refactor(bot): update paper trading models, broker integration, background services, and test project
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using System;
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using System.Data.Common;
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using System.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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using FinlyticCore.Dtos.Bot;
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using FinlyticCore.Dtos.TechnicalAnalysis;
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using FinlyticCore.Dtos.Trading;
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using FinlyticCore.Services;
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using FinlyticBot.Database;
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using FinlyticBot.Database.Entities;
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using FinlyticBot.Services.Alpaca;
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using FinlyticBot.Services.Ledger;
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using FinlyticBot.Settings;
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using Microsoft.EntityFrameworkCore;
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using Microsoft.Extensions.DependencyInjection;
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namespace FinlyticBot.Services.Execution;
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public class BotOrderExecutor : IBotOrderExecutor
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{
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private readonly IServiceScopeFactory _scopeFactory;
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private readonly IAlpacaTradingService _alpacaService;
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private readonly ISyntheticPaperBroker _syntheticBroker;
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private readonly ISettingsService _settingsService;
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private readonly IFinlyticLogger<BotOrderExecutor> _logger;
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public BotOrderExecutor(
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IServiceScopeFactory scopeFactory,
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IAlpacaTradingService alpacaService,
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ISyntheticPaperBroker syntheticBroker,
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ISettingsService settingsService,
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IFinlyticLogger<BotOrderExecutor> logger)
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{
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_scopeFactory = scopeFactory;
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_alpacaService = alpacaService;
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_syntheticBroker = syntheticBroker;
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_settingsService = settingsService;
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_logger = logger;
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}
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public async Task<BotTradeOrderDto?> ExecuteProposalAsync(
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TradeProposalDto proposal,
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BotExecutionVenue? preferredVenue = null,
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decimal? customQuantity = null,
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CancellationToken cancellationToken = default)
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{
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if (proposal == null || string.IsNullOrWhiteSpace(proposal.UnderlyingIsin)) return null;
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using var scope = _scopeFactory.CreateScope();
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var db = scope.ServiceProvider.GetRequiredService<BotDbContext>();
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// 1. Risk Gate: Check active positions count
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int maxPositions = await _settingsService.GetSettingAsync(BotSettingKeys.MaxConcurrentPositions, cancellationToken);
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int activeCount = await db.Positions.CountAsync(
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p => p.Status == BotPositionStatus.Active || p.Status == BotPositionStatus.BreakEvenTriggered,
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cancellationToken);
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if (activeCount >= maxPositions)
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{
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await _logger.LogWarningAsync(BotSettingKeys.BotChannel,
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"[BotExecutor] Risk Gate rejected proposal {ProposalId}: Max concurrent positions ({Max}) reached (Active: {Active}).",
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proposal.ProposalId, maxPositions, activeCount);
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return null;
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}
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// 2. Risk Gate: Calculate dynamic sizing (1-2% Rule based on Account Equity and Stop-Loss distance)
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decimal riskPerTradePct = await _settingsService.GetSettingAsync(BotSettingKeys.RiskPerTradePercent, cancellationToken);
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if (riskPerTradePct <= 0m) riskPerTradePct = 1.0m;
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decimal maxAllocationPct = await _settingsService.GetSettingAsync(BotSettingKeys.MaxPositionAllocationPercent, cancellationToken);
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if (maxAllocationPct <= 0m) maxAllocationPct = 20.0m;
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// Fetch current total account equity (fällt auf das konfigurierte synthetische Startkapital
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// zurück, falls der Ledger-Abruf fehlschlägt - dieselbe Quelle wie SyntheticPaperBroker.GetSummaryAsync).
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decimal totalEquity = await _settingsService.GetSettingAsync(BotSettingKeys.SyntheticBaseCapitalEur, cancellationToken);
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try
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{
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var summary = await _syntheticBroker.GetSummaryAsync(cancellationToken);
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if (summary?.Equity > 0)
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{
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totalEquity = summary.Equity;
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}
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}
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catch (DbException ex)
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{
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await _logger.LogWarningAsync(BotSettingKeys.BotChannel, ex,
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"[BotExecutor] Failed to fetch synthetic ledger summary from database. Falling back to configured base capital ({BaseCapital:F2} €).",
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totalEquity);
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}
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decimal maxRiskCapital = totalEquity * (riskPerTradePct / 100.0m);
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decimal maxPositionCapital = totalEquity * (maxAllocationPct / 100.0m);
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decimal quantity = customQuantity ?? 1m;
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if (!customQuantity.HasValue && proposal.EntryPrice > 0)
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{
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decimal unitRisk = Math.Abs(proposal.EntryPrice - proposal.InvalidationPrice);
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if (unitRisk > 0)
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{
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// Dynamic 1-2% rule: Quantity = MaxRiskCapital / UnitRisk
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decimal calculatedQty = maxRiskCapital / unitRisk;
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// Safeguard: Never allocate more than maxPositionCapital to a single position
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decimal maxQtyByCapital = maxPositionCapital / proposal.EntryPrice;
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if (calculatedQty > maxQtyByCapital)
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{
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calculatedQty = maxQtyByCapital;
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}
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quantity = Math.Max(1m, Math.Round(calculatedQty, 0));
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await _logger.LogInfoAsync(BotSettingKeys.BotChannel,
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"[BotExecutor] Dynamic Sizing (1-2% Rule): Equity={Equity:F2} €, RiskPct={RiskPct}%, MaxRisk={RiskCap:F2} €, UnitRisk={UnitRisk:F2} € => Quantity={Qty} (Max Alloc: {MaxCap:F2} €)",
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totalEquity, riskPerTradePct, maxRiskCapital, unitRisk, quantity, maxPositionCapital);
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}
