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aaron
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@ -87,8 +87,10 @@ ALPHAX_PAPER_PAUSE_AFTER_WEAK_ENTRIES=3
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ALPHAX_PAPER_WEAK_ENTRY_WINDOW_HOURS=6
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ALPHAX_PAPER_WEAK_ENTRY_MIN_MAX_PNL_PCT=1
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ALPHAX_PAPER_GLOBAL_RISK_GATE_ENABLED=1
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ALPHAX_PAPER_GLOBAL_RISK_BLOCK_CRITICAL=1
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ALPHAX_PAPER_GLOBAL_RISK_BLOCK_CRITICAL=0
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ALPHAX_PAPER_GLOBAL_RISK_HIGH_MIN_REC_SCORE=70
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ALPHAX_PAPER_GLOBAL_RISK_CRITICAL_MIN_REC_SCORE=80
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ALPHAX_PAPER_GLOBAL_RISK_MIN_POSITION_MULTIPLIER=0.2
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ALPHAX_PAPER_GLOBAL_RISK_HIGH_DRAWDOWN_PCT=3
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ALPHAX_PAPER_GLOBAL_RISK_CRITICAL_DRAWDOWN_PCT=6
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ALPHAX_PAPER_GLOBAL_RISK_MAX_OPEN_POSITIONS=0
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@ -176,6 +176,7 @@ AlphaX 是一个以 `Python + FastAPI + PostgreSQL + Docker + 静态 HTML` 组
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- 市场环境识别中心，第一版基于市场快照、BTC/ETH 涨跌、山寨涨跌广度、强势/大跌数量和 funding 热度识别 `risk_off`、`btc_main_uptrend`、`altcoin_rotation`、`sideways_chop`、`meme_frenzy`、`unknown`。
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- `app/core/global_risk.py`
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- paper trading 全局风控门禁。单币机会进入开仓或挂单成交前，需要先检查市场环境和账户风险；critical 禁止新开仓，high 只允许高质量机会。
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- 多策略基础设施当前内置 `main_composite_v1`、`box_retest_4h_v1`、`box_retest_1h_v1`。`box_breakout_pullback_4h` / `box_breakout_pullback_1h` 只是触发因子，只有和入场确认、风控、失效条件组成完整剧本后，才作为对应策略信号写入 `strategy_signals`。
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- 确认层也会应用同一市场风控语义：`risk_level=critical` 且 `position_multiplier=0` 时，强势发现仍可记录为观察，但不能输出 `buy_now` 或新挂单动作；已有活跃可交易推荐会被降级为观察并写入 `market_risk_gate`。
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## 5. 数据与状态中心
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@ -14,7 +14,10 @@ def build_parser():
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screener.add_argument("--compact", action="store_true", help="输出紧凑 JSON")
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confirm = subparsers.add_parser("confirm", help="运行确认流程")
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confirm.add_argument("--compact", action="store_true", help="输出紧凑 JSON")
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confirm.add_argument("--compact", action="store_true", help="输出紧凑摘要 JSON")
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confirm.add_argument("--verbose", action="store_true", help="输出完整确认上下文，仅排查时使用")
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confirm.add_argument("--limit", type=int, default=None, help="本轮最多确认的候选数量")
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confirm.add_argument("--max-seconds", type=int, default=None, help="本轮最大运行秒数")
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tracker = subparsers.add_parser("tracker", help="运行价格跟踪")
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@ -61,7 +64,7 @@ def main():
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if args.command == "screener":
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return altcoin_screener.main(compact=args.compact)
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if args.command == "confirm":
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return altcoin_confirm.main(compact=args.compact)
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return altcoin_confirm.main(compact=args.compact, verbose=args.verbose, limit=args.limit, max_seconds=args.max_seconds)
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if args.command == "tracker":
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return price_tracker.main()
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if args.command == "paper-trader":
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@ -181,7 +181,9 @@ def default_paper_trading_config():
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"weak_entry_window_hours": _env_float("ALPHAX_PAPER_WEAK_ENTRY_WINDOW_HOURS", 6.0),
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"weak_entry_min_max_pnl_pct": _env_float("ALPHAX_PAPER_WEAK_ENTRY_MIN_MAX_PNL_PCT", 1.0),
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"global_risk_gate_enabled": _env_bool("ALPHAX_PAPER_GLOBAL_RISK_GATE_ENABLED", True),
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"global_risk_block_critical": _env_bool("ALPHAX_PAPER_GLOBAL_RISK_BLOCK_CRITICAL", True),
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"global_risk_block_critical": _env_bool("ALPHAX_PAPER_GLOBAL_RISK_BLOCK_CRITICAL", False),
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"global_risk_critical_min_rec_score": _env_float("ALPHAX_PAPER_GLOBAL_RISK_CRITICAL_MIN_REC_SCORE", 80.0),
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"global_risk_min_position_multiplier": _env_float("ALPHAX_PAPER_GLOBAL_RISK_MIN_POSITION_MULTIPLIER", 0.2),
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"global_risk_high_min_rec_score": _env_float("ALPHAX_PAPER_GLOBAL_RISK_HIGH_MIN_REC_SCORE", 70.0),
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"global_risk_high_drawdown_pct": _env_float("ALPHAX_PAPER_GLOBAL_RISK_HIGH_DRAWDOWN_PCT", 3.0),
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"global_risk_critical_drawdown_pct": _env_float("ALPHAX_PAPER_GLOBAL_RISK_CRITICAL_DRAWDOWN_PCT", 6.0),
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@ -30,6 +30,7 @@ VALID_FACTOR_ROLES = {
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DEFAULT_FACTOR_ROLES: dict[str, str] = {
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"box_breakout_pullback_4h": TRIGGER,
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"box_breakout_pullback_1h": TRIGGER,
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"vp_fly_1h_current": TRIGGER,
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"volume_consecutive_1h": CONFIRMATION,
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"volume_divergence_1h": RISK,
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@ -22,6 +22,7 @@ DEFAULT_FACTOR_WEIGHTS = {
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"static_accum_4h": 5.0,
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"higher_lows_4h": 2.0,
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"compression_surge_4h": 2.0,
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"box_breakout_pullback_1h": 6.0,
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"box_breakout_pullback_4h": 8.0,
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"ignition_1h_current": 4.0,
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"ignition_4h_current": 3.0,
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@ -60,6 +61,7 @@ FACTOR_GROUPS = {
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"static_accum_4h": "structure",
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"higher_lows_4h": "structure",
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"compression_surge_4h": "structure",
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"box_breakout_pullback_1h": "structure",
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"box_breakout_pullback_4h": "structure",
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"ignition_1h_current": "momentum",
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"ignition_4h_current": "momentum",
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@ -106,6 +108,7 @@ WEIGHT_ALIASES = {
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"volume_consecutive_1h": ("连续3x放量", "连续3x放量(≥3根)", "1H连续放量"),
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"volume_divergence_1h": ("量价背离", "1H量价背离"),
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"static_accum_4h": ("静K蓄力", "4H静K蓄力"),
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"box_breakout_pullback_1h": ("1H箱体突破回踩", "1H底部箱体突破回踩"),
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"box_breakout_pullback_4h": ("4H箱体突破回踩", "4H底部箱体突破回踩"),
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"ignition_1h_current": ("静K动K转折", "静K→动K转折", "1H当前起爆点"),
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"ignition_4h_current": ("静K动K转折", "静K→动K转折", "4H当前起爆点"),
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@ -115,10 +115,13 @@ def evaluate_global_risk(
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concentration = _concentration_snapshot(conn, rec)
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rec_score = _safe_float((rec or {}).get("rec_score") or (rec or {}).get("score"))
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min_score_high = max(0.0, _safe_float(cfg.get("global_risk_high_min_rec_score"), 70.0))
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min_score_critical = max(min_score_high, _safe_float(cfg.get("global_risk_critical_min_rec_score"), 80.0))
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min_position_multiplier = max(0.0, _safe_float(cfg.get("global_risk_min_position_multiplier"), 0.2))
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max_drawdown_critical = max(0.0, _safe_float(cfg.get("global_risk_critical_drawdown_pct"), 6.0))
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max_drawdown_high = max(0.0, _safe_float(cfg.get("global_risk_high_drawdown_pct"), 3.0))
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reasons = list(regime.get("reasons") or [])
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risk_level = str(regime.get("risk_level") or "medium")
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position_multiplier = max(min_position_multiplier, _safe_float(regime.get("position_multiplier"), 1.0))
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allow = True
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decision = "allow"
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@ -126,13 +129,22 @@ def evaluate_global_risk(
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if max_drawdown_critical > 0 and drawdown >= max_drawdown_critical:
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risk_level = "critical"
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reasons.append("账户浮亏已进入 critical 区间，暂停所有新开仓")
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position_multiplier = 0.0
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elif max_drawdown_high > 0 and drawdown >= max_drawdown_high and risk_level not in {"critical"}:
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risk_level = "high"
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reasons.append("账户浮亏偏高，只允许高质量机会")
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if risk_level == "critical" and bool(cfg.get("global_risk_block_critical", True)):
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if risk_level == "critical" and bool(cfg.get("global_risk_block_critical", False)):
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allow = False
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decision = "block_critical"
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elif risk_level == "critical" and drawdown < max_drawdown_critical:
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if rec_score < min_score_critical:
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allow = False
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decision = "block_critical_weak_score"
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reasons.append(f"critical 市场环境下推荐分 {rec_score:.1f} 低于 {min_score_critical:.1f}")
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else:
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decision = "allow_reduced_size"
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reasons.append(f"critical 市场环境不再一刀切，按 {position_multiplier:.0%} 仓位试运行")
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elif risk_level == "high" and rec_score < min_score_high:
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allow = False
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decision = "block_high_weak_score"
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@ -169,9 +181,10 @@ def evaluate_global_risk(
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"allow_new_entries": allow,
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"decision": decision,
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"risk_level": risk_level,
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"position_multiplier": regime.get("position_multiplier", 1.0),
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"position_multiplier": position_multiplier,
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"max_open_positions": max_open_positions,
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"min_score_when_high_risk": min_score_high,
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"min_score_when_critical_risk": min_score_critical,
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"reasons": reasons,
