增加合约市场
This commit is contained in:
aaron
parent
75592857a3
commit
5173c05e65
@ -426,7 +426,9 @@ class LLMSignalAnalyzer:
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agent_type: 智能体类型，支持 'crypto', 'stock', 'smart'
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"""
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from app.config import get_settings
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from app.services.binance_service import binance_service
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self.news_service = get_news_service()
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self.binance_service = binance_service
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settings = get_settings()
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# 根据智能体类型选择模型配置
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@ -482,6 +484,17 @@ class LLMSignalAnalyzer:
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# 获取新闻数据
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news_text = await self._get_news_context(symbol, symbols or [symbol])
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# 获取合约市场数据（仅加密货币）
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futures_data = None
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if self.agent_type == 'crypto':
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try:
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futures_data = self.binance_service.get_futures_market_data(symbol)
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if futures_data:
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logger.info(f"{symbol} 资金费率: {futures_data.get('funding_rate', {}).get('funding_rate_percent', 0):.4f}% | "
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f"情绪: {futures_data.get('market_sentiment', '')}")
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except Exception as e:
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logger.warning(f"获取 {symbol} 合约数据失败: {e}")
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# 根据智能体类型选择提示词
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if self.agent_type == 'stock':
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system_prompt = self.STOCK_SYSTEM_PROMPT
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@ -489,7 +502,7 @@ class LLMSignalAnalyzer:
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system_prompt = self.CRYPTO_SYSTEM_PROMPT
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# 构建数据提示
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data_prompt = self._build_data_prompt(symbol, data, news_text, position_info)
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data_prompt = self._build_data_prompt(symbol, data, news_text, position_info, futures_data)
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# 调用 LLM
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response = llm_service.chat([
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@ -595,7 +608,8 @@ class LLMSignalAnalyzer:
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return "\n".join(lines)
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def _build_data_prompt(self, symbol: str, data: Dict[str, pd.DataFrame],
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news_text: str = "", position_info: Dict[str, Any] = None) -> str:
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news_text: str = "", position_info: Dict[str, Any] = None,
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futures_data: Dict[str, Any] = None) -> str:
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"""构建数据提示词"""
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parts = [f"# {symbol} 市场数据分析\n"]
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parts.append(f"分析时间: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}\n")
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@ -606,6 +620,10 @@ class LLMSignalAnalyzer:
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current_price = float(data['5m'].iloc[-1]['close'])
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parts.append(f"**当前价格**: ${current_price:,.2f}\n")
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# === 新增：合约市场数据 ===
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if futures_data and self.agent_type == 'crypto':
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parts.append(self.binance_service.format_futures_data_for_llm(symbol, futures_data))
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# === 新增：账户和持仓信息 ===
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if position_info:
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parts.append("\n## 账户与持仓状态")
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@ -22,6 +22,7 @@ class BinanceService:
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# Binance API 基础 URL
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BASE_URL = "https://api.binance.com"
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FUTURES_URL = "https://fapi.binance.com" # 合约 API
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def __init__(self, api_key: str = "", api_secret: str = ""):
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"""
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@ -272,6 +273,233 @@ class BinanceService:
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logger.error(f"获取 {symbol} 24h 统计失败: {e}")
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return None
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def get_funding_rate(self, symbol: str) -> Optional[Dict[str, Any]]:
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"""
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获取资金费率
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Args:
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symbol: 交易对，如 'BTCUSDT'
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Returns:
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包含资金费率信息的字典
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"""
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try:
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url = f"{self.FUTURES_URL}/fapi/v1/premiumIndex"
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params = {'symbol': symbol}
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response = self._session.get(url, params=params, timeout=10)
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response.raise_for_status()
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data = response.json()
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# 解析资金费率
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funding_rate = float(data.get('lastFundingRate', 0))
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mark_price = float(data.get('markPrice', 0))
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index_price = float(data.get('indexPrice', 0))
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next_funding_time = int(data.get('nextFundingTime', 0))
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# 判断市场情绪
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if funding_rate > 0.01: # > 0.1%
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sentiment = "极度贪婪"
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sentiment_level = "extreme_greed"
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elif funding_rate > 0.05: # > 0.05%
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sentiment = "贪婪"
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sentiment_level = "greed"
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elif funding_rate < -0.01: # < -0.1%
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sentiment = "极度恐惧"
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sentiment_level = "extreme_fear"
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elif funding_rate < -0.05: # < -0.05%
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sentiment = "恐惧"
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sentiment_level = "fear"
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else:
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sentiment = "中性"
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sentiment_level = "neutral"
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return {
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'funding_rate': funding_rate,
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'funding_rate_percent': funding_rate * 100, # 转为百分比
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'mark_price': mark_price,
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'index_price': index_price,
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'next_funding_time': next_funding_time,
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'sentiment': sentiment,
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'sentiment_level': sentiment_level
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}
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except Exception as e:
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logger.error(f"获取 {symbol} 资金费率失败: {e}")
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return None
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def get_open_interest(self, symbol: str) -> Optional[Dict[str, Any]]:
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"""
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获取持仓量
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Args:
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symbol: 交易对，如 'BTCUSDT'
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Returns:
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包含持仓量信息的字典
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"""
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try:
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url = f"{self.FUTURES_URL}/fapi/v1/openInterest"
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params = {'symbol': symbol}
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response = self._session.get(url, params=params, timeout=10)
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response.raise_for_status()
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data = response.json()
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open_interest = float(data.get('openInterest', 0))
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open_interest_value = float(data.get('openInterestValue', 0))
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return {
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'open_interest': open_interest,
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'open_interest_value': open_interest_value,
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'timestamp': int(data.get('time', 0))
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}
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except Exception as e:
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logger.error(f"获取 {symbol} 持仓量失败: {e}")
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return None
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def get_open_interest_hist(self, symbol: str, period: str = '5m',
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limit: int = 30) -> Optional[List[Dict[str, Any]]]:
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"""
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获取历史持仓量（用于计算变化趋势）
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Args:
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symbol: 交易对
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period: 周期 (5m, 15m, 30m, 1h, 2h, 4h, 6h, 12h, 1d)
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limit: 获取数量 (最大 500)
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Returns:
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持仓量历史列表
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"""
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try:
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# Binance 使用正确的 API 端点
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url = f"{self.FUTURES_URL}/futures/data/openInterestHist"
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params = {
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'symbol': symbol,
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'period': period,
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'limit': limit
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}
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response = self._session.get(url, params=params, timeout=10)
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response.raise_for_status()
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data = response.json()
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return data
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except Exception as e:
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logger.error(f"获取 {symbol} 历史持仓量失败: {e}")
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return None
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def get_futures_market_data(self, symbol: str) -> Optional[Dict[str, Any]]:
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"""
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获取合约市场综合数据（资金费率 + 持仓量 + 趋势分析）
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Args:
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symbol: 交易对
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Returns:
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综合市场数据
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"""
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try:
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# 并发获取数据
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funding_rate = self.get_funding_rate(symbol)
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open_interest = self.get_open_interest(symbol)
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if not funding_rate or not open_interest:
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logger.warning(f"获取 {symbol} 合约数据不完整")
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return None
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# 获取历史持仓量计算趋势
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hist_oi = self.get_open_interest_hist(symbol, period='1h', limit=24)
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oi_change = 0
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oi_change_percent = 0
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if hist_oi and len(hist_oi) >= 2:
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oi_24h_ago = float(hist_oi[-1].get('sumOpenInterest', 0))
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oi_now = float(hist_oi[0].get('sumOpenInterest', 0))
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oi_change = oi_now - oi_24h_ago
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oi_change_percent = (oi_change / oi_24h_ago * 100) if oi_24h_ago > 0 else 0
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# 计算溢价率
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premium_rate = 0
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if funding_rate.get('index_price', 0) > 0:
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premium_rate = ((funding_rate['mark_price'] - funding_rate['index_price'])
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/ funding_rate['index_price'] * 100)
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return {
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'funding_rate': funding_rate,
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'open_interest': open_interest,
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'oi_change_24h': oi_change,
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'oi_change_percent_24h': oi_change_percent,
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'premium_rate': premium_rate,
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'market_sentiment': funding_rate.get('sentiment', ''),
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'sentiment_level': funding_rate.get('sentiment_level', '')
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}
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except Exception as e:
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logger.error(f"获取 {symbol} 合约市场数据失败: {e}")
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return None
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def format_futures_data_for_llm(self, symbol: str,
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market_data: Dict[str, Any]) -> str:
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"""
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格式化合约数据供 LLM 分析
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Args:
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symbol: 交易对
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market_data: 合约市场数据
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Returns:
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格式化的文本
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"""
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if not market_data:
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return ""
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lines = [f"\n## {symbol} 合约市场数据\n"]
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# 资金费率
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funding = market_data.get('funding_rate', {})
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if funding:
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fr = funding.get('funding_rate_percent', 0)
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sentiment = funding.get('sentiment', '')
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lines.append(f"### 资金费率")
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lines.append(f"• 当前费率: {fr:.4f}%")
