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✨ Complete: Optimize DCA Step Spacing based on Market Volatility #39

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✨ Complete: Optimize DCA Step Spacing based on Market Volatility #39

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4 changes: 4 additions & 0 deletions .jules/bolt.md
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## 2026-08-02 - Динамическое расширение шагов DCA на основе волатильности
**Инсайт:** Во избежание преждевременного срабатывания усредняющих ордеров (DCA) на резких проливах рынка необходимо динамически расширять шаг DCA (делать целевую маржу NextDCAMargin более широкой/отрицательной) на основе рыночной волатильности. В качестве быстрых метрик волатильности отлично подходят текущий спред (CurrentSpread) и историческая волатильность по сигналам (Volatility).
**Действие:** При расчете условий DCA в DcaProcessor масштабировать NextDCAMargin с помощью динамического коэффициента, вычисляемого как отношение текущего спреда/волатильности к базовым значениям (0.2% для спреда и 4.0 для исторической волатильности), с ограничением максимального расширения (до 5.0x).

## 2026-08-01 - Интеграция реального времени и Web Audio API в Web-интерфейсе
**Инсайт:** Автовоспроизведение звуков в современных браузерах блокируется до совершения первого пользовательского действия (клик/интеракция). Для реализации надежного звукового оповещения о сделках необходимо: 1) Динамически генерировать звук через Web Audio API, избавляя проект от внешних аудио-файлов, снижая нагрузку и убирая риск 404 ошибок; 2) Добавлять элементы интеракции (например, кнопку проверки звука "Test Audio") для инициализации и возобновления работы AudioContext со стороны пользователя; 3) Давать возможность отключения звуков в localStorage.
**Действие:** При интеграции аудио-оповещений в Razor-представления использовать чистый ES6 JS с динамическим синтезированием аудио-частот через `OscillatorNode` и `GainNode` на событии клика для обхода блокировок воспроизведения.
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111 changes: 111 additions & 0 deletions IntelliTrader.Trading.Tests/TradingTimedTaskTests.cs
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Expand Up @@ -240,5 +240,116 @@ public void DcaProcessor_ScalesCostBasedOnGlobalRating()
opt.Metadata != null &&
opt.Metadata.BoughtGlobalRating == 0.5)), Times.Once());
}

[Fact]
public void DcaProcessor_WidensSpacingUnderHighSpread()
{
// Arrange
var pair = "BTCUSDT";
var pairConfig = new Mock<IPairConfig>();
pairConfig.Setup(c => c.NextDCAMargin).Returns(-3.0m);
pairConfig.Setup(c => c.BuyEnabled).Returns(true);
pairConfig.Setup(c => c.BuyMultiplier).Returns(1.5m);
pairConfig.Setup(c => c.BuyTrailing).Returns(0m);
pairConfig.Setup(c => c.Rules).Returns(new List<string>());

var safety = new TrailingSafetyOptions
{
MaxTrailingSpread = 0.5m, // baseSpread is MaxTrailingSpread
PauseOnHighSpread = false // We don't pause, we just test widening
};
pairConfig.Setup(c => c.TrailingSafety).Returns(safety);

_tradingService.Setup(s => s.GetPairConfig(pair)).Returns(pairConfig.Object);

var tradingPair = new Mock<ITradingPair>();
tradingPair.Setup(p => p.Pair).Returns(pair);
// CurrentMargin is -4.0%. Base DCA is -3.0%.
// Since CurrentSpread (1.5%) > baseSpread (0.5%), spreadFactor = 1.0 + (1.5 - 0.5) = 2.0.
// effectiveNextDCAMargin = -3.0 * 2.0 = -6.0%.
// Since CurrentMargin (-4.0%) > effective (-6.0%), DCA should NOT trigger yet!
tradingPair.Setup(p => p.CurrentMargin).Returns(-4.0m);
tradingPair.Setup(p => p.CurrentSpread).Returns(1.5m);
tradingPair.Setup(p => p.Cost).Returns(100m);
tradingPair.Setup(p => p.Metadata).Returns(new OrderMetadata());

_account.Setup(a => a.GetTradingPairs(It.IsAny<bool>())).Returns(new List<ITradingPair> { tradingPair.Object });
_tradingService.Setup(s => s.GetPrice(pair, It.IsAny<TradePriceType?>(), It.IsAny<bool>())).Returns(10000m);

