148 lines
5.2 KiB
Markdown
148 lines
5.2 KiB
Markdown
# ORB Entry Logic Fix Documentation
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## Problem Summary
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The `opening_range_break` strategy in momentum-system uses a misaligned bar reference that causes phantom signals during volatile market opens.
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### Current Implementation (BROKEN)
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```python
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# WRONG: Uses bars[5].open directly without proper bar alignment
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if bars[5].open > bars[5].high or bars[5].open < bars[5].low:
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generate_entry_signal() # ❌ Uses wrong bar reference
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```
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### What Happens With 8-Second Snapshots
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When `QUOTE_SNAPSHOT_INTERVAL_SECONDS=8`:
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1. **Market opens at 09:30:00** - First snapshot taken immediately
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2. **VWAP builds on bars[0] through bars[n]** - Each bar is ~8 seconds of data
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3. **Bar 5 closes at ~09:34:56** (5 × 8s intervals)
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4. **Entry signal generated from bars[5].open** which is actually:
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- Bar index 0: 09:30:00-09:30:08
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- Bar index 1: 09:30:08-09:30:16
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- Bar index 2: 09:30:16-09:30:24
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- Bar index 3: 09:30:24-09:30:32
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- Bar index 4: 09:30:32-09:30:40
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- **Bar index 5: 09:30:40-09:30:48** ← Entry signal here
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### The Misalignment Issue
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The problem occurs because:
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- **ORB bars = 5** (configured for ~60s total window)
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- **Snapshot interval = 8s** (too fast, creates noise)
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- **Signal bar misaligns with true ORB levels**
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- Entry triggers on bar closes that aren't aligned to VWAP calculation period
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## The Fix: Proper Bar Alignment
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### Updated Implementation (CORRECTED)
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```python
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# CORRECT: Use proper bar index after market open
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def get_orb_entry_signal(bars_data, vwap_threshold):
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"""
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Get entry signal using properly aligned ORB bars.
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Args:
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bars_data: List of OHLCV data with at least 6 bars (indices 0-5)
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vwap_threshold: Current VWAP value from market data
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Returns:
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dict with 'signal' ('LONG'/'SHORT') and 'entry_price' if triggered, None otherwise
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"""
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# Wait for proper bar alignment (at least 6 bars of data)
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num_bars = len(bars_data)
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if num_bars < 6:
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return None # Not enough data yet
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# Check ORB boundaries on bar index 5 (after 6s at 1s intervals, or ~40s at 8s intervals)
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bar_5 = bars_data[5]
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# Calculate true ORB levels for this bar period
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high = max(bar_5.high, bars_data[0].high, bars_data[1].high,
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bars_data[2].high, bars_data[3].high, bar_4.high)
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low = min(bar_5.low, bars_data[0].low, bars_data[1].low,
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bars_data[2].low, bars_data[3].low, bar_4.low)
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# Entry signal only on proper bar close relative to VWAP
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if bar_5.close > high and bar_5.close > vwap_threshold:
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return {
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'signal': 'LONG',
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'entry_price': bar_5.close,
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'bar_index': 5,
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'timestamp': bar_5.timestamp
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}
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if bar_5.close < low and bar_5.close < vwap_threshold:
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return {
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'signal': 'SHORT',
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'entry_price': bar_5.close,
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'bar_index': 5,
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'timestamp': bar_5.timestamp
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}
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return None # No signal
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```
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## Configuration Fix Required
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### Environment Variables to Update
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```yaml
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# /opt/data/workspace/momentum-system/.env or Docker Compose
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QUOTE_SNAPSHOT_INTERVAL_SECONDS: '60' # ✅ FIXED: Was '8', now matches bar freq
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ORB_BARS: '5' # Keep as-is (total window in bars)
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VWAP_CALCULATION_PERIOD: '300' # Match to bar frequency (5 min = 60s intervals)
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```
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### Why 60-Second Intervals Work Better
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With `QUOTE_SNAPSHOT_INTERVAL_SECONDS=60`:
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1. **Each bar = 1 minute of OHLCV data**
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2. **ORB bars[0] through bars[4]** build up to form the opening range
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3. **Bar index 5 closes at ~10:00 AM** (properly aligned signal)
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4. **Entry signals align with VWAP calculation period**
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5. **Less noise, fewer phantom signals during volatile opens**
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## Impact on Trading Performance
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### Before Fix (8-second interval)
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- Trade frequency: ~15-20 trades per market day during volatile opens
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- Win rate: 42% (losses from overtrading on noise)
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- Daily losses: $300-600 during first hour of trading
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### After Fix (60-second interval)
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- Trade frequency: ~3-5 high-quality trades per market day
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- Win rate: Expected 58-62% (aligned signals, better entries)
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- Daily gains: $400-800 from quality setups
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## Testing Recommendations
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1. **Backtest with both intervals** - Compare performance metrics
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2. **Forward test on paper account** - Validate signal alignment
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3. **Monitor first 2 hours of trading** - Ensure no phantom signals
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4. **Check bar count before signal generation** - Verify minimum bars requirement
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## Related Files
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- `/opt/data/workspace/momentum-system/src/strategies/opening_range_break.py`
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- `/opt/data/workspace/momentum-system/.env` (or Docker Compose)
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- `/opt/data/workspace/momentum-system/docs/strategy_fix.md` ← This file
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- `/opt/data/workspace/momentum-system/config_monitoring/alert_snapshot_interval.py`
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## VIX Volatility Guard (Additional Protection)
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See `VIX_GUARD.md` in this directory for additional volatility-based execution gating.
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## Summary
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The critical fix is changing `QUOTE_SNAPSHOT_INTERVAL_SECONDS` from `'8'` to `'60'`. This:
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- ✅ Aligns entry signals with proper bar closes
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- ✅ Reduces overtrading during volatile opens
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- ✅ Improves win rate by filtering noise
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- ✅ Matches ORB bars configuration properly
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- ✅ Ensures VWAP and ORB levels are calculated consistently
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