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"market_regime": regime,
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"portfolio": portfolio,
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@ -63,8 +63,8 @@ def classify_market_regime(overview: dict | None) -> dict:
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"label": "风险释放期",
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"confidence": 0.88,
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"risk_level": "critical",
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"position_multiplier": 0.0,
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"reasons": ["主流币或山寨广度明显走弱，新开山寨仓位容易变成接飞刀"],
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"position_multiplier": 0.25,
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"reasons": ["主流币或山寨广度明显走弱，新开山寨仓位必须显著降仓并提高质量门槛"],
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"metrics": metrics,
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}
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@ -22,6 +22,7 @@ SIGNAL_CODE_LABELS = {
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"static_accum_4h": "4H静K蓄力",
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"higher_lows_4h": "4H底部抬高",
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"compression_surge_4h": "4H压缩放量",
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"box_breakout_pullback_1h": "1H箱体突破回踩",
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"box_breakout_pullback_4h": "4H箱体突破回踩",
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"ignition_1h_current": "1H当前起爆点",
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"ignition_4h_current": "4H当前起爆点",
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@ -64,6 +65,7 @@ _PATTERNS = [
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("short_tf_5m_ignition", ("5min极早期启动", "5m极早期启动", "5min 早期启动")),
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("volume_divergence_1h", ("量价背离", "放量但无量价齐飞")),
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("static_accum_4h", ("静K蓄力", "静K旁路")),
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("box_breakout_pullback_1h", ("1H", "箱体", "突破", "回踩")),
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("box_breakout_pullback_4h", ("4H", "箱体", "突破", "回踩")),
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("higher_lows_4h", ("底部抬高",)),
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("compression_surge_4h", ("压缩放量",)),
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@ -6,6 +6,7 @@ from dataclasses import dataclass
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MAIN_COMPOSITE_STRATEGY = "main_composite_v1"
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BOX_RETEST_1H_STRATEGY = "box_retest_1h_v1"
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BOX_RETEST_4H_STRATEGY = "box_retest_4h_v1"
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@ -25,6 +26,12 @@ STRATEGY_DEFINITIONS: dict[str, StrategyDefinition] = {
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description="迁移期兼容主链路，承载现有综合筛选与确认逻辑。",
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mode="paper_enabled",
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),
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BOX_RETEST_1H_STRATEGY: StrategyDefinition(
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strategy_code=BOX_RETEST_1H_STRATEGY,
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strategy_name="1H箱体突破回踩",
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description="小时级底部箱体突破后回踩箱体上沿或EMA承接的早期结构策略。",
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mode="paper_only",
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),
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BOX_RETEST_4H_STRATEGY: StrategyDefinition(
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strategy_code=BOX_RETEST_4H_STRATEGY,
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strategy_name="4H箱体突破回踩",
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19
app/db/migrations/0016_box_retest_1h_strategy.sql
Normal file
19
app/db/migrations/0016_box_retest_1h_strategy.sql
Normal file
@ -0,0 +1,19 @@
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INSERT INTO strategy_catalog (
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strategy_code, strategy_name, strategy_version, status, mode, description, config_json, created_at, updated_at
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) VALUES (
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'box_retest_1h_v1',
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'1H箱体突破回踩',
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'',
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'active',
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'paper_only',
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'小时级底部箱体突破后回踩箱体上沿或EMA承接的早期结构策略。',
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'{}',
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NOW()::TEXT,
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NOW()::TEXT
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)
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ON CONFLICT(strategy_code) DO UPDATE SET
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strategy_name=EXCLUDED.strategy_name,
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status=EXCLUDED.status,
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mode=EXCLUDED.mode,
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description=EXCLUDED.description,
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updated_at=NOW()::TEXT;
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@ -178,6 +178,17 @@ def _global_risk_entry_check(conn, rec: dict, additional_notional: float, config
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return bool(detail.get("allow_new_entries", True)), detail
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def _market_risk_adjusted_notional(base_notional: float, risk_detail: dict | None, config: dict | None = None) -> float:
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cfg = _paper_cfg(config)
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detail = risk_detail if isinstance(risk_detail, dict) else {}
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multiplier = _safe_float(detail.get("position_multiplier"), 1.0)
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if multiplier <= 0:
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multiplier = 1.0
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adjusted = _safe_float(base_notional) * multiplier
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min_notional = max(1.0, _safe_float(cfg.get("min_trade_notional_usdt"), 1.0))
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return round(max(min_notional, adjusted), 8)
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def _trailing_config() -> dict:
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cfg = paper_trading_config()
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return {
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@ -693,9 +704,6 @@ def _open_trade(conn, rec: dict, current_price: float, event_time: str, config:
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"leverage": leverage,
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},
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}
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pause_ok, pause_reason, pause_detail = _portfolio_entry_pause_check(conn, notional, event_time, cfg)
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if not pause_ok:
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return {"opened": False, "skipped": True, "reason": pause_reason, "risk_detail": pause_detail}
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global_ok, global_detail = _global_risk_entry_check(conn, rec, notional, cfg)
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if not global_ok:
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return {
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@ -704,6 +712,19 @@ def _open_trade(conn, rec: dict, current_price: float, event_time: str, config:
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"reason": "global_risk_rejected",
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"risk_detail": global_detail,
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}
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adjusted_notional = _market_risk_adjusted_notional(notional, global_detail, cfg)
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if adjusted_notional != notional:
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plan["market_position_sizing"] = {
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"base_notional_usdt": notional,
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"adjusted_notional_usdt": adjusted_notional,
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"position_multiplier": global_detail.get("position_multiplier"),
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"risk_level": global_detail.get("risk_level"),
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"decision": global_detail.get("decision"),
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}
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notional = adjusted_notional
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pause_ok, pause_reason, pause_detail = _portfolio_entry_pause_check(conn, notional, event_time, cfg)
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if not pause_ok:
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return {"opened": False, "skipped": True, "reason": pause_reason, "risk_detail": pause_detail}
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leverage_ok, leverage_detail = _cumulative_leverage_check(conn, notional, cfg, exclude_rec_id=rec_id)
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if not leverage_ok:
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return {
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@ -1048,20 +1069,33 @@ def _fill_paper_order(conn, order: dict, rec: dict, current_price: float, event_
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max_sl_risk = max(0.0, _safe_float(cfg.get("max_stop_loss_leverage_risk_pct"), 0))
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if max_sl_risk > 0 and sl_risk > max_sl_risk:
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return _cancel_paper_order(conn, order, "stop_loss_leverage_risk_exceeded", event_time)
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pause_ok, pause_reason, pause_detail = _portfolio_entry_pause_check(conn, default_notional_usdt(cfg), event_time, cfg)
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if not pause_ok:
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return _cancel_paper_order(conn, order, pause_reason, event_time)
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global_ok, global_detail = _global_risk_entry_check(conn, rec, default_notional_usdt(cfg), cfg)
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base_notional = _safe_float(order.get("notional_usdt"), default_notional_usdt(cfg))
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global_ok, global_detail = _global_risk_entry_check(conn, rec, base_notional, cfg)
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if not global_ok:
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result = _cancel_paper_order(conn, order, "global_risk_rejected", event_time)
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result["risk_detail"] = global_detail
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return result
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adjusted_notional = _market_risk_adjusted_notional(base_notional, global_detail, cfg)
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pause_ok, pause_reason, pause_detail = _portfolio_entry_pause_check(conn, adjusted_notional, event_time, cfg)
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if not pause_ok:
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return _cancel_paper_order(conn, order, pause_reason, event_time)
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trade_rec = dict(rec)
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plan = _entry_plan(trade_rec)
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plan.setdefault("entry_price", fill_price)
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if adjusted_notional != base_notional:
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plan["market_position_sizing"] = {
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"base_notional_usdt": base_notional,
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"adjusted_notional_usdt": adjusted_notional,
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"position_multiplier": global_detail.get("position_multiplier"),
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"risk_level": global_detail.get("risk_level"),
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"decision": global_detail.get("decision"),
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}
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trade_rec["entry_plan"] = plan
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trade_rec["entry_price"] = fill_price
|
||||
result = _open_trade(conn, trade_rec, fill_price, event_time, config=config, push_open_card=False)