_signalsService.Setup(s => s.GetGlobalRating()).Returns((double?)null);
_signalsService.Setup(s => s.GetSignalsByPair(pair)).Returns(new List<ISignal>());

string outMsg = "";
_tradingService.Setup(s => s.CanBuy(It.IsAny<BuyOptions>(), out outMsg)).Returns(true);

var task = new TradingTimedTask(
_loggingService.Object,
_notificationService.Object,
_healthCheckService.Object,
_signalsService.Object,
_orderingService.Object,
_tradingService.Object);

// Act
task.ProcessTradingPairs();

// Assert - Should NOT trigger DCA because spacing is widened to -6.0% and CurrentMargin is -4.0%
_orderingService.Verify(o => o.PlaceBuyOrder(It.IsAny<BuyOptions>()), Times.Never());
}

[Fact]
public void DcaProcessor_WidensSpacingUnderHighSignalVolatility()
{
// Arrange
var pair = "BTCUSDT";
var pairConfig = new Mock<IPairConfig>();
pairConfig.Setup(c => c.NextDCAMargin).Returns(-3.0m);
pairConfig.Setup(c => c.BuyEnabled).Returns(true);
pairConfig.Setup(c => c.BuyMultiplier).Returns(1.5m);
pairConfig.Setup(c => c.BuyTrailing).Returns(0m);
pairConfig.Setup(c => c.Rules).Returns(new List<string>());
pairConfig.Setup(c => c.TrailingSafety).Returns((TrailingSafetyOptions)null!);

_tradingService.Setup(s => s.GetPairConfig(pair)).Returns(pairConfig.Object);

var tradingPair = new Mock<ITradingPair>();
tradingPair.Setup(p => p.Pair).Returns(pair);
// CurrentMargin is -5.0%. Base DCA is -3.0%.
// Signal Volatility is 8.0 (baseline is 4.0).
// signalVolatilityFactor = 1.0 + (8.0 - 4.0) / 4.0 = 2.0.
// effectiveNextDCAMargin = -3.0 * 2.0 = -6.0%.
// Since CurrentMargin (-5.0%) > effective (-6.0%), DCA should NOT trigger yet!
tradingPair.Setup(p => p.CurrentMargin).Returns(-5.0m);
tradingPair.Setup(p => p.CurrentSpread).Returns(0.1m); // low spread, spread factor is 1.0
tradingPair.Setup(p => p.Cost).Returns(100m);
tradingPair.Setup(p => p.Metadata).Returns(new OrderMetadata());

_account.Setup(a => a.GetTradingPairs(It.IsAny<bool>())).Returns(new List<ITradingPair> { tradingPair.Object });
_tradingService.Setup(s => s.GetPrice(pair, It.IsAny<TradePriceType?>(), It.IsAny<bool>())).Returns(10000m);

_signalsService.Setup(s => s.GetGlobalRating()).Returns((double?)null);

var mockSignal = new Mock<ISignal>();
mockSignal.Setup(s => s.Volatility).Returns(8.0);
var signalsList = new List<ISignal> { mockSignal.Object };
_signalsService.Setup(s => s.GetSignalsByPair(pair)).Returns(signalsList);

string outMsg = "";
_tradingService.Setup(s => s.CanBuy(It.IsAny<BuyOptions>(), out outMsg)).Returns(true);

var task = new TradingTimedTask(
_loggingService.Object,
_notificationService.Object,
_healthCheckService.Object,
_signalsService.Object,
_orderingService.Object,
_tradingService.Object);

// Act
task.ProcessTradingPairs();

// Assert - Should NOT trigger DCA because spacing is widened to -6.0% and CurrentMargin is -5.0%
_orderingService.Verify(o => o.PlaceBuyOrder(It.IsAny<BuyOptions>()), Times.Never());
}
}
}
73 changes: 62 additions & 11 deletions IntelliTrader.Trading/Processors/DcaProcessor.cs
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Expand Up @@ -24,22 +24,71 @@ public void Process(ITradingPair tradingPair, IPairConfig pairConfig, Concurrent
if (pairConfig.NextDCAMargin != null && pairConfig.BuyEnabled &&
!trailingBuys.ContainsKey(tradingPair.Pair) && !trailingSells.ContainsKey(tradingPair.Pair))
{
if (tradingPair.CurrentMargin <= pairConfig.NextDCAMargin)
// Enforce MaxTrailingSpread safety checks to prevent buying on high-volatility spikes
var safety = pairConfig.TrailingSafety;
if (safety != null && safety.MaxTrailingSpread > 0 && tradingPair.CurrentSpread > safety.MaxTrailingSpread)
{
// Enforce MaxTrailingSpread safety checks to prevent buying on high-volatility spikes
var safety = pairConfig.TrailingSafety;
if (safety != null && safety.MaxTrailingSpread > 0 && tradingPair.CurrentSpread > safety.MaxTrailingSpread)
if (safety.PauseOnHighSpread)
{
if (safety.PauseOnHighSpread)
if (task.LoggingEnabled)
{
if (task.LoggingEnabled)
{
loggingService.Info($"DCA paused for {tradingPair.FormattedName} due to high spread: {tradingPair.CurrentSpread:0.00}%");
}
return;
loggingService.Info($"DCA paused for {tradingPair.FormattedName} due to high spread: {tradingPair.CurrentSpread:0.00}%");
}
return;
}
}

