868 lines
30 KiB
Python
868 lines
30 KiB
Python
"""
|
||
Paper Trading Module - 多周期独立仓位管理
|
||
|
||
支持三个独立周期的模拟交易：
|
||
- 短周期 (5m/15m/1h): short_term_5m_15m_1h / intraday
|
||
- 中周期 (4h/1d): medium_term_4h_1d / swing
|
||
- 长周期 (1d/1w): long_term_1d_1w
|
||
|
||
每个周期独立管理：
|
||
- 独立仓位
|
||
- 独立止盈止损
|
||
- 独立统计数据
|
||
- 独立权益曲线
|
||
"""
|
||
import json
|
||
import logging
|
||
from datetime import datetime, timedelta
|
||
from typing import Dict, Any, Optional, List
|
||
from pathlib import Path
|
||
from dataclasses import dataclass, asdict, field
|
||
from enum import Enum
|
||
|
||
logger = logging.getLogger(__name__)
|
||
|
||
|
||
class TimeFrame(Enum):
|
||
"""交易周期"""
|
||
SHORT = "short" # 短周期 5m/15m/1h
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||
MEDIUM = "medium" # 中周期 4h/1d
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||
LONG = "long" # 长周期 1d/1w
|
||
|
||
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||
TIMEFRAME_CONFIG = {
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||
TimeFrame.SHORT: {
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||
'name': '短周期',
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||
'name_en': 'Short-term',
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||
'signal_keys': ['short_term_5m_15m_1h', 'intraday'],
|
||
'leverage': 10,
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||
'initial_balance': 10000.0, # 独立初始资金
|
||
'max_price_deviation': 0.001, # 0.1% - 短周期要求精准入场
|
||
},
|
||
TimeFrame.MEDIUM: {
|
||
'name': '中周期',
|
||
'name_en': 'Medium-term',
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||
'signal_keys': ['medium_term_4h_1d', 'swing'],
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||
'leverage': 10,
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||
'initial_balance': 10000.0, # 独立初始资金
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||
'max_price_deviation': 0.003, # 0.3% - 中周期适中容错
|
||
},
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||
TimeFrame.LONG: {
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||
'name': '长周期',
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||
'name_en': 'Long-term',
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||
'signal_keys': ['long_term_1d_1w'],
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||
'leverage': 10,
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'initial_balance': 10000.0, # 独立初始资金
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||
'max_price_deviation': 0.005, # 0.5% - 长周期追求大趋势
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||
},
|
||
}
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||
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# 金字塔加仓配置：每次加仓的仓位比例（总计100%）
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PYRAMID_LEVELS = [0.4, 0.3, 0.2, 0.1] # 首仓40%，加仓30%、20%、10%
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||
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||
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@dataclass
|
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class PositionEntry:
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"""单次入场记录"""
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price: float
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size: float # BTC 数量
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||
margin: float # 本次占用保证金
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timestamp: str
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level: int # 金字塔层级 0=首仓, 1=加仓1, ...
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def to_dict(self) -> dict:
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return asdict(self)
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||
|
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@classmethod
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def from_dict(cls, data: dict) -> 'PositionEntry':
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return cls(**data)
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||
|
||
|
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@dataclass
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class Position:
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"""持仓信息（支持金字塔加仓）"""
|
||
side: str # LONG, SHORT, FLAT
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||
entries: List['PositionEntry'] = field(default_factory=list) # 入场记录
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||
stop_loss: float = 0.0
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||
take_profit: float = 0.0
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||
created_at: str = ""
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||
signal_reasoning: str = ""
|
||
|
||
@property
|
||
def entry_price(self) -> float:
|
||
"""加权平均入场价"""
|
||
if not self.entries:
|
||
return 0.0
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||
total_value = sum(e.price * e.size for e in self.entries)
|
||
total_size = sum(e.size for e in self.entries)
|
||
return total_value / total_size if total_size > 0 else 0.0
|
||
|
||
@property
|
||
def size(self) -> float:
|
||
"""总持仓数量"""
|
||
return sum(e.size for e in self.entries)
|
||
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||
@property
|
||
def margin(self) -> float:
|
||
"""总占用保证金"""
|
||
return sum(e.margin for e in self.entries)
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||
|
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@property
|
||
def pyramid_level(self) -> int:
|
||
"""当前金字塔层级"""
|
||
return len(self.entries)
|
||
|
||
def to_dict(self) -> dict:
|
||
return {
|
||
'side': self.side,
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||
'entry_price': self.entry_price,
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||
'size': self.size,
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||
'margin': self.margin,
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||
'pyramid_level': self.pyramid_level,
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||
'entries': [e.to_dict() for e in self.entries],
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||
'stop_loss': self.stop_loss,
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||
'take_profit': self.take_profit,
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||
'created_at': self.created_at,
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||
'signal_reasoning': self.signal_reasoning,
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||
}
|
||
|
||
@classmethod
|
||
def from_dict(cls, data: dict) -> 'Position':
|
||
entries = [PositionEntry.from_dict(e) for e in data.get('entries', [])]
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||
# 兼容旧数据格式
|
||
if not entries and data.get('entry_price') and data.get('size'):
|
