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Production hardening: kill switch, circuit breaker, trailing stops, log level, holiday calendar
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Mo Hussain
2026-02-24 15:00:41 -05:00
parent 0e36fe5d23
commit a87152effb
50 changed files with 12849 additions and 752 deletions
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66
src/NT8.Core/Execution/TrailingStopManager.cs
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@@ -98,7 +98,7 @@ namespace NT8.Core.Execution
return null;
}
var newStopPrice = CalculateNewStopPrice(trailingStop.Config.Type, trailingStop.Position, currentPrice);
var newStopPrice = CalculateNewStopPrice(trailingStop.Config.Type, trailingStop.Position, currentPrice, trailingStop.Config);
// Only update if the stop has improved (moved in favorable direction)
var shouldUpdate = false;
@@ -149,55 +149,73 @@ namespace NT8.Core.Execution
/// <param name="type">Type of trailing stop</param>
/// <param name="position">Position information</param>
/// <param name="marketPrice">Current market price</param>
/// <param name="config">Trailing stop configuration</param>
/// <returns>Calculated stop price</returns>
public decimal CalculateNewStopPrice(StopType type, OMS.OrderStatus position, decimal marketPrice)
public decimal CalculateNewStopPrice(StopType type, OMS.OrderStatus position, decimal marketPrice, TrailingStopConfig config = null)
{
if (position == null)
throw new ArgumentNullException("position");
try
{
if (config == null)
{
config = new TrailingStopConfig(StopType.FixedTrailing, 8, 2m, true);
}
switch (type)
{
case StopType.FixedTrailing:
// Fixed trailing: trail by fixed number of ticks from high/low
if (position.Side == OMS.OrderSide.Buy)
{
// Long position: stop trails below highest high
return marketPrice - (position.AverageFillPrice - position.AverageFillPrice); // Simplified
}
else
{
// Short position: stop trails above lowest low
return marketPrice + (position.AverageFillPrice - position.AverageFillPrice); // Simplified
// Tick size is fixed here as a temporary default (ES/NQ standard).
// TODO: provide symbol-specific tick size via configuration.
var tickSize = 0.25m;
var trailingTicks = config.TrailingAmountTicks > 0 ? config.TrailingAmountTicks : 8;
var distance = trailingTicks * tickSize;
return position.Side == OMS.OrderSide.Buy
? marketPrice - distance
: marketPrice + distance;
}
case StopType.ATRTrailing:
// ATR trailing: trail by ATR multiple
return position.Side == OMS.OrderSide.Buy ?
marketPrice - (position.AverageFillPrice * 0.01m) : // Placeholder for ATR calculation
marketPrice + (position.AverageFillPrice * 0.01m); // Placeholder for ATR calculation
{
// ATR is approximated here until live ATR is provided in config/context.
var atrMultiplier = config.AtrMultiplier > 0 ? config.AtrMultiplier : 2.0m;
var estimatedAtr = position.AverageFillPrice * 0.005m;
var distance = atrMultiplier * estimatedAtr;
return position.Side == OMS.OrderSide.Buy
? marketPrice - distance
: marketPrice + distance;
}
case StopType.Chandelier:
// Chandelier: trail from highest high minus ATR * multiplier
return position.Side == OMS.OrderSide.Buy ?
marketPrice - (position.AverageFillPrice * 0.01m) : // Placeholder for chandelier calculation
marketPrice + (position.AverageFillPrice * 0.01m); // Placeholder for chandelier calculation
{
// Chandelier approximation uses the same ATR proxy until bar history is wired in.
var chanMultiplier = config.AtrMultiplier > 0 ? config.AtrMultiplier : 3.0m;
var estimatedAtr = position.AverageFillPrice * 0.005m;
var distance = chanMultiplier * estimatedAtr;
return position.Side == OMS.OrderSide.Buy
? marketPrice - distance
: marketPrice + distance;
}
case StopType.PercentageTrailing:
// Percentage trailing: trail by percentage of current price
var pctTrail = 0.02m; // Default 2% - in real impl this would come from config
var pctTrail = 0.02m;
return position.Side == OMS.OrderSide.Buy ?
marketPrice * (1 - pctTrail) :
marketPrice * (1 + pctTrail);
default:
// Fixed trailing as fallback
var tickSize = 0.25m; // Default tick size - should be configurable
var ticks = 8; // Default trailing ticks - should come from config
var tickSizeFallback = 0.25m;
var ticks = config.TrailingAmountTicks > 0 ? config.TrailingAmountTicks : 8;
return position.Side == OMS.OrderSide.Buy ?
marketPrice - (ticks * tickSize) :
marketPrice + (ticks * tickSize);
marketPrice - (ticks * tickSizeFallback) :
marketPrice + (ticks * tickSizeFallback);
}
}
catch (Exception ex)