okx-codex-trader/reports/eth-exploration/eth-robust-twap-live-plan.json

{
  "strategy": {
    "name": "ETH Robust Price TWAP 15m",
    "symbol": "ETH-USDT-SWAP",
    "bar": "15m",
    "side": "long_only",
    "leverage": 3,
    "trend_sma": 60,
    "rsi_length": 2,
    "rsi_threshold": 3.0,
    "exit_rsi": 50.0,
    "stop_loss_pct": 0.012,
    "max_hold_bars": 48,
    "entry_offsets": [0.003, 0.006, 0.009],
    "entry_valid_bars": 4,
    "fill_buffer": 0.0,
    "selected_reason": "eth-twap-robustness-10y-summary.md recommends r3x50 because it stayed positive across tested cost models and rolling 1y windows."
  },
  "source_read": [
    "okx_codex_trader/okx_client.py",
    "okx_codex_trader/cli.py",
    "okx_codex_trader/paper_engine.py",
    "freqtrade/README.md",
    "freqtrade/user_data/strategies/BtcRsi2Guarded.py",
    "scripts/search_eth_price_twap_variants.py",
    "scripts/search_eth_twap_robustness_10y.py",
    "scripts/explore_ultrashort.py",
    "reports/eth-exploration/eth-twap-robustness-10y-summary.md",
    "reports/eth-exploration/README.md"
  ],
  "signal_clock": {
    "compute_at": "Every 15m candle boundary after the just-closed candle can be fetched from OKX history-candles with confirm flag 1.",
    "decision_candle": "The latest confirmed 15m candle only.",
    "order_start": "The next 15m candle after the decision candle.",
    "unconfirmed_candle_rule": "Do not use ticker, current market candle, or a history-candles row whose confirm flag is not 1 for indicators."
  },
  "entry_orders": {
    "type": "three post_only isolated long limit orders",
    "base_price": "decision_candle.close",
    "prices": [
      "close * (1 - 0.003)",
      "close * (1 - 0.006)",
      "close * (1 - 0.009)"
    ],
    "size": "planned_margin_usdt / 3 per level, converted with build_contract_size(slice_margin * 3, limit_price, instrument_meta)",
    "validity": "valid through four full 15m bars after the decision candle",
    "cancel_rule": "Cancel all unfilled entry levels when validity ends, when an exit signal appears, when stop is hit, or when any tracked position closes."
  },
  "partial_fills": {
    "avg_entry_price": "sum(fill_price * fill_contracts * ct_val) / sum(fill_contracts * ct_val)",
    "margin_used": "sum(fill_notional_usdt) / leverage",
    "stop_price": "avg_entry_price * (1 - 0.012)",
    "position_start_time": "first fill timestamp",
    "entry_index": "15m bar index containing the first fill"
  },
  "exit_and_stop": {
    "signal_exit": "When confirmed candle RSI2 >= 50.0 or held bars >= 48, cancel remaining entry orders and close tracked long position.",
    "stop_exit": "If last/mark price reaches stop_price before signal exit, close tracked long position immediately.",
    "maker_taker_assumption": "Entry is maker only because post_only is required. Signal exit and stop are taker for the live design because execution priority is flat exposure, matching maker_taker cost accounting.",
    "exit_order_type": "reduce_only market close for signal exit and stop during real-funds test; later maker exit is a separate design."
  },
  "state_file": {
    "identity": ["strategy_id", "symbol", "bar", "td_mode", "pos_side", "leverage"],
    "signal": ["last_confirmed_candle_ts", "last_signal_candle_ts", "indicator_values", "decision"],
    "orders": ["client_order_id", "okx_order_id", "level", "price", "requested_size", "filled_size", "state", "created_at", "expires_at"],
    "position": ["filled_contracts", "filled_notional_usdt", "avg_entry_price", "margin_used", "stop_price", "first_fill_ts", "entry_candle_ts"],
    "risk": ["planned_margin_usdt", "max_margin_usdt", "isolation_tag"],
    "audit": ["updated_at", "events"]
  },
  "minimum_real_funds_test": {
    "account_mode": "OKX isolated hedge mode, ETH-USDT-SWAP long side only.",
    "isolation": "Use a dedicated OKX subaccount or demo first. If using the current account, require no existing ETH-USDT-SWAP long position before the test and tag all orders with a deterministic client order id prefix.",
    "funding": "Use the minimum margin that satisfies OKX minSz after contract conversion for all three slices.",
    "dry_run": "Run signal and order-intent generation for at least one full signal without submitting orders.",
    "live_probe": "Submit one full three-level cycle with tiny margin, wait four bars, verify fills/cancels, then force a manual flat check with okx-account."
  },
  "minimal_implementation_path": [
    "Add a read-only signal command that emits the next-cycle entry plan from confirmed candles.",
    "Add an order-intent command that converts the signal plan into three post_only order payloads without submitting.",
    "Add a state-backed quasi-live runner that can submit/cancel/query orders only after explicit live confirmation.",
    "Add tests with a fake OKX session for candle confirmation, order price/size, partial fill averaging, stop price, expiry, and state persistence.",
    "Keep freqtrade as comparison only; do not implement this live runner inside freqtrade."
  ]
}