Position stuck on close when using trailing close

[deniss-muhla]

Sometimes, the bot fails to close a position when both grid close and trailing close are configured sequentially.
close_trailing_grid_ratio > 0
The issue occurs during live trading, but not in backtests.

Expected Behavior:

1. Grid-based closing.
2. If conditions are met, engage trailing close.

Actual Behavior:

1. Grid-based closing.
2. No trailing close orders. The position remains open ("stuck") even after trailing close conditions are met.

This does not happen in backtests.

Likely cause: during the wait for trailing conditions, the wallet balance slightly increases (due to opposite direction position making profit), which might affect the calculated close size or minimum order constraints.

As soon as the "stuck" position is reduced manually by the minimum amount allowed by the trading platform, the trailing close order is immediately executed.

Environment:
Exchange: Bybit
Mode: Live
Bot config: close_trailing_grid_ratio > 0

[enarjord]

When close_trailing_grid_ratio > 0, bot will do trailing closes first, grid after. By first/after is meant trailing when position is small, grid when position is large.

Therefore expected behavior is

1. if WE / WE_limit < close_trailing_grid_ratio: trailing close
2. if WE / WE_limit >= close_trailing_grid_ratio: grid close

Say pos is 40% full (we / we_limit == 0.4), and close_trailing_grid_ratio = 0.3.
Then bot will make one or more grid orders which if filled would reduce pos to less than 30% full.

Now pos is say 29.9% full. Then bot will make trailing order(s) which if filled would close entire position.

The rust code ensures that there is always a non-zero order qty (at least min entry qty), even if pos is 30.0000001% full.

If balance changes, WE changes, and therefore (WE / WE_limit) would change. Indeed, if pos was closed by a grid order, bringing pos to 29.9% full, the next order would be a trailing order, but if balance is reduced, WE / WE_limit might go back up to 0.301. But then bot would make another grid order, not return a zero order.

Therefore the suggested likely cause given is not correct.

More info is needed to determine what caused the live bot to leave a position without any closing order in the way you describe.

[deniss-muhla]

Thank you for your response and explanation.

I observed this behavior when I started a new configuration. After launching the bot with the updated settings, I closed all positions to start clean.

1. Short position was filled with grid entry orders
2. Then some amount was closed by grid orders
3. Trailing orders for the short position did not executed as expected.
4. I've manually closed a small portion of the position.
5. Trailing order was executed by bot

Since then, looks like everything has been functioning as intended.

This is part of config for short position:

        "short": {
            "close_grid_markup_end": 0.006791,
            "close_grid_markup_start": 0.01887,
            "close_grid_qty_pct": 0.7148,
            "close_trailing_grid_ratio": 0.06052,
            "close_trailing_qty_pct": 0.7754,
            "close_trailing_retracement_pct": 0.002968,
            "close_trailing_threshold_pct": 0.02457,
            "ema_span_0": 613.5,
            "ema_span_1": 320.1,
            "enforce_exposure_limit": true,
            "entry_grid_double_down_factor": 1.262,
            "entry_grid_spacing_pct": 0.008604,
            "entry_grid_spacing_weight": 2.179,
            "entry_initial_ema_dist": -0.06451,
            "entry_initial_qty_pct": 0.01121,
            "entry_trailing_double_down_factor": 2.48,
            "entry_trailing_grid_ratio": -0.04353,
            "entry_trailing_retracement_pct": 0.008988,
            "entry_trailing_threshold_pct": 0.03311,
            "filter_noisiness_rolling_window": 270.1,
            "filter_volume_drop_pct": 0.5038,
            "filter_volume_rolling_window": 1983,
            "n_positions": 1,
            "total_wallet_exposure_limit": 0.999,
            "unstuck_close_pct": 0.03885,
            "unstuck_ema_dist": -0.0894,
            "unstuck_loss_allowance_pct": 0.04926,
            "unstuck_threshold": 0.8609
        }

[deniss-muhla]

Was able to reproduce it again.
Short position:
Qty: -0.34
Entry price: 43.235
Market price: 40.561

Config:

        "short": {
            "close_grid_markup_end": 0.02027,
            "close_grid_markup_start": 0.009503,
            "close_grid_qty_pct": 0.9358,
            "close_trailing_grid_ratio": 0.02618,
            "close_trailing_qty_pct": 0.5488,
            "close_trailing_retracement_pct": 0.004571,
            "close_trailing_threshold_pct": 0.0308,
            "ema_span_0": 1003,
            "ema_span_1": 482.6,
            "enforce_exposure_limit": true,
            "entry_grid_double_down_factor": 0.4552,
            "entry_grid_spacing_pct": 0.002503,
            "entry_grid_spacing_weight": 8.111,
            "entry_initial_ema_dist": -0.08127,
            "entry_initial_qty_pct": 0.005467,
            "entry_trailing_double_down_factor": 4.177,
            "entry_trailing_grid_ratio": -0.08946,
            "entry_trailing_retracement_pct": 0.003666,
            "entry_trailing_threshold_pct": 0.02616,
            "filter_noisiness_rolling_window": 83.62,
            "filter_volume_drop_pct": 0.9545,
            "filter_volume_rolling_window": 2788,
            "n_positions": 1,
            "total_wallet_exposure_limit": 0.9942,
            "unstuck_close_pct": 0.04895,
            "unstuck_ema_dist": -0.08061,
            "unstuck_loss_allowance_pct": 0.08651,
            "unstuck_threshold": 0.8388
        }

[deniss-muhla]

After closing short position by 0.01 trailing was executed and new short position created.