uopdate
This commit is contained in:
aaron
parent
9924736990
commit
9fefca848e
@ -130,7 +130,7 @@ class Settings(BaseSettings):
|
||||
# 模拟交易配置
|
||||
paper_trading_enabled: bool = True # 是否启用模拟交易
|
||||
paper_trading_initial_balance: float = 10000 # 初始本金 (USDT)
|
||||
paper_trading_leverage: int = 20 # 单笔订单杠杆倍数
|
||||
paper_trading_leverage: int = 10 # 单笔订单杠杆倍数（从20改为10）
|
||||
paper_trading_max_total_leverage: float = 10 # 总杠杆上限（持仓+挂单，倍数）
|
||||
paper_trading_margin_per_order: float = 1000 # 每单保证金 (USDT)
|
||||
paper_trading_max_orders: int = 10 # 最大持仓+挂单总数
|
||||
@ -164,6 +164,10 @@ class Settings(BaseSettings):
|
||||
bitget_max_single_position: float = 1000 # 单笔最大持仓金额 (USDT)
|
||||
bitget_max_total_leverage: float = 10 # 总杠杆上限（倍数）
|
||||
|
||||
# 账户级止损（所有平台通用）
|
||||
account_max_drawdown: float = 0.25 # 账户最大回撤（25%），超过则停止交易并平仓
|
||||
account_drawdown_alert: float = 0.15 # 回撤警告阈值（15%），触发告警通知
|
||||
|
||||
# Agent 模型配置 (可选值: zhipu, deepseek)
|
||||
smart_agent_model: str = "deepseek" # SmartAgent 使用的模型
|
||||
crypto_agent_model: str = "deepseek" # CryptoAgent 使用的模型
|
||||
|
||||
@ -449,6 +449,14 @@ class CryptoAgent:
|
||||
logger.info(f"⏰ 定时任务执行 [{run_time.strftime('%Y-%m-%d %H:%M:%S')}]")
|
||||
logger.info("=" * 60)
|
||||
|
||||
# 1. 首先检查账户级止损（所有平台）
|
||||
should_stop, stop_reason = await self._check_account_level_stop_loss()
|
||||
if should_stop:
|
||||
logger.error(f"🚨 {stop_reason}")
|
||||
# 触发账户级止损，停止所有交易
|
||||
self.running = False
|
||||
break
|
||||
|
||||
# 检查并取消超时挂单（在分析开始前）
|
||||
cancelled = self.paper_trading.check_and_cancel_expired_orders()
|
||||
if cancelled:
|
||||
@ -2129,16 +2137,16 @@ class CryptoAgent:
|
||||
Returns:
|
||||
(margin, reason) - 保证金金额和原因
|
||||
"""
|
||||
# 基础保证金比例（根据信号强度）
|
||||
# 基础保证金比例（超激进配置 - 最大化资金利用率）
|
||||
confidence = signal.get('confidence', 50)
|
||||
if confidence >= 90:
|
||||
base_margin_pct = 0.03 # A级: 3%
|
||||
base_margin_pct = 0.20 # A级: 20% (重仓出击)
|
||||
grade = 'A'
|
||||
elif confidence >= 70:
|
||||
base_margin_pct = 0.02 # B级: 2%
|
||||
base_margin_pct = 0.15 # B级: 15% (中仓跟进)
|
||||
grade = 'B'
|
||||
else:
|
||||
base_margin_pct = 0.01 # C级: 1%
|
||||
base_margin_pct = 0.08 # C级: 8% (轻仓试探)
|
||||
grade = 'C'
|
||||
|
||||
# 可用保证金
|
||||
@ -2576,7 +2584,8 @@ class CryptoAgent:
|
||||
return {"success": False, "error": f"仓位计算结果 {contracts} 张，低于最小下单量 1 张"}
|
||||
|
||||
# 设置杠杆
|
||||
leverage = min(decision.get('leverage', 5), 10)
|
||||
# 设置杠杆 (默认10x，最大10x)
|
||||
leverage = min(decision.get('leverage', 10), 10)
|
||||
self.bitget.update_leverage(symbol, leverage)
|
||||
|
||||
# 下单
|
||||
@ -3521,6 +3530,159 @@ class CryptoAgent:
|
||||
except Exception as e:
|
||||
logger.error(f"检查挂单超时失败: {e}")
|
||||
|
||||
async def _check_account_level_stop_loss(self) -> tuple[bool, str]:
|
||||
"""
|
||||
检查账户级止损（所有平台通用）
|
||||
|
||||
Returns:
|
||||
(should_stop, reason) - 是否应该停止交易，以及原因
|
||||
"""
|
||||
try:
|
||||
max_drawdown = self.settings.account_max_drawdown
|
||||
alert_threshold = self.settings.account_drawdown_alert
|
||||
alerts = []
|
||||
|
||||
# 检查所有平台
|
||||
platforms_to_check = []
|
||||
|
||||
# 添加模拟盘
|
||||
if self.paper_trading:
|
||||
platforms_to_check.append(('模拟盘', self.paper_trading))
|
||||
|
||||
# 添加 Bitget 实盘
|
||||
if self.bitget and self.settings.bitget_use_testnet:
|
||||
platforms_to_check.append(('Bitget', self.bitget))
|
||||
|
||||
# 添加 Hyperliquid 实盘
|
||||
if self.hyperliquid:
|
||||
platforms_to_check.append(('Hyperliquid', self.hyperliquid))
|
||||
|
||||
for platform_name, platform_service in platforms_to_check:
|
||||
try:
|
||||
# 获取账户状态
|
||||
if hasattr(platform_service, 'get_account_state'):
|
||||
account_state = platform_service.get_account_state()
|
||||
elif hasattr(platform_service, 'get_balance'):
|
||||
account_state = platform_service.get_balance()
|
||||
else:
|
||||
logger.warning(f"[{platform_name}] 无法获取账户状态")
|
||||
continue
|
||||
|
||||
initial_balance = account_state.get('initial_balance', account_state.get('current_balance', 0))
|
||||
current_balance = account_state.get('current_balance', account_state.get('balance', 0))
|
||||
|
||||
if initial_balance <= 0 or current_balance <= 0:
|
||||
continue
|
||||
|
||||
# 计算回撤
|
||||
drawdown = (initial_balance - current_balance) / initial_balance
|
||||
drawdown_pct = drawdown * 100
|
||||
|
||||
logger.info(f"📊 [{platform_name}] 账户状态: "
|
||||
f"初始 ${initial_balance:.2f} → 当前 ${current_balance:.2f} "
|
||||
f"(回撤 {drawdown_pct:.2f}%)")
|
||||
|
||||
# 检查是否触发警告
|
||||
if drawdown >= alert_threshold and drawdown < max_drawdown:
|
||||
warning_msg = (f"⚠️ [{platform_name}] 账户回撤警告: {drawdown_pct:.2f}% "
|
||||
f"(警告线 {alert_threshold*100:.0f}%, 止损线 {max_drawdown*100:.0f}%)")
|
||||
logger.warning(warning_msg)
|
||||
alerts.append((platform_name, 'warning', warning_msg, drawdown_pct))
|
||||
|
||||
# 检查是否触发止损
|
||||
elif drawdown >= max_drawdown:
|
||||
critical_msg = (f"🚨 [{platform_name}] 触发账户级止损: "
|
||||
f"回撤 {drawdown_pct:.2f}% >= 止损线 {max_drawdown*100:.0f}%")
|
||||
logger.error(critical_msg)
|
||||
|
||||
# 立即平掉所有持仓
|
||||
await self._emergency_close_all_positions(platform_name, platform_service)
|
||||
|
||||
return True, critical_msg
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"[{platform_name}] 检查账户止损失败: {e}")
|
||||
continue
|
||||
|
||||
# 发送警告通知（如果有）
|
||||
if alerts:
|
||||
for platform_name, level, msg, drawdown_pct in alerts:
|
||||
await self._send_alert_notification(
|
||||
f"⚠️ [{platform_name}] 账户回撤警告",
|
||||
f"回撤: {drawdown_pct:.2f}%\n"
|
||||
f"警告线: {alert_threshold*100:.0f}%\n"
|
||||
f"止损线: {max_drawdown*100:.0f}%\n\n"
|
||||
f"请密切监控账户风险！"
|
||||
)
|
||||
|
||||
return False, ""
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"检查账户级止损失败: {e}")
|
||||
return False, ""
|
||||
|
||||
async def _emergency_close_all_positions(self, platform_name: str, platform_service):
|
||||
"""
|
||||
紧急平掉所有持仓（账户级止损触发时调用）
|
||||
|
||||
Args:
|
||||
platform_name: 平台名称
|
||||
platform_service: 平台服务实例
|
||||
"""
|
||||
try:
|
||||
logger.info(f"🚨 [{platform_name}] 执行紧急平仓...")
|
||||
|
||||
# 获取所有持仓
|
||||
if hasattr(platform_service, 'get_all_positions'):
|
||||
positions = platform_service.get_all_positions()
|
||||
elif hasattr(platform_service, 'get_open_positions'):
|
||||
positions = platform_service.get_open_positions()
|
||||
else:
|
||||
logger.warning(f"[{platform_name}] 无法获取持仓列表")
|
||||
return
|
||||
|
||||
if not positions:
|
||||
logger.info(f"[{platform_name}] 无持仓，无需平仓")
|
||||
return
|
||||
|
||||
logger.info(f"[{platform_name}] 需要平仓 {len(positions)} 个持仓")
|
||||
|
||||
# 逐个平仓
|
||||
closed_count = 0
|
||||
for pos in positions:
|
||||
try:
|
||||
symbol = pos.get('symbol', pos.get('coin', ''))
|
||||
|
||||
if hasattr(platform_service, 'market_close_position'):
|
||||
result = platform_service.market_close_position(symbol)
|
||||
elif hasattr(platform_service, 'close_position'):
|
||||
result = platform_service.close_position(symbol)
|
||||
else:
|
||||
logger.warning(f"[{platform_name}] 无法平仓 {symbol}: 无平仓方法")
|
||||
continue
|
||||
|
||||
if result and result.get('success', False):
|
||||
closed_count += 1
|
||||
logger.info(f" ✅ 平仓成功: {symbol}")
|
||||
else:
|
||||
logger.error(f" ❌ 平仓失败: {symbol} - {result.get('message', '')}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f" ❌ 平仓异常: {symbol} - {e}")
|
||||
|
||||
# 发送紧急通知
|
||||
await self._send_alert_notification(
|
||||
f"🚨 [{platform_name}] 紧急平仓完成",
|
||||
f"触发原因: 账户回撤超过 {self.settings.account_max_drawdown*100:.0f}%\n"
|
||||
f"平仓数量: {closed_count}/{len(positions)}\n\n"
|
||||
f"⚠️ 交易系统已停止，请人工检查账户！"
|
||||
)
|
||||
|
||||
logger.info(f"🚨 [{platform_name}] 紧急平仓完成: {closed_count}/{len(positions)}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"紧急平仓失败: {e}")
|
||||
|
||||
async def _check_position_management_all_platforms(self):
|
||||
"""检查各平台的持仓管理（止盈/止损/移动止损）"""
|
||||
try:
|
||||
@ -3592,11 +3754,31 @@ class CryptoAgent:
|
||||
elif action == 'MOVE_SL':
|
||||
# 移动止损
|
||||
new_sl = action_info.get('new_sl')
|
||||
pnl_pct = action_info.get('pnl_pct', 0) # 从 action_info 获取盈亏百分比
|
||||
|
||||
if new_sl:
|
||||
# 这里需要调用平台的移动止损方法
|
||||
# 具体实现取决于各平台 API
|
||||
logger.info(f" ✅ 建议移动止损: {symbol} → ${new_sl:.2f}")
|
||||
# 暂时只记录， pass
|
||||
# 调用执行器的移动止损方法
|
||||
move_result = await executor.move_stop_loss(
|
||||
symbol=symbol,
|
||||
new_stop_loss=new_sl
|
||||
)
|
||||
|
||||
if move_result.get('success'):
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_sl:.2f}")
|
||||
await self._send_alert_notification(
|
||||
f"🔒 [{platform_name}] 移动止损",
|
||||
f"交易对: {symbol}\n新止损: ${new_sl:.2f}\n原因: {reason}"
|
||||
)
|
||||
|
||||
# 发送飞书通知
|
||||
await executor.send_execution_notification(
|
||||
operation='POSITION_MANAGEMENT',
|
||||
symbol=symbol,
|
||||
result={'success': True, 'action': 'MOVE_SL', 'reason': reason},
|
||||
details={'new_sl': new_sl, 'pnl_percent': pnl_pct}
|
||||
)
|
||||
else:
|
||||
logger.warning(f" ⚠️ 移动止损失败: {move_result.get('message')}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"检查持仓管理失败: {e}")
|
||||
|
||||
355
backend/app/crypto_agent/executor/AGGRESSIVE_CONFIG.md
Normal file
355
backend/app/crypto_agent/executor/AGGRESSIVE_CONFIG.md
Normal file
@ -0,0 +1,355 @@
|
||||
# 超激进配置 - 最大化资金利用率
|
||||
UPDATED: 2026-03-28
|
||||
|
||||
## 🚀 配置概览
|
||||
|
||||
### 仓位比例（超激进）
|
||||
|
||||
| 信号等级 | 置信度范围 | 保证金比例 | $1000账户保证金 | 10x杠杆仓位 | 资金利用率 |
|
||||
|---------|----------|----------|---------------|-----------|-----------|
|
||||
| **A级** | ≥90分 | **20%** | $200 | $2,000 | **极高** 🔥 |
|
||||
| **B级** | 70-89分 | **15%** | $150 | $1,500 | **高** 🔥 |
|
||||
| **C级** | <70分 | **8%** | $80 | $800 | **中** |
|
||||
|
||||
### 杠杆配置
|
||||
|
||||
| 平台 | 单笔杠杆 | 总杠杆上限 | 说明 |
|
||||
|------|---------|----------|------|
|
||||
| **所有平台** | 10x | 10x | 最大化杠杆效应 |
|
||||
|
||||
### 账户级止损
|
||||
|
||||
| 阈值类型 | 触发条件 | 动作 |
|
||||
|---------|---------|------|
|
||||
| **警告阈值** | 回撤 ≥ 15% | ⚠️ 发送警告通知，继续交易 |
|
||||
| **止损阈值** | 回撤 ≥ 25% | 🚨 **立即平仓 + 停止交易** |
|
||||
|
||||
---
|
||||
|
||||
## 💰 收益潜力分析
|
||||
|
||||
### 单次交易收益（+3%盈利）
|
||||
|
||||
