Always use lowest/highest price for buy/sell loss protection

commands/trade.js

@@ -409,7 +409,7 @@ module.exports = function (program, conf) {
               my_trades.find({selector: so.selector.normalized, time : {$gte : trades[0].time}}).limit(0).toArray(function (err, my_prev_trades) {
                 if (err) throw err
                 if (my_prev_trades.length) {
-                  s.my_prev_trades = my_prev_trades.slice(0).sort(function(a,b){return a.time + a.execution_time > b.time + b.execution_time ? -1 : 1}) // simple copy, most recent executed first
+                  s.my_prev_trades = my_prev_trades.slice(0).sort(function(a,b){return a.time + a.execution_time < b.time + b.execution_time ? -1 : 1}) // simple copy, less recent executed first
                 }
               })
             }

lib/engine.js

@@ -209,7 +209,7 @@ module.exports = function (s, conf) {
       if (s.my_trades.length) {
         last_trade = s.my_trades[s.my_trades.length - 1]
       } else {
-        last_trade = s.my_prev_trades[0]
+        last_trade = s.my_prev_trades[s.my_prev_trades.length - 1]
       }
       s.last_trade_worth = last_trade.type === 'buy' ? (s.period.close - last_trade.price) / last_trade.price : (last_trade.price - s.period.close) / last_trade.price
       if (!s.acted_on_stop) {
@@ -341,7 +341,7 @@ module.exports = function (s, conf) {
   // 8. if not filled after timer, repeat process
   // 9. if filled, record order stats
   function executeSignal (signal, _cb, size, is_reorder, is_taker) {
-    let price, expected_fee, buy_pct, sell_pct
+    let price, expected_fee, buy_pct, sell_pct, trades
     delete s[(signal === 'buy' ? 'sell' : 'buy') + '_order']
     s.last_signal = signal
     if (!is_reorder && s[signal + '_order']) {
@@ -392,6 +392,11 @@ module.exports = function (s, conf) {
           msg('price changed, resizing order, ' + reorder_pct + '% remain')
           size = null
         }
+        if (s.my_prev_trades.length) {
+          trades = _.concat(s.my_prev_trades, s.my_trades)
+        } else {
+          trades = _.cloneDeep(s.my_trades)
+        }
         if (signal === 'buy') {
           price = nextBuyForQuote(s, quote)
 
@@ -406,10 +411,6 @@ module.exports = function (s, conf) {
               let buy_max_as_pct = n(adjusted_buy_max_amt).divide(s.balance.currency).multiply(100).value()
               buy_pct = buy_max_as_pct
             }
-          } else { // account for held assets as %
-            let held_pct = n(s.asset_capital).divide(s.balance.currency).multiply(100).value()
-            let to_buy_pct = n(buy_pct).subtract(held_pct).value()
-            buy_pct = to_buy_pct
           }
           if (so.use_fee_asset) {
             fee = 0
@@ -432,13 +433,8 @@ module.exports = function (s, conf) {
               size = s.product.max_size
             }
             msg('preparing buy order over ' + fa(size) + ' of ' + fc(tradeable_balance) + ' (' + buy_pct + '%) tradeable balance with a expected fee of ' + fc(expected_fee) + ' (' + fee + '%)')
-            if (!s.last_sell_price && s.my_prev_trades.length) {
-              var prev_sells = s.my_prev_trades.filter(trade => trade.type === 'sell')
-              if (prev_sells.length) {
-                s.last_sell_price = prev_sells[0].price
-              }
-            }
-            let buy_loss = s.last_sell_price ? (s.last_sell_price - Number(price)) / s.last_sell_price * -100 : null
+            let latest_low_sell = _.chain(trades).dropRightWhile(['type','buy']).takeRightWhile(['type','sell']).sortBy(['price']).head().value() // return lowest price
+            let buy_loss = latest_low_sell ? (latest_low_sell.price - Number(price)) / latest_low_sell.price * -100 : null
             if (so.max_buy_loss_pct != null && buy_loss > so.max_buy_loss_pct) {
               let err = new Error('\nloss protection')
               err.desc = 'refusing to buy at ' + fc(price) + ', buy loss of ' + pct(buy_loss / 100)
@@ -485,13 +481,8 @@ module.exports = function (s, conf) {
             if (s.product.max_size && Number(size) > Number(s.product.max_size)) {
               size = s.product.max_size
             }
-            if (!s.last_buy_price && s.my_prev_trades.length) {
-              var prev_buys = s.my_prev_trades.filter(trade => trade.type === 'buy')
-              if (prev_buys.length) {
-                s.last_buy_price = prev_buys[0].price
-              }
-            }
-            let sell_loss = s.last_buy_price ? (Number(price) - s.last_buy_price) / s.last_buy_price * -100 : null
+            let latest_high_buy = _.chain(trades).dropRightWhile(['type','sell']).takeRightWhile(['type','buy']).sortBy(['price']).reverse().head().value() // return highest price
+            let sell_loss = latest_high_buy ? (Number(price) - latest_high_buy.price) / latest_high_buy.price * -100 : null
             if (so.max_sell_loss_pct != null && sell_loss > so.max_sell_loss_pct) {
               let err = new Error('\nloss protection')
               err.desc = 'refusing to sell at ' + fc(price) + ', sell loss of ' + pct(sell_loss / 100)
@@ -588,6 +579,12 @@ module.exports = function (s, conf) {
         }
       }
       s.action = 'bought'
+      if (!s.last_sell_price && s.my_prev_trades.length) {
+        let prev_sells = s.my_prev_trades.filter(trade => trade.type === 'sell')
+        if (prev_sells.length) {
+          s.last_sell_price = prev_sells[prev_sells.length - 1].price
+        }
+      }
       let my_trade = {
         order_id: trade.order_id,
         time: trade.time,
@@ -631,6 +628,12 @@ module.exports = function (s, conf) {
         }
       }
       s.action = 'sold'
+      if (!s.last_buy_price && s.my_prev_trades.length) {
+        let prev_buys = s.my_prev_trades.filter(trade => trade.type === 'buy')
+        if (prev_buys.length) {
+          s.last_buy_price = prev_buys[prev_buys.length - 1].price
+        }
+      }
       let my_trade = {
         order_id: trade.order_id,
         time: trade.time,

templates/dashboard.ejs

@@ -423,7 +423,7 @@
                                 <% }); %>
                                 <% } %>
                                 <% if (my_prev_trades) { %>
-                                <% my_prev_trades.sort(function(a,b){return a.time > b.time ? -1 : 1;}).forEach(function(trade){ %>
+                                <% my_prev_trades.reverse().forEach(function(trade){ %>
                                 <tr class="text-muted">
                                     <td><%= trade.type.toUpperCase() %></span></td>
                                     <td><%= new Intl.NumberFormat("en-US", {useGrouping: false, minimumFractionDigits: 8, maximumFractionDigits: 8}).format(trade.size) %> <%= asset.toUpperCase() %></td>