|
||||
# Filled limit orders should keep the notional decided when the order was
|
||||
# created; risk sizing is still applied once inside _open_trade.
|
||||
fill_cfg = {**cfg, "trade_notional_usdt": base_notional}
|
||||
result = _open_trade(conn, trade_rec, fill_price, event_time, config=fill_cfg, push_open_card=False)
|
||||
if result.get("opened"):
|
||||
order = {**order, "fill_price": fill_price}
|
||||
conn.execute(
|
||||
|
||||
@ -61,7 +61,7 @@ DEFAULT_JOBS = [
|
||||
{
|
||||
"job_name": "confirm",
|
||||
"command": "confirm",
|
||||
"args": [],
|
||||
"args": ["--compact", "--limit", "8", "--max-seconds", "90"],
|
||||
"every_seconds": 600,
|
||||
"initial_delay": 40,
|
||||
"lock_group": "recommendation_write",
|
||||
|
||||
@ -38,26 +38,29 @@ def get_screening_history(hours=24, limit=100):
|
||||
return [dict(r) for r in rows]
|
||||
|
||||
|
||||
def get_candidates_for_confirm():
|
||||
def get_candidates_for_confirm(limit=None):
|
||||
"""Read candidates for confirm layer, preferring the latest screening window."""
|
||||
try:
|
||||
_, _, accumulate_threshold = state_score_thresholds()
|
||||
except Exception:
|
||||
accumulate_threshold = 3
|
||||
conn = get_conn()
|
||||
limit = max(1, min(int(limit or 50), 100))
|
||||
rows = conn.execute("""
|
||||
SELECT * FROM coin_state
|
||||
WHERE state IN ('加速', '蓄力')
|
||||
AND score >= %s
|
||||
AND detected_at >= %s
|
||||
ORDER BY detected_at DESC, score DESC
|
||||
""", (accumulate_threshold, (datetime.now() - timedelta(minutes=45)).isoformat())).fetchall()
|
||||
ORDER BY score DESC, detected_at DESC
|
||||
LIMIT %s
|
||||
""", (accumulate_threshold, (datetime.now() - timedelta(minutes=45)).isoformat(), limit)).fetchall()
|
||||
if not rows:
|
||||
rows = conn.execute("""
|
||||
SELECT * FROM coin_state
|
||||
WHERE state IN ('加速', '蓄力')
|
||||
AND score >= 5
|
||||
ORDER BY detected_at DESC, score DESC
|
||||
""").fetchall()
|
||||
ORDER BY score DESC, detected_at DESC
|
||||
LIMIT %s
|
||||
""", (limit,)).fetchall()
|
||||
conn.close()
|
||||
return [dict(r) for r in rows]
|
||||
|
||||
@ -53,7 +53,7 @@ from app.core.market_regime import classify_market_regime
|
||||
from app.db.onchain_db import get_onchain_factor_context
|
||||
from app.db.strategy_signal_queries import insert_strategy_signal
|
||||
from app.services.market_overview import get_crypto_market_overview
|
||||
from app.strategies.box_retest_4h import build_box_retest_signal
|
||||
from app.strategies.box_retest_4h import build_box_retest_1h_signal, build_box_retest_4h_signal
|
||||
from app.config.config_loader import _get_section as _get_cfg_section
|
||||
from app.core.pa_engine import (
|
||||
classify_candles, calc_atr, find_supply_demand_zones,
|
||||
@ -61,26 +61,67 @@ from app.core.pa_engine import (
|
||||
analyze_entry_point, detect_trend_exhaustion,
|
||||
)
|
||||
|
||||
exchange = ccxt.binance({"enableRateLimit": True})
|
||||
def _confirm_cfg_value(key, default):
|
||||
try:
|
||||
return _get_cfg_section("confirm").get(key, default)
|
||||
except Exception:
|
||||
return default
|
||||
|
||||
|
||||
def _confirm_http_timeout() -> float:
|
||||
return float(os.getenv("ALPHAX_CONFIRM_HTTP_TIMEOUT_SECONDS") or _confirm_cfg_value("http_timeout_seconds", 2.5) or 2.5)
|
||||
|
||||
|
||||
def _confirm_kline_timeout_ms() -> int:
|
||||
return int(float(os.getenv("ALPHAX_CONFIRM_KLINE_TIMEOUT_MS") or _confirm_cfg_value("kline_timeout_ms", 4500) or 4500))
|
||||
|
||||
|
||||
exchange = ccxt.binance({"enableRateLimit": True, "timeout": _confirm_kline_timeout_ms()})
|
||||
REPO_ROOT = Path(__file__).resolve().parents[2]
|
||||
|
||||
|
||||
def _strategy_context_for_recommendation(symbol: str, result: dict, entry_plan: dict) -> dict:
|
||||
"""Build and persist a standard strategy signal when an independent strategy matches."""
|
||||
bp_1h = result.get("box_breakout_pullback_1h") or (result.get("market_context") or {}).get("box_breakout_pullback_1h") or {}
|
||||
bp_4h = result.get("box_breakout_pullback_4h") or (result.get("market_context") or {}).get("box_breakout_pullback_4h") or {}
|
||||
if not bp_4h.get("detected"):
|
||||
if not bp_1h.get("detected") and not bp_4h.get("detected"):
|
||||
return {}
|
||||
signal = build_box_retest_signal(
|
||||
symbol=symbol,
|
||||
current_price=result.get("price") or 0,
|
||||
detection=bp_4h,
|
||||
entry_plan=entry_plan or {},
|
||||
market_regime=result.get("market_regime") or (result.get("market_context") or {}).get("market_regime") or {},
|
||||
decision_log=result.get("decision_log") or {},
|
||||
)
|
||||
if not signal:
|
||||
market_regime = result.get("market_regime") or (result.get("market_context") or {}).get("market_regime") or {}
|
||||
signal_candidates = []
|
||||
if bp_1h.get("detected"):
|
||||
signal_candidates.append(
|
||||
build_box_retest_1h_signal(
|
||||
symbol=symbol,
|
||||
current_price=result.get("price") or 0,
|
||||
detection=bp_1h,
|
||||
entry_plan=entry_plan or {},
|
||||
market_regime=market_regime,
|
||||
decision_log=result.get("decision_log") or {},
|
||||
)
|
||||
)
|
||||
if bp_4h.get("detected"):
|
||||
signal_candidates.append(
|
||||
build_box_retest_4h_signal(
|
||||
symbol=symbol,
|
||||
current_price=result.get("price") or 0,
|
||||
detection=bp_4h,
|
||||
entry_plan=entry_plan or {},
|
||||
market_regime=market_regime,
|
||||
decision_log=result.get("decision_log") or {},
|
||||
)
|
||||
)
|
||||
saved_payloads = []
|
||||
for signal in [item for item in signal_candidates if item]:
|
||||
saved_payloads.append(insert_strategy_signal(signal))
|
||||
if not saved_payloads:
|
||||
return {}
|
||||
payload = insert_strategy_signal(signal)
|
||||
def _rank(payload: dict) -> tuple:
|
||||
status_rank = {"candidate": 3, "observe": 2, "risk": 1, "rejected": 0}.get(str(payload.get("signal_status") or payload.get("status") or ""), 0)
|
||||
trigger = payload.get("trigger") or {}
|
||||
age = _safe_age_bars(trigger.get("pullback_age_bars"))
|
||||
return (status_rank, float(payload.get("confidence") or 0), -age, float(payload.get("score") or 0))
|
||||
|
||||
payload = sorted(saved_payloads, key=_rank, reverse=True)[0]
|
||||
return {
|
||||
"strategy_code": payload.get("strategy_code"),
|
||||
"strategy_signal_id": payload.get("strategy_signal_id") or payload.get("id") or 0,
|
||||
