Dynamic position sizing

dynamic_position_sizing defaults to false on live and paper bots. Enabling it selects DynamicPositionSizing in the KuCoin futures lifecycle. Both long and short positions are supported. Spot and margin bots reject this setting.

The bot needs 0 < stop_loss < 100, take_profit > 0, trailing_profit > 0, and 0 < trailing_deviation < 100. The trailing parameters configure the fallback. The persisted deal field position_size_pct defaults to 25 and accepts percentages greater than zero through 100.

  • An adverse move of stop_loss percent reduces the current contracts by position_size_pct percent, using a reduce-only market order.
  • A favorable move of take_profit percent adds the same percentage of the current contracts. It checks the futures wallet and required_margin_for_contracts first, using the symbol’s configured leverage.
  • Thresholds initially use the entry price, then reset around each adjustment’s confirmed average fill price. There is at most one adjustment per tick; a price gap does not submit a batch of catch-up orders.
  • Contract adjustments round down to the exchange lot size. When a reduction rounds to zero, the remaining minimum position closes. An increase below one lot falls back to trailing profit.

For example, with 100 contracts, entry 100, stop_loss=5, take_profit=10, and position_size_pct=25, a long reduces 25 contracts at price 95. After a fill at 95, its next thresholds are 90.25 and 104.5; the next adjustment uses the remaining 75 contracts. A short uses the opposite price directions.

When an increase is unaffordable, the bot logs the reason, switches dynamic_position_sizing off, enables trailing, clears fixed take profit, and continues through the normal lifecycle in the same tick. The switch persists until explicitly re-enabled. Paper adjustments simulate fills without a wallet limit; they do not place exchange orders or read live account positions.

While enabled, sizing owns the SL/TP flow and bypasses strategy parameter updates, reversal, full-position stops, and trailing profit. Existing exchange stops are cancelled when sizing starts. Consequently, reductions depend on the streaming service running. Normal strategy management resumes after fallback.

position_size_reference_price persists the threshold anchor. position_size_order persists an adjustment’s client ID and pre-order state before submission. New intents start in prepared; submitting is committed before calling the exchange. A restart discards a prepared intent and restores normal trailing/stop protection, because no submission could have occurred. Legacy intents default to submitting, preserving their uncertain outcome.

For uncertain submissions, lookup remains authoritative. After at least three explicit missing-order responses spanning 60 seconds, the worker retries using the same client ID. The counter and first-missing time survive restarts. Duplicate-ID rejections keep the intent pending for reconciliation; they never count as fills. A successful lookup resets the missing counter. Invalid parameters, rate limits, and server failures do not count as missing orders. Increases recheck margin at the latest price before retrying. If funds are no longer sufficient, normal protection resumes while the uncertain ID is retained for reconciliation, with further submissions disabled. Terminal partial fills use only their actual filled quantity. This follows KuCoin’s client order ID contract.

opening_qty preserves the original fill; current_position_qty and base_order_size track the remaining contracts. Adds update the weighted entry price. Each confirmed adjustment remains in order history, including paper orders. Existing simple price-return reports do not aggregate realized PnL across these partial exits.

Installation

This change spans binbot and the shared pybinbot package. Install or release the updated shared models before starting API/streaming workers, and apply Alembic revision a7b4e9c261f0. The migration adds missing fields, backfills null defaults even when columns already exist, and can be replayed. No existing bot is opted in by the migration.

For local validation against the sibling checkout:

uv pip install --no-deps --reinstall ../pybinbot
UV_NO_SYNC=1 make format
UV_NO_SYNC=1 make test
UV_NO_SYNC=1 make test-streaming test-cronjobs

UV_NO_SYNC keeps the local shared-package build in place during these checks. Production dependency locking must use the released shared package containing these fields.

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