1422 lines
55 KiB
Python
1422 lines
55 KiB
Python
"""
|
||
LLM 驱动的信号分析器 - 让 LLM 自主分析市场数据并给出交易信号
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||
"""
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import json
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import re
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import pandas as pd
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from typing import Dict, Any, Optional, List
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from datetime import datetime
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from app.utils.logger import logger
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from app.services.llm_service import llm_service
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from app.services.news_service import get_news_service
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class LLMSignalAnalyzer:
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"""LLM 驱动的交易信号分析器"""
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# 系统提示词 - 让 LLM 自主分析
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SYSTEM_PROMPT = """你是一位专业的加密货币交易员和技术分析师。你的任务是综合分析**K线数据、量价关系、技术指标和新闻舆情**，给出交易信号。
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## 核心理念
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加密货币市场波动大，每天都有交易机会。你的目标是：
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- **主动寻找机会**，而不是被动等待完美信号
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- 短线交易重点关注：超跌反弹、超涨回落、关键位突破
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- 中线交易重点关注：趋势回调、形态突破、多周期共振
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## 一、量价分析（最重要）
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量价关系是判断趋势真假的核心：
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### 1. 健康上涨信号
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- **放量上涨**：价格上涨 + 成交量放大（量比>1.5）= 上涨有效，可追多
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- **缩量回调**：上涨后回调 + 成交量萎缩（量比<0.7）= 回调健康，可低吸
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### 2. 健康下跌信号
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- **放量下跌**：价格下跌 + 成交量放大 = 下跌有效，可追空
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- **缩量反弹**：下跌后反弹 + 成交量萎缩 = 反弹无力，可做空
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### 3. 量价背离（重要反转信号）
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- **顶背离**：价格创新高，但成交量未创新高 → 上涨动能衰竭，警惕回落
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- **底背离**：价格创新低，但成交量未创新低 → 下跌动能衰竭，关注反弹
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- **天量见顶**：极端放量（量比>3）后价格滞涨 → 主力出货信号
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- **地量见底**：极端缩量（量比<0.3）后价格企稳 → 抛压枯竭信号
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||
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### 4. 突破确认
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- **有效突破**：突破关键位 + 放量确认（量比>1.5）= 真突破
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- **假突破**：突破关键位 + 缩量 = 假突破，可能回落
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## 二、K线形态分析
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### 反转形态
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- **锤子线/倒锤子**：下跌趋势中出现，下影线长 = 底部信号
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- **吞没形态**：大阳吞没前一根阴线 = 看涨；大阴吞没前一根阳线 = 看跌
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- **十字星**：在高位/低位出现 = 变盘信号
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- **早晨之星/黄昏之星**：三根K线组合的反转信号
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### 持续形态
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- **三连阳/三连阴**：趋势延续信号
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- **旗形整理**：趋势中的健康回调
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## 三、技术指标分析
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### RSI（相对强弱指标）
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- RSI < 30：超卖区，关注反弹机会
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- RSI > 70：超买区，关注回落风险
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- RSI 背离：价格与 RSI 走势相反 = 重要反转信号
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### MACD
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- 金叉（DIF 上穿 DEA）：做多信号
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- 死叉（DIF 下穿 DEA）：做空信号
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- 零轴上方金叉：强势做多
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- 零轴下方死叉：强势做空
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- MACD 柱状图背离：重要反转信号
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||
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### 布林带
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- 触及下轨 + 企稳：反弹做多
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- 触及上轨 + 受阻：回落做空
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- 布林带收口：即将变盘
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- 布林带开口：趋势启动
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### 均线系统
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- 多头排列（MA5>MA10>MA20）：上涨趋势
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- 空头排列（MA5<MA10<MA20）：下跌趋势
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- 价格回踩均线支撑：低吸机会
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- 价格反弹均线压力：做空机会
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## 四、新闻舆情分析
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结合最新市场新闻判断：
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- **重大利好**：监管利好、机构入场、ETF 通过等 → 提高做多置信度
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- **重大利空**：监管打压、交易所暴雷、黑客攻击等 → 提高做空置信度
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- **市场情绪**：恐慌指数、社交媒体热度
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- **大户动向**：鲸鱼转账、交易所流入流出
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||
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## 五、多周期共振
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- 4H + 1H 同向 = 中线信号更可靠
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- 1H + 15M 同向 = 短线信号更可靠
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- 多周期 RSI 同时超买/超卖 = 强反转信号
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## 六、入场方式
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- **market**：现价立即入场 - 信号已经触发，建议立即开仓
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- **limit**：挂单等待入场 - 等价格回调到更好位置再入场
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## 输出格式
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请严格按照以下 JSON 格式输出：
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```json
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{
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"analysis_summary": "简要描述当前市场状态（50字以内）",
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"volume_analysis": "量价分析结论（30字以内）",
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"news_sentiment": "positive/negative/neutral",