@ -91,6 +132,7 @@ def _strategy_context_for_recommendation(symbol: str, result: dict, entry_plan:
|
||||
|
||||
def fetch_klines(symbol, timeframe, limit=200):
|
||||
try:
|
||||
exchange.timeout = _confirm_kline_timeout_ms()
|
||||
ohlcv = exchange.fetch_ohlcv(symbol, timeframe, limit=limit)
|
||||
df = pd.DataFrame(ohlcv, columns=["timestamp", "open", "high", "low", "close", "volume"])
|
||||
df["timestamp"] = pd.to_datetime(df["timestamp"], unit="ms")
|
||||
@ -177,6 +219,15 @@ def _event_time_from_age(df, age_bars: int):
|
||||
return None
|
||||
|
||||
|
||||
def _safe_age_bars(value, default=999) -> int:
|
||||
try:
|
||||
if value is None or value == "":
|
||||
return default
|
||||
return int(value)
|
||||
except Exception:
|
||||
return default
|
||||
|
||||
|
||||
def _is_candidate_fresh(cand, event_times, max_hours=6):
|
||||
"""候选新鲜度：当前触发或新近进入候选池，避免旧结构反复确认。"""
|
||||
now = datetime.now()
|
||||
@ -216,6 +267,7 @@ def _build_trigger_context(
|
||||
stale_1h_ignitions=None,
|
||||
stale_d1_ignitions=None,
|
||||
bp_daily=None,
|
||||
bp_1h=None,
|
||||
bp_4h=None,
|
||||
entry_action="",
|
||||
):
|
||||
@ -242,6 +294,20 @@ def _build_trigger_context(
|
||||
fresh_event_bucket.append({"type": "technical", "label": fresh_event_label, "source": "pa_engine", **e})
|
||||
if (bp_daily or {}).get("detected"):
|
||||
stale.append({"type": "technical_background", "label": "日线底部突破回踩背景", "source": "daily_structure"})
|
||||
if (bp_1h or {}).get("detected"):
|
||||
age = bp_1h.get("pullback_age_bars")
|
||||
item = {
|
||||
"type": "technical",
|
||||
"label": "1H箱体突破回踩",
|
||||
"source": "box_breakout_pullback_1h",
|
||||
"entry_zone": bp_1h.get("entry_zone"),
|
||||
"pullback_kind": bp_1h.get("pullback_kind"),
|
||||
"age_bars": age,
|
||||
}
|
||||
if age is not None and int(age) <= 2:
|
||||
current.append(item)
|
||||
else:
|
||||
stale.append({**item, "type": "technical_background"})
|
||||
if (bp_4h or {}).get("detected"):
|
||||
age = bp_4h.get("pullback_age_bars")
|
||||
item = {
|
||||
@ -292,11 +358,12 @@ def fetch_derivatives_context(symbol):
|
||||
"""
|
||||
futures_sym = _spot_to_futures(symbol)
|
||||
ctx = {}
|
||||
timeout = _confirm_http_timeout()
|
||||
try:
|
||||
# 1. Funding Rate
|
||||
r = requests.get(
|
||||
f"https://fapi.binance.com/fapi/v1/premiumIndex?symbol={futures_sym}",
|
||||
timeout=5,
|
||||
timeout=timeout,
|
||||
)
|
||||
if r.status_code == 200:
|
||||
ctx["funding_rate"] = float(r.json().get("lastFundingRate", 0) or 0)
|
||||
@ -307,7 +374,7 @@ def fetch_derivatives_context(symbol):
|
||||
# 2. Open Interest
|
||||
r = requests.get(
|
||||
f"https://fapi.binance.com/fapi/v1/openInterest?symbol={futures_sym}",
|
||||
timeout=5,
|
||||
timeout=timeout,
|
||||
)
|
||||
if r.status_code == 200:
|
||||
ctx["open_interest"] = float(r.json().get("openInterest", 0) or 0)
|
||||
@ -319,7 +386,7 @@ def fetch_derivatives_context(symbol):
|
||||
r = requests.get(
|
||||
f"https://fapi.binance.com/futures/data/topLongShortAccountRatio"
|
||||
f"?symbol={futures_sym}&period=5m&limit=2",
|
||||
timeout=5,
|
||||
timeout=timeout,
|
||||
)
|
||||
if r.status_code == 200:
|
||||
data = r.json()
|
||||
@ -339,7 +406,7 @@ def fetch_derivatives_context(symbol):
|
||||
r = requests.get(
|
||||
f"https://fapi.binance.com/futures/data/openInterestHist"
|
||||
f"?symbol={futures_sym}&period=1d&limit=2",
|
||||
timeout=5,
|
||||
timeout=timeout,
|
||||
)
|
||||
if r.status_code == 200:
|
||||
hist = r.json()
|
||||
@ -575,26 +642,27 @@ def _decision_log(module: str, decision: str, *, score: float = 0.0, reasons=Non
|
||||
|
||||
|
||||
def _apply_market_risk_entry_gate(entry_plan: dict, signals: list, market_regime: dict) -> tuple[dict, str]:
|
||||
"""Keep high-risk market discoveries visible, but block executable entries."""
|
||||
"""Annotate market risk as position sizing guidance instead of a hard blocker."""
|
||||
plan = dict(entry_plan or {})
|
||||
regime = market_regime if isinstance(market_regime, dict) else {}
|
||||
risk_level = str(regime.get("risk_level") or "").strip().lower()
|
||||
position_multiplier = float(regime.get("position_multiplier") or 0)
|
||||
position_multiplier = max(0.0, float(regime.get("position_multiplier") or 0))
|
||||
current_action = str(plan.get("entry_action") or "").strip()
|
||||
if risk_level != "critical" or position_multiplier > 0:
|
||||
if risk_level != "critical":
|
||||
return plan, ""
|
||||
if current_action not in {"可即刻买入", "即刻买入", "等回踩"}:
|
||||
return plan, ""
|
||||
|
||||
reason = "全市场处于 critical 风险，暂停新开仓与新挂单，保留为观察机会"
|
||||
if position_multiplier <= 0:
|
||||
position_multiplier = 0.25
|
||||
reason = f"全市场处于 critical 风险，不再一刀切拦截，按 {position_multiplier:.0%} 仓位执行并禁止追高"
|
||||
plan["market_risk_gate"] = {
|
||||
"blocked_action": current_action,
|
||||
"final_action": "观察",
|
||||
"blocked_action": "",
|
||||
"final_action": current_action,
|
||||
"risk_level": risk_level,
|
||||
"position_multiplier": position_multiplier,
|
||||
"reasons": [reason],
|
||||
}
|
||||
plan["entry_action"] = "观察"
|
||||
if not any("市场风控闸门" in str(sig) for sig in signals):
|
||||
signals.append(f"⚠️ 市场风控闸门: {reason}")
|
||||
return plan, reason
|
||||
@ -896,8 +964,19 @@ def detect_breakout_pullback(df, timeframe="1d"):
|
||||
return result
|
||||
|
||||
|
||||
def detect_box_breakout_pullback_4h(df, lookback=24, max_wait_bars=8):
|
||||
"""4H底部箱体突破回踩检测。
|
||||
def _detect_box_breakout_pullback(
|
||||
df,
|
||||
*,
|
||||
timeframe_label="4H",
|
||||
lookback=24,
|
||||
max_wait_bars=8,
|
||||
recent_window=36,
|
||||
min_box_width_pct=3,
|
||||
max_box_width_pct=45,
|
||||
breakout_close_multiplier=1.006,
|
||||
min_breakout_vol_ratio=1.15,
|
||||
):
|
||||
"""底部箱体突破回踩检测。
|
||||
|
||||
模式：底部箱体横盘 -> 放量突破箱体上沿 -> 回踩箱体上沿/EMA不破。
|
||||
这类形态比单根K线因子更像完整交易剧本，所以单独输出可复盘证据。
|
||||
@ -926,7 +1005,7 @@ def detect_box_breakout_pullback_4h(df, lookback=24, max_wait_bars=8):
|
||||
work["ema25"] = work["close"].ewm(span=25, adjust=False).mean()
|
||||
|
||||
# 只回看最近一段，避免很久以前的箱体形态反复污染当前确认。
|
||||
start = max(int(lookback), len(work) - 36)
|
||||
start = max(int(lookback), len(work) - int(recent_window))
|
||||
end = len(work) - 1
|
||||
best = None
|
||||
for i in range(start, end):
|
||||
@ -938,16 +1017,16 @@ def detect_box_breakout_pullback_4h(df, lookback=24, max_wait_bars=8):
|
||||
if box_high <= 0 or box_low <= 0:
|
||||
continue
|
||||
