1
This commit is contained in:
aaron
parent
0443072679
commit
ed90476942
@ -23,6 +23,68 @@ def _safe_int(value, default: int = 0) -> int:
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return default
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def _side_from_rec(rec: dict | None = None) -> str:
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rec = rec or {}
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text = str(rec.get("side") or rec.get("direction") or "").strip().lower()
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if text in {"short", "sell", "空", "空头", "做空", "空头启动"} or "空" in text:
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return "short"
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return "long"
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def _directional_market_gate(regime: dict, side: str, base_risk_level: str, base_multiplier: float) -> dict:
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"""Translate broad market regime into side-aware entry risk.
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A risk-off market is a headwind for long entries, but it can be the
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intended environment for a dedicated short strategy. Conversely, an
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altcoin rotation is supportive for long opportunities and a squeeze risk
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for shorts.
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"""
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side = "short" if str(side or "").lower() == "short" else "long"
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regime_code = str((regime or {}).get("regime") or "unknown").strip().lower()
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risk_level = str(base_risk_level or "medium").strip().lower()
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multiplier = max(0.0, _safe_float(base_multiplier, 1.0))
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bias = "neutral"
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reasons: list[str] = []
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if regime_code == "risk_off":
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if side == "short":
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bias = "favorable"
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risk_level = "medium"
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multiplier = max(1.0, multiplier)
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reasons.append("risk_off 对空头属于顺风环境，不作为空头挂单/开仓的拦截理由")
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else:
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bias = "adverse"
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reasons.append("risk_off 对多头属于逆风环境，需要降仓或提高门槛")
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elif regime_code in {"altcoin_rotation", "btc_main_uptrend", "meme_frenzy"}:
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if side == "short":
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bias = "adverse"
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if regime_code == "meme_frenzy":
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risk_level = "critical"
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multiplier = min(multiplier, 0.25)
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reasons.append("情绪过热期做空容易被轧空，只允许极高质量空头")
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else:
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risk_level = "high" if risk_level not in {"critical"} else risk_level
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multiplier = min(multiplier, 0.5)
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reasons.append("上涨轮动/主流带动期做空属于逆势，需要提高空头质量门槛")
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else:
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bias = "favorable"
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multiplier = max(multiplier, 0.8)
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reasons.append("当前市场对多头相对顺风，不额外惩罚多头入场")
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elif regime_code == "sideways_chop":
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bias = "neutral"
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reasons.append("震荡期对多空都不是单边顺风，按原始风控轻仓精选")
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return {
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"side": side,
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"market_bias": bias,
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"effective_risk_level": risk_level,
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"effective_position_multiplier": multiplier,
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"reasons": reasons,
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"raw_risk_level": str(base_risk_level or "medium"),
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"raw_position_multiplier": base_multiplier,
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}
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def _portfolio_snapshot(conn, account_equity: float, additional_notional: float) -> dict:
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open_rows = conn.execute("SELECT notional_usdt, pnl_pct FROM paper_trades WHERE status='open'").fetchall()
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pending_notional = _safe_float(conn.execute("SELECT COALESCE(SUM(notional_usdt),0) FROM paper_orders WHERE status='pending'").fetchone()[0])
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@ -113,6 +175,7 @@ def evaluate_global_risk(
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account_equity = max(1.0, _safe_float(cfg.get("account_equity_usdt"), 20000.0))