| 信号等级 | 保证金 | 杠杆 | 持仓价值 | +3%盈利 | 收益率 |
|
||||
|---------|--------|-----|---------|---------|-------|
|
||||
| **A级** | $200 | 10x | $2,000 | +$60 | **+6.0%** 🚀 |
|
||||
| **B级** | $150 | 10x | $1,500 | +$45 | **+4.5%** |
|
||||
| **C级** | $80 | 10x | $800 | +$24 | **+2.4%** |
|
||||
|
||||
### 与保守配置对比
|
||||
|
||||
| 配置类型 | A级单次+3% | A级5次盈利 | 资金利用率 |
|
||||
|---------|-----------|----------|-----------|
|
||||
| **保守型** (3%仓位, 5x) | +$4.5 (0.45%) | +$22.5 (2.25%) | 低 |
|
||||
| **激进型** (10%仓位, 10x) | +$30 (3.0%) | +$150 (15%) | 中 |
|
||||
| **超激进型** (20%仓位, 10x) | **+$60 (6.0%)** | **+$300 (30%)** 🚀 | **极高** |
|
||||
|
||||
**超激进配置收益是保守配置的 13.3 倍！**
|
||||
|
||||
---
|
||||
|
||||
## ⚠️ 风险分析
|
||||
|
||||
### 单笔最大亏损（-3%止损）
|
||||
|
||||
| 信号等级 | 保证金 | 杠杆 | 持仓价值 | -3%亏损 | 占总资金% |
|
||||
|---------|--------|-----|---------|---------|----------|
|
||||
| **A级** | $200 | 10x | $2,000 | -$60 | **-6.0%** ⚠️ |
|
||||
| **B级** | $150 | 10x | $1,500 | -$45 | **-4.5%** |
|
||||
| **C级** | $80 | 10x | $800 | -$24 | **-2.4%** |
|
||||
|
||||
### 连续亏损场景
|
||||
|
||||
| 连续亏损次数 | A级信号累计亏损 | 占总资金% | 触发警告? | 触发止损? |
|
||||
|------------|---------------|----------|----------|----------|
|
||||
| **3次** | -$180 | -18% | ⚠️ 是 | 否 |
|
||||
| **4次** | -$240 | -24% | ⚠️ 是 | 🚨 是（即将） |
|
||||
| **5次** | -$300 | -30% | - | 🚨 **触发止损** |
|
||||
|
||||
### 回撤风险
|
||||
|
||||
**假设场景**: 10次交易，40%胜率，平均盈利+3%，平均亏损-3%
|
||||
|
||||
```
|
||||
盈利: 4次 × $60 = +$240
|
||||
亏损: 6次 × $60 = -$360
|
||||
净收益: -$120 (-12%)
|
||||
最大回撤峰值: ~25% ⚠️ (触发止损边缘)
|
||||
```
|
||||
|
||||
**结论**: 如果信号质量不高（胜率<50%），超激进配置风险极大！
|
||||
|
||||
---
|
||||
|
||||
## 🛡️ 账户级止损保护
|
||||
|
||||
### 触发条件
|
||||
|
||||
```python
|
||||
# 计算回撤
|
||||
initial_balance = $10,000 # 初始资金
|
||||
current_balance = $7,500 # 当前资金
|
||||
drawdown = ($10,000 - $7,500) / $10,000 = 25%
|
||||
|
||||
if drawdown >= 25%:
|
||||
# 🚨 触发账户级止损
|
||||
# 1. 立即平掉所有持仓
|
||||
# 2. 停止交易系统
|
||||
# 3. 发送紧急通知
|
||||
```
|
||||
|
||||
### 实现逻辑
|
||||
|
||||
**位置**: `crypto_agent.py` 主循环
|
||||
|
||||
```python
|
||||
# 每轮循环开始时检查
|
||||
async def run(self):
|
||||
while self.running:
|
||||
# 1. 检查账户级止损
|
||||
should_stop, reason = await self._check_account_level_stop_loss()
|
||||
if should_stop:
|
||||
logger.error(f"🚨 {reason}")
|
||||
self.running = False
|
||||
break
|
||||
|
||||
# 2. 正常交易逻辑
|
||||
for symbol in symbols:
|
||||
await self.analyze_symbol(symbol)
|
||||
```
|
||||
|
||||
### 检查逻辑
|
||||
|
||||
```python
|
||||
async def _check_account_level_stop_loss(self):
|
||||
"""检查所有平台账户回撤"""
|
||||
|
||||
for platform_name, platform_service in platforms:
|
||||
# 获取账户状态
|
||||
account_state = platform_service.get_account_state()
|
||||
initial_balance = account_state['initial_balance']
|
||||
current_balance = account_state['current_balance']
|
||||
|
||||
# 计算回撤
|
||||
drawdown = (initial_balance - current_balance) / initial_balance
|
||||
|
||||
# 检查警告阈值 (15%)
|
||||
if drawdown >= 0.15 and drawdown < 0.25:
|
||||
await send_alert(f"⚠️ 回撤警告: {drawdown*100:.1f}%")
|
||||
|
||||
# 检查止损阈值 (25%)
|
||||
elif drawdown >= 0.25:
|
||||
await self._emergency_close_all_positions(platform_name, platform_service)
|
||||
return True, f"触发账户级止损: 回撤 {drawdown*100:.1f}%"
|
||||
|
||||
return False, ""
|
||||
```
|
||||
|
||||
### 紧急平仓流程
|
||||
|
||||
```
|
||||
1. 获取所有持仓
|
||||
2. 逐个平仓（市价单）
|
||||
3. 发送紧急通知（飞书/Telegram/钉钉）
|
||||
4. 停止交易系统
|
||||
5. 等待人工干预
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 📊 适用场景
|
||||
|
||||
### ✅ 适合使用超激进配置
|
||||
|
||||
1. **小资金账户** (< $5,000)
|
||||
- 目标: 快速增值
|
||||
- 风险承受能力强
|
||||
- 可以承受较大回撤
|
||||
|
||||
2. **高质量信号源**
|
||||
- 信号胜率 > 60%
|
||||
- 平均盈亏比 > 1.5
|
||||
- 信号质量稳定
|
||||
|
||||
3. **有止损保护**
|
||||
- 已设置账户级止损
|
||||
- 有风险监控系统
|
||||
- 能及时干预
|
||||
|
||||
### ❌ 不适合使用超激进配置
|
||||
|
||||
1. **大资金账户** (> $50,000)
|
||||
- 单笔亏损金额过大
|
||||
- 流动性风险
|
||||
- 心理压力大
|
||||
|
||||
2. **信号质量不稳定**
|
||||
- 胜率波动大
|
||||
- 信号源未验证
|
||||
- 回测数据不足
|
||||
|
||||
3. **风险厌恶者**
|
||||
- 无法承受-25%回撤
|
||||
- 心理压力大
|
||||
- 影响正常交易决策
|
||||
|
||||
---
|
||||
|
||||
## 🎯 实战建议
|
||||
|
||||
### 1. 渐进式启用
|
||||
|
||||
```python
|
||||
# 第1周: 测试配置（模拟盘）
|
||||
- 验证信号质量
|
||||
- 观察最大回撤
|
||||
- 调整参数
|
||||
|
||||
# 第2周: 小资金实盘（$1000-2000）
|
||||
- 真实市场测试
|
||||
- 验证止损逻辑
|
||||
- 心理压力测试
|
||||
|
||||
# 第3-4周: 逐步增加资金
|
||||
- 表现好 → 增加到 $5000
|
||||
- 表现差 → 降级到激进配置
|
||||
```
|
||||
|
||||
### 2. 动态调整
|
||||
|
||||
```python
|
||||
def get_dynamic_margin_pct(confidence, recent_performance):
|
||||
"""根据近期表现动态调整仓位"""
|
||||
|
||||
base_pct = {
|
||||
'A': 0.20,
|
||||
'B': 0.15,
|
||||
'C': 0.08
|
||||
}
|
||||
|
||||
win_rate_7d = recent_performance.get('win_rate_7d', 0.5)
|
||||
|
||||
# 表现不佳，降低仓位
|
||||
if win_rate_7d < 0.4:
|
||||
return base_pct * 0.5 # 减半
|
||||
|
||||
# 表现优秀，保持仓位
|
||||
elif win_rate_7d > 0.7:
|
||||
return base_pct * 1.0 # 保持
|
||||
|
||||
else:
|
||||
return base_pct * 0.8 # 略降
|
||||
```
|
||||
|
||||
### 3. 监控指标
|
||||
|
||||
**每日监控**:
|
||||
- 当前回撤百分比
|
||||
- 总杠杆使用情况
|
||||
- 持仓盈亏分布
|
||||
|
||||
**每周监控**:
|
||||
- 胜率和盈亏比
|
||||
- 最大回撤峰值
|
||||
- 信号质量分析
|
||||
|
||||
**每月监控**:
|
||||
- 总收益率
|
||||
- 夏普比率
|
||||
- 最大连续亏损次数
|
||||
|
||||
---
|
||||
|
||||
## 🔧 配置文件
|
||||
|
||||
### config.py
|
||||
|
||||
```python
|
||||
class Settings(BaseSettings):
|
||||
# 账户级止损（所有平台通用）
|
||||
account_max_drawdown: float = 0.25 # 最大回撤25%
|
||||
account_drawdown_alert: float = 0.15 # 警告阈值15%
|
||||
```
|
||||
|
||||
### crypto_agent.py
|
||||
|
||||
```python
|
||||
def _calculate_position_size(self, signal, account, platform_name):
|
||||
"""超激进仓位配置"""
|
||||
confidence = signal.get('confidence', 50)
|
||||
|
||||
if confidence >= 90:
|
||||
base_margin_pct = 0.20 # A级: 20%
|
||||
grade = 'A'
|
||||
elif confidence >= 70:
|
||||
base_margin_pct = 0.15 # B级: 15%
|
||||
grade = 'B'
|
||||
else:
|
||||
base_margin_pct = 0.08 # C级: 8%
|
||||
grade = 'C'
|
||||
|
||||
margin = account['available'] * base_margin_pct
|
||||
return margin, f"信号{grade}级 → {base_margin_pct*100}%保证金"
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 📝 检查清单
|
||||
|
||||
### 部署前检查
|
||||
- [x] 修改仓位比例为20%/15%/8%
|
||||
- [x] 添加账户级止损配置（25%）
|
||||
- [x] 添加警告阈值配置（15%）
|
||||
- [x] 实现账户止损检查逻辑
|
||||
- [x] 实现紧急平仓功能
|
||||
- [x] 添加飞书通知
|
||||
- [x] 创建配置文档
|
||||
|
||||
### 部署后监控
|
||||
- [ ] 观察首次A级信号开仓
|
||||
- [ ] 验证账户止损计算准确
|
||||
- [ ] 测试警告通知发送
|
||||
- [ ] 模拟触发止损场景
|
||||
- [ ] 记录实际回撤数据
|
||||
- [ ] 调整参数优化
|
||||
|
||||
---
|
||||
|
||||
## 🚨 紧急情况处理
|
||||
|
||||
### 如果触发账户止损
|
||||
|
||||
1. **系统自动操作**:
|
||||
- ✅ 已平掉所有持仓
|
||||
- ✅ 已停止交易系统
|
||||
- ✅ 已发送紧急通知
|
||||
|
||||
2. **人工干预**:
|
||||
```bash
|
||||
# 1. 检查账户状态
|
||||
python scripts/check_account_status.py
|
||||
|
||||
# 2. 分析止损原因
|
||||
python scripts/analyze_stop_loss.py --days 7
|
||||
|
||||
# 3. 调整配置
|
||||
# 修改 config.py 中的参数
|
||||
|
||||
# 4. 重启系统（谨慎！）
|
||||
python main.py
|
||||
```
|
||||
|
||||
3. **复盘分析**:
|
||||
- 检查信号质量
|
||||
- 分析亏损原因
|
||||
- 优化策略参数
|
||||
- 考虑降级配置
|
||||
|
||||
---
|
||||
|
||||
## 相关文档
|
||||
|
||||
- [杠杆配置详解](./LEVERAGE_CONFIGURATION.md)
|
||||
- [仓位配置策略](./POSITION_SIZING_STRATEGY.md)
|
||||
- [移动止损功能](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
- [功能完成总结](./FEATURE_SUMMARY.md)
|
||||
197
backend/app/crypto_agent/executor/CONFIG_UPDATE_2026-03-28.md
Normal file
197
backend/app/crypto_agent/executor/CONFIG_UPDATE_2026-03-28.md
Normal file
@ -0,0 +1,197 @@
|
||||
# 配置更新总结 (2026-03-28)
|
||||
CREATED: 2026-03-28
|
||||
|
||||
## 🔥 超激进配置已启用
|
||||
|
||||
### ✅ 已完成的修改
|
||||
|
||||
| 配置项 | 修改前 | 修改后 | 变化 |
|
||||
|--------|--------|--------|------|
|
||||
| **A级仓位** | 3% | **20%** | **+567%** 🚀 |
|
||||
| **B级仓位** | 2% | **15%** | **+650%** |
|
||||
| **C级仓位** | 1% | **8%** | **+700%** |
|
||||
| **单笔杠杆** | 5-20x | **10x** | 统一 |
|
||||
| **账户止损** | 无 | **25%** | 新增 🛡️ |
|
||||
| **警告阈值** | 无 | **15%** | 新增 ⚠️ |
|
||||
|
||||
---
|
||||
|
||||
## 📊 新配置 vs 旧配置
|
||||
|
||||
### 资金利用效率对比
|
||||
|
||||
**$1000账户, A级信号**:
|
||||
|
||||
| 配置 | 保证金 | 杠杆 | 持仓价值 | +3%盈利 | 收益率 |
|
||||
|------|--------|-----|---------|---------|-------|
|
||||
| **旧配置** | $30 | 5x | $150 | +$4.5 | +0.45% |
|
||||
| **新配置** | $200 | 10x | $2,000 | **+$60** | **+6.0%** 🚀 |
|
||||
|
||||
**收益提升**: **13.3倍**
|
||||
|
||||
### 10次交易后的差异（60%胜率）
|
||||
|
||||
| 配置类型 | 盈利(6次) | 亏损(4次) | 净收益 | ROI |
|
||||
|---------|----------|----------|-------|-----|
|
||||
| **旧配置** | +$27 | -$18 | +$9 | **+0.9%** |
|
||||
| **新配置** | +$360 | -$240 | **+$120** | **+12%** 🚀 |
|
||||
|
||||
---
|
||||
|
||||
## 🛡️ 风险控制机制
|
||||
|
||||
### 1. 账户级止损 (25%)
|
||||
|
||||
```
|
||||
初始资金: $10,000
|
||||
当前资金: $7,500
|
||||
回撤: ($10,000 - $7,500) / $10,000 = 25% ✅ 触发止损
|
||||
|
||||
动作:
|
||||
1. 🚨 立即平掉所有持仓
|
||||
2. 🛑 停止交易系统
|
||||
3. 📢 发送紧急通知
|
||||
```
|
||||
|
||||
### 2. 警告阈值 (15%)
|
||||
|
||||
```
|
||||
初始资金: $10,000
|
||||
当前资金: $8,500
|
||||
回撤: 15% ✅ 触发警告
|
||||
|
||||
动作:
|
||||
1. ⚠️ 发送警告通知
|
||||
2. ✅ 继续交易
|
||||
3. 📊 密切监控
|
||||
```
|
||||
|
||||
### 3. 总杠杆限制 (10x)
|
||||
|
||||
```
|
||||
账户余额: $1,000
|
||||
当前持仓价值: $9,500
|
||||
当前总杠杆: 9.5x
|
||||
|
||||
新信号保证金: $200
|
||||
新持仓价值: $2,000
|
||||
预计总杠杆: ($9,500 + $2,000) / $1,000 = 11.5x ❌ 拒绝
|
||||
|
||||
原因: "已达最大杠杆 9.5x/10x"
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 🎯 使用场景
|
||||
|
||||
### ✅ 适合超激进配置
|
||||
|
||||
1. **小资金** (< $5,000) - 快速增值
|
||||
2. **高质量信号** (胜率 > 60%)
|
||||
3. **有止损保护** - 账户级25%止损
|
||||
|
||||
### ❌ 不适合超激进配置
|
||||
|
||||
1. **大资金** (> $50,000) - 单笔亏损过大
|
||||
2. **信号质量不稳定** - 胜率波动大
|
||||
3. **风险厌恶者** - 无法承受-25%回撤
|
||||
|
||||
---
|
||||
|
||||
## 📈 监控指标
|
||||
|
||||
### 实时监控（每5分钟）
|
||||
|
||||
- [x] 检查账户回撤
|
||||
- [x] 检查总杠杆
|
||||
- [x] 检查持仓盈亏
|
||||
|
||||
### 每日报告
|
||||
|
||||
- 当前回撤百分比
|
||||
- 当日盈亏
|
||||
- 信号质量统计
|
||||
|
||||
### 每周分析
|
||||
|
||||
- 胜率和盈亏比
|
||||
- 最大回撤峰值
|
||||
- 策略表现评估
|
||||
|
||||
---
|
||||
|
||||
## 🔧 配置文件位置
|
||||
|
||||
### 1. 仓位比例
|
||||
**文件**: `crypto_agent.py:2132-2142`
|
||||
|
||||
```python
|
||||
if confidence >= 90:
|
||||
base_margin_pct = 0.20 # A级: 20%
|
||||
elif confidence >= 70:
|
||||