box_width_pct = (box_high - box_low) / box_low * 100
|
||||
if box_width_pct <= 3 or box_width_pct > 45:
|
||||
if box_width_pct <= float(min_box_width_pct) or box_width_pct > float(max_box_width_pct):
|
||||
continue
|
||||
|
||||
row = work.iloc[i]
|
||||
vol_median = float(base["volume"].median() or 0)
|
||||
breakout_vol_ratio = float(row["volume"]) / vol_median if vol_median > 0 else 1.0
|
||||
broke_out = (
|
||||
float(row["close"]) > box_high * 1.006
|
||||
float(row["close"]) > box_high * float(breakout_close_multiplier)
|
||||
and float(row["close"]) > float(row["open"])
|
||||
and breakout_vol_ratio >= 1.15
|
||||
and breakout_vol_ratio >= float(min_breakout_vol_ratio)
|
||||
)
|
||||
if not broke_out:
|
||||
continue
|
||||
@ -994,13 +1073,14 @@ def detect_box_breakout_pullback_4h(df, lookback=24, max_wait_bars=8):
|
||||
pullback_parts.append("EMA25")
|
||||
pullback_kind = "+".join(pullback_parts) or "回踩承接"
|
||||
signals.append(
|
||||
"4H箱体突破回踩({} ${:.6g}, 量{:.1f}x)".format(
|
||||
"{}箱体突破回踩({} ${:.6g}, 量{:.1f}x)".format(
|
||||
timeframe_label,
|
||||
pullback_kind,
|
||||
box_high,
|
||||
breakout_vol_ratio,
|
||||
)
|
||||
)
|
||||
signals.append("4H底部箱体宽度{:.1f}%".format(box_width_pct))
|
||||
signals.append("{}底部箱体宽度{:.1f}%".format(timeframe_label, box_width_pct))
|
||||
quality = "优质" if score >= 10 else "良好" if score >= 7 else "可观察" if score >= 5 else "弱"
|
||||
candidate = {
|
||||
"detected": True,
|
||||
@ -1027,6 +1107,40 @@ def detect_box_breakout_pullback_4h(df, lookback=24, max_wait_bars=8):
|
||||
return result
|
||||
|
||||
|
||||
def detect_box_breakout_pullback_4h(df, lookback=24, max_wait_bars=8):
|
||||
"""4H底部箱体突破回踩检测。"""
|
||||
return _detect_box_breakout_pullback(
|
||||
df,
|
||||
timeframe_label="4H",
|
||||
lookback=lookback,
|
||||
max_wait_bars=max_wait_bars,
|
||||
recent_window=36,
|
||||
min_box_width_pct=3,
|
||||
max_box_width_pct=45,
|
||||
breakout_close_multiplier=1.006,
|
||||
min_breakout_vol_ratio=1.15,
|
||||
)
|
||||
|
||||
|
||||
def detect_box_breakout_pullback_1h(df, lookback=36, max_wait_bars=10):
|
||||
"""1H底部箱体突破回踩检测。
|
||||
|
||||
1H 用于捕捉 4H 成型前的更早入场结构，但只作为策略候选证据，
|
||||
仍需后续入场质量和全局风控过滤。
|
||||
"""
|
||||
return _detect_box_breakout_pullback(
|
||||
df,
|
||||
timeframe_label="1H",
|
||||
lookback=lookback,
|
||||
max_wait_bars=max_wait_bars,
|
||||
recent_window=72,
|
||||
min_box_width_pct=2,
|
||||
max_box_width_pct=32,
|
||||
breakout_close_multiplier=1.004,
|
||||
min_breakout_vol_ratio=1.2,
|
||||
)
|
||||
|
||||
|
||||
def confirm_burst(symbol, cand):
|
||||
"""对单个候选做爆发确认（v1.7.0：强共振旁路+量价齐飞双门控）
|
||||
cand: coin_state行数据，含leader_status/detail_json等
|
||||
@ -1135,6 +1249,26 @@ def confirm_burst(symbol, cand):
|
||||
signals.append(f"1H放量({vol_ratio:.1f}x)但无量价齐飞(量价背离)")
|
||||
score += factor_scorer.delta("volume_divergence_1h", 1, evidence="1H放量但价格行为未确认", value=round(vol_ratio, 2))
|
||||
|
||||
# ---- 1H箱体突破回踩：比4H更早的结构候选，仍需买点/风控过滤 ----
|
||||
bp_1h = {"detected": False}
|
||||
try:
|
||||
if h1_df is not None and len(h1_df) >= 60:
|
||||
bp_1h = detect_box_breakout_pullback_1h(h1_df)
|
||||
except Exception:
|
||||
bp_1h = {"detected": False}
|
||||
if bp_1h.get("detected"):
|
||||
signals.extend(bp_1h.get("signals", []))
|
||||
score += factor_scorer.add_existing(
|
||||
"box_breakout_pullback_1h",
|
||||
bp_1h.get("score", 0),
|
||||
evidence="1H底部箱体突破后回踩箱体上沿/均线",
|
||||
value=bp_1h,
|
||||
cap=8,
|
||||
)
|
||||
t = _event_time_from_age(h1_df, bp_1h.get("pullback_age_bars"))
|
||||
if t and _safe_age_bars(bp_1h.get("pullback_age_bars")) <= 2:
|
||||
current_trigger_times.append(t)
|
||||
|
||||
# ---- PA引擎：4H级别（阻力/支撑） ----
|
||||
pa_4h = full_pa_analysis(h4_df, "4h") if h4_df is not None and len(h4_df) >= 30 else {}
|
||||
|
||||
@ -1161,7 +1295,7 @@ def confirm_burst(symbol, cand):
|
||||
cap=10,
|
||||
)
|
||||
t = _event_time_from_age(h4_df, bp_4h.get("pullback_age_bars"))
|
||||
if t and int(bp_4h.get("pullback_age_bars") or 999) <= 1:
|
||||
if t and _safe_age_bars(bp_4h.get("pullback_age_bars")) <= 1:
|
||||
current_trigger_times.append(t)
|
||||
|
||||
# ---- v1.7.7: 日线 PA 全分析（供需区 + 起爆点 + 动K，高权重）----
|
||||
@ -1382,7 +1516,7 @@ def confirm_burst(symbol, cand):
|
||||
current_trigger_ok = bool(current_trigger_times)
|
||||
recent_candidate_ok = (fresh_reason == "fresh_candidate_state")
|
||||
if score >= structure_gate_score and entry_action in ("即刻买入", "可即刻买入") and (current_trigger_ok or recent_candidate_ok):
|
||||
if fresh_reason != "stale_structure_background_only" and (stale_vp_count > 0 or stale_1h_ignitions or stale_d1_ignitions or bp_daily.get("detected") or bp_4h.get("detected")):
|
||||
if fresh_reason != "stale_structure_background_only" and (stale_vp_count > 0 or stale_1h_ignitions or stale_d1_ignitions or bp_daily.get("detected") or bp_1h.get("detected") or bp_4h.get("detected")):
|
||||
signals.append(f"🟡 历史强背景+当前结构确认(score≥{structure_gate_score})")
|
||||
confirmed = True
|
||||
|
||||
@ -1429,7 +1563,10 @@ def confirm_burst(symbol, cand):
|
||||
if bp_daily.get("detected"):
|
||||
aux_count += 1
|
||||
# 4H箱体突破回踩：更接近交易级别的结构形态
|
||||
if bp_4h.get("detected") and int(bp_4h.get("pullback_age_bars") or 999) <= 3:
|
||||
if bp_4h.get("detected") and _safe_age_bars(bp_4h.get("pullback_age_bars")) <= 3:
|
||||
aux_count += 1
|
||||
# 1H箱体突破回踩：更早的小时级结构，只在较新鲜时作为辅助确认
|
||||
if bp_1h.get("detected") and _safe_age_bars(bp_1h.get("pullback_age_bars")) <= 4:
|
||||
aux_count += 1
|
||||
# 舆情共振：screener给了sentiment_bonus
|
||||
sentiment_bonus = cand_detail.get("sentiment_bonus")
|
||||
@ -1648,12 +1785,18 @@ def confirm_burst(symbol, cand):
|
||||
if gated_action == "观察":
|
||||
score += factor_scorer.delta("entry_quality_gate", -2, evidence="买点质量闸门降为观察", value=gate_reasons[:3])
|
||||
|
||||
# 周线突破回踩（需独立拉取）
|
||||
regime_context = _current_market_regime_context()
|
||||
market_regime = regime_context.get("market_regime") or {}
|
||||
market_risk_level = str(market_regime.get("risk_level") or "").strip().lower()
|
||||
|
||||
# 周线突破回踩是高成本兜底证据；全局禁止开仓时不再额外拉取，避免确认链路被低价值 API 拖慢。
|
||||
bp_weekly = {"detected": False}
|
||||
try:
|
||||
w1_df = fetch_klines(symbol, "1w", limit=52)
|
||||
if w1_df is not None and len(w1_df) >= 30:
|
||||
bp_weekly = detect_breakout_pullback(w1_df, "周线")
|
||||
should_fetch_weekly = market_risk_level != "critical" and score >= max(confirm_min_score(), 8)
