增加合约市场

backend/app/crypto_agent/llm_signal_analyzer.py

@@ -426,7 +426,9 @@ class LLMSignalAnalyzer:
             agent_type: 智能体类型，支持 'crypto', 'stock', 'smart'
         """
         from app.config import get_settings
+        from app.services.binance_service import binance_service
         self.news_service = get_news_service()
+        self.binance_service = binance_service
         settings = get_settings()
 
         # 根据智能体类型选择模型配置
@@ -482,6 +484,17 @@ class LLMSignalAnalyzer:
             # 获取新闻数据
             news_text = await self._get_news_context(symbol, symbols or [symbol])
 
+            # 获取合约市场数据（仅加密货币）
+            futures_data = None
+            if self.agent_type == 'crypto':
+                try:
+                    futures_data = self.binance_service.get_futures_market_data(symbol)
+                    if futures_data:
+                        logger.info(f"{symbol} 资金费率: {futures_data.get('funding_rate', {}).get('funding_rate_percent', 0):.4f}% | "
+                                   f"情绪: {futures_data.get('market_sentiment', '')}")
+                except Exception as e:
+                    logger.warning(f"获取 {symbol} 合约数据失败: {e}")
+
             # 根据智能体类型选择提示词
             if self.agent_type == 'stock':
                 system_prompt = self.STOCK_SYSTEM_PROMPT
@@ -489,7 +502,7 @@ class LLMSignalAnalyzer:
                 system_prompt = self.CRYPTO_SYSTEM_PROMPT
 
             # 构建数据提示
-            data_prompt = self._build_data_prompt(symbol, data, news_text, position_info)
+            data_prompt = self._build_data_prompt(symbol, data, news_text, position_info, futures_data)
 
             # 调用 LLM
             response = llm_service.chat([
@@ -595,7 +608,8 @@ class LLMSignalAnalyzer:
         return "\n".join(lines)
 
     def _build_data_prompt(self, symbol: str, data: Dict[str, pd.DataFrame],
-                           news_text: str = "", position_info: Dict[str, Any] = None) -> str:
+                           news_text: str = "", position_info: Dict[str, Any] = None,
+                           futures_data: Dict[str, Any] = None) -> str:
         """构建数据提示词"""
         parts = [f"# {symbol} 市场数据分析\n"]
         parts.append(f"分析时间: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}\n")
@@ -606,6 +620,10 @@ class LLMSignalAnalyzer:
             current_price = float(data['5m'].iloc[-1]['close'])
             parts.append(f"**当前价格**: ${current_price:,.2f}\n")
 
+        # === 新增：合约市场数据 ===
+        if futures_data and self.agent_type == 'crypto':
+            parts.append(self.binance_service.format_futures_data_for_llm(symbol, futures_data))
+
         # === 新增：账户和持仓信息 ===
         if position_info:
             parts.append("\n## 账户与持仓状态")

backend/app/services/binance_service.py

@@ -22,6 +22,7 @@ class BinanceService:
 
     # Binance API 基础 URL
     BASE_URL = "https://api.binance.com"
+    FUTURES_URL = "https://fapi.binance.com"  # 合约 API
 
     def __init__(self, api_key: str = "", api_secret: str = ""):
         """
@@ -272,6 +273,233 @@ class BinanceService:
             logger.error(f"获取 {symbol} 24h 统计失败: {e}")
             return None
 