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"news_impact": "新闻对市场的影响分析（30字以内）",
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"signals": [
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{
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"type": "short_term/medium_term/long_term",
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"action": "buy/sell/wait",
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"entry_type": "market/limit",
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"confidence": 0-100,
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"grade": "A/B/C/D",
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"position_size": "heavy/medium/light",
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"position_reason": "仓位建议理由（20字以内）",
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"entry_price": 建议入场价,
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"stop_loss": 止损价,
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"take_profit": 止盈价,
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"reason": "详细的入场理由（必须包含量价分析）",
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"risk_warning": "风险提示"
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}
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],
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"key_levels": {
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||
"support": [支撑位列表],
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"resistance": [阻力位列表]
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}
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}
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```
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## 信号等级与置信度
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- **A级**（80-100）：量价配合 + 多指标共振 + 多周期确认
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- **B级**（60-79）：量价配合 + 主要指标确认
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- **C级**（40-59）：有机会但量价不够理想
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- **D级**（<40）：量价背离或信号矛盾
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## 七、仓位管理（重要）
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你需要根据信号质量和当前持仓情况，建议合适的仓位大小。
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### 仓位等级
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- **heavy**（重仓）：机会极佳，建议使用较大仓位
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- **medium**（中仓）：机会不错，建议使用中等仓位
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- **light**（轻仓）：机会一般或风险较高，建议轻仓试探
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### 仓位决策规则
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1. **A级信号**：可建议 heavy 或 medium
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2. **B级信号**：建议 medium 或 light
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3. **C级信号**：只能建议 light
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4. **已有同向持仓时**：新仓位应降一级（避免过度集中）
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5. **已有反向持仓时**：谨慎开仓，除非信号极强
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6. **市场波动剧烈时**：仓位应保守
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### 安全底线（必须遵守）
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- 总杠杆永远不得超过 20 倍
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- 单一交易对持仓不宜过大
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- 如果当前持仓已经较重，即使有好机会也要控制仓位
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## 八、止损止盈策略（重要更新）
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### 止损设置原则（结构化止损）
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**不要使用固定百分比或固定ATR倍数！止损必须基于关键价位：**
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1. **做多止损**：
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- 优先放在最近支撑位（前低）下方 0.3-0.5%
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- 如果有 MA20 支撑，可放在 MA20 下方 0.5%
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- 如果最近低点距离过近（<1%），则使用 ATR 1.2-1.5倍
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- 避免止损距离过大（>4%ATR）
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2. **做空止损**：
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- 优先放在最近阻力位（前高）上方 0.3-0.5%
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- 如果有 MA20 阻力，可放在 MA20 上方 0.5%
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- 如果最近高点距离过近（<1%），则使用 ATR 1.2-1.5倍
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- 避免止损距离过大（>4%ATR）
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### 止盈设置（移动止盈策略）
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**不设固定止盈位，让利润奔跑！**
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1. **take_profit 设置为保险价位**：
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- 做多：入场价 + 15%（作为极端情况的保险止盈）
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- 做空：入场价 - 15%
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- 这个价位只是"保险"，正常情况下不会触及
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2. **实际止盈靠移动止损**：
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- 系统会通过移动止损自动锁定利润
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- 盈利 2% 后开始移动止损，锁定部分利润
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- 盈利越多，止损跟随移动，确保吃到趋势
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### 风险收益比
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- 虽然不设固定止盈，但仍要确保止损合理
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- 理想情况下，潜在风险（止损距离）应控制在 2-3% 以内
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## 重要原则
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1. **量价优先** - 任何信号都必须有量能配合才可靠
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2. **积极但不冒进** - 有合理依据就给出信号，不要过于保守
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3. 每种类型最多输出一个信号
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4. 止损必须基于关键支撑/阻力位（前低前高、MA20），不要用固定百分比
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5. 止盈设置为保险价位（做多+15%，做空-15%），实际靠移动止损锁定利润
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6. reason 字段必须包含量价分析（如"放量突破+RSI=45，量比1.8确认有效"）
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7. entry_type 必须明确：信号已触发用 market，等待更好价位用 limit
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||
8. **position_size 必须明确**：根据信号质量和持仓情况给出 heavy/medium/light"""
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def __init__(self):
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"""初始化分析器"""
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from app.config import get_settings
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self.news_service = get_news_service()
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settings = get_settings()
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self.model_override = getattr(settings, 'crypto_agent_model', None)
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logger.info(f"LLM 信号分析器初始化完成（含新闻舆情，模型: {self.model_override or '默认'}）")