// Dynamic adjustment of DCA price steps based on CurrentSpread or Average True Range (ATR) / Signal Volatility to prevent premature DCA buys in extremely volatile markets
decimal effectiveNextDCAMargin = pairConfig.NextDCAMargin.Value;
decimal spreadFactor = 1.0m;
if (tradingPair.CurrentSpread > 0)
{
decimal baseSpread = 0.2m;
if (pairConfig.TrailingSafety != null && pairConfig.TrailingSafety.MaxTrailingSpread > 0)
{
baseSpread = pairConfig.TrailingSafety.MaxTrailingSpread;
}
if (tradingPair.CurrentSpread > baseSpread)
{
spreadFactor = 1.0m + (tradingPair.CurrentSpread - baseSpread);
}
}

decimal signalVolatilityFactor = 1.0m;
var signals = signalsService.GetSignalsByPair(tradingPair.Pair);
double maxSignalVolatility = 0;
if (signals != null)
{
foreach (var signal in signals)
{
if (signal.Volatility.HasValue && signal.Volatility.Value > maxSignalVolatility)
{
maxSignalVolatility = signal.Volatility.Value;
}
}
}
if (maxSignalVolatility > 0)
{
decimal baseVolatility = 4.0m;
if ((decimal)maxSignalVolatility > baseVolatility)
{
signalVolatilityFactor = 1.0m + (((decimal)maxSignalVolatility - baseVolatility) / baseVolatility);
}
}

decimal volatilityFactor = Math.Max(spreadFactor, signalVolatilityFactor);
if (volatilityFactor > 5.0m)
{
volatilityFactor = 5.0m;
}

if (volatilityFactor > 1.0m)
{
effectiveNextDCAMargin = effectiveNextDCAMargin * volatilityFactor;
}

if (tradingPair.CurrentMargin <= effectiveNextDCAMargin)
{
// Dynamically scale DCA orders based on the global rating
double? globalRating = signalsService.GetGlobalRating();
decimal scalingFactor = 1.0m;
Expand Down Expand Up @@ -68,7 +117,9 @@ public void Process(ITradingPair tradingPair, IPairConfig pairConfig, Concurrent
if (task.LoggingEnabled)
{
loggingService.Info($"DCA triggered for {tradingPair.FormattedName}. Margin: {tradingPair.CurrentMargin:0.00}, " +
$"Level: {pairConfig.NextDCAMargin:0.00}, Multiplier: {pairConfig.BuyMultiplier}, " +
$"Level (Base): {pairConfig.NextDCAMargin:0.00}, Level (Effective): {effectiveNextDCAMargin:0.00}, " +
$"Volatility Factor: {volatilityFactor:0.00} (Spread: {tradingPair.CurrentSpread:0.00}%, Signal Vol: {maxSignalVolatility:0.00}), " +
$"Multiplier: {pairConfig.BuyMultiplier}, " +
$"Global Rating: {(globalRating.HasValue ? globalRating.Value.ToString("0.00") : "N/A")}, " +
$"Scaling Factor: {scalingFactor:0.00}, Base Cost: {tradingPair.Cost * pairConfig.BuyMultiplier:0.00}, Scaled Cost: {buyOptions.MaxCost:0.00}");
}
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2 changes: 1 addition & 1 deletion magda_agent_system/agent_tasks.json
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Expand Up @@ -320,7 +320,7 @@
},
{
"id": "trading-strategy-dca-scaling",
"status": "todo",
"status": "done",
"area": "trading",
"risk": "medium",
"title": "Optimize DCA Step Spacing based on Market Volatility",
Expand Down