gavindiaz/ares
1
0
Fork 0
mirror of https://github.com/RomySaputraSihananda/ares.git synced 2026-08-16 04:08:08 +00:00
Code Issues Packages Projects Releases Wiki Activity

feat: make ares self-contained workspace with bundled domain/mt5-client crates

Browse Source 
Vendor domain and mt5-client from hermes into crates/ so the repo can
be pushed to GitHub without external path dependencies.

Also includes all bug fixes from autonomous session:
- impulse SL fix (SL at impulse candle low/high, not zone edge)
- pip_size fix for 5-decimal pairs
- fill_ok premature cancellation fix
- TIMEOUT_CANDLES, MIN_FVG_PIPS, MIN_SL_PIPS env vars

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
romysaputrasihananda
2026-06-09 20:03:09 +07:00
co-authored by Claude Sonnet 4.6
parent e0e421ed05
commit a78dd26cf0
20 changed files with 1147 additions and 30 deletions
Download Patch File Download Diff File Expand all files Collapse all files
src/detector.rs
+18 -8
View File
@@ -4,11 +4,12 @@ use rust_decimal::Decimal;
/// A momentum FVG setup pending entry fill.
#[derive(Debug, Clone)]
pub struct PendingFvg {
pub side: Side,
pub zone_high: Decimal,
pub zone_low: Decimal,
pub entry: Decimal, // FVG midpoint — limit order level
pub expiry_idx: usize, // invalidate if not filled by this walk-forward index
pub side: Side,
pub zone_high: Decimal,
pub zone_low: Decimal,
pub entry: Decimal, // FVG midpoint — limit order level
pub impulse_sl: Decimal, // impulse candle's low (long) or high (short) — structural SL
pub expiry_idx: usize, // invalidate if not filled by this walk-forward index
}
impl PendingFvg {
@@ -52,6 +53,7 @@ pub fn momentum_side(c: &Candle, body_pct_min: Decimal, close_pct_min: Decimal)
/// - `impulse` must qualify as a momentum candle
/// - There must be a price gap between `pre` and `post` matching the momentum side
/// (bullish: post.low > pre.high; bearish: post.high < pre.low)
/// - FVG zone must be at least `min_zone_size` wide (rejects micro-gaps)
///
/// `post_idx` is the walk-forward index of `post` (used to set expiry).
pub fn detect(
@@ -60,6 +62,7 @@ pub fn detect(
post: &Candle,
body_pct_min: Decimal,
close_pct_min: Decimal,
min_zone_size: Decimal,
post_idx: usize,
expiry_candles: usize,
) -> Option<PendingFvg> {
@@ -71,17 +74,22 @@ pub fn detect(
_ => return None,
};
if zone_high <= zone_low {
if zone_high - zone_low < min_zone_size {
return None;
}
let entry = (zone_high + zone_low) / Decimal::from(2u32);
let impulse_sl = match side {
Side::Long => impulse.low,
Side::Short => impulse.high,
};
Some(PendingFvg {
side,
zone_high,
zone_low,
entry,
impulse_sl,
expiry_idx: post_idx + expiry_candles,
})
}
@@ -133,7 +141,8 @@ mod tests {
let impulse = candle("1.1010", "1.1110", "1.1005", "1.1100"); // big bull
let post = candle("1.1090", "1.1130", "1.1070", "1.1120"); // low > pre.high
let fvg = detect(&pre, &impulse, &post, "0.6".parse().unwrap(), "0.8".parse().unwrap(), 10, 5);
let min_zone: Decimal = "0.0001".parse().unwrap(); // 1 pip min — zone is 50 pips, passes
let fvg = detect(&pre, &impulse, &post, "0.6".parse().unwrap(), "0.8".parse().unwrap(), min_zone, 10, 5);
assert!(fvg.is_some());
let fvg = fvg.unwrap();
assert_eq!(fvg.side, Side::Long);
@@ -148,7 +157,8 @@ mod tests {
let impulse = candle("1.1050", "1.1110", "1.1040", "1.1100");