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async def analyze(self, symbol: str, data: Dict[str, pd.DataFrame],
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symbols: List[str] = None,
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position_info: Dict[str, Any] = None) -> Dict[str, Any]:
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"""
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使用 LLM 分析市场数据
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||
|
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Args:
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symbol: 交易对，如 'BTCUSDT'
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data: 多周期K线数据 {'5m': df, '15m': df, '1h': df, '4h': df}
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symbols: 所有监控的交易对（用于过滤相关新闻）
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position_info: 当前持仓信息，用于仓位管理决策
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- account_balance: 账户余额
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- total_position_value: 总持仓价值
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- current_leverage: 当前杠杆倍数
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- positions: 各交易对持仓列表
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||
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Returns:
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||
分析结果
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||
"""
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try:
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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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# 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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||
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# 调用 LLM
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response = llm_service.chat([
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{"role": "system", "content": self.SYSTEM_PROMPT},
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{"role": "user", "content": data_prompt}
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||
], model_override=self.model_override)
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if not response:
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logger.warning(f"{symbol} LLM 分析无响应")
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return self._empty_result(symbol, "LLM 无响应")
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||
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# 解析响应
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result = self._parse_response(response)
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result['symbol'] = symbol
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result['timestamp'] = datetime.now().isoformat()
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||
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||
# 记录日志
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signals = result.get('signals', [])
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||
if signals:
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for sig in signals:
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logger.info(f"{symbol} [{sig['type']}] {sig['action']} "
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f"置信度:{sig['confidence']}% 等级:{sig['grade']} "
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f"原因:{sig['reason'][:50]}...")
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else:
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logger.info(f"{symbol} 无交易信号 - {result.get('analysis_summary', '观望')}")
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return result
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except Exception as e:
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logger.error(f"{symbol} LLM 分析出错: {e}")
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import traceback
|
||
logger.error(traceback.format_exc())
|
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return self._empty_result(symbol, str(e))
|
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|
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async def _get_news_context(self, symbol: str, symbols: List[str]) -> str:
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"""获取新闻上下文（暂时禁用）"""
|
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# 暂时禁用新闻获取，只做技术面分析
|
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return ""
|
||
|
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def _format_position_info(self, symbol: str, position_info: Dict[str, Any]) -> str:
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"""格式化持仓信息供 LLM 参考"""
|
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lines = []
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||
|
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# 账户概况
|
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balance = position_info.get('account_balance', 0)
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total_value = position_info.get('total_position_value', 0)
|
||
current_leverage = position_info.get('current_leverage', 0)
|
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max_leverage = 20 # 最大杠杆限制
|
||
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lines.append(f"- 账户余额: ${balance:,.2f}")
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lines.append(f"- 总持仓价值: ${total_value:,.2f}")
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||
lines.append(f"- 当前杠杆: {current_leverage:.1f}x / {max_leverage}x")
|
||
|
||
# 可用杠杆空间
|
||
available_leverage = max_leverage - current_leverage
|
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if available_leverage > 0:
|
||
available_value = balance * available_leverage
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||
lines.append(f"- 可开仓空间: ${available_value:,.2f} ({available_leverage:.1f}x)")
|
||
else:
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||
lines.append("- ⚠️ 已达最大杠杆，不建议加仓")
|
||
|
||
# 当前交易对持仓
|
||
positions = position_info.get('positions', [])
|
||
symbol_positions = [p for p in positions if p.get('symbol') == symbol]
|
||
|
||
if symbol_positions:
|
||
lines.append(f"\n**{symbol} 当前持仓**:")
|
||
for pos in symbol_positions:
|
||
side = "做多" if pos.get('side') == 'long' else "做空"
|
||
entry = pos.get('entry_price', 0)
|
||
pnl = pos.get('pnl_percent', 0)
|
||
lines.append(f" - {side} @ ${entry:,.2f} | 盈亏: {pnl:+.2f}%")
|
||
else:
|
||
lines.append(f"\n**{symbol}**: 无持仓")
|
||
|
||
# 其他交易对持仓概况
|
||
other_positions = [p for p in positions if p.get('symbol') != symbol and p.get('status') == 'open']
|
||