base_margin_pct = 0.15 # B级: 15%
|
||||
else:
|
||||
base_margin_pct = 0.08 # C级: 8%
|
||||
```
|
||||
|
||||
### 2. 杠杆配置
|
||||
**文件**: `config.py:133`
|
||||
|
||||
```python
|
||||
paper_trading_leverage: int = 10 # 10x杠杆
|
||||
```
|
||||
|
||||
### 3. 账户止损
|
||||
**文件**: `config.py:165-166`
|
||||
|
||||
```python
|
||||
account_max_drawdown: float = 0.25 # 最大回撤25%
|
||||
account_drawdown_alert: float = 0.15 # 警告阈值15%
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 📝 相关文档
|
||||
|
||||
1. **[AGGRESSIVE_CONFIG.md](./AGGRESSIVE_CONFIG.md)** - 超激进配置完整文档
|
||||
2. **[LEVERAGE_CONFIGURATION.md](./LEVERAGE_CONFIGURATION.md)** - 杠杆配置详解
|
||||
3. **[POSITION_SIZING_STRATEGY.md](./POSITION_SIZING_STRATEGY.md)** - 仓位策略对比
|
||||
4. **[FEATURE_SUMMARY.md](./FEATURE_SUMMARY.md)** - 所有功能总结
|
||||
|
||||
---
|
||||
|
||||
## ⚠️ 重要提醒
|
||||
|
||||
### 1. 风险警告
|
||||
|
||||
**超激进配置风险极大**:
|
||||
- 单笔最大亏损: -6% (A级信号)
|
||||
- 5次连续亏损: -30% (触发止损)
|
||||
- 需要严格止损纪律
|
||||
|
||||
### 2. 建议
|
||||
|
||||
**第1周**:
|
||||
- 使用模拟盘测试
|
||||
- 观察最大回撤
|
||||
- 验证信号质量
|
||||
|
||||
**第2-4周**:
|
||||
- 小资金实盘 ($1000-2000)
|
||||
- 监控账户回撤
|
||||
- 根据表现调整
|
||||
|
||||
**长期**:
|
||||
- 表现好 → 保持配置
|
||||
- 表现差 → 降级到平衡型
|
||||
- 定期复盘优化
|
||||
|
||||
---
|
||||
|
||||
## 🚀 下一步
|
||||
|
||||
- [ ] 回测验证新配置效果
|
||||
- [ ] 模拟盘测试1周
|
||||
- [ ] 实盘小资金测试
|
||||
- [ ] 监控实际回撤数据
|
||||
- [ ] 根据实际表现微调
|
||||
272
backend/app/crypto_agent/executor/FEATURE_SUMMARY.md
Normal file
272
backend/app/crypto_agent/executor/FEATURE_SUMMARY.md
Normal file
@ -0,0 +1,272 @@
|
||||
# 执行器移动止损 + 飞书通知完成总结
|
||||
CREATED: 2026-03-28
|
||||
|
||||
## ✅ 已完成的功能
|
||||
|
||||
### 1. 飞书通知集成
|
||||
|
||||
所有交易执行操作现在都会自动发送飞书通知：
|
||||
|
||||
#### 修改的文件
|
||||
- [base_executor.py](./base_executor.py) - 添加基类通知方法
|
||||
- [bitget_executor.py](./bitget_executor.py) - Bitget 平台集成
|
||||
- [hyperliquid_executor.py](./hyperliquid_executor.py) - Hyperliquid 平台集成
|
||||
- [paper_trading_executor.py](./paper_trading_executor.py) - 模拟盘集成
|
||||
|
||||
#### 通知类型
|
||||
| 操作 | 成功通知 | 失败通知 |
|
||||
|------|---------|---------|
|
||||
| **开仓** (OPEN) | ✅ 绿色卡片 | ❌ 红色卡片 |
|
||||
| **平仓** (CLOSE) | ✅ 绿色卡片（含盈亏） | ❌ 红色卡片 |
|
||||
| **撤单** (CANCEL) | ✅ 绿色卡片 | ❌ 红色卡片 |
|
||||
| **止盈止损** (TP_SL) | ✅ 绿色卡片 | ⚠️ 橙色卡片 |
|
||||
| **持仓管理** (POSITION_MANAGEMENT) | 🔵 蓝色卡片 | - |
|
||||
|
||||
#### 通知内容
|
||||
```
|
||||
标题: ✅ [Bitget] 开仓成功 - BTC
|
||||
内容:
|
||||
平台: Bitget
|
||||
交易对: BTC
|
||||
订单ID: 1234567890
|
||||
数量: 1 张
|
||||
价格: $85,000.00
|
||||
保证金: $170.00
|
||||
杠杆: 5x
|
||||
止损: $82,000.00
|
||||
止盈: $88,000.00
|
||||
订单类型: limit
|
||||
```
|
||||
|
||||
详细文档: [NOTIFICATION_FEATURE.md](./NOTIFICATION_FEATURE.md)
|
||||
|
||||
---
|
||||
|
||||
### 2. 移动止损功能
|
||||
|
||||
所有平台已实现智能移动止损，当持仓盈利达到 2% 时自动将止损移动到入场价。
|
||||
|
||||
#### 修改的文件
|
||||
- [base_executor.py](./base_executor.py) - 添加抽象方法 `move_stop_loss()`
|
||||
- [bitget_executor.py](./bitget_executor.py) - Bitget 平台实现
|
||||
- [hyperliquid_executor.py](./hyperliquid_executor.py) - Hyperliquid 平台实现
|
||||
- [paper_trading_executor.py](./paper_trading_executor.py) - 模拟盘实现
|
||||
- [crypto_agent.py](../crypto_agent.py) - 集成移动止损调用
|
||||
|
||||
#### 触发条件
|
||||
```python
|
||||
if pnl_pct >= 2%:
|
||||
if side == 'buy' and current_sl < entry_price:
|
||||
# 做多：移动止损到入场价
|
||||
MOVE_SL → entry_price
|
||||
elif side == 'sell' and current_sl > entry_price:
|
||||
# 做空：移动止损到入场价
|
||||
MOVE_SL → entry_price
|
||||
```
|
||||
|
||||
#### 平台配置
|
||||
| 平台 | 目标盈利 | 最大持仓 | 移动止损触发 | 移动到 |
|
||||
|------|---------|---------|------------|-------|
|
||||
| **Bitget** | 3% | 6h | 盈利 >= 2% | 入场价 |
|
||||
| **Hyperliquid** | 2.5% | 4h | 盈利 >= 2% | 入场价 |
|
||||
| **PaperTrading** | 3% | 4h | 盈利 >= 2% | 入场价 |
|
||||
|
||||
#### 执行流程
|
||||
1. **检查**: `_check_position_management_all_platforms()` (每轮循环)
|
||||
2. **触发**: 盈利达到 2% 且止损未移动
|
||||
3. **执行**: 调用 `executor.move_stop_loss()`
|
||||
4. **通知**:
|
||||
- 日志: `"✅ 移动止损成功: BTC → $85,000.00"`
|
||||
- 告警: `"🔒 [Bitget] 移动止损"`
|
||||
- 飞书: 蓝色卡片通知
|
||||
|
||||
详细文档: [MOVE_STOP_LOSS_FEATURE.md](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
|
||||
---
|
||||
|
||||
## 📂 新增文件
|
||||
|
||||
1. **NOTIFICATION_FEATURE.md** - 飞书通知功能完整文档
|
||||
2. **MOVE_STOP_LOSS_FEATURE.md** - 移动止损功能完整文档
|
||||
3. **FEISHU_NOTIFICATION_INTEGRATION.md** (用户创建) - 飞书集成说明
|
||||
|
||||
---
|
||||
|
||||
## 🔧 技术实现
|
||||
|
||||
### 基类新增方法
|
||||
|
||||
```python
|
||||
# 1. 通知发送方法
|
||||
async def send_execution_notification(operation, symbol, result, details)
|
||||
|
||||
# 2. 移动止损抽象方法
|
||||
@abstractmethod
|
||||
async def move_stop_loss(symbol, new_stop_loss, current_stop_loss)
|
||||
```
|
||||
|
||||
### 各平台实现
|
||||
|
||||
#### Bitget
|
||||
```python
|
||||
async def move_stop_loss(symbol, new_stop_loss, current_stop_loss):
|
||||
success = self.bitget.modify_sl_tp(
|
||||
symbol=symbol.replace('USDT', ''),
|
||||
stop_loss=new_stop_loss
|
||||
)
|
||||
return {'success': success}
|
||||
```
|
||||
|
||||
**API**: `bitget_trading_api_sdk.modify_sl_tp(symbol, stop_loss, take_profit)`
|
||||
|
||||
#### Hyperliquid
|
||||
```python
|
||||
async def move_stop_loss(symbol, new_stop_loss, current_stop_loss):
|
||||
result = self.hyperliquid.set_tp_sl(
|
||||
symbol=symbol.replace('USDT', ''),
|
||||
sl_price=new_stop_loss
|
||||
)
|
||||
return {'success': result.get('success', False)}
|
||||
```
|
||||
|
||||
**API**: `hyperliquid_trading_service.set_tp_sl(symbol, sl_price)`
|
||||
|
||||
#### PaperTrading
|
||||
```python
|
||||
async def move_stop_loss(symbol, new_stop_loss, current_stop_loss):
|
||||
orders = self.paper_trading.get_active_orders(symbol)
|
||||
success_count = 0
|
||||
|
||||
for order in orders:
|
||||
result = self.paper_trading.update_order(
|
||||
order_id=order.order_id,
|
||||
stop_loss=new_stop_loss
|
||||
)
|
||||
if result.get('success'):
|
||||
success_count += 1
|
||||
|
||||
return {'success': success_count > 0}
|
||||
```
|
||||
|
||||
**API**: `paper_trading_service.update_order(order_id, stop_loss)`
|
||||
|
||||
---
|
||||
|
||||
## 🎯 使用示例
|
||||
|
||||
### 示例 1: Bitget 开仓 + 移动止损
|
||||
```
|
||||
1. 信号: BTC 做多, 置信度 85% (A级)
|
||||
2. 决策:
|
||||
- 保证金: $170 (3% of $1074)
|
||||
- 杠杆: 5x
|
||||
- 入场价: $85,000
|
||||
- 止损: $82,000
|
||||
- 止盈: $88,000
|
||||
|
||||
3. 执行: Bitget 开仓 1 张合约
|
||||
→ 📢 飞书通知: ✅ [Bitget] 开仓成功 - BTC
|
||||
|
||||
4. 价格上涨到 $87,000 (盈利 2.35%)
|
||||
→ 系统触发移动止损
|
||||
→ 执行: 移动止损到 $85,000
|
||||
→ 📢 飞书通知: 🔒 [Bitget] 移动止损
|
||||
交易对: BTC
|
||||
新止损: $85,000.00
|
||||
原因: 盈利 2.35% >= 2%,移动止损到入场价
|
||||
```
|
||||
|
||||
### 示例 2: Hyperliquid 平仓通知
|
||||
```
|
||||
1. 持仓: ETH 做多, 入场价 $3,500
|
||||
2. 当前价: $3,600 (盈利 2.86%)
|
||||
3. 触发: 持仓管理检查
|
||||
4. 执行: 自动止盈平仓
|
||||
→ 📢 飞书通知: ✅ [Hyperliquid] 平仓成功 - ETH
|
||||
平台: Hyperliquid
|
||||
交易对: ETH
|
||||
盈利: $100.00
|
||||
收益率: 2.86%
|
||||
平仓原因: 盈利 2.86% >= 2.5%
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## ⚠️ 注意事项
|
||||
|
||||
### 1. 飞书 Webhook 配置
|
||||
确保配置正确的飞书 Webhook URL:
|
||||
```python
|
||||
# settings.py
|
||||
feishu_paper_trading_webhook_url = "https://open.feishu.cn/open-apis/bot/v2/hook/..."
|
||||
feishu_enabled = True
|
||||
```
|
||||
|
||||
### 2. 止损设置
|
||||
- Bitget 和 Hyperliquid 需要在开仓时或开仓后设置止损
|
||||
- 移动止损只会修改已存在的止损订单
|
||||
- 如果没有初始止损，移动止损可能会失败
|
||||
|
||||
### 3. 异步调用
|
||||
所有执行器方法都是异步的，需要使用 `await`:
|
||||
```python
|
||||
result = await executor.move_stop_loss(symbol, new_sl)
|
||||
await executor.send_execution_notification(operation, symbol, result)
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 📊 监控建议
|
||||
|
||||
### 关键指标
|
||||
1. **通知成功率**: 飞书通知发送成功率
|
||||
2. **移动止损触发次数**: 统计移动止损执行频率
|
||||
3. **移动止损效果**: 移动止损后最终盈亏情况
|
||||
|
||||
### 日志监控
|
||||
```bash
|
||||
# 查看移动止损日志
|
||||
grep "移动止损成功" logs/crypto_agent.log
|
||||
|
||||
# 查看飞书通知日志
|
||||
grep "飞书消息发送成功" logs/crypto_agent.log
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 🚀 下一步计划
|
||||
|
||||
### 1. 测试
|
||||
- [ ] 测试各平台飞书通知是否正常
|
||||
- [ ] 测试移动止损逻辑是否正确触发
|
||||
- [ ] 测试失败场景的通知
|
||||
|
||||
### 2. 优化
|
||||
- [ ] 根据实际使用情况调整移动止损触发阈值
|
||||
- [ ] 优化飞书通知的展示格式
|
||||
- [ ] 添加通知失败重试机制
|
||||
|
||||
### 3. 扩展
|
||||
- [ ] 支持更多平台（Binance, OKX 等）
|
||||
- [ ] 添加邮件/短信通知渠道
|
||||
- [ ] 实现分级移动止损（2% 移到入场价, 4% 移到 +1% 等）
|
||||
|
||||
---
|
||||
|
||||
## 📖 相关文档
|
||||
|
||||
- [仓位计算逻辑](./POSITION_SIZE_LOGIC.md)
|
||||
- [飞书通知功能](./NOTIFICATION_FEATURE.md)
|
||||
- [移动止损功能](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
- [执行器优化总结](./EXECUTOR_OPTIMIZATION_SUMMARY.md)
|
||||
|
||||
---
|
||||
|
||||
## 📝 变更日志
|
||||
|
||||
### 2026-03-28
|
||||
- ✅ 为所有平台添加飞书通知功能
|
||||
- ✅ 实现移动止损功能（Bitget, Hyperliquid, PaperTrading）
|
||||
- ✅ 集成持仓管理自动执行（crypto_agent.py）
|
||||
- ✅ 创建完整文档
|
||||
- ✅ 修复 crypto_agent.py 中的移动止损调用逻辑
|
||||
280
backend/app/crypto_agent/executor/LEVERAGE_CONFIGURATION.md
Normal file
280
backend/app/crypto_agent/executor/LEVERAGE_CONFIGURATION.md
Normal file
@ -0,0 +1,280 @@
|
||||
# 杠杆配置总结
|
||||
UPDATED: 2026-03-28
|
||||
|
||||
## 配置变更
|
||||
|
||||
### ✅ 已完成的修改
|
||||
|
||||
| 配置项 | 修改前 | 修改后 | 文件 |
|
||||
|--------|--------|--------|------|
|
||||
| **PaperTrading 单笔杠杆** | 20x | **10x** | `config.py:133` |
|
||||
| **Bitget 默认杠杆** | 5x | **10x** | `crypto_agent.py:2580` |
|
||||
| **Hyperliquid 默认杠杆** | 10x | **10x** (不变) | `crypto_agent.py:2884` |
|
||||
| **总杠杆上限** | 10x | **10x** (不变) | `config.py` |
|
||||
|
||||
---
|
||||
|
||||
## 当前配置
|
||||
|
||||
### 杠杆配置总览
|
||||
|
||||
| 平台 | 单笔杠杆 | 总杠杆上限 | 说明 |
|
||||
|------|---------|----------|------|
|
||||
| **PaperTrading** | 10x | 10x | 模拟盘统一10x杠杆 |
|
||||
| **Bitget** | 10x | 10x | 实盘默认10x，可动态调整 |
|
||||
| **Hyperliquid** | 10x | 10x | 实盘默认10x，最大10x |
|
||||
|
||||
### 配置文件位置
|
||||
|
||||
```python
|
||||
# config.py
|
||||
class Settings(BaseSettings):
|
||||
# 模拟交易
|
||||
paper_trading_leverage: int = 10 # ✅ 从20改为10
|
||||
paper_trading_max_total_leverage: float = 10 # 总杠杆上限
|
||||
|
||||
# Bitget 实盘
|
||||
bitget_max_total_leverage: float = 10 # 总杠杆上限
|
||||
|
||||
# Hyperliquid 实盘
|
||||
hyperliquid_max_total_leverage: float = 10 # 总杠杆上限.
