Fix #219: Use real exchange lot_size (stepSize) and MIN_NOTIONAL for crypto perps - #222
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mwaleedta wants to merge 1 commit into
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Fix #219: Use real exchange lot_size (stepSize) and MIN_NOTIONAL for crypto perps#222mwaleedta wants to merge 1 commit into
mwaleedta wants to merge 1 commit into
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…TIONAL for crypto perps - Add _get_lot_size_and_min_notional() to CryptoDataSource to fetch exchange precision/limits (stepSize and minNotional) from CCXT market data - Pass lot_size and min_notional through format_kline() into bar data - Update _lot_size() in runtime to use bar.lot_size from exchange data - Add _min_notional() helper and validate MIN_NOTIONAL during order execution - Force sub-lot position residuals to zero to prevent dust blocking re-entry - Fix precision in _round_to_lot (1e-12 instead of 1e-8) - Add tests for integer lot sizes, MIN_NOTIONAL rejection, dust elimination, and capital-independent backtest results
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Summary
Fixes issue #219 where the Strategy V2 engine hardcoded crypto lot size to 1e-8 for all crypto symbols, while real Binance perpetuals use integer coin lots (stepSize = '1' for many perps). This caused sub-lot 'dust' to remain after partial fills due to the per-bar liquidity cap, which then blocked symbol re-entry because
position.amount > 0.Changes
1. CryptoDataSource (
backend_api_python/app/data_sources/crypto.py)_get_lot_size_and_min_notional()method that fetchesstepSize(fromprecision.amountorlimits.amount.min) andMIN_NOTIONAL(fromlimits.cost.min) from CCXT market dataget_kline()to includelot_sizeandmin_notionalin each bar viaformat_kline()2. Base Data Source (
backend_api_python/app/data_sources/base.py)format_kline()to accept optionallot_sizeandmin_notionalparameters3. Strategy V2 Data Portal (
backend_api_python/app/services/strategy_v2/data.py)min_notionalto the bar cache extraction so it's available during execution4. Strategy V2 Runtime (
backend_api_python/app/services/strategy_v2/runtime.py)_lot_size()to usebar.lot_sizefrom exchange data (falls back to 1e-8 for backward compatibility)_min_notional()helper to readbar.min_notionalabs(current.amount) <= lot_size) to prevent dust_round_to_lot()precision from 1e-8 to 1e-125. Tests (
backend_api_python/tests/test_strategy_v2_runtime.py)test_crypto_integer_lot_size_no_dust_on_close: Verifies real lot_size prevents dust on closetest_crypto_min_notional_rejection: Verifies MIN_NOTIONAL validation workstest_crypto_position_dust_forced_to_zero: Verifies sub-lot residuals are zeroedtest_backtest_results_independent_of_initial_capital: Verifies the core fix - backtest results no longer depend on initial capitalTesting
All 1419 existing tests pass + 4 new tests for this fix.