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else
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{
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// Fallback if stop loss is invalid: allocate 5% of equity
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decimal fallbackCapital = totalEquity * 0.05m;
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quantity = Math.Max(1m, Math.Round(fallbackCapital / proposal.EntryPrice, 0));
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}
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}
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// 3. Venue Decision
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BotExecutionVenue venue = preferredVenue ?? BotExecutionVenue.SyntheticPaperBroker;
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bool isUsEquities = proposal.UnderlyingIsin.StartsWith("US", StringComparison.OrdinalIgnoreCase) && !string.IsNullOrWhiteSpace(proposal.Symbol);
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if (!preferredVenue.HasValue)
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{
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venue = (isUsEquities && _alpacaService.IsConfigured && proposal.SelectedDerivative == null)
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? BotExecutionVenue.AlpacaPaperTrading
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: BotExecutionVenue.SyntheticPaperBroker;
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}
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decimal takeProfit1 = proposal.ExitPlan.TakeProfitStages.Count > 0
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? proposal.ExitPlan.TakeProfitStages[0].TargetPrice
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: (proposal.Direction == SignalDirection.Buy ? proposal.EntryPrice * 1.05m : proposal.EntryPrice * 0.95m);
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decimal takeProfit2 = proposal.ExitPlan.TakeProfitStages.Count > 1
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? proposal.ExitPlan.TakeProfitStages[1].TargetPrice
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: (proposal.Direction == SignalDirection.Buy ? proposal.EntryPrice * 1.10m : proposal.EntryPrice * 0.90m);
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BotPositionEntity positionEntity;
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if (venue == BotExecutionVenue.AlpacaPaperTrading)
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{
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try
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{
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string alpacaOrderId = await _alpacaService.PlaceBracketOrderAsync(
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proposal.Symbol,
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proposal.Direction,
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(int)quantity,
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proposal.EntryPrice,
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proposal.InvalidationPrice,
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takeProfit1,
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cancellationToken
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);
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positionEntity = new BotPositionEntity
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{
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Id = Guid.NewGuid(),
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ProposalId = proposal.ProposalId,
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Isin = proposal.UnderlyingIsin,
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Symbol = proposal.Symbol,
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Venue = BotExecutionVenue.AlpacaPaperTrading,
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AlpacaOrderId = alpacaOrderId,
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ClientOrderId = $"ALP_{Guid.NewGuid():N}",
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Direction = proposal.Direction,
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Quantity = quantity,
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EntryPrice = proposal.EntryPrice,
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AverageBuyIn = proposal.EntryPrice,
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InitialStopLoss = proposal.InvalidationPrice,
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CurrentStopLoss = proposal.InvalidationPrice,
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CurrentPrice = proposal.EntryPrice,
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TakeProfit1 = takeProfit1,
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TakeProfit2 = takeProfit2,
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TotalFeesEur = 0m, // Alpaca zero commission paper
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RealizedPnlEur = 0m,
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Status = BotPositionStatus.Active,
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ExitPlan = proposal.ExitPlan,
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OpenedAtUtc = DateTime.UtcNow,
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LastSyncAtUtc = DateTime.UtcNow
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};
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db.Positions.Add(positionEntity);
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await db.SaveChangesAsync(cancellationToken);
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}
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catch (Exception ex)
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{
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await _logger.LogWarningAsync(BotSettingKeys.BotChannel, ex,
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"[BotExecutor] Alpaca order placement failed for {Symbol}. Falling back to Synthetic Broker.", proposal.Symbol);
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positionEntity = await _syntheticBroker.OpenPositionAsync(proposal, quantity, cancellationToken);
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}
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}
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else
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{
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positionEntity = await _syntheticBroker.OpenPositionAsync(proposal, quantity, cancellationToken);
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}
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return MapEntityToDto(positionEntity);
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}
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public static BotTradeOrderDto MapEntityToDto(BotPositionEntity e)
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{
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decimal unrealizedPnl = 0m;
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if (e.AverageBuyIn > 0 && e.Quantity > 0 && e.CurrentPrice > 0)
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{
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unrealizedPnl = e.Direction == SignalDirection.Buy
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? (e.CurrentPrice - e.AverageBuyIn) * e.Quantity
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: (e.AverageBuyIn - e.CurrentPrice) * e.Quantity;
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}
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return new BotTradeOrderDto(
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OrderId: e.Id,
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ProposalId: e.ProposalId,
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Isin: e.Isin,
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Symbol: e.Symbol,
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Venue: e.Venue,
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AlpacaOrderId: e.AlpacaOrderId,
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ClientOrderId: e.ClientOrderId,
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Direction: e.Direction,
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RequestedQuantity: e.Quantity,
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FilledQuantity: e.Quantity,
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EntryPrice: e.EntryPrice,
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AverageBuyIn: e.AverageBuyIn,
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InitialStopLoss: e.InitialStopLoss,
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CurrentStopLoss: e.CurrentStopLoss,
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TakeProfit1: e.TakeProfit1,
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TakeProfit2: e.TakeProfit2,
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CurrentPrice: e.CurrentPrice,
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UnrealizedPnlEur: Math.Round(unrealizedPnl, 2),
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RealizedPnlEur: e.RealizedPnlEur,
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Status: e.Status,
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ExitPlan: e.ExitPlan,
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CreatedAtUtc: e.OpenedAtUtc,
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FilledAtUtc: e.OpenedAtUtc,
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ClosedAtUtc: e.ClosedAtUtc
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);
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}
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}
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