if other_positions:
|
||
lines.append(f"\n**其他持仓**: {len(other_positions)} 个")
|
||
|
||
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:
|
||
"""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")
|
||
|
||
# 当前价格
|
||
current_price = 0
|
||
if '5m' in data and not data['5m'].empty:
|
||
current_price = float(data['5m'].iloc[-1]['close'])
|
||
parts.append(f"**当前价格**: ${current_price:,.2f}\n")
|
||
|
||
# === 新增：账户和持仓信息 ===
|
||
if position_info:
|
||
parts.append("\n## 账户与持仓状态")
|
||
parts.append(self._format_position_info(symbol, position_info))
|
||
|
||
# === 新增：关键价位分析 ===
|
||
key_levels = self._calculate_key_levels(data)
|
||
if key_levels:
|
||
parts.append("\n## 关键价位")
|
||
parts.append(key_levels)
|
||
|
||
# === 新增：多周期共振分析 ===
|
||
resonance = self._analyze_multi_timeframe_resonance(data)
|
||
if resonance:
|
||
parts.append("\n## 多周期共振")
|
||
parts.append(resonance)
|
||
|
||
# === 新增：市场结构分析 ===
|
||
structure = self._analyze_market_structure(data)
|
||
if structure:
|
||
parts.append("\n## 市场结构")
|
||
parts.append(structure)
|
||
|
||
# === 新增：波动率分析 ===
|
||
volatility = self._analyze_volatility(data)
|
||
if volatility:
|
||
parts.append("\n## 波动率分析")
|
||
parts.append(volatility)
|
||
|
||
# 各周期数据
|
||
for interval in ['4h', '1h', '15m', '5m']:
|
||
df = data.get(interval)
|
||
if df is None or df.empty:
|
||
continue
|
||
|
||
parts.append(f"\n## {interval.upper()} 周期数据")
|
||
|
||
# 最新指标（传入 df 以分析趋势变化）
|
||
latest = df.iloc[-1]
|
||
parts.append(self._format_indicators(latest, df))
|
||
|
||
# 最近 K 线数据
|
||
parts.append(self._format_recent_klines(df, interval))
|
||
|
||
# 添加新闻数据
|
||
if news_text and news_text != "暂无相关新闻":
|
||
parts.append(f"\n{news_text}")
|
||
|
||
parts.append("\n---")
|
||
parts.append("请综合分析以上技术数据和新闻舆情，判断是否存在短线、中线或长线的交易机会。")
|
||
parts.append("如果没有明确的交易机会，signals 数组返回空即可。")
|
||
|
||
return "\n".join(parts)
|
||
|
||
def _calculate_key_levels(self, data: Dict[str, pd.DataFrame]) -> str:
|
||
"""计算关键支撑阻力位"""
|
||
lines = []
|
||
|
||
# 使用 4h 数据计算关键价位
|
||
df = data.get('4h')
|
||
if df is None or len(df) < 20:
|
||
return ""
|
||
|
||
current_price = float(df.iloc[-1]['close'])
|
||
|
||
# 1. 前高前低（最近 20 根 K 线）
|
||
recent = df.iloc[-20:]
|
||
recent_high = float(recent['high'].max())
|
||
recent_low = float(recent['low'].min())
|
||
|
||
# 2. 整数关口
|
||
round_levels = []
|
||
base = int(current_price / 1000) * 1000
|
||
for offset in [-2000, -1000, 0, 1000, 2000]:
|
||
level = base + offset
|
||
if level > 0:
|
||
round_levels.append(level)
|
||
|
||
# 3. 斐波那契回撤位（基于最近的高低点）
|
||
fib_levels = []
|
||
price_range = recent_high - recent_low
|
||
if price_range > 0:
|
||
fib_ratios = [0, 0.236, 0.382, 0.5, 0.618, 0.786, 1]
|
||
for ratio in fib_ratios:
|
||
fib_price = recent_low + price_range * ratio
|
||
fib_levels.append((ratio, fib_price))
|
||
|
||
# 构建输出
|
||
lines.append(f"- 近期高点: ${recent_high:,.2f}")
|
||
lines.append(f"- 近期低点: ${recent_low:,.2f}")
|
||
|
||
# 找出最近的支撑和阻力
|
||
supports = []
|
||
resistances = []
|
||
|
||
# 从斐波那契位找支撑阻力
|
||
for ratio, price in fib_levels:
|
||
if price < current_price * 0.995: # 低于当前价 0.5% 以上
|
||
supports.append(price)
|
||
elif price > current_price * 1.005: # 高于当前价 0.5% 以上
|
||
resistances.append(price)
|
||
|
||
# 添加整数关口
|
||
for level in round_levels:
|
||
if level < current_price * 0.995:
|
||
supports.append(level)
|
||
elif level > current_price * 1.005:
|
||
resistances.append(level)
|
||
|
||
# 排序并取最近的
|
||
supports = sorted(set(supports), reverse=True)[:3]
|
||
resistances = sorted(set(resistances))[:3]
|
||
|
||
if supports:
|
||
support_str = ", ".join([f"${s:,.0f}" for s in supports])
|
||
lines.append(f"- 支撑位: {support_str}")
|
||
if resistances:
|
||
resistance_str = ", ".join([f"${r:,.0f}" for r in resistances])
|
||
lines.append(f"- 阻力位: {resistance_str}")
|
||
|
||
# 当前价格位置
|
||
if recent_high > recent_low:
|
||
position = (current_price - recent_low) / (recent_high - recent_low) * 100
|
||
if position > 80:
|
||
pos_text = "接近高点，注意回调风险"
|
||
elif position < 20:
|
||
pos_text = "接近低点，关注反弹机会"
|
||
else:
|
||
pos_text = f"处于区间 {position:.0f}% 位置"
|
||
lines.append(f"- 价格位置: {pos_text}")
|
||
|
||
return "\n".join(lines)
|
||
|
||
def _analyze_multi_timeframe_resonance(self, data: Dict[str, pd.DataFrame]) -> str:
|
||
"""分析多周期共振"""
|
||
trends = {}
|
||
|
||
for interval in ['4h', '1h', '15m', '5m']:
|
||
df = data.get(interval)
|
||
if df is None or len(df) < 10:
|
||
continue
|
||
|
||
# 判断趋势方向
|
||
ma5 = df['ma5'].iloc[-1] if 'ma5' in df.columns else None
|
||
ma20 = df['ma20'].iloc[-1] if 'ma20' in df.columns else None
|
||
close = df['close'].iloc[-1]
|
||
|
||
if pd.notna(ma5) and pd.notna(ma20):
|
||
if close > ma5 > ma20:
|
||
trends[interval] = 'bullish'
|
||
elif close < ma5 < ma20:
|
||
trends[interval] = 'bearish'
|
||
else:
|
||
trends[interval] = 'neutral'
|
||
|
||
if len(trends) < 2:
|
||
return ""
|
||
|
||
lines = []
|
||
|
||
# 统计各方向数量
|
||
bullish_count = sum(1 for t in trends.values() if t == 'bullish')
|
||
bearish_count = sum(1 for t in trends.values() if t == 'bearish')
|
||
total = len(trends)
|
||
|
||
# 各周期趋势
|
||
trend_map = {'bullish': '📈多', 'bearish': '📉空', 'neutral': '➡️震荡'}
|
||
trend_str = " | ".join([f"{k}: {trend_map.get(v, v)}" for k, v in trends.items()])
|
||
lines.append(f"- 各周期趋势: {trend_str}")
|
||
|
||
# 共振判断
|
||
if bullish_count == total:
|
||
lines.append(f"- **强共振做多**: 所有周期均为多头排列")
|
||
elif bearish_count == total:
|
||
lines.append(f"- **强共振做空**: 所有周期均为空头排列")
|
||
elif bullish_count >= total * 0.75:
|
||
lines.append(f"- **偏多共振**: {bullish_count}/{total} 周期看多")
|
||
elif bearish_count >= total * 0.75:
|
||
lines.append(f"- **偏空共振**: {bearish_count}/{total} 周期看空")
|
||
else:
|
||
lines.append(f"- **无明显共振**: 多空分歧，建议观望")
|
||
|
||
return "\n".join(lines)
|
||
|
||
def _analyze_market_structure(self, data: Dict[str, pd.DataFrame]) -> str:
|
||
"""分析市场结构（趋势、高低点）"""
|
||
df = data.get('1h')
|
||
if df is None or len(df) < 24:
|
||
return ""
|
||
|
||
lines = []
|
||
recent = df.iloc[-24:] # 最近 24 根 1h K 线
|
||
|
||
# 找出局部高低点
|
||
highs = []
|
||
lows = []
|
||
|
||
for i in range(2, len(recent) - 2):
|
||
# 局部高点：比前后两根都高
|
||
if (recent.iloc[i]['high'] > recent.iloc[i-1]['high'] and
|
||
recent.iloc[i]['high'] > recent.iloc[i-2]['high'] and
|
||
recent.iloc[i]['high'] > recent.iloc[i+1]['high'] and
|
||
recent.iloc[i]['high'] > recent.iloc[i+2]['high']):
|
||
highs.append((i, float(recent.iloc[i]['high'])))
|
||
|
||
# 局部低点：比前后两根都低
|
||
if (recent.iloc[i]['low'] < recent.iloc[i-1]['low'] and
|
||
recent.iloc[i]['low'] < recent.iloc[i-2]['low'] and
|
||
recent.iloc[i]['low'] < recent.iloc[i+1]['low'] and
|
||
recent.iloc[i]['low'] < recent.iloc[i+2]['low']):
|
||
lows.append((i, float(recent.iloc[i]['low'])))