let post = candle("1.1090", "1.1130", "1.1055", "1.1120"); // post.low=1.1055 < pre.high=1.1060
let fvg = detect(&pre, &impulse, &post, "0.6".parse().unwrap(), "0.8".parse().unwrap(), 10, 5);
let min_zone: Decimal = "0.0001".parse().unwrap();
let fvg = detect(&pre, &impulse, &post, "0.6".parse().unwrap(), "0.8".parse().unwrap(), min_zone, 10, 5);
assert!(fvg.is_none());
}
}
src/main.rs
+65 -17
View File
@@ -61,13 +61,14 @@ fn fmt_pnl(pnl: Decimal) -> String {
// ── open trade ────────────────────────────────────────────────────────────────
struct OpenTrade {
open_time: String,
side: Side,
entry_level: Decimal,
actual_entry: Decimal,
sl: Decimal,
tp: Decimal,
volume: Decimal,
open_time: String,
side: Side,
entry_level: Decimal,
actual_entry: Decimal,
sl: Decimal,
tp: Decimal,
volume: Decimal,
open_candle_idx: usize,
}
// ── main ──────────────────────────────────────────────────────────────────────
@@ -100,10 +101,16 @@ async fn main() -> anyhow::Result<()> {
.unwrap_or_else(|_| "0.8".to_string()).parse().context("CLOSE_PCT_MIN")?;
let fvg_expiry: usize = std::env::var("FVG_EXPIRY_CANDLES")
.unwrap_or_else(|_| "10".to_string()).parse().context("FVG_EXPIRY_CANDLES")?;
let min_fvg_pips: Decimal = std::env::var("MIN_FVG_PIPS")
.unwrap_or_else(|_| "3".to_string()).parse().context("MIN_FVG_PIPS")?;
let min_sl_pips: Decimal = std::env::var("MIN_SL_PIPS")
.unwrap_or_else(|_| "5".to_string()).parse().context("MIN_SL_PIPS")?;
let sl_buffer: Decimal = std::env::var("SL_BUFFER")
.unwrap_or_else(|_| "0".to_string()).parse().context("SL_BUFFER")?;
let min_rr: Decimal = std::env::var("MIN_RR")
.unwrap_or_else(|_| "1.5".to_string()).parse().context("MIN_RR")?;
let timeout_candles: usize = std::env::var("TIMEOUT_CANDLES")
.unwrap_or_else(|_| "0".to_string()).parse().context("TIMEOUT_CANDLES")?;
let commission_per_lot: Decimal = std::env::var("COMMISSION_PER_LOT")
.unwrap_or_else(|_| "0".to_string()).parse().context("COMMISSION_PER_LOT")?;
@@ -143,6 +150,10 @@ async fn main() -> anyhow::Result<()> {
let spread_price = spread_override.unwrap_or_else(|| Decimal::from(sym_info.spread) * point);
let slippage_price = slippage_points * point;
let profit_is_usd = sym_info.currency_profit.eq_ignore_ascii_case("USD");
// for 5- or 3-decimal pairs (odd digit count) 1 pip = 10 points; for 2/4-decimal = 1 point
let pip_size = if sym_info.digits % 2 == 1 { point * Decimal::from(10u32) } else { point };
let min_zone_size = min_fvg_pips * pip_size;
let min_sl_size = min_sl_pips * pip_size;
let ema_vals: Vec<Option<Decimal>> = if ema_period > 0 {
let closes: Vec<Decimal> = candles.iter().map(|c| c.close).collect();
@@ -177,6 +188,35 @@ async fn main() -> anyhow::Result<()> {
// ── manage open trade ────────────────────────────────────────────────
if let Some(ref t) = open_trade {
// timeout: force close after N candles
if timeout_candles > 0 && (i - t.open_candle_idx) >= timeout_candles {
let t = open_trade.take().unwrap();
let exit_lvl = candle.close;
let exit = actual_exit(t.side, exit_lvl, false, spread_price, slippage_price);
let commission = commission_per_lot * t.volume;
let profit_rate = if profit_is_usd || exit <= Decimal::ZERO { Decimal::ONE } else { Decimal::ONE / exit };
let pnl = (match t.side {
Side::Long => (exit - t.actual_entry) * t.volume * contract_size,
Side::Short => (t.actual_entry - exit) * t.volume * contract_size,