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portfolio = _portfolio_snapshot(conn, account_equity, additional_notional)
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concentration = _concentration_snapshot(conn, rec)
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side = _side_from_rec(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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@ -122,6 +185,10 @@ def evaluate_global_risk(
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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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directional_gate = _directional_market_gate(regime, side, risk_level, position_multiplier)
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risk_level = str(directional_gate.get("effective_risk_level") or risk_level)
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position_multiplier = max(min_position_multiplier, _safe_float(directional_gate.get("effective_position_multiplier"), position_multiplier))
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reasons.extend(directional_gate.get("reasons") or [])
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allow = True
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decision = "allow"
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@ -181,6 +248,8 @@ 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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"side": side,
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"directional_market_bias": directional_gate,
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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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@ -140,10 +140,13 @@ def evaluate_position_health(
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health_score -= min(20.0, abs(pnl) * 3.0)
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risk_level = str((global_risk or {}).get("risk_level") or "").strip().lower()
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directional_bias = ""
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if isinstance((global_risk or {}).get("directional_market_bias"), dict):
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directional_bias = str((global_risk or {}).get("directional_market_bias", {}).get("market_bias") or "").strip().lower()
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critical_exit_enabled = _cfg_bool(cfg, "position_guard_critical_exit_enabled", True)
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critical_min_age = max(0.0, _safe_float(cfg.get("position_guard_critical_min_age_hours"), 0.5))
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critical_max_pnl = _safe_float(cfg.get("position_guard_critical_max_pnl_pct"), 1.0)
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if critical_exit_enabled and risk_level == "critical" and age >= critical_min_age and pnl <= critical_max_pnl:
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if critical_exit_enabled and risk_level == "critical" and directional_bias != "favorable" and age >= critical_min_age and pnl <= critical_max_pnl:
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detail["global_risk"] = global_risk or {}
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return PositionHealthDecision(
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action="close",
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@ -153,7 +153,7 @@ def _weak_entries_check(conn, event_time: str, config: dict | None = None) -> tu
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since = (now - timedelta(hours=window_hours)).isoformat()
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rows = conn.execute(
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"""
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SELECT symbol, opened_at, entry_price, max_price
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SELECT symbol, side, opened_at, entry_price, max_price, min_price
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FROM paper_trades
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WHERE opened_at >= %s
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ORDER BY opened_at DESC, id DESC
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@ -163,9 +163,15 @@ def _weak_entries_check(conn, event_time: str, config: dict | None = None) -> tu
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).fetchall()
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samples = []
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for row in rows:
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side = normalize_side(row.get("side"))
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entry = _safe_float(row["entry_price"])
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max_pnl = (max(_safe_float(row["max_price"]), entry) / entry - 1) * 100 if entry > 0 else 0
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samples.append({"symbol": row["symbol"], "opened_at": row["opened_at"], "max_pnl_pct": round(max_pnl, 6)})
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if side == "short":
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best_price = min(_safe_float(row.get("min_price")) or entry, entry)
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max_pnl = (entry / best_price - 1) * 100 if entry > 0 and best_price > 0 else 0
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else:
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best_price = max(_safe_float(row.get("max_price")) or entry, entry)
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max_pnl = (best_price / entry - 1) * 100 if entry > 0 else 0
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samples.append({"symbol": row["symbol"], "side": side, "opened_at": row["opened_at"], "max_pnl_pct": round(max_pnl, 6)})
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enough = len(samples) >= limit
