositionSummary();
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let riskScore = 0;
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// Daily loss proximity
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if (dailyStats.netPnL <= -config.risk.maxDailyLoss * 0.9) {
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riskScore += 30;
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} else if (dailyStats.netPnL <= -config.risk.maxDailyLoss * 0.7) {
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riskScore += 20;
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} else if (dailyStats.netPnL <= -config.risk.maxDailyLoss * 0.5) {
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riskScore += 10;
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}
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// Position concentration
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if (positionSummary.activePositions >= config.trading.maxPositions * 0.8) {
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riskScore += 20;
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}
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// Win rate
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if (dailyStats.winRate < 30) {
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riskScore += 25;
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} else if (dailyStats.winRate < 50) {
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riskScore += 15;
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}
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if (riskScore >= 60) return 'HIGH';
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if (riskScore >= 30) return 'MEDIUM';
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return 'LOW';
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}
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// Get risk recommendations
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getRiskRecommendations() {
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const recommendations = [];
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const dailyStats = this.getDailyStats();
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const positionSummary = this.getPositionSummary();
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if (dailyStats.netPnL <= -config.risk.maxDailyLoss * 0.8) {
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recommendations.push('Consider reducing position sizes or stopping trading for the day');
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}
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if (positionSummary.activePositions >= config.trading.maxPositions * 0.8) {
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recommendations.push('Approaching maximum position limit - consider closing some positions');
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}
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if (dailyStats.winRate < 40) {
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recommendations.push('Low win rate - review trading strategy and risk parameters');
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}
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if (positionSummary.totalPnL < 0) {
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recommendations.push('Overall portfolio in loss - consider implementing stricter stop losses');
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}
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return recommendations;
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}
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}
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// Create singleton instance
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const riskManager = new RiskManager();
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export default riskManager;
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Reference in New Issue
Block a user