+    def get_funding_rate(self, symbol: str) -> Optional[Dict[str, Any]]:
+        """
+        获取资金费率
+
+        Args:
+            symbol: 交易对，如 'BTCUSDT'
+
+        Returns:
+            包含资金费率信息的字典
+        """
+        try:
+            url = f"{self.FUTURES_URL}/fapi/v1/premiumIndex"
+            params = {'symbol': symbol}
+            response = self._session.get(url, params=params, timeout=10)
+            response.raise_for_status()
+            data = response.json()
+
+            # 解析资金费率
+            funding_rate = float(data.get('lastFundingRate', 0))
+            mark_price = float(data.get('markPrice', 0))
+            index_price = float(data.get('indexPrice', 0))
+            next_funding_time = int(data.get('nextFundingTime', 0))
+
+            # 判断市场情绪
+            if funding_rate > 0.01:  # > 0.1%
+                sentiment = "极度贪婪"
+                sentiment_level = "extreme_greed"
+            elif funding_rate > 0.05:  # > 0.05%
+                sentiment = "贪婪"
+                sentiment_level = "greed"
+            elif funding_rate < -0.01:  # < -0.1%
+                sentiment = "极度恐惧"
+                sentiment_level = "extreme_fear"
+            elif funding_rate < -0.05:  # < -0.05%
+                sentiment = "恐惧"
+                sentiment_level = "fear"
+            else:
+                sentiment = "中性"
+                sentiment_level = "neutral"
+
+            return {
+                'funding_rate': funding_rate,
+                'funding_rate_percent': funding_rate * 100,  # 转为百分比
+                'mark_price': mark_price,
+                'index_price': index_price,
+                'next_funding_time': next_funding_time,
+                'sentiment': sentiment,
+                'sentiment_level': sentiment_level
+            }
+        except Exception as e:
+            logger.error(f"获取 {symbol} 资金费率失败: {e}")
+            return None
+
+    def get_open_interest(self, symbol: str) -> Optional[Dict[str, Any]]:
+        """
+        获取持仓量
+
+        Args:
+            symbol: 交易对，如 'BTCUSDT'
+
+        Returns:
+            包含持仓量信息的字典
+        """
+        try:
+            url = f"{self.FUTURES_URL}/fapi/v1/openInterest"
+            params = {'symbol': symbol}
+            response = self._session.get(url, params=params, timeout=10)
+            response.raise_for_status()
+            data = response.json()
+
+            open_interest = float(data.get('openInterest', 0))
+            open_interest_value = float(data.get('openInterestValue', 0))
+
+            return {
+                'open_interest': open_interest,
+                'open_interest_value': open_interest_value,
+                'timestamp': int(data.get('time', 0))
+            }
+        except Exception as e:
+            logger.error(f"获取 {symbol} 持仓量失败: {e}")
+            return None
+
+    def get_open_interest_hist(self, symbol: str, period: str = '5m',
+                               limit: int = 30) -> Optional[List[Dict[str, Any]]]:
+        """
+        获取历史持仓量（用于计算变化趋势）
+
+        Args:
+            symbol: 交易对
+            period: 周期 (5m, 15m, 30m, 1h, 2h, 4h, 6h, 12h, 1d)
+            limit: 获取数量 (最大 500)
+
+        Returns:
+            持仓量历史列表
+        """
+        try:
+            # Binance 使用正确的 API 端点
+            url = f"{self.FUTURES_URL}/futures/data/openInterestHist"
+            params = {
+                'symbol': symbol,
+                'period': period,
+                'limit': limit
+            }
+            response = self._session.get(url, params=params, timeout=10)
+            response.raise_for_status()
+            data = response.json()
+
+            return data
+        except Exception as e:
+            logger.error(f"获取 {symbol} 历史持仓量失败: {e}")
+            return None
+
+    def get_futures_market_data(self, symbol: str) -> Optional[Dict[str, Any]]:
+        """
+        获取合约市场综合数据（资金费率 + 持仓量 + 趋势分析）
+
+        Args:
+            symbol: 交易对
+
+        Returns:
+            综合市场数据
+        """
+        try:
+            # 并发获取数据
+            funding_rate = self.get_funding_rate(symbol)
+            open_interest = self.get_open_interest(symbol)
+
+            if not funding_rate or not open_interest:
+                logger.warning(f"获取 {symbol} 合约数据不完整")
+                return None
+
+            # 获取历史持仓量计算趋势
+            hist_oi = self.get_open_interest_hist(symbol, period='1h', limit=24)
+            oi_change = 0
+            oi_change_percent = 0
+
+            if hist_oi and len(hist_oi) >= 2:
+                oi_24h_ago = float(hist_oi[-1].get('sumOpenInterest', 0))
+                oi_now = float(hist_oi[0].get('sumOpenInterest', 0))
+                oi_change = oi_now - oi_24h_ago
+                oi_change_percent = (oi_change / oi_24h_ago * 100) if oi_24h_ago > 0 else 0
+
+            # 计算溢价率
+            premium_rate = 0
+            if funding_rate.get('index_price', 0) > 0:
+                premium_rate = ((funding_rate['mark_price'] - funding_rate['index_price'])
+                              / funding_rate['index_price'] * 100)
+
+            return {
+                'funding_rate': funding_rate,
+                'open_interest': open_interest,
+                'oi_change_24h': oi_change,
+                'oi_change_percent_24h': oi_change_percent,
+                'premium_rate': premium_rate,
+                'market_sentiment': funding_rate.get('sentiment', ''),
+                'sentiment_level': funding_rate.get('sentiment_level', '')
+            }
+        except Exception as e:
+            logger.error(f"获取 {symbol} 合约市场数据失败: {e}")
+            return None
+
+    def format_futures_data_for_llm(self, symbol: str,
+                                    market_data: Dict[str, Any]) -> str:
+        """
+        格式化合约数据供 LLM 分析
+
+        Args:
+            symbol: 交易对
+            market_data: 合约市场数据
+
+        Returns:
+            格式化的文本
+        """
+        if not market_data:
+            return ""
+
+        lines = [f"\n## {symbol} 合约市场数据\n"]
+
+        # 资金费率
+        funding = market_data.get('funding_rate', {})
+        if funding:
+            fr = funding.get('funding_rate_percent', 0)
+            sentiment = funding.get('sentiment', '')
+            lines.append(f"### 资金费率")
+            lines.append(f"• 当前费率: {fr:.4f}%")
+            lines.append(f"• 市场情绪: {sentiment}")
+            lines.append(f"• 标记价格: ${funding.get('mark_price', 0):,.2f}")
+            lines.append(f"• 指数价格: ${funding.get('index_price', 0):,.2f}")
+
+            # 资金费率分析
+            if fr > 0.1:
+                lines.append(f"• ⚠️ 极高费率，多头过度杠杆，警惕回调风险")
+            elif fr > 0.05:
+                lines.append(f"• 正费率，多头占优但未极端")
+            elif fr < -0.1:
+                lines.append(f"• ⚠️ 极低费率，空头过度杠杆，可能反弹")
+            elif fr < -0.05:
+                lines.append(f"• 负费率，空头占优但未极端")
+
+        # 持仓量
+        oi = market_data.get('open_interest', {})
+        if oi:
+            lines.append(f"\n### 持仓量")
+            lines.append(f"• 当前持仓: {oi.get('open_interest', 0):,.0f} 张")
+            lines.append(f"• 持仓金额: ${oi.get('open_interest_value', 0):,.0f}")
+
+        # 持仓量变化
+        oi_change = market_data.get('oi_change_percent_24h', 0)
+        if oi_change != 0:
+            lines.append(f"• 24h变化: {oi_change:+.2f}%")
+            if oi_change > 10:
+                lines.append(f"• ⚠️ 持仓大幅增加，资金加速流入")
+            elif oi_change < -10:
+                lines.append(f"• ⚠️ 持仓大幅减少，资金加速流出")
+
+        # 溢价率
+        premium = market_data.get('premium_rate', 0)
+        if premium != 0:
+            lines.append(f"\n### 溢价分析")
+            lines.append(f"• 现货溢价: {premium:+.2f}%")
+            if premium > 1:
+                lines.append(f"• ⚠️ 高溢价，市场过热")
+            elif premium < -1:
+                lines.append(f"• ⚠️ 负溢价，市场偏冷")
+
+        return "\n".join(lines)
+
 