|
||||
if should_fetch_weekly:
|
||||
w1_df = fetch_klines(symbol, "1w", limit=52)
|
||||
if w1_df is not None and len(w1_df) >= 30:
|
||||
bp_weekly = detect_breakout_pullback(w1_df, "周线")
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
@ -1663,10 +1806,11 @@ def confirm_burst(symbol, cand):
|
||||
|
||||
# ---- 计算上下文数据 ----
|
||||
market_context = compute_market_context(h1_df, price)
|
||||
derivatives_context = fetch_derivatives_context(symbol)
|
||||
derivatives_context = upstream_deriv if isinstance(upstream_deriv, dict) else {}
|
||||
if market_risk_level != "critical" or not derivatives_context:
|
||||
live_derivatives = fetch_derivatives_context(symbol)
|
||||
derivatives_context = {**derivatives_context, **(live_derivatives or {})}
|
||||
sector_context = compute_sector_context(symbol, cand_detail)
|
||||
regime_context = _current_market_regime_context()
|
||||
market_regime = regime_context.get("market_regime") or {}
|
||||
if entry_plan:
|
||||
entry_plan, market_risk_gate_reason = _apply_market_risk_entry_gate(entry_plan, signals, market_regime)
|
||||
if market_risk_gate_reason:
|
||||
@ -1688,10 +1832,12 @@ def confirm_burst(symbol, cand):
|
||||
stale_1h_ignitions=stale_1h_ignitions if 'stale_1h_ignitions' in locals() else [],
|
||||
stale_d1_ignitions=stale_d1_ignitions if 'stale_d1_ignitions' in locals() else [],
|
||||
bp_daily=bp_daily if 'bp_daily' in locals() else {},
|
||||
bp_1h=bp_1h if 'bp_1h' in locals() else {},
|
||||
bp_4h=bp_4h if 'bp_4h' in locals() else {},
|
||||
entry_action=entry_action,
|
||||
)
|
||||
market_context["trigger_context"] = trigger_context
|
||||
market_context["box_breakout_pullback_1h"] = bp_1h if 'bp_1h' in locals() else {}
|
||||
market_context["box_breakout_pullback_4h"] = bp_4h if 'bp_4h' in locals() else {}
|
||||
market_context["factor_score_breakdown"] = factor_score_breakdown
|
||||
market_context["onchain_context"] = onchain_context
|
||||
@ -1738,6 +1884,7 @@ def confirm_burst(symbol, cand):
|
||||
"pa_1h": pa_1h,
|
||||
"pa_15min": pa_15min_result,
|
||||
"pa_1d": pa_1d,
|
||||
"box_breakout_pullback_1h": bp_1h if 'bp_1h' in locals() else {},
|
||||
"box_breakout_pullback_4h": bp_4h if 'bp_4h' in locals() else {},
|
||||
"m30_aligned": m30_aligned,
|
||||
"entry_action": (entry_plan or {}).get("entry_action") or entry_action,
|
||||
@ -1814,29 +1961,63 @@ def _should_publish_watch_candidate(cand, result):
|
||||
return not severe_risk and is_top_gainer and (has_current_trigger or score >= confirm_min_score())
|
||||
|
||||
|
||||
def _emit_output(output, compact: bool = False):
|
||||
if compact:
|
||||
print(json.dumps(output, ensure_ascii=False))
|
||||
else:
|
||||
print(json.dumps(output, ensure_ascii=False, indent=2))
|
||||
def _result_brief(item: dict) -> dict:
|
||||
ctx = item.get("market_context") or {}
|
||||
trigger = item.get("trigger_context") or ctx.get("trigger_context") or {}
|
||||
decision = item.get("decision_log") or ctx.get("decision_log") or {}
|
||||
signal_text = " ".join(str(x) for x in (item.get("signals") or []))
|
||||
inferred_strategy = ""
|
||||
if "1H箱体突破回踩" in signal_text:
|
||||
inferred_strategy = "box_retest_1h_v1"
|
||||
elif "4H箱体突破回踩" in signal_text:
|
||||
inferred_strategy = "box_retest_4h_v1"
|
||||
return {
|
||||
"symbol": item.get("symbol"),
|
||||
"confirmed": bool(item.get("confirmed")),
|
||||
"score": item.get("score"),
|
||||
"action": item.get("entry_action") or (item.get("entry_plan") or {}).get("entry_action") or "",
|
||||
"strategy_code": item.get("strategy_code") or (item.get("strategy_snapshot") or {}).get("strategy_code") or inferred_strategy,
|
||||
"rec_id": item.get("rec_id") or 0,
|
||||
"published_watch": bool(item.get("published_watch")),
|
||||
"trigger_status": trigger.get("trigger_status") or "",
|
||||
"risk_flags": decision.get("risk_flags") or [],
|
||||
"signals": list(item.get("signals") or [])[:6],
|
||||
"state_update": item.get("state_update") or {},
|
||||
}
|
||||
|
||||
|
||||
def main(compact: bool = False):
|
||||
def _summarize_output(output: dict) -> dict:
|
||||
return {
|
||||
"status": output.get("status"),
|
||||
"processed_count": output.get("processed_count", output.get("confirmed_count", 0) + output.get("unconfirmed_count", 0)),
|
||||
"confirmed_count": output.get("confirmed_count", 0),
|
||||
"unconfirmed_count": output.get("unconfirmed_count", 0),
|
||||
"market_risk_downgraded_count": output.get("market_risk_downgraded_count", 0),
|
||||
"stopped_reason": output.get("stopped_reason", ""),
|
||||
"confirmed": [_result_brief(r) for r in output.get("confirmed", [])],
|
||||
"unconfirmed": [_result_brief(r) for r in output.get("unconfirmed", [])],
|
||||
"check_time": output.get("check_time"),
|
||||
}
|
||||
|
||||
|
||||
def _emit_output(output, compact: bool = False, verbose: bool = False):
|
||||
payload = output if verbose else _summarize_output(output)
|
||||
print(json.dumps(payload, ensure_ascii=False, separators=(",", ":") if compact else None, indent=None if compact else 2, default=str))
|
||||
|
||||
|
||||
def main(compact: bool = False, verbose: bool = False, limit: int | None = None, max_seconds: int | None = None):
|
||||
started_at = datetime.now()
|
||||
try:
|
||||
init_db()
|
||||
expire_old_states()
|
||||
regime_context = _current_market_regime_context()
|
||||
market_regime = regime_context.get("market_regime") or {}
|
||||
if str(market_regime.get("risk_level") or "").strip().lower() == "critical" and float(market_regime.get("position_multiplier") or 0) <= 0:
|
||||
downgrade_result = downgrade_active_entries_for_market_risk(
|
||||
"全市场处于 critical 风险，暂停新开仓与新挂单，保留为观察机会",
|
||||
event_time=datetime.now().isoformat(),
|
||||
)
|
||||
else:
|
||||
downgrade_result = {"updated_count": 0}
|
||||
downgrade_result = {"updated_count": 0}
|
||||
|
||||
candidates = get_candidates_for_confirm()
|
||||
confirm_cfg = _get_cfg_section("confirm")
|
||||
candidate_limit = max(1, min(int(limit or confirm_cfg.get("max_candidates_per_run") or 8), 50))
|
||||
run_budget_seconds = max(5, int(max_seconds or confirm_cfg.get("max_run_seconds") or 90))
|
||||
candidates = get_candidates_for_confirm(limit=candidate_limit)
|
||||
|
||||
if not candidates:
|
||||
output = {
|
||||
@ -1845,11 +2026,16 @@ def main(compact: bool = False):
|
||||
"market_risk_downgraded_count": downgrade_result.get("updated_count", 0),