|
||||
```
|
||||
|
||||
### 代码实现
|
||||
|
||||
#### Bitget 开仓
|
||||
```python
|
||||
# crypto_agent.py:2579-2581
|
||||
# 设置杠杆 (默认10x，最大10x)
|
||||
leverage = min(decision.get('leverage', 10), 10)
|
||||
self.bitget.update_leverage(symbol, leverage)
|
||||
```
|
||||
|
||||
#### Hyperliquid 开仓
|
||||
```python
|
||||
# crypto_agent.py:2884-2885
|
||||
leverage = min(decision.get('leverage', 10), 10)
|
||||
self.hyperliquid.update_leverage(symbol, leverage)
|
||||
```
|
||||
|
||||
#### PaperTrading 开仓
|
||||
```python
|
||||
# paper_trading_service.py 使用配置中的杠杆
|
||||
self.leverage = settings.paper_trading_leverage # 10x
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 杠杆控制逻辑
|
||||
|
||||
### 单笔杠杆限制
|
||||
|
||||
```python
|
||||
# 确保单笔杠杆不超过10x
|
||||
leverage = min(decision.get('leverage', 10), 10)
|
||||
```
|
||||
|
||||
### 总杠杆控制
|
||||
|
||||
系统会实时监控总杠杆使用情况：
|
||||
|
||||
```python
|
||||
# 计算当前总杠杆
|
||||
total_position_value = sum(all_positions_value)
|
||||
current_total_leverage = total_position_value / account_balance
|
||||
|
||||
# 检查是否还能开仓
|
||||
remaining_leverage = max_total_leverage - current_total_leverage
|
||||
|
||||
if remaining_leverage <= 0:
|
||||
# 已达最大杠杆，无法开仓
|
||||
return 0, f"已达最大杠杆 {current_leverage:.1f}x/{max_total_leverage}x"
|
||||
|
||||
# 限制新开仓的杠杆
|
||||
max_new_position = account_balance * remaining_leverage
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 实际案例
|
||||
|
||||
### 案例 1: Bitget $1074 账户, A级信号
|
||||
```
|
||||
账户余额: $1,074
|
||||
可用余额: $1,074
|
||||
当前总杠杆: 0x (无持仓)
|
||||
|
||||
信号置信度: 92% (A级)
|
||||
保证金比例: 10% (Kelly公式型)
|
||||
保证金: $1,074 × 10% = $107.40
|
||||
|
||||
单笔杠杆: 10x
|
||||
持仓价值: $107.40 × 10 = $1,074
|
||||
当前总杠杆: $1,074 / $1,074 = 1.0x ✅
|
||||
|
||||
剩余可用杠杆: 10x - 1.0x = 9.0x
|
||||
剩余可开仓金额: $1,074 × 9.0 = $9,666
|
||||
```
|
||||
|
||||
### 案例 2: Hyperliquid $2000 账户, 已有持仓
|
||||
```
|
||||
账户余额: $2,000
|
||||
当前持仓价值: $8,000 (已用杠杆 4x)
|
||||
当前总杠杆: $8,000 / $2,000 = 4.0x
|
||||
|
||||
新信号 (B级):
|
||||
保证金比例: 6% (Kelly公式型)
|
||||
保证金: $2,000 × 6% = $120
|
||||
|
||||
单笔杠杆: 10x
|
||||
新持仓价值: $120 × 10 = $1,200
|
||||
|
||||
开仓后总杠杆: ($8,000 + $1,200) / $2,000 = 4.6x ✅ (< 10x)
|
||||
|
||||
剩余可用杠杆: 10x - 4.6x = 5.4x
|
||||
```
|
||||
|
||||
### 案例 3: 杠杆超限，拒绝开仓
|
||||
```
|
||||
账户余额: $1,000
|
||||
当前持仓价值: $9,500 (已用杠杆 9.5x)
|
||||
当前总杠杆: $9,500 / $1,000 = 9.5x
|
||||
|
||||
新信号 (A级):
|
||||
保证金: $100
|
||||
期望杠杆: 10x
|
||||
期望持仓价值: $1,000
|
||||
|
||||
预计总杠杆: ($9,500 + $1,000) / $1,000 = 10.5x ❌ (> 10x)
|
||||
|
||||
系统拒绝: "已达最大杠杆 9.5x/10x"
|
||||
建议: 先平仓部分持仓
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## Kelly公式型 + 10x杠杆的威力
|
||||
|
||||
### 资金利用效率对比
|
||||
|
||||
| 场景 | 3%仓位+5x杠杆 | 10%仓位+10x杠杆 | 倍数 |
|
||||
|------|--------------|----------------|------|
|
||||
| **$1000账户 A级信号** | $150 仓位 | $1000 仓位 | **6.7x** |
|
||||
| **盈利 3%** | +$4.5 | +$30 | **6.7x** |
|
||||
| **亏损 3%** | -$4.5 | -$30 | **6.7x** |
|
||||
|
||||
### 示例: 10次交易后的差异
|
||||
|
||||
假设:
|
||||
- A级信号胜率: 60%
|
||||
- 平均盈利: 4%
|
||||
- 平均亏损: 3%
|
||||
- $1000账户
|
||||
|
||||
**保守配置 (3% + 5x)**:
|
||||
```
|
||||
盈利: 6次 × $150 × 4% = $36
|
||||
亏损: 4次 × $150 × 3% = -$18
|
||||
净收益: +$18 (1.8%)
|
||||
总杠杆峰值: ~1.5x (非常安全)
|
||||
```
|
||||
|
||||
**Kelly配置 (10% + 10x)**:
|
||||
```
|
||||
盈利: 6次 × $1000 × 4% = $240
|
||||
亏损: 4次 × $1000 × 3% = -$120
|
||||
净收益: +$120 (12%) 🚀
|
||||
总杠杆峰值: ~6x (风险可控)
|
||||
```
|
||||
|
||||
**收益差异: 12% vs 1.8% = 6.7倍**
|
||||
|
||||
---
|
||||
|
||||
## 风险管理
|
||||
|
||||
### 单笔最大亏损（-3%止损）
|
||||
|
||||
| 信号等级 | 保证金 | 杠杆 | 持仓价值 | -3%亏损 | 占总资金% |
|
||||
|---------|--------|-----|---------|---------|----------|
|
||||
| **A级** | $100 | 10x | $1,000 | -$30 | **-3.0%** |
|
||||
| **B级** | $60 | 10x | $600 | -$18 | **-1.8%** |
|
||||
| **C级** | $20 | 10x | $200 | -$6 | **-0.6%** |
|
||||
|
||||
### 最大回撤控制
|
||||
|
||||
- **单笔最大亏损**: -3% (A级信号止损)
|
||||
- **连续5次亏损**: -15% (极端情况)
|
||||
- **建议**: 设置账户级止损 -20%
|
||||
|
||||
---
|
||||
|
||||
## 监控指标
|
||||
|
||||
### 实时监控
|
||||
|
||||
```python
|
||||
# 每轮循环检查
|
||||
current_total_leverage = total_position_value / account_balance
|
||||
|
||||
if current_total_leverage > 8.0:
|
||||
# 警告: 接近杠杆上限
|
||||
logger.warning(f"⚠️ 总杠杆 {current_leverage:.1f}x，接近上限10x")
|
||||
|
||||
if current_total_leverage >= 10.0:
|
||||
# 紧急: 达到杠杆上限
|
||||
logger.error(f"🚨 已达最大杠杆 {current_leverage:.1f}x/10x")
|
||||
```
|
||||
|
||||
### 告警通知
|
||||
|
||||
- **飞书通知**: 杠杆 > 8x 时发送告警
|
||||
- **日志记录**: 每次开仓记录杠杆变化
|
||||
- **自动拒绝**: 杠杆满时自动拒绝新信号
|
||||
|
||||
---
|
||||
|
||||
## 配置建议
|
||||
|
||||
### 保守型（推荐新手）
|
||||
```python
|
||||
paper_trading_leverage: int = 5 # 或保持10x但降低仓位比例
|
||||
base_margin_pct = 0.05 # A级5%
|
||||
```
|
||||
|
||||
### 平衡型（当前配置）
|
||||
```python
|
||||
paper_trading_leverage: int = 10
|
||||
base_margin_pct = 0.10 # A级10%
|
||||
```
|
||||
|
||||
### 激进型（仅限经验丰富）
|
||||
```python
|
||||
paper_trading_leverage: int = 10
|
||||
base_margin_pct = 0.15 # A级15%
|
||||
max_total_leverage: float = 15 # ⚠️ 极高风险
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 检查清单
|
||||
|
||||
- [x] PaperTrading 杠杆从20x改为10x
|
||||
- [x] Bitget 默认杠杆从5x改为10x
|
||||
- [x] Hyperliquid 默认杠杆保持10x
|
||||
- [x] 总杠杆上限保持10x
|
||||
- [x] 更新配置文档
|
||||
- [x] 创建杠杆控制文档
|
||||
|
||||
- [ ] 回测验证新配置效果
|
||||
- [ ] 实盘测试并监控
|
||||
- [ ] 根据实际表现微调
|
||||
|
||||
---
|
||||
|
||||
## 相关文档
|
||||
|
||||
- [仓位配置策略](./POSITION_SIZING_STRATEGY.md)
|
||||
- [仓位计算逻辑](./POSITION_SIZE_LOGIC.md)
|
||||
- [移动止损功能](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
- [功能完成总结](./FEATURE_SUMMARY.md)
|
||||
321
backend/app/crypto_agent/executor/MOVE_STOP_LOSS_FEATURE.md
Normal file
321
backend/app/crypto_agent/executor/MOVE_STOP_LOSS_FEATURE.md
Normal file
@ -0,0 +1,321 @@
|
||||
# 移动止损功能文档
|
||||
CREATED: 2026-03-28
|
||||
|
||||
## 功能概述
|
||||
|
||||
所有平台（Bitget、Hyperliquid、PaperTrading）均已实现**移动止损**功能。当持仓盈利达到 2% 或以上时，系统会自动将止损价移动到入场价，锁定盈亏并降低风险。
|
||||
|
||||
## 触发条件
|
||||
|
||||
在 [base_executor.py](./base_executor.py) 的 `check_position_management()` 方法中定义：
|
||||
|
||||
```python
|
||||
# 规则3: 移动止损
|
||||
if pnl_pct >= 2:
|
||||
current_sl = pos.get('stop_loss')
|
||||
if side == 'buy' and current_sl and current_sl < entry_price:
|
||||
actions.append({
|
||||
'symbol': symbol,
|
||||
'action': 'MOVE_SL',
|
||||
'new_sl': entry_price,
|
||||
'reason': f"盈利 {pnl_pct:.1f}% >= 2%，移动止损到入场价",
|
||||
'priority': 3
|
||||
})
|
||||
elif side == 'sell' and current_sl and current_sl > entry_price:
|
||||
actions.append({
|
||||
'symbol': symbol,
|
||||
'action': 'MOVE_SL',
|
||||
'new_sl': entry_price,
|
||||
'reason': f"盈利 {pnl_pct:.1f}% >= 2%，移动止损到入场价",
|
||||
'priority': 3
|
||||
})
|
||||
```
|
||||
|
||||
### 条件详解
|
||||
|
||||
1. **盈利条件**: `pnl_pct >= 2%` (持仓盈利达到或超过2%)
|
||||
2. **止损位置**:
|
||||
- **做多** (`buy`): 当前止损 < 入场价 → 移动到入场价
|
||||
- **做空** (`sell`): 当前止损 > 入场价 → 移动到入场价
|
||||
3. **优先级**: 3 (低于 TAKE_PROFIT 和 TIME_EXIT)
|
||||
|
||||
## 实现位置
|
||||
|
||||
### 1. 基类定义 ([base_executor.py:438](./base_executor.py#L438))
|
||||
|
||||
```python
|
||||
@abstractmethod
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""
|
||||
移动止损
|
||||
|
||||
Args:
|
||||
symbol: 交易对
|
||||
new_stop_loss: 新的止损价
|
||||
current_stop_loss: 当前止损价（可选）
|
||||
|
||||
Returns:
|
||||
{'success': bool, 'message': str}
|
||||
"""
|
||||
pass
|
||||
```
|
||||
|
||||
### 2. Bitget 实现 ([bitget_executor.py:300](./bitget_executor.py#L300))
|
||||
|
||||
```python
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""移动止损（Bitget）"""
|
||||
try:
|
||||
# Bitget 使用 modify_sl_tp 方法
|
||||
success = self.bitget.modify_sl_tp(
|
||||
symbol=symbol.replace('USDT', ''),
|
||||
stop_loss=new_stop_loss
|
||||
)
|
||||
|
||||
if success:
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_stop_loss:.2f}")
|
||||
return {'success': True, 'message': f'移动止损成功: {new_stop_loss:.2f}'}
|
||||
else:
|
||||
return {'success': False, 'message': '移动止损失败'}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Bitget 移动止损失败: {e}")
|
||||
return {'success': False, 'message': str(e)}
|
||||
```
|
||||
|
||||
**API**: `bitget.modify_sl_tp(symbol, stop_loss, take_profit)`
|
||||
|
||||
### 3. Hyperliquid 实现 ([hyperliquid_executor.py:295](./hyperliquid_executor.py#L295))
|
||||
|
||||
```python
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""移动止损（Hyperliquid）"""
|
||||
try:
|
||||
# Hyperliquid 使用 set_tp_sl 方法（只传 sl_price）
|
||||
result = self.hyperliquid.set_tp_sl(
|
||||
symbol=symbol.replace('USDT', ''),
|
||||
sl_price=new_stop_loss
|
||||
)
|
||||
|
||||
if result.get('success', False):
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_stop_loss:.2f}")
|
||||
return {'success': True, 'message': f'移动止损成功: {new_stop_loss:.2f}'}
|
||||
else:
|
||||
return {'success': False, 'message': result.get('message', '移动止损失败')}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Hyperliquid 移动止损失败: {e}")
|
||||
return {'success': False, 'message': str(e)}
|
||||
```
|
||||
|
||||
**API**: `hyperliquid.set_tp_sl(symbol, sl_price)`
|
||||
|
||||
### 4. PaperTrading 实现 ([paper_trading_executor.py:263](./paper_trading_executor.py#L263))
|
||||
|
||||
```python
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""移动止损（模拟盘）"""
|
||||
try:
|
||||
# 查找该交易对的所有活跃订单
|
||||
orders = self.paper_trading.get_active_orders(symbol)
|
||||
|
||||
if not orders:
|
||||
return {'success': False, 'message': f'找不到 {symbol} 的活跃订单'}
|
||||
|
||||
# 更新所有该交易对的订单止损价
|
||||
success_count = 0
|
||||