 # 全局实例
 binance_service = BinanceService()

scripts/test_futures_data.py

@@ -0,0 +1,80 @@
+#!/usr/bin/env python3
+"""
+测试合约市场数据获取
+"""
+import sys
+import os
+
+# 确保路径正确
+script_dir = os.path.dirname(os.path.abspath(__file__))
+project_root = os.path.dirname(script_dir)
+backend_dir = os.path.join(project_root, 'backend')
+sys.path.insert(0, backend_dir)
+
+from app.services.binance_service import binance_service
+
+
+def main():
+    print("=" * 60)
+    print("📊 测试 Binance 合约市场数据获取")
+    print("=" * 60)
+
+    symbols = ['BTCUSDT', 'ETHUSDT']
+
+    for symbol in symbols:
+        print(f"\n{'='*60}")
+        print(f"📈 {symbol} 合约市场数据")
+        print(f"{'='*60}")
+
+        # 1. 获取资金费率
+        print(f"\n🔍 获取资金费率...")
+        funding_rate = binance_service.get_funding_rate(symbol)
+        if funding_rate:
+            print(f"✅ 资金费率: {funding_rate['funding_rate_percent']:.4f}%")
+            print(f"   市场情绪: {funding_rate['sentiment']}")
+            print(f"   标记价格: ${funding_rate['mark_price']:,.2f}")
+            print(f"   指数价格: ${funding_rate['index_price']:,.2f}")
+
+        # 2. 获取持仓量
+        print(f"\n🔍 获取持仓量...")
+        open_interest = binance_service.get_open_interest(symbol)
+        if open_interest:
+            print(f"✅ 持仓量: {open_interest['open_interest']:,.0f} 张")
+            print(f"   持仓金额: ${open_interest['open_interest_value']:,.0f}")
+
+        # 3. 获取历史持仓量
+        print(f"\n🔍 获取历史持仓量（计算24h变化）...")
+        hist_oi = binance_service.get_open_interest_hist(symbol, period='1h', limit=24)
+        if hist_oi and len(hist_oi) >= 2:
+            oi_now = float(hist_oi[0].get('sumOpenInterest', 0))
+            oi_24h = float(hist_oi[-1].get('sumOpenInterest', 0))
+            oi_change = oi_now - oi_24h
+            oi_change_pct = (oi_change / oi_24h * 100) if oi_24h > 0 else 0
+            print(f"✅ 24h前: {oi_24h:,.0f} 张")
+            print(f"   当前: {oi_now:,.0f} 张")
+            print(f"   变化: {oi_change:+,.0f} 张 ({oi_change_pct:+.2f}%)")
+
+        # 4. 获取综合数据
+        print(f"\n🔍 获取综合合约数据...")
+        market_data = binance_service.get_futures_market_data(symbol)
+        if market_data:
+            print(f"✅ 综合数据获取成功")
+            print(f"   资金费率: {market_data['funding_rate']['funding_rate_percent']:.4f}%")
+            print(f"   持仓24h变化: {market_data['oi_change_percent_24h']:+.2f}%")
+            print(f"   溢价率: {market_data['premium_rate']:+.2f}%")
+            print(f"   市场情绪: {market_data['market_sentiment']}")
+
+        # 5. 格式化给 LLM 的数据
+        print(f"\n🤖 格式化给 LLM 的数据:")
+        print(f"{'─'*60}")
+        if market_data:
+            formatted = binance_service.format_futures_data_for_llm(symbol, market_data)
+            print(formatted)
+
+    print("\n" + "=" * 60)
+    print("✅ 测试完成")
+    print("=" * 60)
+
+
+if __name__ == "__main__":
+    main()