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all_weak = enough and all(x["max_pnl_pct"] < threshold for x in samples)
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detail = {
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@ -263,7 +263,7 @@ function renderCanceledOrders(items){if(!items.length){$('canceledOrderRows').in
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'<td><button class="row-action" type="button" onclick="deleteOrder('+Number(x.id)+',\''+esc(String(x.symbol||'')).replace(/'/g,''')+'\')">删除</button></td>'+
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'</tr>'}).join('')}
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function orderStatus(x){return {filled:'已成交',expired:'已过期',canceled:'已取消',rejected:'已拒绝'}[x.status]||x.status||'--'}
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function cancelReasonLabel(r){return {global_risk_rejected:'全局风控拒绝：市场/账户风险过高，未转持仓',risk_paused_at_touch:'触价时风控暂停：目标价已到但账户/市场风险不允许开仓',stop_loss_leverage_risk_exceeded:'止损杠杆风险超限：按当前止损和杠杆亏损过大',portfolio_drawdown_pause:'账户回撤保护：暂停新增仓位',weak_entries_pause:'近期弱入场过多：暂停新增仓位',recommendation_invalid:'原推荐已失效：机会过期/归档后撤单',too_far_from_entry:'价格远离计划价：继续等待意义不大',expired:'挂单超时：超过有效期未成交',upgraded_to_buy_now:'信号升级为入场窗口：旧挂单已撤销',canceled:'已取消',filled:'已成交',rejected:'已拒绝'}[r]||r||'--'}
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function cancelReasonLabel(r){return {global_risk_rejected:'方向风控拒绝：市场方向、账户风险或仓位集中度不允许开仓',risk_paused_at_touch:'触价时方向风控暂停：目标价已到但该方向暂不允许开仓',stop_loss_leverage_risk_exceeded:'止损杠杆风险超限：按当前止损和杠杆亏损过大',portfolio_drawdown_pause:'账户回撤保护：暂停新增仓位',weak_entries_pause:'近期同类弱入场过多：暂停新增仓位',recommendation_invalid:'原机会已失效：机会过期/归档后撤单',too_far_from_entry:'价格远离计划价：继续等待意义不大',expired:'挂单超时：超过有效期未成交',upgraded_to_buy_now:'信号升级为入场窗口：旧挂单已撤销',canceled:'已取消',filled:'已成交',rejected:'已拒绝'}[r]||r||'--'}
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function renderOpenPager(){var page=Math.floor(openOffset/LIMIT)+1,totalPages=Math.max(1,Math.ceil(openTotal/LIMIT));$('openPageInfo').textContent='第 '+page+' / '+totalPages+' 页 · 共 '+openTotal+' 条';$('openPager').innerHTML='<button '+(openOffset===0?'disabled':'')+' onclick="loadOpenTrades('+(openOffset-LIMIT)+')">上一页</button><span>第 '+page+' / '+totalPages+' 页</span><button '+((openOffset+LIMIT>=openTotal)?'disabled':'')+' onclick="loadOpenTrades('+(openOffset+LIMIT)+')">下一页</button>'}
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async function loadEvents(nextOffset){eventOffset=Math.max(0,nextOffset||0);$('eventRows').innerHTML='<div class="loading">加载中...</div>';try{var sym=$('eventSymbol').value||'';var typ=$('eventType').value||'';var d=await api('/api/paper-trading/events?limit='+EVENT_LIMIT+'&offset='+eventOffset+'&symbol='+encodeURIComponent(sym)+'&event_type='+encodeURIComponent(typ)+tradeQuery());eventTotal=d.total||0;renderEvents(d.items||[]);renderEventPager()}catch(e){$('eventRows').innerHTML='<div class="empty">'+esc(e.message)+'</div>'}}
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function eventLabel(t){return {open:'开仓',close:'平仓',trailing_activate:'移动止盈激活',trailing_move:'移动止盈上移'}[t]||t||'动作'}
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@ -78,3 +78,61 @@ def test_global_risk_blocks_same_sector_concentration(pg_conn, monkeypatch):
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assert result["allow_new_entries"] is False
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assert result["decision"] == "block_same_sector_concentration"
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def test_global_risk_off_is_favorable_for_short_entries(pg_conn, monkeypatch):
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monkeypatch.setattr(
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"app.core.global_risk.get_crypto_market_overview",
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lambda allow_live_fallback=False: _overview(
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benchmarks={"BTC/USDT": {"change_24h": -3.4}, "ETH/USDT": {"change_24h": -4.2}},
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advance_decline_ratio=0.4,
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crash_count_5pct=35,
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),
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)
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result = evaluate_global_risk(
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conn=pg_conn,
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config={
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"account_equity_usdt": 20000,
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"global_risk_gate_enabled": True,
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"global_risk_block_critical": False,
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"global_risk_critical_min_rec_score": 80,
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},
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rec={"symbol": "SHORT/USDT", "side": "short", "rec_score": 55},
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additional_notional=1000,
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)
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assert result["allow_new_entries"] is True
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assert result["side"] == "short"
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assert result["risk_level"] == "medium"
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assert result["directional_market_bias"]["market_bias"] == "favorable"
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assert "risk_off 对空头属于顺风环境" in " ".join(result["reasons"])
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def test_altcoin_rotation_is_adverse_for_short_entries(pg_conn, monkeypatch):
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monkeypatch.setattr(