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lines.append(f"• 市场情绪: {sentiment}")
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lines.append(f"• 标记价格: ${funding.get('mark_price', 0):,.2f}")
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lines.append(f"• 指数价格: ${funding.get('index_price', 0):,.2f}")
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# 资金费率分析
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if fr > 0.1:
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lines.append(f"• ⚠️ 极高费率，多头过度杠杆，警惕回调风险")
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elif fr > 0.05:
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lines.append(f"• 正费率，多头占优但未极端")
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elif fr < -0.1:
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lines.append(f"• ⚠️ 极低费率，空头过度杠杆，可能反弹")
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elif fr < -0.05:
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lines.append(f"• 负费率，空头占优但未极端")
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# 持仓量
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oi = market_data.get('open_interest', {})
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if oi:
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lines.append(f"\n### 持仓量")
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lines.append(f"• 当前持仓: {oi.get('open_interest', 0):,.0f} 张")
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lines.append(f"• 持仓金额: ${oi.get('open_interest_value', 0):,.0f}")
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# 持仓量变化
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oi_change = market_data.get('oi_change_percent_24h', 0)
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if oi_change != 0:
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lines.append(f"• 24h变化: {oi_change:+.2f}%")
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if oi_change > 10:
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lines.append(f"• ⚠️ 持仓大幅增加，资金加速流入")
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elif oi_change < -10:
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lines.append(f"• ⚠️ 持仓大幅减少，资金加速流出")
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# 溢价率
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premium = market_data.get('premium_rate', 0)
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if premium != 0:
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lines.append(f"\n### 溢价分析")
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lines.append(f"• 现货溢价: {premium:+.2f}%")
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if premium > 1:
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lines.append(f"• ⚠️ 高溢价，市场过热")
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elif premium < -1:
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lines.append(f"• ⚠️ 负溢价，市场偏冷")
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return "\n".join(lines)
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# 全局实例
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binance_service = BinanceService()
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80
scripts/test_futures_data.py
Executable file
80
scripts/test_futures_data.py
Executable file
@ -0,0 +1,80 @@
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#!/usr/bin/env python3
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"""
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测试合约市场数据获取
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"""
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import sys
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import os
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# 确保路径正确
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script_dir = os.path.dirname(os.path.abspath(__file__))
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project_root = os.path.dirname(script_dir)
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backend_dir = os.path.join(project_root, 'backend')
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sys.path.insert(0, backend_dir)
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from app.services.binance_service import binance_service
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def main():
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print("=" * 60)
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print("📊 测试 Binance 合约市场数据获取")
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print("=" * 60)
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symbols = ['BTCUSDT', 'ETHUSDT']
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for symbol in symbols:
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print(f"\n{'='*60}")
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print(f"📈 {symbol} 合约市场数据")
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print(f"{'='*60}")
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# 1. 获取资金费率
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print(f"\n🔍 获取资金费率...")
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funding_rate = binance_service.get_funding_rate(symbol)
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if funding_rate:
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print(f"✅ 资金费率: {funding_rate['funding_rate_percent']:.4f}%")
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print(f" 市场情绪: {funding_rate['sentiment']}")
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print(f" 标记价格: ${funding_rate['mark_price']:,.2f}")
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print(f" 指数价格: ${funding_rate['index_price']:,.2f}")
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# 2. 获取持仓量
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print(f"\n🔍 获取持仓量...")
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open_interest = binance_service.get_open_interest(symbol)
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if open_interest:
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print(f"✅ 持仓量: {open_interest['open_interest']:,.0f} 张")
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print(f" 持仓金额: ${open_interest['open_interest_value']:,.0f}")
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# 3. 获取历史持仓量
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print(f"\n🔍 获取历史持仓量（计算24h变化）...")
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hist_oi = binance_service.get_open_interest_hist(symbol, period='1h', limit=24)
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if hist_oi and len(hist_oi) >= 2:
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oi_now = float(hist_oi[0].get('sumOpenInterest', 0))
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oi_24h = float(hist_oi[-1].get('sumOpenInterest', 0))
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oi_change = oi_now - oi_24h
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oi_change_pct = (oi_change / oi_24h * 100) if oi_24h > 0 else 0
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print(f"✅ 24h前: {oi_24h:,.0f} 张")
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print(f" 当前: {oi_now:,.0f} 张")
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print(f" 变化: {oi_change:+,.0f} 张 ({oi_change_pct:+.2f}%)")
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# 4. 获取综合数据
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print(f"\n🔍 获取综合合约数据...")
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market_data = binance_service.get_futures_market_data(symbol)
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if market_data:
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print(f"✅ 综合数据获取成功")
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print(f" 资金费率: {market_data['funding_rate']['funding_rate_percent']:.4f}%")
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print(f" 持仓24h变化: {market_data['oi_change_percent_24h']:+.2f}%")
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print(f" 溢价率: {market_data['premium_rate']:+.2f}%")
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print(f" 市场情绪: {market_data['market_sentiment']}")
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# 5. 格式化给 LLM 的数据
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print(f"\n🤖 格式化给 LLM 的数据:")
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print(f"{'─'*60}")
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if market_data:
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formatted = binance_service.format_futures_data_for_llm(symbol, market_data)
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print(formatted)
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print("\n" + "=" * 60)
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print("✅ 测试完成")
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print("=" * 60)
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if __name__ == "__main__":
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main()
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