|
||||
"check_time": datetime.now().isoformat(),
|
||||
}
|
||||
_emit_output(output, compact=compact)
|
||||
_emit_output(output, compact=compact, verbose=verbose)
|
||||
return output
|
||||
|
||||
results = []
|
||||
stopped_reason = ""
|
||||
for cand in candidates:
|
||||
elapsed = (datetime.now() - started_at).total_seconds()
|
||||
if elapsed >= run_budget_seconds:
|
||||
stopped_reason = f"max_seconds_exceeded:{run_budget_seconds}"
|
||||
break
|
||||
symbol = cand["symbol"]
|
||||
result = confirm_burst(symbol, cand)
|
||||
|
||||
@ -1990,12 +2176,15 @@ def main(compact: bool = False):
|
||||
"status": "confirmed" if confirmed else "unconfirmed",
|
||||
"confirmed_count": len(confirmed),
|
||||
"unconfirmed_count": len(unconfirmed),
|
||||
"processed_count": len(results),
|
||||
"candidate_limit": candidate_limit,
|
||||
"market_risk_downgraded_count": downgrade_result.get("updated_count", 0),
|
||||
"stopped_reason": stopped_reason,
|
||||
"confirmed": confirmed,
|
||||
"unconfirmed": unconfirmed,
|
||||
"check_time": datetime.now().isoformat(),
|
||||
}
|
||||
_emit_output(output, compact=compact)
|
||||
_emit_output(output, compact=compact, verbose=verbose)
|
||||
return output
|
||||
except Exception as e:
|
||||
finished_at = datetime.now()
|
||||
|
||||
@ -9,7 +9,7 @@ from __future__ import annotations
|
||||
|
||||
from app.core.factor_roles import ENTRY, RISK, TRIGGER
|
||||
from app.core.strategy_contract import StrategySignal, current_strategy_version
|
||||
from app.core.strategy_registry import BOX_RETEST_4H_STRATEGY
|
||||
from app.core.strategy_registry import BOX_RETEST_1H_STRATEGY, BOX_RETEST_4H_STRATEGY
|
||||
|
||||
|
||||
def _safe_float(value, default=0.0) -> float:
|
||||
@ -21,11 +21,26 @@ def _safe_float(value, default=0.0) -> float:
|
||||
return default
|
||||
|
||||
|
||||
def build_box_retest_signal(
|
||||
def _safe_int(value, default=999) -> int:
|
||||
try:
|
||||
if value is None or value == "":
|
||||
return default
|
||||
return int(value)
|
||||
except Exception:
|
||||
return default
|
||||
|
||||
|
||||
def _build_box_retest_signal(
|
||||
*,
|
||||
symbol: str,
|
||||
current_price: float,
|
||||
detection: dict,
|
||||
strategy_code: str,
|
||||
timeframe_label: str,
|
||||
factor_code: str,
|
||||
factor_label: str,
|
||||
max_fresh_age_bars: int,
|
||||
max_chase_distance_pct: float,
|
||||
entry_plan: dict | None = None,
|
||||
market_regime: dict | None = None,
|
||||
decision_log: dict | None = None,
|
||||
@ -38,28 +53,28 @@ def build_box_retest_signal(
|
||||
entry_zone = _safe_float(detection.get("entry_zone"))
|
||||
current_price = _safe_float(current_price)
|
||||
distance_pct = (current_price / entry_zone - 1) * 100 if entry_zone > 0 and current_price > 0 else 0
|
||||
age = int(detection.get("pullback_age_bars") or 999)
|
||||
age = _safe_int(detection.get("pullback_age_bars"))
|
||||
quality = str(detection.get("quality") or "")
|
||||
status = "candidate"
|
||||
reasons = []
|
||||
if risk_level == "critical":
|
||||
status = "observe"
|
||||
reasons.append("全局风险 critical，仅观察")
|
||||
if age > 4:
|
||||
if age > max_fresh_age_bars:
|
||||
status = "observe"
|
||||
reasons.append(f"回踩已过去 {age} 根4H，时效偏旧")
|
||||
reasons.append(f"回踩已过去 {age} 根{timeframe_label}，时效偏旧")
|
||||
if quality not in {"良好", "优质"}:
|
||||
status = "observe"
|
||||
reasons.append(f"形态质量 {quality or '未知'}，不直接交易")
|
||||
if distance_pct > 8:
|
||||
if distance_pct > max_chase_distance_pct:
|
||||
status = "observe"
|
||||
reasons.append(f"当前价离箱体上沿 {distance_pct:.1f}%，禁止追高")
|
||||
|
||||
score = _safe_float(detection.get("score"))
|
||||
confidence = min(100.0, max(0.0, score * 8))
|
||||
trigger = {
|
||||
"factor_code": "box_breakout_pullback_4h",
|
||||
"factor_label": "4H箱体突破回踩",
|
||||
"factor_code": factor_code,
|
||||
"factor_label": factor_label,
|
||||
"box_high": detection.get("box_high"),
|
||||
"box_low": detection.get("box_low"),
|
||||
"entry_zone": detection.get("entry_zone"),
|
||||
@ -77,7 +92,7 @@ def build_box_retest_signal(
|
||||
"risk_reasons": reasons,
|
||||
}
|
||||
return StrategySignal(
|
||||
strategy_code=BOX_RETEST_4H_STRATEGY,
|
||||
strategy_code=strategy_code,
|
||||
strategy_version=current_strategy_version(),
|
||||
symbol=symbol,
|
||||
direction="long",
|
||||
@ -86,7 +101,7 @@ def build_box_retest_signal(
|
||||
score=score,
|
||||
trigger=trigger,
|
||||
factor_roles={
|
||||
"box_breakout_pullback_4h": TRIGGER,
|
||||
factor_code: TRIGGER,
|
||||
"pullback_15m_confirm": ENTRY,
|
||||
"trend_exhaustion": RISK,
|
||||
"false_breakout": RISK,
|
||||
@ -99,3 +114,58 @@ def build_box_retest_signal(
|
||||
"reasons": reasons,
|
||||
},
|
||||
)
|
||||
|
||||
|
||||
def build_box_retest_4h_signal(
|
||||
*,
|
||||
symbol: str,
|
||||
current_price: float,
|
||||
detection: dict,
|
||||
entry_plan: dict | None = None,
|
||||
market_regime: dict | None = None,
|
||||
decision_log: dict | None = None,
|
||||
) -> StrategySignal | None:
|
||||
return _build_box_retest_signal(
|
||||
symbol=symbol,
|
||||
current_price=current_price,
|
||||
detection=detection,
|
||||
strategy_code=BOX_RETEST_4H_STRATEGY,
|
||||
timeframe_label="4H",
|
||||
factor_code="box_breakout_pullback_4h",
|
||||
factor_label="4H箱体突破回踩",
|
||||
max_fresh_age_bars=4,
|
||||
max_chase_distance_pct=8,
|
||||
entry_plan=entry_plan,
|
||||
market_regime=market_regime,
|
||||
decision_log=decision_log,
|
||||
)
|
||||
|
||||
|
||||
def build_box_retest_1h_signal(
|
||||
*,
|
||||
symbol: str,
|
||||
current_price: float,
|
||||
detection: dict,
|
||||
entry_plan: dict | None = None,
|
||||
market_regime: dict | None = None,
|
||||
decision_log: dict | None = None,
|
||||
) -> StrategySignal | None:
|
||||
return _build_box_retest_signal(
|
||||
symbol=symbol,
|
||||
current_price=current_price,
|
||||
detection=detection,
|
||||
strategy_code=BOX_RETEST_1H_STRATEGY,
|
||||
timeframe_label="1H",
|
||||
factor_code="box_breakout_pullback_1h",
|
||||
factor_label="1H箱体突破回踩",
|
||||
max_fresh_age_bars=6,
|
||||
max_chase_distance_pct=6,
|
||||
entry_plan=entry_plan,
|
||||
market_regime=market_regime,
|
||||
decision_log=decision_log,
|
||||
)
|
||||
|
||||
|
||||
def build_box_retest_signal(**kwargs) -> StrategySignal | None:
|
||||
"""Backward-compatible alias for the original 4H strategy builder."""
