upd

config.ini

@@ -14,7 +14,7 @@ risk_reward_ratio = 1.5
 risk_buffer = 0.0001
 twap_duration = 300
 max_order_slice = 8
-entry_timeout = 60
+entry_timeout = 30
 stop_loss_threshold = 0.5
 
 [portfolio]

core/queries/position.py

@@ -1,6 +1,6 @@
 from dataclasses import dataclass
-from core.models.order import Order
 
+from core.models.order import Order
 from core.models.position import Position
 from core.queries.base import Query
 

executor/market_order_executor.py

@@ -63,9 +63,7 @@ async def _close_position(self, event: PositionCloseRequested):
 
         await self.ask(ClosePosition(current_position))
 
-        order = await self.ask(
-            GetClosePosition(current_position)
-        )
+        order = await self.ask(GetClosePosition(current_position))
 
         current_position = current_position.add_order(order)
 

portfolio/portfolio.py

@@ -115,4 +115,4 @@ async def update_account_size(self, command: UpdateAccountSize):
 
     @command_handler(PortfolioReset)
     async def portfolio_reset(self, _event: PortfolioReset):
-        await self.state.reset_all()
+        await self.state.reset_all()

quant.py

@@ -66,7 +66,7 @@ async def main():
         "bus": {"num_workers": os.cpu_count()},
         "store": {"base_dir": LOG_DIR},
         "generator": {
-            "timeframes": [str(Timeframe.FIVE_MINUTES)],
+            "timeframes": [str(Timeframe.ONE_MINUTE)],
             "blacklist": ["USDCUSDT"],
         },
     }
@@ -79,7 +79,7 @@ async def main():
     exchange_factory = ExchangeFactory(EnvironmentSecretService())
 
     Portfolio(config_service)
-    SmartRouter(exchange_factory)
+    SmartRouter(exchange_factory, config_service)
 
     Backtest(DataSourceFactory(exchange_factory), config_service)
     feed = Feed(EnvironmentSecretService())

sor/_router.py

@@ -8,7 +8,6 @@
 from core.interfaces.abstract_exhange_factory import AbstractExchangeFactory
 from core.models.exchange import ExchangeType
 from core.models.order import Order, OrderStatus
-from core.models.position import PositionSide
 from core.queries.account import GetBalance
 from core.queries.broker import GetSymbol, GetSymbols
 from core.queries.position import GetClosePosition, GetOpenPosition
@@ -46,7 +45,7 @@ def get_open_position(self, query: GetOpenPosition):
     @query_handler(GetClosePosition)
     def get_close_position(self, query: GetClosePosition):
         position = query.position
-        
+
         symbol = position.signal.symbol
 
         trade = self.exchange.fetch_trade(symbol)
@@ -87,15 +86,22 @@ async def open_position(self, command: OpenPosition):
         symbol = position.signal.symbol
         position_side = position.side
         position_size = position.size
+        stop_loss = position.stop_loss_price
+        distance_to_stop_loss = abs(position.entry_price - stop_loss)
 
         min_size = symbol.min_position_size
         max_order_slice = self.config["max_order_slice"]
+        entry_timeout = self.config["entry_timeout"]
+        stop_loss_threshold = self.config["stop_loss_threshold"]
 
         num_orders = min(max(1, int(position_size / min_size)), max_order_slice)
         size = round(position_size / num_orders, symbol.position_precision)
         order_counter = 0
 
         for price in self.entry_price.calculate(symbol, self.exchange):
+            if distance_to_stop_loss > stop_loss_threshold * abs(stop_loss - price):
+                break
+
             order_id = self.exchange.create_limit_order(
                 symbol, position_side, size, price
             )
@@ -108,7 +114,7 @@ async def open_position(self, command: OpenPosition):
             if order_counter >= num_orders:
                 break
 
-            await asyncio.sleep(self.config["entry_timeout"])
+            await asyncio.sleep(entry_timeout)
 
     @command_handler(ClosePosition)
     def close_position(self, command: ClosePosition):

sor/_twap.py

@@ -1,4 +1,5 @@
 import time
+
 import numpy as np
 
 from core.interfaces.abstract_config import AbstractConfig