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"app.core.global_risk.get_crypto_market_overview",
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lambda allow_live_fallback=False: _overview(
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benchmarks={"BTC/USDT": {"change_24h": 0.6}, "ETH/USDT": {"change_24h": 1.1}},
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advance_decline_ratio=1.4,
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avg_change_24h=1.2,
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hot_count_5pct=22,
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crash_count_5pct=3,
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),
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)
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result = evaluate_global_risk(
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conn=pg_conn,
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config={
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"account_equity_usdt": 20000,
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"global_risk_gate_enabled": True,
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"global_risk_high_min_rec_score": 70,
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},
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rec={"symbol": "SQUEEZE/USDT", "side": "short", "rec_score": 55},
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additional_notional=1000,
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)
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assert result["allow_new_entries"] is False
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assert result["risk_level"] == "high"
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assert result["decision"] == "block_high_weak_score"
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assert result["directional_market_bias"]["market_bias"] == "adverse"
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@ -624,6 +624,46 @@ def test_buy_now_uses_reduced_size_when_global_market_risk_is_critical(monkeypat
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assert list_paper_trades()["total"] == 1
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def test_short_buy_now_not_reduced_by_risk_off_market(monkeypatch):
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monkeypatch.setenv("ALPHAX_PAPER_TRADING_ENABLED", "1")
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monkeypatch.setenv("ALPHAX_PAPER_GLOBAL_RISK_GATE_ENABLED", "1")
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monkeypatch.setenv("ALPHAX_PAPER_GLOBAL_RISK_BLOCK_CRITICAL", "0")
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monkeypatch.setenv("ALPHAX_PAPER_ENTRY_GATE_ENABLED", "0")
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monkeypatch.setenv("ALPHAX_PAPER_TRADE_NOTIONAL_USDT", "100")
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monkeypatch.setattr(
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"app.core.global_risk.get_crypto_market_overview",
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lambda allow_live_fallback=False: {
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"sample_count": 200,
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"benchmarks": {"BTC/USDT": {"change_24h": -3.5}, "ETH/USDT": {"change_24h": -4.1}},
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"advance_decline_ratio": 0.45,
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"avg_change_24h": -2.2,
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"hot_count_5pct": 2,
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"crash_count_5pct": 36,
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"funding": {"avg_funding_rate": -0.0001, "extreme_positive_count": 0},
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},
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)
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altcoin_db.init_db()
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rec_id = altcoin_db.create_recommendation(
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symbol="SHORTOFF/USDT",
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rec_state="爆发",
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rec_score=60,
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entry_price=100,
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stop_loss=105,
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tp1=90,
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signals=["1H破位反抽做空"],
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direction="空头启动",
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entry_plan={"side": "short", "entry_action": "可即刻买入", "entry_trigger_confirmed": True, "risk_reward_ok": True, "rr1": 2.0},
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)
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rec = next(r for r in altcoin_db.get_active_recommendations_deduped(actionable_only=False) if r["id"] == rec_id)
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result = sync_recommendation(rec, 100, event_time="2026-05-16T10:00:00")
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assert result["opened"] is True
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assert result["side"] == "short"
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assert result["global_risk"]["directional_market_bias"]["market_bias"] == "favorable"
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assert result["notional_usdt"] == pytest.approx(100.0)
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def test_open_event_records_market_regime_and_score_components(monkeypatch):
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monkeypatch.setenv("ALPHAX_PAPER_TRADING_ENABLED", "1")
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monkeypatch.setenv("ALPHAX_PAPER_GLOBAL_RISK_GATE_ENABLED", "1")
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