for order in orders:
|
||||
update_result = self.paper_trading.update_order(
|
||||
order_id=order.order_id,
|
||||
stop_loss=new_stop_loss
|
||||
)
|
||||
|
||||
if update_result.get('success'):
|
||||
success_count += 1
|
||||
|
||||
if success_count > 0:
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_stop_loss:.2f} ({success_count}/{len(orders)} 订单)")
|
||||
return {
|
||||
'success': True,
|
||||
'message': f'移动止损成功: {new_stop_loss:.2f} ({success_count}/{len(orders)} 订单)'
|
||||
}
|
||||
else:
|
||||
return {'success': False, 'message': '所有订单移动止损失败'}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"模拟盘移动止损失败: {e}")
|
||||
return {'success': False, 'message': str(e)}
|
||||
```
|
||||
|
||||
**API**: `paper_trading.update_order(order_id, stop_loss)`
|
||||
|
||||
## 执行流程
|
||||
|
||||
### 在 crypto_agent.py 中调用
|
||||
|
||||
```python
|
||||
async def _check_position_management_all_platforms(self):
|
||||
"""检查所有平台的持仓管理"""
|
||||
try:
|
||||
for platform_name, executor in self.executors.items():
|
||||
# 获取持仓
|
||||
positions = await executor.get_positions()
|
||||
if not positions:
|
||||
continue
|
||||
|
||||
# 获取当前价格
|
||||
symbols = [pos.get('symbol') for pos in positions]
|
||||
current_prices = {}
|
||||
for symbol in symbols:
|
||||
price = await self._get_current_price(symbol)
|
||||
current_prices[symbol] = price
|
||||
|
||||
# 检查持仓管理
|
||||
actions = executor.check_position_management(positions, current_prices)
|
||||
|
||||
# 执行建议的操作
|
||||
for action_info in actions:
|
||||
symbol = action_info.get('symbol')
|
||||
action = action_info.get('action')
|
||||
reason = action_info.get('reason', '')
|
||||
|
||||
if action == 'MOVE_SL':
|
||||
new_sl = action_info.get('new_sl')
|
||||
if new_sl:
|
||||
# 调用执行器的移动止损方法
|
||||
move_result = await executor.move_stop_loss(
|
||||
symbol=symbol,
|
||||
new_stop_loss=new_sl
|
||||
)
|
||||
|
||||
if move_result.get('success'):
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_sl:.2f}")
|
||||
await self._send_alert_notification(
|
||||
f"🔒 [{platform_name}] 移动止损",
|
||||
f"交易对: {symbol}\n新止损: ${new_sl:.2f}\n原因: {reason}"
|
||||
)
|
||||
|
||||
# 发送飞书通知
|
||||
await executor.send_execution_notification(
|
||||
operation='POSITION_MANAGEMENT',
|
||||
symbol=symbol,
|
||||
result={'success': True, 'action': 'MOVE_SL', 'reason': reason},
|
||||
details={'new_sl': new_sl, 'pnl_percent': pnl_pct}
|
||||
)
|
||||
else:
|
||||
logger.warning(f" ⚠️ 移动止损失败: {move_result.get('message')}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"检查持仓管理失败: {e}")
|
||||
```
|
||||
|
||||
## 通知机制
|
||||
|
||||
### 1. 日志通知
|
||||
- ✅ 成功: `"✅ 移动止损成功: {symbol} → ${new_sl:.2f}"`
|
||||
- ⚠️ 失败: `"⚠️ 移动止损失败: {message}"`
|
||||
|
||||
### 2. 告警通知
|
||||
- 标题: `"🔒 [{platform_name}] 移动止损"`
|
||||
- 内容:
|
||||
```
|
||||
交易对: BTC
|
||||
新止损: $85,000.00
|
||||
原因: 盈利 2.5% >= 2%，移动止损到入场价
|
||||
```
|
||||
|
||||
### 3. 飞书通知
|
||||
- **操作类型**: `POSITION_MANAGEMENT`
|
||||
- **操作**: `MOVE_SL`
|
||||
- **颜色**: 蓝色
|
||||
- **详情**:
|
||||
- 平台
|
||||
- 交易对
|
||||
- 操作: 移动止损
|
||||
- 原因
|
||||
- 新止损价
|
||||
- 盈亏百分比
|
||||
|
||||
## 配置参数
|
||||
|
||||
| 平台 | 目标盈利 | 最大持仓 | 移动止损触发 | 移动到 |
|
||||
|------|---------|---------|------------|-------|
|
||||
| **Bitget** | 3% | 6h | 盈利 >= 2% | 入场价 |
|
||||
| **Hyperliquid** | 2.5% | 4h | 盈利 >= 2% | 入场价 |
|
||||
| **PaperTrading** | 3% | 4h | 盈利 >= 2% | 入场价 |
|
||||
|
||||
## 示例场景
|
||||
|
||||
### 场景 1: Bitget BTC 做多
|
||||
```
|
||||
入场价: $80,000
|
||||
当前价: $82,000 (盈利 2.5%)
|
||||
当前止损: $78,000
|
||||
|
||||
触发条件: ✅ 盈利 2.5% >= 2%
|
||||
执行动作: 移动止损到 $80,000 (入场价)
|
||||
结果: 锁定盈亏，最坏情况保本退出
|
||||
```
|
||||
|
||||
### 场景 2: Hyperliquid ETH 做空
|
||||
```
|
||||
入场价: $3,500
|
||||
当前价: $3,400 (盈利 2.86%)
|
||||
当前止损: $3,600
|
||||
|
||||
触发条件: ✅ 盈利 2.86% >= 2%
|
||||
执行动作: 移动止损到 $3,500 (入场价)
|
||||
结果: 锁定盈亏，最坏情况保本退出
|
||||
```
|
||||
|
||||
### 场景 3: PaperTrading SOL 做多
|
||||
```
|
||||
入场价: $140
|
||||
当前价: $145 (盈利 3.57%)
|
||||
当前止损: $135
|
||||
|
||||
触发条件: ✅ 盈利 3.57% >= 2%
|
||||
执行动作: 移动止损到 $140 (入场价)
|
||||
结果: 锁定盈亏，最坏情况保本退出
|
||||
```
|
||||
|
||||
## 风险管理
|
||||
|
||||
### 优势
|
||||
1. **锁定盈亏**: 盈利 2% 后，最坏情况也能保本退出
|
||||
2. **降低心理压力**: 不用担心从盈利变亏损
|
||||
3. **自动化**: 无需人工干预，系统自动执行
|
||||
|
||||
### 注意事项
|
||||
1. **市场波动**: 剧烈波动可能导致止损被触发后价格反弹
|
||||
2. **止损距离**: 入场价作为止损可能较近，需结合市场情况
|
||||
3. **仓位大小**: 大仓位时移动止损更为重要
|
||||
|
||||
## 监控与调优
|
||||
|
||||
### 监控指标
|
||||
- 移动止损执行次数
|
||||
- 移动止损后价格反转次数
|
||||
- 移动止损触发后的最终盈亏
|
||||
|
||||
### 调优建议
|
||||
1. **触发阈值**: 可根据市场波动率调整（1.5% ~ 3%）
|
||||
2. **移动位置**: 可移动到更保守的位置（如入场价 - 0.5%）
|
||||
3. **分批移动**: 盈利 2% 移动到入场价，盈利 4% 移动到 +1% 等
|
||||
|
||||
## 相关文档
|
||||
- [仓位计算逻辑](./POSITION_SIZE_LOGIC.md)
|
||||
- [飞书通知功能](./NOTIFICATION_FEATURE.md)
|
||||
- [执行器优化总结](./EXECUTOR_OPTIMIZATION_SUMMARY.md)
|
||||
@ -54,6 +54,8 @@ FIXED: 2026-03-28
|
||||
- **颜色**: 根据操作类型（TAKE_PROFIT=绿色, TIME_EXIT=橙色, MOVE_SL=蓝色)
|
||||
- **内容**: 平台、交易对、操作类型、原因、盈亏百分比、持仓时长
|
||||
|
||||
**特别说明**: 移动止损 (MOVE_SL) 会在持仓盈利达到 2% 时自动触发，详见 [MOVE_STOP_LOSS_FEATURE.md](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
|
||||
## 通知格式
|
||||
使用飞书卡片消息（Interactive Card），格式如下:
|
||||
```
|
||||
|
||||
@ -1,9 +1,10 @@
|
||||
# 仓位大小计算逻辑
|
||||
# 仓位大小计算逻辑（超激进配置）
|
||||
UPDATED: 2026-03-28
|
||||
|
||||
## 📊 总体流程
|
||||
|
||||
```
|
||||
市场信号 (LLM) → 硬编码规则决策 → 保证金计算 → 平台执行器 → 下单
|
||||
市场信号 (LLM) → 硬编码规则决策 → 保证金计算 → 平台执行器 → 下单 + 飞书通知
|
||||
↓ ↓ ↓ ↓
|
||||
置信度 75% 同向/反向检查 保证金金额 合约张数/币数量
|
||||
```
|
||||
@ -12,24 +13,25 @@
|
||||
|
||||
## 1️⃣ 决策层：保证金计算 (`crypto_agent.py`)
|
||||
|
||||
### **输入参数**
|
||||
- **信号置信度** (`confidence`): 0-100 分
|
||||
- **可用余额** (`available`): 账户可用 USDT
|
||||
- **账户余额** (`balance`): 账户总余额 USDT
|
||||
- **当前杠杆** (`current_total_leverage`): 已使用杠杆
|
||||
- **最大杠杆** (`max_total_leverage`): 允许的最大杠杆
|
||||
### **超激进配置** 🔥
|
||||
|
||||
| 信号等级 | 置信度范围 | 保证金比例 | $1000账户保证金 | 10x杠杆仓位 |
|
||||
|---------|----------|----------|---------------|-----------|
|
||||
| **A级** | ≥90分 | **20%** | $200 | $2,000 |
|
||||
| **B级** | 70-89分 | **15%** | $150 | $1,500 |
|
||||
| **C级** | <70分 | **8%** | $80 | $800 |
|
||||
|
||||
### **计算步骤**
|
||||
|
||||
#### **Step 1: 根据信号等级确定基础保证金比例**
|
||||
#### **Step 1: 根据信号等级确定基础保证金比例（超激进配置）**
|
||||
|
||||
```python
|
||||
if confidence >= 90:
|
||||
base_margin_pct = 0.03 # A级: 3%
|
||||
base_margin_pct = 0.20 # A级: 20% (重仓出击) 🔥
|
||||
elif confidence >= 70:
|
||||
base_margin_pct = 0.02 # B级: 2%
|
||||
base_margin_pct = 0.15 # B级: 15% (中仓跟进) 🔥
|
||||
else:
|
||||
base_margin_pct = 0.01 # C级: 1%
|
||||
base_margin_pct = 0.08 # C级: 8% (轻仓试探)
|
||||
```
|
||||
|
||||
#### **Step 2: 计算初始保证金**
|
||||
@ -39,17 +41,17 @@ margin = available * base_margin_pct
|
||||
|
||||
# 示例：
|
||||
# 可用余额: $1000
|
||||
# 信号等级: B级 (75分)
|
||||
# margin = 1000 × 2% = $20
|
||||
# 信号等级: A级 (92分)
|
||||
# margin = 1000 × 20% = $200 🔥
|
||||
```
|
||||
|
||||
#### **Step 3: 应用平台最小保证金限制**
|
||||
|
||||
```python
|
||||
# Bitget 最小保证金（各币种不同）
|
||||
BTC: min_margin = $85 # 0.01 BTC × $85000 ÷ 10x杠杆
|
||||
ETH: min_margin = $35 # 0.1 ETH × $3500 ÷ 10x杠杆
|
||||
SOL: min_margin = $14 # 1 SOL × $140 ÷ 10x杠杆
|
||||
# Bitget 最小保证金（各币种不同，考虑10x杠杆）
|
||||
BTC: min_margin = $85 # 0.01 BTC × $85000 / 10x杠杆
|
||||
ETH: min_margin = $35 # 0.1 ETH × $3500 / 10x杠杆
|
||||
SOL: min_margin = $14 # 1 SOL × $140 / 10x杠杆
|
||||
|
||||
if margin < min_margin:
|
||||
margin = min_margin
|
||||
@ -57,16 +59,16 @@ if margin < min_margin:
|
||||
|
||||
**示例**:
|
||||
```
|
||||
计算保证金: $20
|
||||
计算保证金: $200
|
||||
BTC 最小保证金: $85
|
||||
调整后: margin = $85
|
||||
调整后: margin = $200 (大于$85，不调整) ✅
|
||||
```
|
||||
|
||||
#### **Step 4: 应用最大保证金限制**
|
||||
|
||||
```python
|
||||
# 单笔不超过余额的 10% (Bitget/Hyperliquid) 或 5% (模拟盘)
|
||||
max_margin = balance * max_margin_pct
|
||||
# 单笔不超过余额的 10% (所有平台)
|
||||
max_margin = balance * 0.10
|
||||
|
||||
if margin > max_margin:
|
||||
margin = max_margin
|
||||
@ -74,10 +76,10 @@ if margin > max_margin:
|
||||
|
||||
**示例**:
|
||||
```
|
||||
计算保证金: $150
|
||||
计算保证金: $200
|
||||
账户余额: $1000
|
||||
最大限制: 10%
|
||||
调整后: margin = $100
|
||||
调整后: margin = $100 (不超过$100) ⚠️
|
||||
```
|
||||
|
||||
#### **Step 5: 应用杠杆限制**
|
||||
@ -95,12 +97,12 @@ if margin > max_margin_by_leverage:
|
||||
|
||||
**示例**:
|
||||
```
|
||||
计算保证金: $200
|
||||
计算保证金: $100
|
||||
账户余额: $1000
|
||||
当前杠杆: 8x
|
||||
当前杠杆: 0x
|
||||
最大杠杆: 10x
|
||||
剩余杠杆: 2x
|
||||
调整后: margin = $1000 × 2 = $2000 (超过余额，限制为 $200)
|
||||
剩余杠杆: 10x
|
||||
调整后: margin = min($100, $1000 × 10 = $10000) = $100 ✅
|
||||
```
|
||||
|
||||
#### **Step 6: 确保不超过可用余额**
|
||||
@ -114,21 +116,21 @@ if margin > available:
|
||||
|
||||
```
|
||||
输入:
|
||||
- 信号置信度: 75% (B级)
|
||||
- 可用余额: $1074
|
||||
- 账户余额: $1074
|
||||
- 信号置信度: 92% (A级)
|
||||
- 可用余额: $1,074
|
||||
- 账户余额: $1,074
|
||||
- 当前杠杆: 0x
|
||||
- 最大杠杆: 10x
|
||||
|
||||
Step 1: 基础保证金比例 = 2% (B级)
|
||||
Step 2: 初始保证金 = 1074 × 2% = $21.48
|
||||
Step 3: BTC 最小保证金 = $85 → 调整为 $85
|
||||
Step 4: 最大保证金限制 = 1074 × 10% = $107.4 → 不调整
|
||||
Step 1: 基础保证金比例 = 20% (A级) 🔥
|
||||
Step 2: 初始保证金 = 1074 × 20% = $214.80
|
||||
Step 3: BTC 最小保证金 = $85 → 不调整
|
||||
Step 4: 最大保证金限制 = 1074 × 10% = $107.40 → 调整为 $107.40 ⚠️
|
||||
Step 5: 剩余杠杆 = 10x → 不调整
|
||||
Step 6: $85 < $1074 → 不调整
|
||||
Step 6: $107.40 < $1074 → 不调整
|
||||
|
||||
最终保证金: $85
|
||||
原因: "信号B级(75%) → 2%保证金，应用BTC最小保证金限制$85"
|
||||
最终保证金: $107.40 (受10%最大限制，实际10%而非20%)
|
||||
原因: "信号A级(92%) → 20%保证金，受平台10%限制 → 10%保证金"
|
||||
```
|
||||
|
||||
---
|
||||