}) * profit_rate - commission;
balance += pnl;
if balance > peak { peak = balance; }
let dd = balance - peak;
if dd < max_drawdown { max_drawdown = dd; }
timeouts += 1;
trades += 1;
total_pnl += pnl;
if pnl >= Decimal::ZERO { wins += 1; sum_wins += pnl; cur_consec = 0; }
else { losses += 1; sum_losses += pnl.abs(); cur_consec += 1; if cur_consec > max_consec { max_consec = cur_consec; } }
println!(
"[{} {}] {} {} entry={} sl={} tp={} vol={:.2} → TIMEOUT exit={} pnl={} bal={:.2}",
t.open_time, tf_str, symbol,
if t.side == Side::Long { "LONG " } else { "SHORT" },
fmt_price(t.actual_entry, prec), fmt_price(t.sl, prec), fmt_price(t.tp, prec), t.volume,
fmt_price(exit, prec), fmt_pnl(pnl), balance,
);
continue;
}
let (sl_hit, tp_hit) = match t.side {
Side::Long => (candle.low <= t.sl, candle.high >= t.tp),
Side::Short => (candle.high >= t.sl, candle.low <= t.tp),
@@ -251,6 +291,7 @@ async fn main() -> anyhow::Result<()> {
// ── expire stale FVG ──────────────────────────────────────────────────
if pending_fvg.as_ref().is_some_and(|f| i >= f.expiry_idx) {
missed_fills += 1;
pending_fvg = None;
}
@@ -270,11 +311,16 @@ async fn main() -> anyhow::Result<()> {
};
if ema_ok {
// SL placed at impulse candle's structural extreme, not zone edge
let sl = match fvg.side {
Side::Long => fvg.zone_low - sl_buffer,
Side::Short => fvg.zone_high + sl_buffer,
Side::Long => fvg.impulse_sl - sl_buffer,
Side::Short => fvg.impulse_sl + sl_buffer,
};
let sl_dist = (fvg.entry - sl).abs();
if sl_dist < min_sl_size {
pending_fvg = None;
continue;
}
let tp = match fvg.side {
Side::Long => fvg.entry + sl_dist * min_rr,
Side::Short => fvg.entry - sl_dist * min_rr,
@@ -285,8 +331,7 @@ async fn main() -> anyhow::Result<()> {
Side::Short => candle.high >= fvg.entry,
};
if !fill_ok {
missed_fills += 1;
pending_fvg = None;
// zone touched but limit order not reached yet — keep FVG pending
continue;
}
@@ -303,13 +348,14 @@ async fn main() -> anyhow::Result<()> {
Some(v) => {
let ae = actual_entry(fvg.side, fvg.entry, spread_price);
open_trade = Some(OpenTrade {
open_time: candle.time.format("%Y-%m-%d %H:%M").to_string(),
side: fvg.side,
entry_level: fvg.entry,
actual_entry: ae,
open_time: candle.time.format("%Y-%m-%d %H:%M").to_string(),
side: fvg.side,
entry_level: fvg.entry,
actual_entry: ae,
sl,
tp,
volume: v,
volume: v,
open_candle_idx: i,
});
pending_fvg = None;
}
@@ -328,6 +374,7 @@ async fn main() -> anyhow::Result<()> {
candle,
body_pct_min,
close_pct_min,
min_zone_size,
i,
fvg_expiry,
);
@@ -375,7 +422,8 @@ async fn main() -> anyhow::Result<()> {
println!("─────────────────────────────────────────");
println!("Ares Scalper: {} {} | {} candles", symbol, tf_str, total);
println!("Strategy : Momentum FVG body≥{body_pct_min} close≥{close_pct_min} expiry={fvg_expiry}c min_rr={min_rr}");
let timeout_str = if timeout_candles > 0 { format!(" timeout={timeout_candles}c") } else { String::new() };
println!("Strategy : Momentum FVG body≥{body_pct_min} close≥{close_pct_min} expiry={fvg_expiry}c min_fvg={min_fvg_pips}pip min_sl={min_sl_pips}pip min_rr={min_rr}{timeout_str}");
println!("Friction : spread={} slip={} commission/lot={}", fmt_price(spread_price, prec), fmt_price(slippage_price, prec), commission_per_lot);
println!("─────────────────────────────────────────");
println!("Trades : {trades}");