|
||
|
||
# 判断趋势结构
|
||
if len(highs) >= 2 and len(lows) >= 2:
|
||
# 检查高点是否越来越高
|
||
higher_highs = all(highs[i][1] < highs[i+1][1] for i in range(len(highs)-1))
|
||
lower_highs = all(highs[i][1] > highs[i+1][1] for i in range(len(highs)-1))
|
||
|
||
# 检查低点是否越来越高
|
||
higher_lows = all(lows[i][1] < lows[i+1][1] for i in range(len(lows)-1))
|
||
lower_lows = all(lows[i][1] > lows[i+1][1] for i in range(len(lows)-1))
|
||
|
||
if higher_highs and higher_lows:
|
||
lines.append("- **上升趋势**: 更高的高点(HH) + 更高的低点(HL)")
|
||
elif lower_highs and lower_lows:
|
||
lines.append("- **下降趋势**: 更低的高点(LH) + 更低的低点(LL)")
|
||
elif higher_lows and lower_highs:
|
||
lines.append("- **收敛三角形**: 高点下移 + 低点上移，即将突破")
|
||
elif lower_lows and higher_highs:
|
||
lines.append("- **扩散形态**: 波动加大，方向不明")
|
||
else:
|
||
lines.append("- **震荡结构**: 无明显趋势")
|
||
else:
|
||
lines.append("- **结构不明**: 高低点不足，难以判断")
|
||
|
||
# 计算趋势强度
|
||
if len(recent) >= 10:
|
||
price_change = (float(recent.iloc[-1]['close']) - float(recent.iloc[0]['close'])) / float(recent.iloc[0]['close']) * 100
|
||
if abs(price_change) > 3:
|
||
direction = "上涨" if price_change > 0 else "下跌"
|
||
lines.append(f"- 24h 趋势: {direction} {abs(price_change):.1f}%")
|
||
|
||
return "\n".join(lines)
|
||
|
||
def _analyze_volatility(self, data: Dict[str, pd.DataFrame]) -> str:
|
||
"""分析波动率变化"""
|
||
df = data.get('1h')
|
||
if df is None or len(df) < 24 or 'atr' not in df.columns:
|
||
return ""
|
||
|
||
lines = []
|
||
|
||
# ATR 变化趋势
|
||
recent_atr = df['atr'].iloc[-6:].mean() # 最近 6 根
|
||
older_atr = df['atr'].iloc[-12:-6].mean() # 之前 6 根
|
||
|
||
if pd.isna(recent_atr) or pd.isna(older_atr) or older_atr == 0:
|
||
return ""
|
||
|
||
atr_change = (recent_atr - older_atr) / older_atr * 100
|
||
|
||
current_atr = float(df['atr'].iloc[-1])
|
||
current_price = float(df['close'].iloc[-1])
|
||
atr_percent = current_atr / current_price * 100
|
||
|
||
lines.append(f"- 当前 ATR: ${current_atr:.2f} ({atr_percent:.2f}%)")
|
||
|
||
if atr_change > 20:
|
||
lines.append(f"- **波动率扩张**: ATR 上升 {atr_change:.0f}%，趋势可能启动")
|
||
elif atr_change < -20:
|
||
lines.append(f"- **波动率收缩**: ATR 下降 {abs(atr_change):.0f}%，可能即将突破")
|
||
else:
|
||
lines.append(f"- 波动率稳定: ATR 变化 {atr_change:+.0f}%")
|
||
|
||
# 布林带宽度
|
||
if 'bb_upper' in df.columns and 'bb_lower' in df.columns:
|
||
bb_width = (float(df['bb_upper'].iloc[-1]) - float(df['bb_lower'].iloc[-1])) / current_price * 100
|
||
bb_width_prev = (float(df['bb_upper'].iloc[-6]) - float(df['bb_lower'].iloc[-6])) / float(df['close'].iloc[-6]) * 100
|
||
|
||
if bb_width < bb_width_prev * 0.8:
|
||
lines.append(f"- **布林带收口**: 宽度 {bb_width:.1f}%，变盘信号")
|
||
elif bb_width > bb_width_prev * 1.2:
|
||
lines.append(f"- **布林带开口**: 宽度 {bb_width:.1f}%，趋势延续")
|
||
|
||
return "\n".join(lines)
|
||
|
||
return "\n".join(parts)
|
||
|
||
def _format_indicators(self, row: pd.Series, df: pd.DataFrame = None) -> str:
|
||
"""格式化指标数据（含趋势变化分析）"""
|
||
lines = []
|
||
|
||
# 价格
|
||
close = row.get('close', 0)
|
||
open_price = row.get('open', 0)
|
||
high = row.get('high', 0)
|
||
low = row.get('low', 0)
|
||
change = ((close - open_price) / open_price * 100) if open_price else 0
|
||
lines.append(f"- K线: O={open_price:.2f} H={high:.2f} L={low:.2f} C={close:.2f} ({change:+.2f}%)")
|
||
|
||
# 均线
|
||
ma5 = row.get('ma5', 0)
|
||
ma10 = row.get('ma10', 0)
|
||
ma20 = row.get('ma20', 0)
|
||
ma50 = row.get('ma50', 0)
|
||
if pd.notna(ma20):
|
||
# 判断均线排列
|
||
if pd.notna(ma5) and pd.notna(ma10):
|
||
if ma5 > ma10 > ma20:
|
||
ma_trend = "多头排列"
|
||
elif ma5 < ma10 < ma20:
|
||
ma_trend = "空头排列"
|
||
else:
|
||
ma_trend = "交织"
|
||
else:
|
||
ma_trend = ""
|
||
ma_str = f"- 均线: MA5={ma5:.2f}, MA10={ma10:.2f}, MA20={ma20:.2f}"
|
||
if pd.notna(ma50):
|
||
ma_str += f", MA50={ma50:.2f}"
|
||
if ma_trend:
|
||
ma_str += f" ({ma_trend})"
|
||
lines.append(ma_str)
|
||
|
||
# RSI（含趋势分析）
|
||
rsi = row.get('rsi', 0)
|
||
if pd.notna(rsi):
|
||
rsi_status = "超卖" if rsi < 30 else ("超买" if rsi > 70 else "中性")
|
||
rsi_trend = self._analyze_indicator_trend(df, 'rsi', 6) if df is not None else ""
|
||
rsi_line = f"- RSI: {rsi:.1f} ({rsi_status})"
|
||
if rsi_trend:
|
||
rsi_line += f" {rsi_trend}"
|
||
lines.append(rsi_line)
|
||
|
||
# MACD（含趋势分析）
|
||
macd = row.get('macd', 0)
|
||
macd_signal = row.get('macd_signal', 0)
|
||
macd_hist = row.get('macd_hist', 0)
|
||
if pd.notna(macd):
|
||
macd_status = "多头" if macd > macd_signal else "空头"
|
||
macd_trend = self._analyze_macd_trend(df) if df is not None else ""
|
||
macd_line = f"- MACD: DIF={macd:.4f}, DEA={macd_signal:.4f}, 柱={macd_hist:.4f} ({macd_status})"
|
||
if macd_trend:
|
||
macd_line += f" {macd_trend}"
|
||
lines.append(macd_line)
|
||
|
||
# KDJ（含金叉死叉检测）
|
||
k = row.get('k', 0)
|
||
d = row.get('d', 0)
|
||
j = row.get('j', 0)
|
||
if pd.notna(k):
|
||
kdj_signal = self._detect_kdj_cross(df) if df is not None else ""
|
||
kdj_line = f"- KDJ: K={k:.1f}, D={d:.1f}, J={j:.1f}"
|
||
if kdj_signal:
|
||
kdj_line += f" {kdj_signal}"
|
||
lines.append(kdj_line)
|
||
|
||
# 布林带（含位置分析）
|
||
bb_upper = row.get('bb_upper', 0)
|
||
bb_middle = row.get('bb_middle', 0)
|
||
bb_lower = row.get('bb_lower', 0)
|
||
if pd.notna(bb_upper):
|
||
# 判断价格在布林带中的位置
|
||
if close >= bb_upper:
|
||
bb_pos = "触及上轨"
|
||
elif close <= bb_lower:
|
||
bb_pos = "触及下轨"
|
||
elif close > bb_middle:
|
||
bb_pos = "中轨上方"
|
||
else:
|
||
bb_pos = "中轨下方"
|
||
lines.append(f"- 布林带: 上={bb_upper:.2f}, 中={bb_middle:.2f}, 下={bb_lower:.2f} ({bb_pos})")
|
||
|
||
# ATR
|
||
atr = row.get('atr', 0)
|
||
if pd.notna(atr):
|
||
lines.append(f"- ATR: {atr:.2f}")
|
||
|
||
# 成交量
|
||
volume = row.get('volume', 0)
|
||
volume_ratio = row.get('volume_ratio', 0)
|
||
if pd.notna(volume_ratio):
|
||
vol_status = "放量" if volume_ratio > 1.5 else ("缩量" if volume_ratio < 0.5 else "正常")
|
||
lines.append(f"- 成交量: {volume:.2f}, 量比={volume_ratio:.2f} ({vol_status})")
|
||
|
||
return "\n".join(lines)
|
||
|
||
def _analyze_indicator_trend(self, df: pd.DataFrame, indicator: str, lookback: int = 6) -> str:
|
||
"""分析指标趋势变化"""
|
||
if df is None or len(df) < lookback:
|
||
return ""
|
||
|
||
recent = df[indicator].iloc[-lookback:]
|
||
if recent.isna().any():
|
||
return ""
|
||
|
||
first_val = recent.iloc[0]
|
||
last_val = recent.iloc[-1]
|
||
change = last_val - first_val
|
||
|
||
# RSI 特殊处理
|
||
if indicator == 'rsi':
|
||
if first_val > 70 and last_val < 70:
|
||
return "[从超买回落]"
|
||
elif first_val < 30 and last_val > 30:
|
||
return "[从超卖反弹]"
|
||
elif change > 10:
|
||
return "[快速上升]"
|
||
elif change < -10:
|
||
return "[快速下降]"
|
||
|
||
return ""
|
||
|
||
def _analyze_macd_trend(self, df: pd.DataFrame, lookback: int = 6) -> str:
|
||
"""分析 MACD 趋势"""
|
||