@ -137,19 +139,19 @@ Step 6: $85 < $1074 → 不调整
|
||||
|
||||
### **Bitget 执行器**
|
||||
|
||||
#### **输入**: 保证金 `$85` + 杠杆 `5x` (假设) + 价格 `$85000`
|
||||
#### **输入**: 保证金 `$107.40` + 杠杆 `10x` + 价格 `$85000`
|
||||
|
||||
#### **Step 1: 计算持仓价值**
|
||||
```python
|
||||
position_value = margin × leverage
|
||||
= $85 × 5 = $425
|
||||
= $107.40 × 10 = $1,074
|
||||
```
|
||||
|
||||
#### **Step 2: 计算币数量**
|
||||
```python
|
||||
coin_amount = position_value / price
|
||||
= $425 / $85000
|
||||
= 0.005 BTC
|
||||
= $1,074 / $85000
|
||||
= 0.01264 BTC
|
||||
```
|
||||
|
||||
#### **Step 3: 获取合约规格**
|
||||
@ -166,31 +168,16 @@ SOL: 1 SOL/张
|
||||
#### **Step 4: 计算合约张数（向下取整）**
|
||||
```python
|
||||
contracts = int(coin_amount / contract_size)
|
||||
= int(0.005 / 0.01)
|
||||
= 0 张 ❌
|
||||
```
|
||||
|
||||
**问题**: `0 张 < 1 张` → 无法下单！
|
||||
|
||||
#### **解决方案: 调整保证金**
|
||||
|
||||
```python
|
||||
# 需要至少 1 张合约
|
||||
min_contracts = 1
|
||||
min_coin_amount = 1 × 0.01 = 0.01 BTC
|
||||
min_position_value = 0.01 × $85000 = $850
|
||||
min_margin = $850 / 5x = $170
|
||||
|
||||
# 之前的最小保证金 $85 是按 10x 杠杆算的
|
||||
# 如果用 5x 杠杆，需要 $170
|
||||
= int(0.01264 / 0.01)
|
||||
= 1 张 ✅
|
||||
```
|
||||
|
||||
**完整示例**:
|
||||
```
|
||||
保证金: $170
|
||||
杠杆: 5x
|
||||
持仓价值: $850
|
||||
BTC 数量: 0.01 BTC
|
||||
保证金: $107.40
|
||||
杠杆: 10x
|
||||
持仓价值: $1,074
|
||||
BTC 数量: 0.01264 BTC
|
||||
合约张数: 1 张 ✅
|
||||
```
|
||||
|
||||
@ -198,19 +185,19 @@ BTC 数量: 0.01 BTC
|
||||
|
||||
### **Hyperliquid 执行器**
|
||||
|
||||
#### **输入**: 保证金 `$50` + 杠杆 `5x` + 价格 `$85000`
|
||||
#### **输入**: 保证金 `$100` + 杠杆 `10x` + 价格 `$85000`
|
||||
|
||||
#### **Step 1: 计算持仓价值**
|
||||
```python
|
||||
position_value = margin × leverage
|
||||
= $50 × 5 = $250
|
||||
= $100 × 10 = $1,000
|
||||
```
|
||||
|
||||
#### **Step 2: 计算仓位大小（币数量）**
|
||||
```python
|
||||
position_size = position_value / price
|
||||
= $250 / $85000
|
||||
= 0.00294 BTC
|
||||
= $1,000 / $85000
|
||||
= 0.01176 BTC
|
||||
```
|
||||
|
||||
#### **Step 3: 直接下单（无合约规格限制）**
|
||||
@ -219,8 +206,8 @@ position_size = position_value / price
|
||||
order_params = {
|
||||
'symbol': 'BTC',
|
||||
'is_buy': True,
|
||||
'size': 0.00294, # 直接使用币数量
|
||||
'price': None, # 市价单
|
||||
'size': 0.01176, # 直接使用币数量
|
||||
'price': None,
|
||||
'order_type': 'market',
|
||||
}
|
||||
```
|
||||
@ -236,144 +223,44 @@ order_params = {
|
||||
| **最小单位** | 合约张数（整数） | 币数量（任意） |
|
||||
| **BTC 合约规格** | 0.01 BTC/张 | 无限制 |
|
||||
| **最小保证金** (10x杠杆) | $85 | $50 |
|
||||
| **最小保证金** (5x杠杆) | $170 | $25 |
|
||||
| **仓位表示** | 张数 | 币数量 |
|
||||
| **计算公式** | `(保证金 × 杠杆) / 价格 / 合约规格` | `(保证金 × 杠杆) / 价格` |
|
||||
| **计算公式** | `(保证金×杠杆) / 价格 / 合约规格` | `(保证金×杠杆) / 价格` |
|
||||
|
||||
---
|
||||
|
||||
## 🔍 实际案例
|
||||
## 🛡️ 风险控制
|
||||
|
||||
### **案例 1: Bitget BTC，账户 $1074**
|
||||
|
||||
```
|
||||
信号: BTC 做多，置信度 75% (B级)
|
||||
|
||||
Step 1 (决策层):
|
||||
- 基础保证金 = $1074 × 2% = $21.48
|
||||
- 最小保证金限制 (BTC) = $85
|
||||
- 最终保证金 = $85
|
||||
|
||||
Step 2 (执行层，假设 10x 杠杆):
|
||||
- 持仓价值 = $85 × 10 = $850
|
||||
- BTC 数量 = $850 / $85000 = 0.01 BTC
|
||||
- 合约张数 = 0.01 / 0.01 = 1 张 ✅
|
||||
|
||||
结果: 下单 1 张 BTC 合约，保证金 $85
|
||||
```
|
||||
|
||||
### **案例 2: Bitget SOL，账户 $1074**
|
||||
|
||||
```
|
||||
信号: SOL 做多，置信度 75% (B级)
|
||||
|
||||
Step 1 (决策层):
|
||||
- 基础保证金 = $1074 × 2% = $21.48
|
||||
- 最小保证金限制 (SOL) = $14
|
||||
- 最终保证金 = $21.48 (大于 $14，不调整)
|
||||
|
||||
Step 2 (执行层，假设 5x 杠杆):
|
||||
- 持仓价值 = $21.48 × 5 = $107.40
|
||||
- SOL 数量 = $107.40 / $140 = 0.767 SOL
|
||||
- 合约张数 = 0.767 / 1 = 0 张 ❌
|
||||
|
||||
问题: 0 张 < 1 张
|
||||
|
||||
解决方案: 调整保证金到至少 $28 (28 × 5 / 140 / 1 = 1 张)
|
||||
|
||||
实际调整:
|
||||
- 最小保证金 (5x杠杆) = (1 × 1 × $140) / 5 = $28
|
||||
- 调整后保证金 = $28
|
||||
- SOL 数量 = $28 × 5 / $140 = 1 SOL
|
||||
- 合约张数 = 1 / 1 = 1 张 ✅
|
||||
|
||||
结果: 下单 1 张 SOL 合约，保证金 $28
|
||||
```
|
||||
|
||||
### **案例 3: Hyperliquid BTC，账户 $1000**
|
||||
|
||||
```
|
||||
信号: BTC 做多，置信度 80% (B级)
|
||||
|
||||
Step 1 (决策层):
|
||||
- 基础保证金 = $1000 × 2% = $20
|
||||
- 最小保证金限制 (BTC) = $50
|
||||
- 最终保证金 = $50
|
||||
|
||||
Step 2 (执行层，5x 杠杆):
|
||||
- 持仓价值 = $50 × 5 = $250
|
||||
- BTC 数量 = $250 / $85000 = 0.00294 BTC
|
||||
- 直接下单: 0.00294 BTC ✅
|
||||
|
||||
结果: 下单 0.00294 BTC，保证金 $50
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## ⚠️ 常见问题
|
||||
|
||||
### **问题 1: 为什么 Bitget 的仓位计算失败？**
|
||||
|
||||
**原因**: Bitget 有合约规格限制，必须是整数张数。
|
||||
|
||||
**解决**:
|
||||
```python
|
||||
# 方法1: 提高杠杆（从 5x → 10x）
|
||||
# $85 × 10 = $850 → 0.01 BTC → 1 张 ✅
|
||||
|
||||
# 方法2: 提高保证金
|
||||
# $170 × 5 = $850 → 0.01 BTC → 1 张 ✅
|
||||
```
|
||||
|
||||
### **问题 2: 为什么保证金会被调整两次？**
|
||||
|
||||
**第一次调整** (决策层):
|
||||
- 确保满足平台最小保证金（如 BTC $85）
|
||||
|
||||
**第二次调整** (执行层):
|
||||
- 确保至少能买 1 张合约
|
||||
- 考虑实际杠杆配置
|
||||
|
||||
**建议**: 统一在执行层调整，决策层只计算基础保证金。
|
||||
|
||||
### **问题 3: Hyperliquid 为什么不需要最小保证金？**
|
||||
|
||||
**原因**: Hyperliquid 支持任意大小的仓位，没有合约规格限制。
|
||||
|
||||
**优势**: 可以精确控制仓位大小，无需凑整。
|
||||
|
||||
---
|
||||
|
||||
## 🎯 优化建议
|
||||
|
||||
### **1. 统一最小保证金计算**
|
||||
### **账户级止损** (25%)
|
||||
|
||||
```python
|
||||
def get_min_margin_for_symbol(symbol: str, leverage: int, platform: str) -> float:
|
||||
"""获取某币种的最小保证金（考虑杠杆）"""
|
||||
if platform == 'Bitget':
|
||||
contract_size = get_contract_size(symbol)
|
||||
price = get_current_price(symbol)
|
||||
min_contracts = 1
|
||||
min_position_value = min_contracts * contract_size * price
|
||||
min_margin = min_position_value / leverage
|
||||
return min_margin
|
||||
elif platform == 'Hyperliquid':
|
||||
# Hyperliquid 最小 $50
|
||||
return 50.0
|
||||
else:
|
||||
return 0.0
|
||||
# 每轮循环开始时检查
|
||||
initial_balance = $10,000
|
||||
current_balance = $7,500
|
||||
drawdown = ($10,000 - $7,500) / $10,000 = 25%
|
||||
|
||||
if drawdown >= 25%:
|
||||
# 🚨 触发账户级止损
|
||||
# 1. 立即平掉所有持仓
|
||||
# 2. 停止交易系统
|
||||
# 3. 发送紧急通知
|
||||
```
|
||||
|
||||
### **2. 在决策层预先计算**
|
||||
### **警告阈值** (15%)
|
||||
|
||||
```python
|
||||
# 在 _calculate_position_size 中
|
||||
leverage = signal.get('leverage', 5) # 使用实际杠杆
|
||||
min_margin = get_min_margin_for_symbol(symbol, leverage, platform_name)
|
||||
if margin < min_margin:
|
||||
margin = min_margin
|
||||
logger.info(f" 调整保证金到最小值: ${margin:.2f} (杠杆 {leverage}x)")
|
||||
if drawdown >= 15% and drawdown < 25%:
|
||||
# ⚠️ 发送警告通知
|
||||
await send_alert("账户回撤警告: 15%")
|
||||
```
|
||||
|
||||
### **总杠杆限制** (10x)
|
||||
|
||||
```python
|
||||
current_total_leverage = total_position_value / account_balance
|
||||
|
||||
if current_total_leverage >= 10.0:
|
||||
# 拒绝新开仓
|
||||
return "已达最大杠杆 10x/10x"
|
||||
```
|
||||
|
||||
---
|
||||
@ -381,9 +268,10 @@ if margin < min_margin:
|
||||
## 📝 总结
|
||||
|
||||
**决策层 (`crypto_agent.py`)**:
|
||||
- ✅ 根据信号等级计算保证金（1%/2%/3%）
|
||||
- ✅ 根据信号等级计算保证金（8%/15%/20%）
|
||||
- ✅ 应用平台规则（最小/最大限制）
|
||||
- ✅ 考虑杠杆空间
|
||||
- ✅ 账户级止损保护（25%）
|
||||
|
||||
**执行层 (执行器)**:
|
||||
- ✅ Bitget: 保证金 → 币数量 → 合约张数（整数）
|
||||
@ -396,21 +284,17 @@ if margin < min_margin:
|
||||
- **Bitget**: 受合约规格限制，必须整数张，最小保证金较高
|
||||
- **Hyperliquid**: 无合约规格限制，任意大小，灵活性强
|
||||
|
||||
**风险管理**:
|
||||
- **账户止损**: 25% 回撤自动平仓
|
||||
- **警告阈值**: 15% 回撤发送警告
|
||||
- **总杠杆限制**: 10x 上限
|
||||
|
||||
---
|
||||
|
||||
## 📢 飞书通知集成
|
||||
## 相关文档
|
||||
|
||||
### 功能说明
|
||||
所有交易执行操作都会自动发送飞书通知，详见 [NOTIFICATION_FEATURE.md](./NOTIFICATION_FEATURE.md)
|
||||
|
||||
### 通知时机
|
||||
- **开仓**: 执行成功/失败后立即通知
|
||||
- **平仓**: 执行成功/失败后立即通知
|
||||
- **撤单**: 执行成功/失败后立即通知
|
||||
- **止盈止损**: 设置成功/失败后立即通知
|
||||
|
||||
### 通知内容
|
||||
- **平台**: Bitget / Hyperliquid / 模拟盘
|
||||
- **交易对**: BTC / ETH / SOL 等
|
||||
- **执行结果**: 成功/失败状态
|
||||
- **详细信息**: 订单ID、数量、价格、保证金、杠杆、盈亏等
|
||||
- [超激进配置详解](./AGGRESSIVE_CONFIG.md)
|
||||
- [杠杆配置说明](./LEVERAGE_CONFIGURATION.md)
|
||||
- [仓位策略对比](./POSITION_SIZING_STRATEGY.md)
|
||||
- [移动止损功能](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
- [配置更新总结](./CONFIG_UPDATE_2026-03-28.md)
|
||||
|
||||
426
backend/app/crypto_agent/executor/POSITION_SIZE_LOGIC_OLD.md
Normal file
426
backend/app/crypto_agent/executor/POSITION_SIZE_LOGIC_OLD.md
Normal file
@ -0,0 +1,426 @@
|
||||
# 仓位大小计算逻辑
|
||||
|
||||
## 📊 总体流程
|
||||
|
||||
```
|
||||
市场信号 (LLM) → 硬编码规则决策 → 保证金计算 → 平台执行器 → 下单
|
||||
↓ ↓ ↓ ↓
|
||||
置信度 75% 同向/反向检查 保证金金额 合约张数/币数量
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 1️⃣ 决策层：保证金计算 (`crypto_agent.py`)
|
||||
|
||||
### **输入参数**
|
||||
- **信号置信度** (`confidence`): 0-100 分
|
||||
- **可用余额** (`available`): 账户可用 USDT
|
||||
- **账户余额** (`balance`): 账户总余额 USDT
|
||||
- **当前杠杆** (`current_total_leverage`): 已使用杠杆
|
||||
- **最大杠杆** (`max_total_leverage`): 允许的最大杠杆
|
||||
|
||||
### **计算步骤**
|
||||
|
||||
#### **Step 1: 根据信号等级确定基础保证金比例**
|
||||
|
||||
```python
|
||||
if confidence >= 90:
|
||||
base_margin_pct = 0.03 # A级: 3%
|
||||
elif confidence >= 70:
|
||||
base_margin_pct = 0.02 # B级: 2%
|
||||
else:
|
||||
base_margin_pct = 0.01 # C级: 1%
|
||||
```
|
||||
|
||||
#### **Step 2: 计算初始保证金**
|
||||
|
||||
```python
|
||||
margin = available * base_margin_pct
|
||||
|
||||
# 示例：
|
||||
# 可用余额: $1000
|
||||
# 信号等级: B级 (75分)
|
||||
# margin = 1000 × 2% = $20
|
||||
```
|
||||
|
||||
#### **Step 3: 应用平台最小保证金限制**
|
||||
|
||||
```python
|
||||
# Bitget 最小保证金（各币种不同）
|
||||
BTC: min_margin = $85 # 0.01 BTC × $85000 ÷ 10x杠杆
|
||||
ETH: min_margin = $35 # 0.1 ETH × $3500 ÷ 10x杠杆
|
||||
SOL: min_margin = $14 # 1 SOL × $140 ÷ 10x杠杆
|
||||
|
||||
if margin < min_margin:
|
||||
margin = min_margin
|
||||
```
|
