""" Order Executor Handles order execution with risk management integration. """ import logging from datetime import datetime from typing import Optional, Dict, Any, List from enum import Enum from dataclasses import dataclass from .binance import BinanceConnector from .risk_manager import RiskManager, TradingMode logger = logging.getLogger(__name__) class OrderStatus(Enum): """Order status states.""" PENDING = "pending" FILLED = "filled" CANCELLED = "cancelled" REJECTED = "rejected" FAILED = "failed" @dataclass class Order: """Order record.""" id: str symbol: str side: str type: str amount: float price: Optional[float] status: OrderStatus timestamp: datetime filled_price: Optional[float] = None pnl: Optional[float] = None def to_dict(self) -> Dict: return { 'id': self.id, 'symbol': self.symbol, 'side': self.side, 'type': self.type, 'amount': self.amount, 'price': self.price, 'status': self.status.value, 'timestamp': self.timestamp.isoformat(), 'filled_price': self.filled_price, 'pnl': self.pnl, } class OrderExecutor: """ Executes orders with risk management checks. Integrates with: - BinanceConnector for order placement - RiskManager for position sizing and circuit breaker """ def __init__( self, connector: BinanceConnector, risk_manager: RiskManager, symbol: str = 'BTC/USDT', dry_run: bool = False, ): """ Initialize the order executor. Args: connector: Binance exchange connector risk_manager: Risk management module symbol: Default trading pair dry_run: If True, don't actually place orders """ self.connector = connector self.risk_manager = risk_manager self.symbol = symbol self.dry_run = dry_run # Order history self.orders: List[Order] = [] self.order_counter = 0 def execute_signal( self, action: int, current_price: float, current_balance: float, volatility: Optional[float] = None, ) -> Optional[Order]: """ Execute a trading signal from the agent. Args: action: 0=hold, 1=buy, 2=sell current_price: Current market price current_balance: Current account balance volatility: Optional volatility for position sizing Returns: Order if placed, None otherwise """ # Check if we can trade if not self.risk_manager.can_trade(current_balance): logger.warning("Trading not allowed - circuit breaker or mode restriction") return None # Action 0 = hold if action == 0: # Check for stop loss / take profit on existing position trigger = self.risk_manager.check_stop_loss_take_profit(current_price) if trigger: return self._close_position(current_price, reason=trigger) return None # Check if we need to close existing position first if self.risk_manager.current_position is not None: current_side = self.risk_manager.current_position['side'] # If same direction, do nothing if (action == 1 and current_side == 'buy') or \ (action == 2 and current_side == 'sell'): return None # Close opposite position self._close_position(current_price, reason='signal_reversal') # Calculate position size position_size = self.risk_manager.calculate_position_size( balance=current_balance, price=current_price, volatility=volatility, ) if position_size <= 0: return None # Determine side side = 'buy' if action == 1 else 'sell' # Place order order = self._place_order( side=side, amount=position_size, price=current_price, ) if order and order.status == OrderStatus.FILLED: # Record position with risk manager self.risk_manager.enter_position( side=side, price=order.filled_price or current_price, amount=position_size, ) return order def _place_order( self, side: str, amount: float, price: float, order_type: str = 'market', ) -> Order: """ Place an order on the exchange. Args: side: 'buy' or 'sell' amount: Amount in base currency price: Current price (for market orders, this is reference) order_type: 'market' or 'limit' Returns: Order record """ self.order_counter += 1 order_id = f"order_{self.order_counter}_{datetime.now().strftime('%Y%m%d%H%M%S')}" order = Order( id=order_id, symbol=self.symbol, side=side, type=order_type, amount=amount, price=price, status=OrderStatus.PENDING, timestamp=datetime.now(), ) if self.dry_run: # Simulate filled order.status = OrderStatus.FILLED order.filled_price = price logger.info(f"[DRY RUN] Order simulated: {side} {amount:.6f} @ {price:.2f}") else: # Actual order placement try: if order_type == 'market': result = self.connector.place_market_order( symbol=self.symbol, side=side, amount=amount, ) else: result = self.connector.place_limit_order( symbol=self.symbol, side=side, amount=amount, price=price, ) if result: order.status = OrderStatus.FILLED order.filled_price = float(result.get('price', price)) order.id = result.get('id', order_id) else: order.status = OrderStatus.FAILED except Exception as e: logger.error(f"Order placement failed: {e}") order.status = OrderStatus.FAILED self.orders.append(order) return order def _close_position( self, current_price: float, reason: str = 'signal', ) -> Optional[Order]: """ Close the current position. Args: current_price: Current market price reason: Reason for closing Returns: Close order if placed """ position = self.risk_manager.current_position if position is None: return None # Opposite side to close close_side = 'sell' if position['side'] == 'buy' else 'buy' order = self._place_order( side=close_side, amount=position['amount'], price=current_price, ) if order.status == OrderStatus.FILLED: pnl = self.risk_manager.exit_position( exit_price=order.filled_price or current_price ) order.pnl = pnl logger.info( f"Position closed ({reason}): {close_side} @ " f"{order.filled_price:.2f}, P&L: ${pnl:+.2f}" ) return order def close_all_positions(self, current_price: float) -> List[Order]: """Close all open positions.""" orders = [] if self.risk_manager.current_position: order = self._close_position(current_price, reason='close_all') if order: orders.append(order) return orders def get_order_history(self, limit: int = 50) -> List[Dict]: """Get recent order history.""" return [order.to_dict() for order in self.orders[-limit:]] def get_open_position(self) -> Optional[Dict]: """Get current open position.""" return self.risk_manager.current_position def get_statistics(self) -> Dict[str, Any]: """Get executor statistics.""" filled_orders = [o for o in self.orders if o.status == OrderStatus.FILLED] winning = [o for o in filled_orders if o.pnl and o.pnl > 0] losing = [o for o in filled_orders if o.pnl and o.pnl < 0] total_pnl = sum(o.pnl for o in filled_orders if o.pnl) or 0 return { 'total_orders': len(self.orders), 'filled_orders': len(filled_orders), 'winning_trades': len(winning), 'losing_trades': len(losing), 'win_rate': len(winning) / max(1, len(winning) + len(losing)), 'total_pnl': total_pnl, 'avg_pnl': total_pnl / max(1, len([o for o in filled_orders if o.pnl])), 'dry_run': self.dry_run, }