if df is None or len(df) < lookback:
|
||
return ""
|
||
|
||
recent_hist = df['macd_hist'].iloc[-lookback:]
|
||
recent_macd = df['macd'].iloc[-lookback:]
|
||
recent_signal = df['macd_signal'].iloc[-lookback:]
|
||
|
||
if recent_hist.isna().any():
|
||
return ""
|
||
|
||
# 检测金叉死叉
|
||
for i in range(-3, 0):
|
||
if i - 1 >= -len(recent_macd):
|
||
prev_diff = recent_macd.iloc[i-1] - recent_signal.iloc[i-1]
|
||
curr_diff = recent_macd.iloc[i] - recent_signal.iloc[i]
|
||
if prev_diff < 0 and curr_diff > 0:
|
||
return "[刚刚金叉]"
|
||
elif prev_diff > 0 and curr_diff < 0:
|
||
return "[刚刚死叉]"
|
||
|
||
# 检测柱状图趋势
|
||
positive_count = sum(1 for x in recent_hist if x > 0)
|
||
hist_trend = recent_hist.iloc[-1] - recent_hist.iloc[-3] if len(recent_hist) >= 3 else 0
|
||
|
||
if positive_count == lookback and hist_trend > 0:
|
||
return "[红柱持续放大]"
|
||
elif positive_count == lookback and hist_trend < 0:
|
||
return "[红柱开始缩小]"
|
||
elif positive_count == 0 and hist_trend < 0:
|
||
return "[绿柱持续放大]"
|
||
elif positive_count == 0 and hist_trend > 0:
|
||
return "[绿柱开始缩小]"
|
||
|
||
return ""
|
||
|
||
def _detect_kdj_cross(self, df: pd.DataFrame, lookback: int = 3) -> str:
|
||
"""检测 KDJ 金叉死叉"""
|
||
if df is None or len(df) < lookback:
|
||
return ""
|
||
|
||
recent_k = df['k'].iloc[-lookback:]
|
||
recent_d = df['d'].iloc[-lookback:]
|
||
|
||
if recent_k.isna().any() or recent_d.isna().any():
|
||
return ""
|
||
|
||
# 检测最近的交叉
|
||
for i in range(-lookback + 1, 0):
|
||
prev_diff = recent_k.iloc[i-1] - recent_d.iloc[i-1]
|
||
curr_diff = recent_k.iloc[i] - recent_d.iloc[i]
|
||
|
||
if prev_diff < 0 and curr_diff > 0:
|
||
# 金叉位置判断
|
||
k_val = recent_k.iloc[i]
|
||
if k_val < 20:
|
||
return "[低位金叉，强买入信号]"
|
||
elif k_val < 50:
|
||
return "[中位金叉]"
|
||
else:
|
||
return "[高位金叉，谨慎]"
|
||
elif prev_diff > 0 and curr_diff < 0:
|
||
k_val = recent_k.iloc[i]
|
||
if k_val > 80:
|
||
return "[高位死叉，强卖出信号]"
|
||
elif k_val > 50:
|
||
return "[中位死叉]"
|
||
else:
|
||
return "[低位死叉，谨慎]"
|
||
|
||
return ""
|
||
|
||
def _format_recent_klines(self, df: pd.DataFrame, interval: str) -> str:
|
||
"""格式化最近 K 线（含量价分析）"""
|
||
# 根据周期决定显示数量
|
||
# 4h: 12根=2天, 1h: 24根=1天, 15m: 16根=4小时, 5m: 12根=1小时
|
||
count = {'4h': 12, '1h': 24, '15m': 16, '5m': 12}.get(interval, 12)
|
||
|
||
if len(df) < count:
|
||
count = len(df)
|
||
|
||
lines = [f"\n最近 {count} 根 K 线（含量价数据）:"]
|
||
lines.append("| 时间 | 开盘 | 最高 | 最低 | 收盘 | 涨跌 | 成交量 | 量比 | RSI |")
|
||
lines.append("|------|------|------|------|------|------|--------|------|-----|")
|
||
|
||
for i in range(-count, 0):
|
||
row = df.iloc[i]
|
||
change = ((row['close'] - row['open']) / row['open'] * 100) if row['open'] else 0
|
||
change_str = f"{change:+.2f}%"
|
||
time_str = row['open_time'].strftime('%m-%d %H:%M') if pd.notna(row.get('open_time')) else 'N/A'
|
||
rsi = row.get('rsi', 0)
|
||
rsi_str = f"{rsi:.0f}" if pd.notna(rsi) else "-"
|
||
|
||
# 成交量和量比
|
||
volume = row.get('volume', 0)
|
||
volume_ratio = row.get('volume_ratio', 1.0)
|
||
if pd.notna(volume) and volume > 0:
|
||
# 格式化成交量（大数字用K/M表示）
|
||
if volume >= 1000000:
|
||
vol_str = f"{volume/1000000:.1f}M"
|
||
elif volume >= 1000:
|
||
vol_str = f"{volume/1000:.1f}K"
|
||
else:
|
||
vol_str = f"{volume:.0f}"
|
||
else:
|
||
vol_str = "-"
|
||
|
||
vol_ratio_str = f"{volume_ratio:.2f}" if pd.notna(volume_ratio) else "-"
|
||
|
||
lines.append(f"| {time_str} | {row['open']:.2f} | {row['high']:.2f} | "
|
||
f"{row['low']:.2f} | {row['close']:.2f} | {change_str} | {vol_str} | {vol_ratio_str} | {rsi_str} |")
|
||
|
||
# 添加量价分析提示
|
||
lines.append(self._analyze_volume_price(df, count))
|
||
|
||
return "\n".join(lines)
|
||
|
||
def _analyze_volume_price(self, df: pd.DataFrame, count: int) -> str:
|
||
"""分析量价关系"""
|
||
if len(df) < count:
|
||
return ""
|
||
|
||
recent = df.iloc[-count:]
|
||
analysis = []
|
||
|
||
# 计算价格趋势
|
||
price_change = (recent.iloc[-1]['close'] - recent.iloc[0]['close']) / recent.iloc[0]['close'] * 100
|
||
|
||
# 计算成交量趋势
|
||
vol_first_half = recent.iloc[:count//2]['volume'].mean() if 'volume' in recent.columns else 0
|
||
vol_second_half = recent.iloc[count//2:]['volume'].mean() if 'volume' in recent.columns else 0
|
||
|
||
if vol_first_half > 0 and vol_second_half > 0:
|
||
vol_change = (vol_second_half - vol_first_half) / vol_first_half * 100
|
||
|
||
# 量价分析
|
||
if price_change > 1: # 上涨
|
||
if vol_change > 20:
|
||
analysis.append("📈 **量价分析**: 放量上涨，上涨有效")
|
||
elif vol_change < -20:
|
||
analysis.append("⚠️ **量价分析**: 缩量上涨，警惕回调")
|
||
else:
|
||
analysis.append("➡️ **量价分析**: 量能平稳上涨")
|
||
elif price_change < -1: # 下跌
|
||
if vol_change > 20:
|
||
analysis.append("📉 **量价分析**: 放量下跌，下跌有效")
|
||
elif vol_change < -20:
|
||
analysis.append("💡 **量价分析**: 缩量下跌，关注企稳")
|
||
else:
|
||
analysis.append("➡️ **量价分析**: 量能平稳下跌")
|
||
else: # 横盘
|
||
if vol_change < -30:
|
||
analysis.append("🔄 **量价分析**: 缩量整理，等待方向")
|
||
else:
|
||
analysis.append("🔄 **量价分析**: 横盘震荡")
|
||
|
||
# 检测量价背离
|
||
if len(df) >= 10:
|
||
recent_10 = df.iloc[-10:]
|
||
# 检查是否有新高/新低
|
||
price_high_idx = recent_10['high'].idxmax()
|
||
price_low_idx = recent_10['low'].idxmin()
|
||
|
||
if 'volume' in recent_10.columns:
|
||
# 顶背离检测
|
||
if price_high_idx == recent_10.index[-1]: # 最新K线创新高
|
||
prev_high_idx = recent_10['high'].iloc[:-1].idxmax()
|
||
if recent_10.loc[price_high_idx, 'volume'] < recent_10.loc[prev_high_idx, 'volume'] * 0.8:
|
||
analysis.append("🔴 **顶背离**: 价格新高但量能不足，警惕回落")
|
||
|
||
# 底背离检测
|
||
if price_low_idx == recent_10.index[-1]: # 最新K线创新低
|
||
prev_low_idx = recent_10['low'].iloc[:-1].idxmin()
|
||
if recent_10.loc[price_low_idx, 'volume'] < recent_10.loc[prev_low_idx, 'volume'] * 0.8:
|
||
analysis.append("🟢 **底背离**: 价格新低但量能萎缩，关注反弹")
|
||
|
||
return "\n" + "\n".join(analysis) if analysis else ""
|
||
|
||
def _parse_response(self, response: str) -> Dict[str, Any]:
|
||
"""解析 LLM 响应"""
|
||
result = {
|
||
'raw_response': response,
|
||
'analysis_summary': '',
|
||
'signals': [],
|
||
'key_levels': {'support': [], 'resistance': []}
|
||
}
|
||
|
||
try:
|
||
# 尝试提取 JSON
|
||
json_match = re.search(r'```json\s*([\s\S]*?)\s*```', response)
|
||
if json_match:
|
||
json_str = json_match.group(1)
|
||
else:
|
||
# 尝试直接解析
|
||
json_str = response
|
||
|
||
parsed = json.loads(json_str)
|
||
|
||
result['analysis_summary'] = parsed.get('analysis_summary', '')
|
||
result['signals'] = parsed.get('signals', [])
|
||
result['key_levels'] = parsed.get('key_levels', {'support': [], 'resistance': []})
|
||
|
||
# 验证和清理信号
|
||
valid_signals = []
|
||
for sig in result['signals']:
|
||
if self._validate_signal(sig):
|
||
valid_signals.append(sig)
|
||
result['signals'] = valid_signals
|
||
|
||
except json.JSONDecodeError:
|
||