||||
|
||||
**示例**:
|
||||
```
|
||||
计算保证金: $20
|
||||
BTC 最小保证金: $85
|
||||
调整后: margin = $85
|
||||
```
|
||||
|
||||
#### **Step 4: 应用最大保证金限制**
|
||||
|
||||
```python
|
||||
# 单笔不超过余额的 10% (Bitget/Hyperliquid) 或 5% (模拟盘)
|
||||
max_margin = balance * max_margin_pct
|
||||
|
||||
if margin > max_margin:
|
||||
margin = max_margin
|
||||
```
|
||||
|
||||
**示例**:
|
||||
```
|
||||
计算保证金: $150
|
||||
账户余额: $1000
|
||||
最大限制: 10%
|
||||
调整后: margin = $100
|
||||
```
|
||||
|
||||
#### **Step 5: 应用杠杆限制**
|
||||
|
||||
```python
|
||||
remaining_leverage = max_leverage - current_leverage
|
||||
|
||||
if remaining_leverage <= 0:
|
||||
return 0, "已达最大杠杆"
|
||||
|
||||
max_margin_by_leverage = balance * remaining_leverage
|
||||
if margin > max_margin_by_leverage:
|
||||
margin = max_margin_by_leverage
|
||||
```
|
||||
|
||||
**示例**:
|
||||
```
|
||||
计算保证金: $200
|
||||
账户余额: $1000
|
||||
当前杠杆: 8x
|
||||
最大杠杆: 10x
|
||||
剩余杠杆: 2x
|
||||
调整后: margin = $1000 × 2 = $2000 (超过余额，限制为 $200)
|
||||
```
|
||||
|
||||
#### **Step 6: 确保不超过可用余额**
|
||||
|
||||
```python
|
||||
if margin > available:
|
||||
margin = available * 0.95 # 留 5% 余量（手续费）
|
||||
```
|
||||
|
||||
### **完整示例（Bitget BTC）**
|
||||
|
||||
```
|
||||
输入:
|
||||
- 信号置信度: 75% (B级)
|
||||
- 可用余额: $1074
|
||||
- 账户余额: $1074
|
||||
- 当前杠杆: 0x
|
||||
- 最大杠杆: 10x
|
||||
|
||||
Step 1: 基础保证金比例 = 2% (B级)
|
||||
Step 2: 初始保证金 = 1074 × 2% = $21.48
|
||||
Step 3: BTC 最小保证金 = $85 → 调整为 $85
|
||||
Step 4: 最大保证金限制 = 1074 × 10% = $107.4 → 不调整
|
||||
Step 5: 剩余杠杆 = 10x → 不调整
|
||||
Step 6: $85 < $1074 → 不调整
|
||||
|
||||
最终保证金: $85
|
||||
原因: "信号B级(75%) → 2%保证金，应用BTC最小保证金限制$85"
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 2️⃣ 执行层：平台特定转换
|
||||
|
||||
### **Bitget 执行器**
|
||||
|
||||
#### **输入**: 保证金 `$85` + 杠杆 `5x` (假设) + 价格 `$85000`
|
||||
|
||||
#### **Step 1: 计算持仓价值**
|
||||
```python
|
||||
position_value = margin × leverage
|
||||
= $85 × 5 = $425
|
||||
```
|
||||
|
||||
#### **Step 2: 计算币数量**
|
||||
```python
|
||||
coin_amount = position_value / price
|
||||
= $425 / $85000
|
||||
= 0.005 BTC
|
||||
```
|
||||
|
||||
#### **Step 3: 获取合约规格**
|
||||
```python
|
||||
# BTC 合约规格
|
||||
contract_size = 0.01 BTC/张
|
||||
|
||||
# 不同币种的合约规格
|
||||
BTC: 0.01 BTC/张
|
||||
ETH: 0.1 ETH/张
|
||||
SOL: 1 SOL/张
|
||||
```
|
||||
|
||||
#### **Step 4: 计算合约张数（向下取整）**
|
||||
```python
|
||||
contracts = int(coin_amount / contract_size)
|
||||
= int(0.005 / 0.01)
|
||||
= 0 张 ❌
|
||||
```
|
||||
|
||||
**问题**: `0 张 < 1 张` → 无法下单！
|
||||
|
||||
#### **解决方案: 调整保证金**
|
||||
|
||||
```python
|
||||
# 需要至少 1 张合约
|
||||
min_contracts = 1
|
||||
min_coin_amount = 1 × 0.01 = 0.01 BTC
|
||||
min_position_value = 0.01 × $85000 = $850
|
||||
min_margin = $850 / 5x = $170
|
||||
|
||||
# 之前的最小保证金 $85 是按 10x 杠杆算的
|
||||
# 如果用 5x 杠杆，需要 $170
|
||||
```
|
||||
|
||||
**完整示例**:
|
||||
```
|
||||
保证金: $170
|
||||
杠杆: 5x
|
||||
持仓价值: $850
|
||||
BTC 数量: 0.01 BTC
|
||||
合约张数: 1 张 ✅
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
### **Hyperliquid 执行器**
|
||||
|
||||
#### **输入**: 保证金 `$50` + 杠杆 `5x` + 价格 `$85000`
|
||||
|
||||
#### **Step 1: 计算持仓价值**
|
||||
```python
|
||||
position_value = margin × leverage
|
||||
= $50 × 5 = $250
|
||||
```
|
||||
|
||||
#### **Step 2: 计算仓位大小（币数量）**
|
||||
```python
|
||||
position_size = position_value / price
|
||||
= $250 / $85000
|
||||
= 0.00294 BTC
|
||||
```
|
||||
|
||||
#### **Step 3: 直接下单（无合约规格限制）**
|
||||
```python
|
||||
# Hyperliquid 支持任意大小
|
||||
order_params = {
|
||||
'symbol': 'BTC',
|
||||
'is_buy': True,
|
||||
'size': 0.00294, # 直接使用币数量
|
||||
'price': None, # 市价单
|
||||
'order_type': 'market',
|
||||
}
|
||||
```
|
||||
|
||||
**优势**: Hyperliquid 无最小合约限制，可以下任意大小的订单。
|
||||
|
||||
---
|
||||
|
||||
## 📊 平台对比
|
||||
|
||||
| 项目 | Bitget | Hyperliquid |
|
||||
|------|--------|-------------|
|
||||
| **最小单位** | 合约张数（整数） | 币数量（任意） |
|
||||
| **BTC 合约规格** | 0.01 BTC/张 | 无限制 |
|
||||
| **最小保证金** (10x杠杆) | $85 | $50 |
|
||||
| **最小保证金** (5x杠杆) | $170 | $25 |
|
||||
| **仓位表示** | 张数 | 币数量 |
|
||||
| **计算公式** | `(保证金 × 杠杆) / 价格 / 合约规格` | `(保证金 × 杠杆) / 价格` |
|
||||
|
||||
---
|
||||
|
||||
## 🔍 实际案例
|
||||
|
||||
### **案例 1: Bitget BTC，账户 $1074**
|
||||
|
||||
```
|
||||
信号: BTC 做多，置信度 75% (B级)
|
||||
|
||||
Step 1 (决策层):
|
||||
- 基础保证金 = $1074 × 2% = $21.48
|
||||
- 最小保证金限制 (BTC) = $85
|
||||
- 最终保证金 = $85
|
||||
|
||||
Step 2 (执行层，假设 10x 杠杆):
|
||||
- 持仓价值 = $85 × 10 = $850
|
||||
- BTC 数量 = $850 / $85000 = 0.01 BTC
|
||||
- 合约张数 = 0.01 / 0.01 = 1 张 ✅
|
||||
|
||||
结果: 下单 1 张 BTC 合约，保证金 $85
|
||||
```
|
||||
|
||||
### **案例 2: Bitget SOL，账户 $1074**
|
||||
|
||||
```
|
||||
信号: SOL 做多，置信度 75% (B级)
|
||||
|
||||
Step 1 (决策层):
|
||||
- 基础保证金 = $1074 × 2% = $21.48
|
||||
- 最小保证金限制 (SOL) = $14
|
||||
- 最终保证金 = $21.48 (大于 $14，不调整)
|
||||
|
||||
Step 2 (执行层，假设 5x 杠杆):
|
||||
- 持仓价值 = $21.48 × 5 = $107.40
|
||||
- SOL 数量 = $107.40 / $140 = 0.767 SOL
|
||||
- 合约张数 = 0.767 / 1 = 0 张 ❌
|
||||
|
||||
问题: 0 张 < 1 张
|
||||
|
||||
解决方案: 调整保证金到至少 $28 (28 × 5 / 140 / 1 = 1 张)
|
||||
|
||||
实际调整:
|
||||
- 最小保证金 (5x杠杆) = (1 × 1 × $140) / 5 = $28
|
||||
- 调整后保证金 = $28
|
||||
- SOL 数量 = $28 × 5 / $140 = 1 SOL
|
||||
- 合约张数 = 1 / 1 = 1 张 ✅
|
||||
|
||||
结果: 下单 1 张 SOL 合约，保证金 $28
|
||||
```
|
||||
|
||||
### **案例 3: Hyperliquid BTC，账户 $1000**
|
||||
|
||||
```
|
||||
信号: BTC 做多，置信度 80% (B级)
|
||||
|
||||
Step 1 (决策层):
|
||||
- 基础保证金 = $1000 × 2% = $20
|
||||
- 最小保证金限制 (BTC) = $50
|
||||
- 最终保证金 = $50
|
||||
|
||||
Step 2 (执行层，5x 杠杆):
|
||||
- 持仓价值 = $50 × 5 = $250
|
||||
- BTC 数量 = $250 / $85000 = 0.00294 BTC
|
||||
- 直接下单: 0.00294 BTC ✅
|
||||
|
||||
结果: 下单 0.00294 BTC，保证金 $50
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## ⚠️ 常见问题
|
||||
|
||||
### **问题 1: 为什么 Bitget 的仓位计算失败？**
|
||||
|
||||
**原因**: Bitget 有合约规格限制，必须是整数张数。
|
||||
|
||||
**解决**:
|
||||
```python
|
||||
# 方法1: 提高杠杆（从 5x → 10x）
|
||||
# $85 × 10 = $850 → 0.01 BTC → 1 张 ✅
|
||||
|
||||
# 方法2: 提高保证金
|
||||
# $170 × 5 = $850 → 0.01 BTC → 1 张 ✅
|
||||
```
|
||||
|
||||
### **问题 2: 为什么保证金会被调整两次？**
|
||||
|
||||
**第一次调整** (决策层):
|
||||
- 确保满足平台最小保证金（如 BTC $85）
|
||||
|
||||
**第二次调整** (执行层):
|
||||
- 确保至少能买 1 张合约
|
||||
- 考虑实际杠杆配置
|
||||
|
||||
**建议**: 统一在执行层调整，决策层只计算基础保证金。
|
||||
|
||||
### **问题 3: Hyperliquid 为什么不需要最小保证金？**
|
||||
|
||||
**原因**: Hyperliquid 支持任意大小的仓位，没有合约规格限制。
|
||||
|
||||
**优势**: 可以精确控制仓位大小，无需凑整。
|
||||
|
||||
---
|
||||
|
||||
## 🎯 优化建议
|
||||
|
||||
### **1. 统一最小保证金计算**
|
||||
|
||||
```python
|
||||
def get_min_margin_for_symbol(symbol: str, leverage: int, platform: str) -> float:
|
||||
"""获取某币种的最小保证金（考虑杠杆）"""
|
||||
if platform == 'Bitget':
|
||||
contract_size = get_contract_size(symbol)
|
||||
price = get_current_price(symbol)
|
||||
min_contracts = 1
|
||||
min_position_value = min_contracts * contract_size * price
|
||||
min_margin = min_position_value / leverage
|
||||
return min_margin
|
||||
elif platform == 'Hyperliquid':
|
||||
# Hyperliquid 最小 $50
|
||||
return 50.0
|
||||
else:
|
||||
return 0.0
|
||||
```
|
||||
|
||||
### **2. 在决策层预先计算**
|
||||
|
||||
```python
|
||||
# 在 _calculate_position_size 中
|
||||
leverage = signal.get('leverage', 5) # 使用实际杠杆
|
||||
min_margin = get_min_margin_for_symbol(symbol, leverage, platform_name)
|
||||
if margin < min_margin:
|
||||
margin = min_margin
|
||||
logger.info(f" 调整保证金到最小值: ${margin:.2f} (杠杆 {leverage}x)")
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 📝 总结
|
||||
|
||||
**决策层 (`crypto_agent.py`)**:
|
||||
- ✅ 根据信号等级计算保证金（1%/2%/3%）
|
||||
- ✅ 应用平台规则（最小/最大限制）
|
||||
- ✅ 考虑杠杆空间
|
||||
|
||||
**执行层 (执行器)**:
|
||||
- ✅ Bitget: 保证金 → 币数量 → 合约张数（整数）
|
||||
- ✅ Hyperliquid: 保证金 → 币数量（任意）
|
||||
- ✅ 预留手续费
|
||||
- ✅ 智能重试
|
||||
- ✅ **飞书通知**: 所有执行结果自动发送通知
|
||||
|
||||
**关键差异**:
|
||||
- **Bitget**: 受合约规格限制，必须整数张，最小保证金较高
|
||||
- **Hyperliquid**: 无合约规格限制，任意大小，灵活性强
|
||||
|
||||
---
|
||||
|
||||
## 📢 飞书通知集成
|
||||
|
||||
### 功能说明
|
||||
所有交易执行操作都会自动发送飞书通知，详见 [NOTIFICATION_FEATURE.md](./NOTIFICATION_FEATURE.md)
|
||||
|
||||
### 通知时机
|
||||
- **开仓**: 执行成功/失败后立即通知
|
||||
- **平仓**: 执行成功/失败后立即通知
|
||||
- **撤单**: 执行成功/失败后立即通知
|
||||
- **止盈止损**: 设置成功/失败后立即通知
|
||||
|
||||
### 通知内容
|
||||
- **平台**: Bitget / Hyperliquid / 模拟盘
|
||||
- **交易对**: BTC / ETH / SOL 等
|
||||
- **执行结果**: 成功/失败状态
|
||||
- **详细信息**: 订单ID、数量、价格、保证金、杠杆、盈亏等
|
||||
|
||||
## 📊 持仓管理功能
|
||||
|
||||
所有平台都实现了智能持仓管理，包括：
|
||||
|
||||
1. **自动止盈** (TAKE_PROFIT): 达到目标盈利时自动平仓
|
||||
2. **超时退出** (TIME_EXIT): 持仓超过最大时长时自动平仓
|
||||
3. **移动止损** (MOVE_SL): 盈利达到 2% 时，自动移动止损到入场价
|
||||
|
||||
详细说明: [MOVE_STOP_LOSS_FEATURE.md](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
241
backend/app/crypto_agent/executor/POSITION_SIZING_STRATEGY.md
Normal file
241
backend/app/crypto_agent/executor/POSITION_SIZING_STRATEGY.md
Normal file
@ -0,0 +1,241 @@
|
||||
# 仓位配置方案
|
||||
UPDATED: 2026-03-28
|
||||
|
||||
## 当前方案: Kelly公式型
|
||||
|
||||
### 配置详情
|
||||
|
||||
| 信号等级 | 置信度范围 | 保证金比例 | $1000账户示例 | 5x杠杆仓位 | 10x杠杆仓位 |
|
||||
|---------|----------|----------|-------------|-----------|------------|
|
||||
| **A级** | ≥90分 | **10%** | $100 | $500 | $1,000 |
|
||||
| **B级** | 70-89分 | **6%** | $60 | $300 | $600 |
|
||||
| **C级** | <70分 | **2%** | $20 | $100 | $200 |
|
||||
|
||||
### 特点
|
||||
- ✅ **最大化资金利用率**: A级信号用10%仓位，充分利用高质量机会
|
||||
- ✅ **分级明确**: 不同信号等级差异明显（10% / 6% / 2%）
|
||||
- ✅ **适合小资金**: $1000账户也能开有意义仓位（$500-$1000）
|
||||
- ⚠️ **高风险**: 单笔最大亏损可能较大，需严格止损
|
||||
|
||||
### 理论基础: Kelly公式
|
||||
|
||||
Kelly公式用于计算最优仓位大小：
|
||||
|
||||
```
|
||||
f* = (p × b - q) / b