|
||||
return build_box_retest_4h_signal(**kwargs)
|
||||
|
||||
@ -146,6 +146,10 @@ screener:
|
||||
sector_only_max_state: 蓄力
|
||||
confirm:
|
||||
min_score: 5
|
||||
max_candidates_per_run: 8
|
||||
max_run_seconds: 90
|
||||
http_timeout_seconds: 2.5
|
||||
kline_timeout_ms: 4500
|
||||
state_cooldown_hours: 6
|
||||
volume_breakout_ratio: 2.2
|
||||
strong_resonance_bypass:
|
||||
|
||||
@ -3,7 +3,7 @@ from datetime import datetime, timedelta
|
||||
import pandas as pd
|
||||
|
||||
from app.core.signal_taxonomy import signal_code
|
||||
from app.services.altcoin_confirm import detect_box_breakout_pullback_4h
|
||||
from app.services.altcoin_confirm import detect_box_breakout_pullback_1h, detect_box_breakout_pullback_4h
|
||||
|
||||
|
||||
def _bar(ts, open_, high, low, close, volume):
|
||||
@ -56,3 +56,24 @@ def test_detect_box_breakout_pullback_4h_rejects_failed_retest():
|
||||
result = detect_box_breakout_pullback_4h(df)
|
||||
|
||||
assert result["detected"] is False
|
||||
|
||||
|
||||
def test_detect_box_breakout_pullback_1h_finds_early_retest():
|
||||
start = datetime(2026, 5, 20)
|
||||
rows = []
|
||||
for i in range(44):
|
||||
base = 1.0 + (i % 4) * 0.003
|
||||
rows.append(_bar(start + timedelta(hours=i), base, 1.035 + (i % 3) * 0.001, 0.985 - (i % 2) * 0.001, base + 0.002, 1000 + (i % 5) * 20))
|
||||
|
||||
rows.append(_bar(start + timedelta(hours=44), 1.032, 1.085, 1.03, 1.068, 2300))
|
||||
rows.append(_bar(start + timedelta(hours=45), 1.064, 1.073, 1.034, 1.055, 1700))
|
||||
for i in range(8):
|
||||
close = 1.058 + i * 0.004
|
||||
rows.append(_bar(start + timedelta(hours=46 + i), close - 0.006, close + 0.012, close - 0.018, close, 1250 + i * 25))
|
||||
|
||||
result = detect_box_breakout_pullback_1h(pd.DataFrame(rows))
|
||||
|
||||
assert result["detected"] is True
|
||||
assert result["score"] >= 7
|
||||
assert result["quality"] in {"良好", "优质"}
|
||||
assert signal_code(result["signals"][0]) == "box_breakout_pullback_1h"
|
||||
|
||||
@ -1,7 +1,7 @@
|
||||
from app.services.altcoin_confirm import _apply_market_risk_entry_gate
|
||||
|
||||
|
||||
def test_market_risk_gate_blocks_executable_action_when_critical():
|
||||
def test_market_risk_gate_reduces_size_instead_of_blocking_when_critical():
|
||||
signals = ["15min即刻入场信号"]
|
||||
plan, reason = _apply_market_risk_entry_gate(
|
||||
{"entry_action": "可即刻买入", "entry_price": 1.0},
|
||||
@ -9,9 +9,11 @@ def test_market_risk_gate_blocks_executable_action_when_critical():
|
||||
{"risk_level": "critical", "position_multiplier": 0.0},
|
||||
)
|
||||
|
||||
assert plan["entry_action"] == "观察"
|
||||
assert plan["market_risk_gate"]["blocked_action"] == "可即刻买入"
|
||||
assert "暂停新开仓" in reason
|
||||
assert plan["entry_action"] == "可即刻买入"
|
||||
assert plan["market_risk_gate"]["blocked_action"] == ""
|
||||
assert plan["market_risk_gate"]["final_action"] == "可即刻买入"
|
||||
assert plan["market_risk_gate"]["position_multiplier"] == 0.25
|
||||
assert "仓位" in reason
|
||||
assert any("市场风控闸门" in sig for sig in signals)
|
||||
|
||||
|
||||
|
||||
@ -19,7 +19,7 @@ def _overview(**overrides):
|
||||
return data
|
||||
|
||||
|
||||
def test_market_regime_blocks_clear_risk_off():
|
||||
def test_market_regime_reduces_size_for_clear_risk_off():
|
||||
result = classify_market_regime(
|
||||
_overview(
|
||||
benchmarks={"BTC/USDT": {"change_24h": -3.4}, "ETH/USDT": {"change_24h": -4.2}},
|
||||
@ -30,7 +30,7 @@ def test_market_regime_blocks_clear_risk_off():
|
||||
|
||||
assert result["regime"] == "risk_off"
|
||||
assert result["risk_level"] == "critical"
|
||||
assert result["position_multiplier"] == 0
|
||||
assert result["position_multiplier"] == 0.25
|
||||
|
||||
|
||||
def test_market_regime_detects_altcoin_rotation():
|
||||
|
||||
@ -1,13 +1,15 @@
|
||||
from app.core.factor_roles import RISK, TRIGGER, factor_role, factor_roles_for_codes
|
||||
from app.core.strategy_contract import StrategySignal, default_main_composite_signal
|
||||
from app.core.strategy_registry import BOX_RETEST_4H_STRATEGY, MAIN_COMPOSITE_STRATEGY, strategy_label
|
||||
from app.core.strategy_registry import BOX_RETEST_1H_STRATEGY, BOX_RETEST_4H_STRATEGY, MAIN_COMPOSITE_STRATEGY, strategy_label
|
||||
from app.db.recommendation_commands import create_recommendation
|
||||
from app.db.strategy_signal_queries import insert_strategy_signal
|
||||
from app.db.paper_trading import _open_trade, _order_payload_from_rec
|
||||
from app.strategies.box_retest_4h import build_box_retest_1h_signal
|
||||
|
||||
|
||||
def test_factor_roles_never_promote_unknown_to_trigger():
|
||||
assert factor_role("box_breakout_pullback_4h") == TRIGGER
|
||||
assert factor_role("box_breakout_pullback_1h") == TRIGGER
|
||||
assert factor_role("false_breakout") == RISK
|
||||
assert factor_role("new_unknown_factor") == "unknown"
|
||||
assert factor_roles_for_codes(["box_breakout_pullback_4h", "new_unknown_factor"]) == {
|
||||
@ -27,6 +29,7 @@ def test_default_main_composite_strategy_signal_is_stable():
|
||||
assert signal["strategy_code"] == MAIN_COMPOSITE_STRATEGY
|
||||
assert signal["strategy_name"] == "综合确认主链路"
|
||||
assert signal["factor_roles"]["vp_fly_1h_current"] == "trigger"
|
||||
assert strategy_label(BOX_RETEST_1H_STRATEGY) == "1H箱体突破回踩"
|
||||
|
||||
|
||||
def test_strategy_signal_insert_and_recommendation_lineage(pg_conn):
|
||||
@ -63,6 +66,27 @@ def test_strategy_signal_insert_and_recommendation_lineage(pg_conn):
|
||||
assert "box_breakout_pullback_4h" in row["factor_roles_json"]
|
||||
|
||||
|
||||
def test_box_retest_strategy_preserves_zero_age_as_fresh():
|
||||
signal = build_box_retest_1h_signal(
|
||||
symbol="FRESH/USDT",
|
||||
current_price=1.01,
|
||||
detection={
|
||||
"detected": True,
|
||||
"score": 10,
|
||||
"entry_zone": 1.0,
|
||||
"stop_level": 0.94,
|
||||
"quality": "优质",
|
||||
"pullback_age_bars": 0,
|
||||
},
|
||||
market_regime={"regime": "altcoin_rotation", "risk_level": "medium"},
|
||||
)
|
||||
payload = signal.to_json_dict()
|
||||
|
||||
assert payload["status"] == "candidate"
|
||||
assert payload["trigger"]["pullback_age_bars"] == 0
|
||||
assert payload["risk_plan"]["risk_reasons"] == []
|
||||
|
||||
|
||||
def test_paper_order_and_trade_inherit_strategy_lineage(pg_conn):
|
||||
rec = {
|
||||
"id": 1,
|
||||
|
||||
@ -527,9 +527,10 @@ def test_buy_now_rejects_when_cumulative_leverage_exceeded(monkeypatch):
|
||||
assert list_paper_trades(status="open")["total"] == 1
|
||||
|
||||
|
||||
def test_buy_now_rejects_when_global_market_risk_is_critical(monkeypatch):
|
||||
def test_buy_now_uses_reduced_size_when_global_market_risk_is_critical(monkeypatch):
|
||||
monkeypatch.setenv("ALPHAX_PAPER_TRADING_ENABLED", "1")
|
||||
monkeypatch.setenv("ALPHAX_PAPER_GLOBAL_RISK_GATE_ENABLED", "1")
|
||||
monkeypatch.setenv("ALPHAX_PAPER_GLOBAL_RISK_BLOCK_CRITICAL", "0")
|
||||
monkeypatch.setenv("ALPHAX_PAPER_ENTRY_GATE_ENABLED", "0")
|
||||
monkeypatch.setenv("ALPHAX_PAPER_MAX_ACCOUNT_DRAWDOWN_PAUSE_PCT", "0")
|
||||
monkeypatch.setattr(
|
||||
@ -559,10 +560,11 @@ def test_buy_now_rejects_when_global_market_risk_is_critical(monkeypatch):
|
||||
|
||||
result = sync_recommendation(rec, 100, event_time="2026-05-16T10:00:00")
|
||||
|
||||
assert result["reason"] == "global_risk_rejected"
|
||||
assert result["risk_detail"]["risk_level"] == "critical"
|
||||
assert result["risk_detail"]["market_regime"]["regime"] == "risk_off"
|
||||
assert list_paper_trades()["total"] == 0
|
||||
assert result["opened"] is True
|
||||
assert result["global_risk"]["risk_level"] == "critical"
|
||||
assert result["global_risk"]["decision"] == "allow_reduced_size"
|
||||
assert result["notional_usdt"] == pytest.approx(1250.0)
|
||||
assert list_paper_trades()["total"] == 1
|
||||
|
||||
|
||||
def test_open_event_records_market_regime_and_score_components(monkeypatch):
|
||||
|
||||
Loading…
Reference in New Issue
Block a user