logger.warning("LLM 响应不是有效 JSON，尝试提取关键信息")
|
||
result['analysis_summary'] = self._extract_summary(response)
|
||
|
||
return result
|
||
|
||
def _validate_signal(self, signal: Dict[str, Any]) -> bool:
|
||
"""验证信号是否有效"""
|
||
required_fields = ['type', 'action', 'confidence', 'grade', 'reason']
|
||
for field in required_fields:
|
||
if field not in signal:
|
||
return False
|
||
|
||
# 验证类型
|
||
if signal['type'] not in ['short_term', 'medium_term', 'long_term']:
|
||
return False
|
||
|
||
# 验证动作
|
||
if signal['action'] not in ['buy', 'sell', 'wait']:
|
||
return False
|
||
|
||
# wait 动作不算有效信号
|
||
if signal['action'] == 'wait':
|
||
return False
|
||
|
||
# 验证置信度（必须 >= 60 才算有效信号，即 B 级及以上）
|
||
confidence = signal.get('confidence', 0)
|
||
if not isinstance(confidence, (int, float)) or confidence < 60:
|
||
return False
|
||
|
||
# 验证入场类型（默认为 market）
|
||
entry_type = signal.get('entry_type', 'market')
|
||
if entry_type not in ['market', 'limit']:
|
||
signal['entry_type'] = 'market' # 默认现价入场
|
||
|
||
# 验证仓位大小（默认根据等级设置）
|
||
position_size = signal.get('position_size', '')
|
||
if position_size not in ['heavy', 'medium', 'light']:
|
||
# 根据信号等级设置默认仓位
|
||
grade = signal.get('grade', 'C')
|
||
if grade == 'A':
|
||
signal['position_size'] = 'medium' # A级默认中仓
|
||
elif grade == 'B':
|
||
signal['position_size'] = 'light' # B级默认轻仓
|
||
else:
|
||
signal['position_size'] = 'light' # C级默认轻仓
|
||
|
||
return True
|
||
|
||
def _extract_summary(self, text: str) -> str:
|
||
"""从文本中提取摘要"""
|
||
text = text.strip()
|
||
if len(text) > 100:
|
||
return text[:100] + "..."
|
||
return text
|
||
|
||
def _empty_result(self, symbol: str, reason: str = "") -> Dict[str, Any]:
|
||
"""返回空结果"""
|
||
return {
|
||
'symbol': symbol,
|
||
'timestamp': datetime.now().isoformat(),
|
||
'analysis_summary': reason or '无法分析',
|
||
'signals': [],
|
||
'key_levels': {'support': [], 'resistance': []},
|
||
'error': reason
|
||
}
|
||
|
||
def get_best_signal(self, result: Dict[str, Any]) -> Optional[Dict[str, Any]]:
|
||
"""
|
||
从分析结果中获取最佳信号
|
||
|
||
Args:
|
||
result: analyze() 的返回结果
|
||
|
||
Returns:
|
||
最佳信号，如果没有则返回 None
|
||
"""
|
||
signals = result.get('signals', [])
|
||
if not signals:
|
||
return None
|
||
|
||
# 按置信度排序
|
||
sorted_signals = sorted(signals, key=lambda x: x.get('confidence', 0), reverse=True)
|
||
return sorted_signals[0]
|
||
|
||
def format_signal_message(self, signal: Dict[str, Any], symbol: str) -> str:
|
||
"""
|
||
格式化信号消息（用于 Telegram 通知）
|
||
|
||
Args:
|
||
signal: 信号数据
|
||
symbol: 交易对
|
||
|
||
Returns:
|
||
格式化的消息文本
|
||
"""
|
||
type_map = {
|
||
'short_term': '短线',
|
||
'medium_term': '中线',
|
||
'long_term': '长线'
|
||
}
|
||
action_map = {
|
||
'buy': '做多',
|
||
'sell': '做空'
|
||
}
|
||
|
||
signal_type = type_map.get(signal['type'], signal['type'])
|
||
action = action_map.get(signal['action'], signal['action'])
|
||
grade = signal.get('grade', 'C')
|
||
confidence = signal.get('confidence', 0)
|
||
entry_type = signal.get('entry_type', 'market')
|
||
|
||
# 等级图标
|
||
grade_icon = {'A': '⭐⭐⭐', 'B': '⭐⭐', 'C': '⭐', 'D': ''}.get(grade, '')
|
||
|
||
# 方向图标
|
||
action_icon = '🟢' if signal['action'] == 'buy' else '🔴'
|
||
|
||
# 入场类型
|
||
entry_type_text = '现价入场' if entry_type == 'market' else '挂单等待'
|
||
entry_type_icon = '⚡' if entry_type == 'market' else '⏳'
|
||
|
||
# 仓位大小
|
||
position_size = signal.get('position_size', 'light')
|
||
position_map = {'heavy': '重仓', 'medium': '中仓', 'light': '轻仓'}
|
||
position_icon = {'heavy': '🔥', 'medium': '📊', 'light': '🌱'}.get(position_size, '🌱')
|
||
position_text = position_map.get(position_size, '轻仓')
|
||
|
||
# 计算风险收益比
|
||
entry = signal.get('entry_price', 0)
|
||
sl = signal.get('stop_loss', 0)
|
||
tp = signal.get('take_profit', 0)
|
||
sl_percent = ((sl - entry) / entry * 100) if entry else 0
|
||
tp_percent = ((tp - entry) / entry * 100) if entry else 0
|
||
|
||
message = f"""📊 {symbol} {signal_type}信号
|
||
|
||
{action_icon} **方向**: {action}
|
||
{entry_type_icon} **入场**: {entry_type_text}
|
||
{position_icon} **仓位**: {position_text}
|
||
⭐ **等级**: {grade} {grade_icon}
|
||
📈 **置信度**: {confidence}%
|
||
|
||
💰 **入场价**: ${entry:,.2f}
|
||
🛑 **止损价**: ${sl:,.2f} ({sl_percent:+.1f}%)
|
||
🎯 **止盈价**: ${tp:,.2f} ({tp_percent:+.1f}%)
|
||
|
||
📝 **分析理由**:
|
||
{signal.get('reason', '无')}
|
||
|
||
⚠️ **风险提示**:
|
||
{signal.get('risk_warning', '请注意风险控制')}"""
|
||
|
||
return message
|
||
|
||
def format_feishu_card(self, signal: Dict[str, Any], symbol: str) -> Dict[str, Any]:
|
||
"""
|
||
格式化飞书卡片消息
|
||
|
||
Args:
|
||
signal: 信号数据
|
||
symbol: 交易对
|
||
|
||
Returns:
|
||
包含 title, content, color 的字典
|
||
"""
|
||
type_map = {
|
||
'short_term': '短线',
|
||
'medium_term': '中线',
|
||
'long_term': '长线'
|
||
}
|
||
action_map = {
|
||
'buy': '做多',
|
||
'sell': '做空'
|
||
}
|
||
|
||
signal_type = type_map.get(signal['type'], signal['type'])
|
||
action = action_map.get(signal['action'], signal['action'])
|
||
grade = signal.get('grade', 'C')
|
||
confidence = signal.get('confidence', 0)
|
||
entry_type = signal.get('entry_type', 'market')
|
||
|
||
# 等级图标
|
||
grade_icon = {'A': '⭐⭐⭐', 'B': '⭐⭐', 'C': '⭐', 'D': ''}.get(grade, '')
|
||
|
||
# 入场类型
|
||
entry_type_text = '现价入场' if entry_type == 'market' else '挂单等待'
|
||
entry_type_icon = '⚡' if entry_type == 'market' else '⏳'
|
||
|
||
# 仓位大小
|
||
position_size = signal.get('position_size', 'light')
|
||
position_map = {'heavy': '重仓', 'medium': '中仓', 'light': '轻仓'}
|
||
position_icon = {'heavy': '🔥', 'medium': '📊', 'light': '🌱'}.get(position_size, '🌱')
|
||
position_text = position_map.get(position_size, '轻仓')
|
||
|
||
# 标题和颜色
|
||
if signal['action'] == 'buy':
|
||
title = f"🟢 {symbol} {signal_type}做多信号 [{entry_type_text}]"
|
||
color = "green"
|
||
else:
|
||
title = f"🔴 {symbol} {signal_type}做空信号 [{entry_type_text}]"
|
||
color = "red"
|
||
|
||
# 计算风险收益比
|
||
entry = signal.get('entry_price', 0)
|
||
sl = signal.get('stop_loss', 0)
|
||
tp = signal.get('take_profit', 0)
|
||
sl_percent = ((sl - entry) / entry * 100) if entry else 0
|
||
tp_percent = ((tp - entry) / entry * 100) if entry else 0
|
||
|
||
# 构建 Markdown 内容
|
||
content_parts = [
|
||
f"**{signal_type}** | **{grade}**{grade_icon} | **{confidence}%** 置信度",
|
||
f"{entry_type_icon} **入场方式**: {entry_type_text}",
|
||
f"{position_icon} **建议仓位**: {position_text}",
|
||
"",
|
||
f"💰 **入场**: ${entry:,.2f}",
|
||
f"🛑 **止损**: ${sl:,.2f} ({sl_percent:+.1f}%)",
|
||
f"🎯 **止盈**: ${tp:,.2f} ({tp_percent:+.1f}%)",
|
||
"",
|
||
f"📝 **分析理由**:",
|
||
f"{signal.get('reason', '无')}",
|
||
"",
|
||
f"⚠️ **风险提示**:",
|
||
f"{signal.get('risk_warning', '请注意风险控制')}",
|
||
]
|
||
|
||
return {
|
||
'title': title,
|
||
'content': '\n'.join(content_parts),
|
||
'color': color
|
||
}
|
