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✨ Complete: Optimize DCA Step Spacing based on Market Volatility #40

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✨ Complete: Optimize DCA Step Spacing based on Market Volatility #40

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113 changes: 113 additions & 0 deletions IntelliTrader.Trading.Tests/TradingTimedTaskTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -240,5 +240,118 @@ public void DcaProcessor_ScalesCostBasedOnGlobalRating()
opt.Metadata != null &&
opt.Metadata.BoughtGlobalRating == 0.5)), Times.Once());
}

[Fact]
public void DcaProcessor_WidensSpacingWithHighSignalVolatility()
{
// 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>());

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

var tradingPair = new Mock<ITradingPair>();
tradingPair.Setup(p => p.Pair).Returns(pair);
// With Volatility = 8.0, multiplier should be 8.0 / 4.0 = 2.0x.
// EffectiveNextDCAMargin = -3.0m * 2.0 = -6.0m.
// Setting CurrentMargin to -5.0m (which would normally trigger DCA because -5.0m <= -3.0m)
// But now with widening, -5.0m is NOT <= -6.0m, so it should NOT trigger.
tradingPair.Setup(p => p.CurrentMargin).Returns(-5.0m);
tradingPair.Setup(p => p.CurrentSpread).Returns(0.1m);
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);

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

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

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

// Act - Step 1: Process when CurrentMargin is -5.0m (should NOT trigger)
task.ProcessTradingPairs();
_orderingService.Verify(o => o.PlaceBuyOrder(It.IsAny<BuyOptions>()), Times.Never());

// Act - Step 2: Drop price further so CurrentMargin is -7.0m (which is <= -6.0m effective margin)
tradingPair.Setup(p => p.CurrentMargin).Returns(-7.0m);
task.ProcessTradingPairs();

// Assert - Should trigger DCA
_orderingService.Verify(o => o.PlaceBuyOrder(It.IsAny<BuyOptions>()), Times.Once());
}

[Fact]
public void DcaProcessor_WidensSpacingWithHighSpread()
{
// 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,
PauseOnHighSpread = false // Do not pause, just let it use spread for widening multiplier
};
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);
// With CurrentSpread = 1.0m and MaxTrailingSpread = 0.5m, multiplier is 1.0 / 0.5 = 2.0x.
// EffectiveNextDCAMargin = -3.0m * 2.0 = -6.0m.
// Setting CurrentMargin to -5.0m (which would normally trigger DCA because -5.0m <= -3.0m)
// But now with widening, -5.0m is NOT <= -6.0m, so it should NOT trigger.
tradingPair.Setup(p => p.CurrentMargin).Returns(-5.0m);
tradingPair.Setup(p => p.CurrentSpread).Returns(1.0m);
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);

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

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

// Act - Step 1: Process when CurrentMargin is -5.0m (should NOT trigger)
task.ProcessTradingPairs();
_orderingService.Verify(o => o.PlaceBuyOrder(It.IsAny<BuyOptions>()), Times.Never());

// Act - Step 2: Drop price further so CurrentMargin is -7.0m (which is <= -6.0m effective margin)
tradingPair.Setup(p => p.CurrentMargin).Returns(-7.0m);
task.ProcessTradingPairs();

// Assert - Should trigger DCA
_orderingService.Verify(o => o.PlaceBuyOrder(It.IsAny<BuyOptions>()), Times.Once());
}
}
}
69 changes: 67 additions & 2 deletions IntelliTrader.Trading/Processors/DcaProcessor.cs
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Expand Up @@ -24,7 +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)
decimal volatilityMultiplier = 1.0m;

// 1. CurrentSpread relative to MaxTrailingSpread or 0.2% base
decimal spreadBase = 0.2m;
if (pairConfig.TrailingSafety?.MaxTrailingSpread > 0)
{
spreadBase = pairConfig.TrailingSafety.MaxTrailingSpread;
}

if (spreadBase > 0)
{
decimal spreadMultiplier = tradingPair.CurrentSpread / spreadBase;
if (spreadMultiplier > volatilityMultiplier)
{
volatilityMultiplier = spreadMultiplier;
}
}

// 2. Signal volatility relative to a 4.0 base
double? maxSignalVolatility = null;
var signals = signalsService.GetSignalsByPair(tradingPair.Pair);
if (signals != null)
{
foreach (var sig in signals)
{
if (sig.Volatility.HasValue && !double.IsNaN(sig.Volatility.Value) && !double.IsInfinity(sig.Volatility.Value))
{
if (maxSignalVolatility == null || sig.Volatility.Value > maxSignalVolatility.Value)
{
maxSignalVolatility = sig.Volatility.Value;
}
}
}
}

if (maxSignalVolatility.HasValue)
{
decimal signalMultiplier = (decimal)(maxSignalVolatility.Value / 4.0);
if (signalMultiplier > volatilityMultiplier)
{
volatilityMultiplier = signalMultiplier;
}
}

// Limit the multiplier to [1.0, 5.0]
if (volatilityMultiplier > 5.0m)
{
volatilityMultiplier = 5.0m;
}
if (volatilityMultiplier < 1.0m)
{
volatilityMultiplier = 1.0m;
}

decimal effectiveNextDCAMargin = pairConfig.NextDCAMargin.Value;
if (effectiveNextDCAMargin < 0)
{
effectiveNextDCAMargin *= volatilityMultiplier;
}
else
{
effectiveNextDCAMargin /= volatilityMultiplier;
}

if (tradingPair.CurrentMargin <= effectiveNextDCAMargin)
{
// Enforce MaxTrailingSpread safety checks to prevent buying on high-volatility spikes
var safety = pairConfig.TrailingSafety;
Expand Down Expand Up @@ -68,7 +132,8 @@ 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: {pairConfig.NextDCAMargin:0.00}, Effective Level: {effectiveNextDCAMargin:0.00} (Volatility Multiplier: {volatilityMultiplier:0.00}x), " +
$"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}");
}
Expand Down
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