|
||||
|
||||
其中:
|
||||
f* = 最优仓位比例
|
||||
p = 胜率
|
||||
q = 败率 (1 - p)
|
||||
b = 盈亏比 (平均盈利/平均亏损)
|
||||
```
|
||||
|
||||
**假设参数**:
|
||||
- A级信号胜率: 65%, 盈亏比 2.0 → Kelly建议 ~22% (我们用10%更保守)
|
||||
- B级信号胜率: 55%, 盈亏比 1.5 → Kelly建议 ~10% (我们用6%)
|
||||
- C级信号胜率: 50%, 盈亏比 1.2 → Kelly建议 ~3% (我们用2%)
|
||||
|
||||
## 实际案例
|
||||
|
||||
### 案例 1: Bitget BTC, $1074账户, A级信号
|
||||
```
|
||||
信号置信度: 92% (A级)
|
||||
账户余额: $1,074
|
||||
可用余额: $1,074
|
||||
|
||||
Step 1: 基础保证金 = $1,074 × 10% = $107.40
|
||||
Step 2: 最小保证金限制 (BTC) = $85 → 不调整
|
||||
Step 3: 最大保证金限制 = $1,074 × 10% = $107.40 → 不调整
|
||||
Step 4: 杠杆限制 (5x) → 不调整
|
||||
|
||||
最终保证金: $107.40
|
||||
杠杆: 5x
|
||||
持仓价值: $537
|
||||
BTC数量: 0.00631 BTC
|
||||
合约张数: 0 张 ❌
|
||||
|
||||
问题: 0.00631 BTC / 0.01 BTC/张 = 0.631张 → 不足1张
|
||||
|
||||
解决: 调整保证金到 $170
|
||||
→ 0.01 BTC = 1张 ✅
|
||||
```
|
||||
|
||||
### 案例 2: Hyperliquid ETH, $1000账户, B级信号
|
||||
```
|
||||
信号置信度: 78% (B级)
|
||||
账户余额: $1,000
|
||||
可用余额: $1,000
|
||||
|
||||
Step 1: 基础保证金 = $1,000 × 6% = $60
|
||||
Step 2: 最小保证金限制 = $50 → 不调整
|
||||
Step 3: 最大保证金限制 = $1,000 × 10% = $100 → 不调整
|
||||
|
||||
最终保证金: $60
|
||||
杠杆: 5x
|
||||
持仓价值: $300
|
||||
ETH数量: 0.0857 ETH ✅ (Hyperliquid支持任意大小)
|
||||
```
|
||||
|
||||
### 案例 3: PaperTrading SOL, $10000账户, C级信号
|
||||
```
|
||||
信号置信度: 65% (C级)
|
||||
账户余额: $10,000
|
||||
可用余额: $10,000
|
||||
|
||||
Step 1: 基础保证金 = $10,000 × 2% = $200
|
||||
Step 2: 无最小限制 (模拟盘)
|
||||
Step 3: 最大保证金限制 = $10,000 × 5% = $500 → 不调整
|
||||
|
||||
最终保证金: $200
|
||||
杠杆: 5x
|
||||
持仓价值: $1,000
|
||||
SOL数量: 7.14 SOL ✅
|
||||
```
|
||||
|
||||
## 风险管理
|
||||
|
||||
### 单笔最大亏损计算
|
||||
|
||||
假设止损设置为-3%:
|
||||
|
||||
| 信号等级 | 保证金 | 杠杆 | 持仓价值 | -3%亏损 | 占总资金% |
|
||||
|---------|--------|-----|---------|---------|----------|
|
||||
| **A级** | $100 | 5x | $500 | -$15 | -1.5% |
|
||||
| **A级** | $100 | 10x | $1,000 | -$30 | -3.0% |
|
||||
| **B级** | $60 | 5x | $300 | -$9 | -0.9% |
|
||||
| **C级** | $20 | 5x | $100 | -$3 | -0.3% |
|
||||
|
||||
### 最大持仓限制
|
||||
|
||||
除了保证金比例，还有其他限制：
|
||||
|
||||
1. **平台最大保证金**: 单笔不超过余额的10% (Bitget/Hyperliquid)
|
||||
2. **杠杆限制**: 总杠杆不超过10x
|
||||
3. **最小保证金**:
|
||||
- Bitget BTC: $85 (10x) / $170 (5x)
|
||||
- Hyperliquid: $50 (任意杠杆)
|
||||
4. **合约规格** (Bitget):
|
||||
- 必须是整数张
|
||||
- BTC: 0.01 BTC/张
|
||||
- ETH: 0.1 ETH/张
|
||||
- SOL: 1 SOL/张
|
||||
|
||||
## 与其他方案对比
|
||||
|
||||
### 方案对比表
|
||||
|
||||
| 方案 | A级 | B级 | C级 | $1000账户A级仓位(5x) | 特点 |
|
||||
|------|-----|-----|-----|---------------------|------|
|
||||
| **保守型** | 3% | 2% | 1% | $150 | 风险低，收益慢 |
|
||||
| **平衡型** | 5% | 3% | 1% | $250 | 风险收益平衡 |
|
||||
| **激进型** | 8% | 5% | 2% | $400 | 高收益，高风险 |
|
||||
| **Kelly型** (当前) | 10% | 6% | 2% | $500 | 最大化资金效率 |
|
||||
|
||||
### 资金曲线对比
|
||||
|
||||
假设10次A级信号，胜率60%，平均盈利4%，平均亏损3%:
|
||||
|
||||
```
|
||||
保守型 (3%):
|
||||
- 盈利: 6次 × $150 × 4% = $36
|
||||
- 亏损: 4次 × $150 × 3% = -$18
|
||||
- 净收益: +$18 (1.8%)
|
||||
|
||||
Kelly型 (10%):
|
||||
- 盈利: 6次 × $500 × 4% = $120
|
||||
- 亏损: 4次 × $500 × 3% = -$60
|
||||
- 净收益: +$60 (6.0%)
|
||||
```
|
||||
|
||||
**Kelly型收益是保守型的3.3倍**，但最大回撤也会更大。
|
||||
|
||||
## 调整建议
|
||||
|
||||
### 何时调整
|
||||
|
||||
1. **降低仓位** (回到平衡型):
|
||||
- 连续亏损 > 5次
|
||||
- 账户回撤 > 15%
|
||||
- 市场极度波动 (VIX > 40)
|
||||
|
||||
2. **提高杠杆** (保持10%保证金):
|
||||
- 使用10x杠杆替代5x
|
||||
- A级信号仓位: $500 → $1,000
|
||||
- 适合高置信度信号 (≥95%)
|
||||
|
||||
### 动态调整策略
|
||||
|
||||
```python
|
||||
def get_dynamic_position_size(confidence, account, recent_performance):
|
||||
"""根据近期表现动态调整仓位"""
|
||||
|
||||
# 基础比例 (Kelly型)
|
||||
if confidence >= 90:
|
||||
base_pct = 0.10
|
||||
elif confidence >= 70:
|
||||
base_pct = 0.06
|
||||
else:
|
||||
base_pct = 0.02
|
||||
|
||||
# 根据近期表现调整
|
||||
win_rate = recent_performance.get('win_rate_7d', 0.5)
|
||||
|
||||
if win_rate < 0.4:
|
||||
# 近期表现差，降低仓位
|
||||
base_pct *= 0.7
|
||||
elif win_rate > 0.7:
|
||||
# 近期表现好，提高仓位
|
||||
base_pct *= 1.2
|
||||
|
||||
return account['available'] * base_pct
|
||||
```
|
||||
|
||||
## 实施检查清单
|
||||
|
||||
- [x] 修改 `crypto_agent.py` 中的 `_calculate_position_size()` 方法
|
||||
- [x] 更新文档说明新比例
|
||||
- [x] 测试A级信号仓位计算
|
||||
- [x] 测试B级信号仓位计算
|
||||
- [x] 测试C级信号仓位计算
|
||||
- [x] 验证Bitget合约张数计算
|
||||
- [x] 验证Hyperliquid任意大小支持
|
||||
|
||||
- [ ] 实盘测试并监控
|
||||
- [ ] 根据实盘表现微调
|
||||
|
||||
## 相关配置文件
|
||||
|
||||
```python
|
||||
# crypto_agent.py
|
||||
|
||||
# Kelly公式型配置
|
||||
if confidence >= 90:
|
||||
base_margin_pct = 0.10 # A级: 10%
|
||||
elif confidence >= 70:
|
||||
base_margin_pct = 0.06 # B级: 6%
|
||||
else:
|
||||
base_margin_pct = 0.02 # C级: 2%
|
||||
|
||||
# 平台限制
|
||||
PLATFORM_RULES = {
|
||||
'Bitget': {
|
||||
'max_margin_pct': 0.10, # 单笔最大10%
|
||||
'min_margin': {
|
||||
'BTC': 85, # 10x杠杆
|
||||
'ETH': 35,
|
||||
'SOL': 14
|
||||
}
|
||||
},
|
||||
'Hyperliquid': {
|
||||
'max_margin_pct': 0.10,
|
||||
'min_margin': 50 # 通用最小$50
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
## 相关文档
|
||||
|
||||
- [仓位计算逻辑](./POSITION_SIZE_LOGIC.md)
|
||||
- [执行器优化总结](./EXECUTOR_OPTIMIZATION_SUMMARY.md)
|
||||
- [移动止损功能](./MOVE_STOP_LOSS_FEATURE.md)
|
||||
@ -432,6 +432,26 @@ class BaseExecutor(ABC):
|
||||
"""
|
||||
pass
|
||||
|
||||
# ==================== 移动止损 ====================
|
||||
|
||||
@abstractmethod
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""
|
||||
移动止损
|
||||
|
||||
Args:
|
||||
symbol: 交易对
|
||||
new_stop_loss: 新的止损价
|
||||
current_stop_loss: 当前止损价（可选）
|
||||
|
||||
Returns:
|
||||
{'success': bool, 'message': str}
|
||||
"""
|
||||
pass
|
||||
|
||||
# ==================== 飞书通知 ====================
|
||||
|
||||
async def send_execution_notification(self,
|
||||
|
||||
@ -295,6 +295,40 @@ class BitgetExecutor(BaseExecutor):
|
||||
"""价格更新阈值: 0.5%"""
|
||||
return 0.5
|
||||
|
||||
# ==================== 移动止损 ====================
|
||||
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""
|
||||
移动止损（Bitget）
|
||||
|
||||
Args:
|
||||
symbol: 交易对（如 BTCUSDT）
|
||||
new_stop_loss: 新止损价
|
||||
current_stop_loss: 当前止损价（可选）
|
||||
|
||||
Returns:
|
||||
{'success': bool, 'message': str}
|
||||
"""
|
||||
try:
|
||||
# Bitget 使用 modify_sl_tp 方法
|
||||
success = self.bitget.modify_sl_tp(
|
||||
symbol=symbol.replace('USDT', ''),
|
||||
stop_loss=new_stop_loss
|
||||
)
|
||||
|
||||
if success:
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_stop_loss:.2f}")
|
||||
return {'success': True, 'message': f'移动止损成功: {new_stop_loss:.2f}'}
|
||||
else:
|
||||
return {'success': False, 'message': '移动止损失败'}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Bitget 移动止损失败: {e}")
|
||||
return {'success': False, 'message': str(e)}
|
||||
|
||||
# ==================== 辅助方法 ====================
|
||||
|
||||
def _calculate_contracts(self, symbol: str, margin: float, price: float) -> int:
|
||||
|
||||
@ -289,3 +289,37 @@ class HyperliquidExecutor(BaseExecutor):
|
||||
except Exception as e:
|
||||
logger.error(f"计算仓位大小失败: {e}")
|
||||
return 0
|
||||
|
||||
# ==================== 移动止损 ====================
|
||||
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""
|
||||
移动止损（Hyperliquid）
|
||||
|
||||
Args:
|
||||
symbol: 交易对
|
||||
new_stop_loss: 新止损价
|
||||
current_stop_loss: 当前止损价（可选）
|
||||
|
||||
Returns:
|
||||
{'success': bool, 'message': str}
|
||||
"""
|
||||
try:
|
||||
# Hyperliquid 使用 set_tp_sl 方法（只传 sl_price）
|
||||
result = self.hyperliquid.set_tp_sl(
|
||||
symbol=symbol.replace('USDT', ''),
|
||||
sl_price=new_stop_loss
|
||||
)
|
||||
|
||||
if result.get('success', False):
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_stop_loss:.2f}")
|
||||
return {'success': True, 'message': f'移动止损成功: {new_stop_loss:.2f}'}
|
||||
else:
|
||||
return {'success': False, 'message': result.get('message', '移动止损失败')}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Hyperliquid 移动止损失败: {e}")
|
||||
return {'success': False, 'message': str(e)}
|
||||
|
||||
@ -257,3 +257,51 @@ class PaperTradingExecutor(BaseExecutor):
|
||||
def get_price_update_threshold(self) -> float:
|
||||
"""价格更新阈值：0.3%"""
|
||||
return 0.3
|
||||
|
||||
# ==================== 移动止损 ====================
|
||||
|
||||
async def move_stop_loss(self,
|
||||
symbol: str,
|
||||
new_stop_loss: float,
|
||||
current_stop_loss: Optional[float] = None) -> Dict[str, Any]:
|
||||
"""
|
||||
移动止损（模拟盘）
|
||||
|
||||
Args:
|
||||
symbol: 交易对
|
||||
new_stop_loss: 新止损价
|
||||
current_stop_loss: 当前止损价（可选）
|
||||
|
||||
Returns:
|
||||
{'success': bool, 'message': str}
|
||||
"""
|
||||
try:
|
||||
# 查找该交易对的所有活跃订单
|
||||
orders = self.paper_trading.get_active_orders(symbol)
|
||||
|
||||
if not orders:
|
||||
return {'success': False, 'message': f'找不到 {symbol} 的活跃订单'}
|
||||
|
||||
# 更新所有该交易对的订单止损价
|
||||
success_count = 0
|
||||
for order in orders:
|
||||
update_result = self.paper_trading.update_order(
|
||||
order_id=order.order_id,
|
||||
stop_loss=new_stop_loss
|
||||
)
|
||||
|
||||
if update_result.get('success'):
|
||||
success_count += 1
|
||||
|
||||
if success_count > 0:
|
||||
logger.info(f" ✅ 移动止损成功: {symbol} → ${new_stop_loss:.2f} ({success_count}/{len(orders)} 订单)")
|
||||
return {
|
||||
'success': True,
|
||||
'message': f'移动止损成功: {new_stop_loss:.2f} ({success_count}/{len(orders)} 订单)'
|
||||
}
|
||||
else:
|
||||
return {'success': False, 'message': '所有订单移动止损失败'}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"模拟盘移动止损失败: {e}")
|
||||
return {'success': False, 'message': str(e)}
|
||||
|
||||
Loading…
Reference in New Issue
Block a user