||
|
||
# 持仓回顾分析的 System Prompt
|
||
POSITION_REVIEW_PROMPT = """你是一个专业的加密货币交易风险管理专家。你的任务是回顾现有持仓，根据最新市场行情决定是否需要调整。
|
||
|
||
## 你的职责
|
||
|
||
对于每个持仓，你需要分析：
|
||
1. 当前持仓状态（盈亏、持仓时间、风险敞口）
|
||
2. 最新市场行情（趋势、支撑阻力、技术指标）
|
||
3. 原有交易逻辑是否依然有效
|
||
4. 是否需要调整止损止盈
|
||
5. 是否需要平仓（部分或全部）
|
||
|
||
## 决策类型
|
||
|
||
### 1. HOLD（保持）
|
||
- 适用场景：行情符合预期，趋势延续
|
||
- 操作：不改变任何设置
|
||
|
||
### 2. ADJUST_SL_TP（调整止损止盈）
|
||
- 适用场景：
|
||
- **盈利状态**：趋势强劲，可以收紧止损锁定更多利润
|
||
- **亏损状态**：支撑/阻力位变化，需要调整止损到更合理位置
|
||
- **目标接近**：原止盈目标接近，但趋势仍强，可上移止盈
|
||
- 操作：更新 stop_loss 和/或 take_profit
|
||
|
||
### 3. PARTIAL_CLOSE（部分平仓）
|
||
- 适用场景：
|
||
- 盈利较大，但不确定性增加
|
||
- 重要阻力位附近，锁定部分利润
|
||
- 趋势有转弱迹象
|
||
- 操作：平掉 close_percent 比例的仓位
|
||
|
||
### 4. FULL_CLOSE（全部平仓）
|
||
- 适用场景：
|
||
- **止损型**：趋势明确反转，止损信号出现
|
||
- **止盈型**：目标达成，或出现更好的机会
|
||
- **风险型**：重大利空/利好的不确定性
|
||
- 操作：平掉全部仓位
|
||
|
||
## 调整原则
|
||
|
||
### 盈利状态（盈亏 > 0）
|
||
1. **收紧止损**：如果盈利 > 2%，可以将止损移至保本或盈利 1% 位置
|
||
2. **部分止盈**：如果盈利 > 5% 且接近重要阻力位，可平掉 30-50% 仓位
|
||
3. **继续持有**：如果趋势强劲，可以放宽止损让利润奔跑
|
||
|
||
### 亏损状态（盈亏 < 0）
|
||
1. **提前止损**：如果出现明确的反转信号，不要等止损触发
|
||
2. **调整止损**：如果关键支撑/阻力位变化，更新止损位置
|
||
3. **继续持有**：如果只是正常波动，原交易逻辑未变，继续持有
|
||
|
||
### 重要技术信号
|
||
1. **趋势反转**：多周期共振转反、跌破/突破关键 MA
|
||
2. **量价背离**：价格新高但成交量萎缩
|
||
3. **MACD 背离**：价格新高/新低但 MACD 未确认
|
||
4. **RSI 极端**：RSI > 75 或 < 25 后掉头
|
||
|
||
## 输出格式
|
||
|
||
对于每个持仓，输出 JSON：
|
||
```json
|
||
{
|
||
"order_id": "订单ID",
|
||
"action": "HOLD | ADJUST_SL_TP | PARTIAL_CLOSE | FULL_CLOSE",
|
||
"new_sl": 新止损价格（仅 ADJUST_SL_TP 时）,
|
||
"new_tp": 新止盈价格（仅 ADJUST_SL_TP 时）,
|
||
"close_percent": 平仓比例 0-100（仅 PARTIAL_CLOSE 时）,
|
||
"reason": "调整原因（简明扼要，20字以内）"
|
||
}
|
||
```
|
||
|
||
## 重要原则
|
||
1. **主动管理**：不要被动等待止损触发，主动识别风险
|
||
2. **保护利润**：盈利状态下，优先考虑锁定利润
|
||
3. **果断止损**：亏损状态下，如果趋势反转，果断离场
|
||
4. **灵活调整**：根据最新行情，不局限于开仓时的判断
|
||
5. **考虑成本**：频繁调整会增加交易成本，只在有明确信号时调整
|
||
"""
|
||
|
||
async def review_positions(
|
||
self,
|
||
symbol: str,
|
||
positions: List[Dict[str, Any]],
|
||
data: Dict[str, pd.DataFrame]
|
||
) -> List[Dict[str, Any]]:
|
||
"""
|
||
回顾并分析现有持仓，给出调整建议
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
positions: 持仓列表，每个持仓包含：
|
||
- order_id: 订单ID
|
||
- side: 'long' or 'short'
|
||
- entry_price: 开仓价格
|
||
- current_price: 当前价格
|
||
- stop_loss: 当前止损
|
||
- take_profit: 当前止盈
|
||
- quantity: 仓位数量
|
||
- pnl_percent: 盈亏百分比
|
||
- open_time: 开仓时间
|
||
data: 多周期K线数据
|
||
|
||
Returns:
|
||
调整建议列表
|
||
"""
|
||
if not positions:
|
||
return []
|
||
|
||
try:
|
||
# 构建持仓分析提示
|
||
prompt = self._build_position_review_prompt(symbol, positions, data)
|
||
|
||
# 调用 LLM
|
||
response = llm_service.chat([
|
||
{"role": "system", "content": self.POSITION_REVIEW_PROMPT},
|
||
{"role": "user", "content": prompt}
|
||
], model_override=self.model_override)
|
||
|
||
if not response:
|
||
logger.warning(f"{symbol} 持仓回顾 LLM 分析无响应")
|
||
return []
|
||
|
||
# 解析响应
|
||
return self._parse_position_review_response(response)
|
||
|
||
except Exception as e:
|
||
logger.error(f"持仓回顾分析失败: {e}", exc_info=True)
|
||
return []
|
||
|
||
def _build_position_review_prompt(
|
||
self,
|
||
symbol: str,
|
||
positions: List[Dict[str, Any]],
|
||
data: Dict[str, pd.DataFrame]
|
||
) -> str:
|
||
"""构建持仓分析提示"""
|
||
lines = [f"# {symbol} 持仓回顾分析", f"分析时间: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}"]
|
||
lines.append("\n## 当前持仓")
|
||
|
||
for idx, pos in enumerate(positions, 1):
|
||
side_text = "做多 📈" if pos['side'] == 'long' else "做空 📉"
|
||
pnl_text = f"+{pos['pnl_percent']:.1f}%" if pos['pnl_percent'] >= 0 else f"{pos['pnl_percent']:.1f}%"
|
||
pnl_emoji = "✅" if pos['pnl_percent'] >= 0 else "❌"
|
||
|
||
lines.append(f"\n### 持仓 {idx}: {pos['order_id']}")
|
||
lines.append(f"- 方向: {side_text}")
|
||
lines.append(f"- 开仓价: ${pos['entry_price']:,.2f}")
|
||
lines.append(f"- 当前价: ${pos['current_price']:,.2f}")
|
||
lines.append(f"- 盈亏: {pnl_emoji} {pnl_text}")
|
||
lines.append(f"- 止损: ${pos['stop_loss']:,.2f}")
|
||
lines.append(f"- 止盈: ${pos['take_profit']:,.2f}")
|
||
lines.append(f"- 仓位: ${pos['quantity']:,.0f}")
|
||
|
||
# 计算持仓时间
|
||
if 'open_time' in pos:
|
||
open_time = pos['open_time']
|
||
if isinstance(open_time, str):
|
||
open_time = datetime.fromisoformat(open_time)
|
||
duration = datetime.now() - open_time
|
||
hours = duration.total_seconds() / 3600
|
||
lines.append(f"- 持仓时间: {hours:.1f} 小时")
|
||
|
||
# 添加市场分析
|
||
lines.append("\n## 最新市场分析")
|
||
|
||
# 使用 1h 和 4h 数据分析
|
||
for interval in ['4h', '1h']:
|
||
df = data.get(interval)
|
||
if df is None or len(df) < 20:
|
||
continue
|
||
|
||
latest = df.iloc[-1]
|
||
prev = df.iloc[-2]
|
||
|
||
lines.append(f"\n### {interval} 周期")
|
||
lines.append(f"- 当前价格: ${latest['close']:,.2f}")
|
||
lines.append(f"- 涨跌幅: {((latest['close'] - prev['close']) / prev['close'] * 100):+.2f}%")
|
||
|
||
if 'ma5' in df.columns and pd.notna(latest['ma5']):
|
||
lines.append(f"- MA5: ${latest['ma5']:,.2f}")
|
||
if 'ma20' in df.columns and pd.notna(latest['ma20']):
|
||
lines.append(f"- MA20: ${latest['ma20']:,.2f}")
|
||
|
||
if 'rsi' in df.columns and pd.notna(latest['rsi']):
|
||
rsi_val = latest['rsi']
|
||
rsi_status = "超买" if rsi_val > 70 else "超卖" if rsi_val < 30 else "正常"
|
||
lines.append(f"- RSI: {rsi_val:.1f} ({rsi_status})")
|
||
|
||
if 'macd' in df.columns and pd.notna(latest['macd']):
|
||
macd_trend = "多头" if latest['macd'] > 0 else "空头"
|
||
lines.append(f"- MACD: {latest['macd']:.4f} ({macd_trend})")
|
||
|
||
# 添加趋势判断
|
||
lines.append("\n## 请给出调整建议")
|
||
lines.append("对于每个持仓，请分析是否需要调整，并按 JSON 格式输出。")
|
||
|
||
return "\n".join(lines)
|
||
|
||
def _parse_position_review_response(self, response: str) -> List[Dict[str, Any]]:
|
||
"""解析持仓回顾响应"""
|
||
try:
|
||
# 尝试提取 JSON 数组
|
||
import json
|
||
import re
|
||
|
||
# 查找 JSON 数组
|
||
json_match = re.search(r'\[\s*\{.*?\}\s*\]', response, re.DOTALL)
|
||
if json_match:
|
||
json_str = json_match.group(0)
|
||
decisions = json.loads(json_str)
|
||
|
||
# 验证每个决策的格式
|
||
valid_decisions = []
|
||
for decision in decisions:
|
||
if 'order_id' in decision and 'action' in decision:
|
||
valid_decisions.append(decision)
|
||
else:
|
||
logger.warning(f"无效的决策格式: {decision}")
|
||
|
||
return valid_decisions
|
||
|
||
# 如果找不到 JSON 数组，尝试解析单个对象
|
||
json_match = re.search(r'\{[^{}]*"action"[^{}]*\}', response, re.DOTALL)
|
||
if json_match:
|
||
json_str = json_match.group(0)
|
||
decision = json.loads(json_str)
|
||
if 'order_id' in decision and 'action' in decision:
|
||
return [decision]
|
||
|
||
logger.warning(f"无法解析持仓回顾响应: {response[:200]}")
|
||
return []
|
||
|
||
except json.JSONDecodeError as e:
|
||
logger.error(f"解析持仓回顾 JSON 失败: {e}")
|
||
return []
|
||
except Exception as e:
|
||
logger.error(f"解析持仓回顾响应时出错: {e}")
|
||
return []
|