||
entries = [PositionEntry(
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||
price=data['entry_price'],
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||
size=data['size'],
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||
margin=data.get('margin', 0),
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||
timestamp=data.get('created_at', ''),
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||
level=0,
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||
)]
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||
return cls(
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||
side=data['side'],
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||
entries=entries,
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||
stop_loss=data.get('stop_loss', 0),
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||
take_profit=data.get('take_profit', 0),
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||
created_at=data.get('created_at', ''),
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||
signal_reasoning=data.get('signal_reasoning', ''),
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||
)
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||
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||
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||
@dataclass
|
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class Trade:
|
||
"""交易记录"""
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||
id: str
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||
timeframe: str
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||
side: str
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||
entry_price: float
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||
entry_time: str
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||
exit_price: float
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||
exit_time: str
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||
size: float
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||
pnl: float
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||
pnl_pct: float
|
||
exit_reason: str
|
||
|
||
def to_dict(self) -> dict:
|
||
return asdict(self)
|
||
|
||
@classmethod
|
||
def from_dict(cls, data: dict) -> 'Trade':
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||
return cls(**data)
|
||
|
||
|
||
@dataclass
|
||
class TimeFrameAccount:
|
||
"""单个周期的账户
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||
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||
资金结构：
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||
- initial_balance: 初始本金
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||
- realized_pnl: 已实现盈亏（平仓后累计）
|
||
- position.margin: 当前持仓占用保证金
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||
- unrealized_pnl: 未实现盈亏（需实时计算）
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||
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||
账户权益 = initial_balance + realized_pnl + unrealized_pnl
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可用余额 = initial_balance + realized_pnl - position.margin
|
||
"""
|
||
timeframe: str
|
||
initial_balance: float
|
||
leverage: int
|
||
realized_pnl: float = 0.0 # 已实现盈亏
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||
position: Optional[Position] = None
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||
trades: List[Trade] = field(default_factory=list)
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||
stats: Dict = field(default_factory=dict)
|
||
equity_curve: List[Dict] = field(default_factory=list)
|
||
|
||
def __post_init__(self):
|
||
if not self.stats:
|
||
self.stats = self._init_stats()
|
||
|
||
def _init_stats(self) -> dict:
|
||
return {
|
||
'total_trades': 0,
|
||
'winning_trades': 0,
|
||
'losing_trades': 0,
|
||
'total_pnl': 0.0,
|
||
'max_drawdown': 0.0,
|
||
'peak_balance': self.initial_balance,
|
||
'win_rate': 0.0,
|
||
'avg_win': 0.0,
|
||
'avg_loss': 0.0,
|
||
'profit_factor': 0.0,
|
||
}
|
||
|
||
def get_used_margin(self) -> float:
|
||
"""获取已占用保证金"""
|
||
if self.position and self.position.side != 'FLAT':
|
||
return self.position.margin
|
||
return 0.0
|
||
|
||
def get_available_balance(self) -> float:
|
||
"""获取可用余额（可用于开新仓）"""
|
||
return self.initial_balance + self.realized_pnl - self.get_used_margin()
|
||
|
||
def get_equity(self, unrealized_pnl: float = 0.0) -> float:
|
||
"""获取账户权益（包含未实现盈亏）"""
|
||
return self.initial_balance + self.realized_pnl + unrealized_pnl
|
||
|
||
def to_dict(self) -> dict:
|
||
return {
|
||
'timeframe': self.timeframe,
|
||
'initial_balance': self.initial_balance,
|
||
'realized_pnl': self.realized_pnl,
|
||
'leverage': self.leverage,
|
||
'position': self.position.to_dict() if self.position else None,
|
||
'trades': [t.to_dict() for t in self.trades[-100:]],
|
||
'stats': self.stats,
|
||
'equity_curve': self.equity_curve[-500:],
|
||
}
|
||
|
||
@classmethod
|
||
def from_dict(cls, data: dict) -> 'TimeFrameAccount':
|
||
# 兼容旧数据格式
|
||
realized_pnl = data.get('realized_pnl', 0.0)
|
||
# 如果是旧格式，从 balance 推算 realized_pnl
|
||
if 'realized_pnl' not in data and 'balance' in data:
|
||
realized_pnl = data['balance'] - data['initial_balance']
|
||
|
||
account = cls(
|
||
timeframe=data['timeframe'],
|
||
initial_balance=data['initial_balance'],
|
||
leverage=data['leverage'],
|
||
realized_pnl=realized_pnl,
|
||
stats=data.get('stats', {}),
|
||
equity_curve=data.get('equity_curve', []),
|
||
)
|
||
if data.get('position'):
|
||
account.position = Position.from_dict(data['position'])
|
||
account.trades = [Trade.from_dict(t) for t in data.get('trades', [])]
|
||
return account
|
||
|
||
|
||
class MultiTimeframePaperTrader:
|
||
"""多周期模拟盘交易器"""
|
||
|
||
def __init__(
|
||
self,
|
||
initial_balance: float = 10000.0,
|
||
state_file: str = None
|
||
):
|
||
self.initial_balance = initial_balance
|
||
|
||
# 状态文件
|
||
if state_file:
|
||
self.state_file = Path(state_file)
|
||
else:
|
||
self.state_file = Path(__file__).parent.parent / 'output' / 'paper_trading_state.json'
|
||
|
||
# 初始化三个周期账户
|
||
self.accounts: Dict[TimeFrame, TimeFrameAccount] = {}
|
||
|
||
# 加载或初始化状态
|
||
self._load_state()
|
||
|
||
logger.info(f"Multi-timeframe Paper Trader initialized: total_balance=${initial_balance:.2f}")
|
||
|
||
def _load_state(self):
|
||
"""加载持久化状态"""
|
||
if self.state_file.exists():
|
||
try:
|
||
with open(self.state_file, 'r') as f:
|
||
state = json.load(f)
|
||
|
||
# 加载各周期账户
|
||
for tf in TimeFrame:
|
||
tf_data = state.get('accounts', {}).get(tf.value)
|
||
if tf_data:
|
||
self.accounts[tf] = TimeFrameAccount.from_dict(tf_data)
|
||
else:
|
||
self._init_account(tf)
|
||
|
||
logger.info(f"Loaded state from {self.state_file}")
|
||
except Exception as e:
|
||
logger.error(f"Failed to load state: {e}")
|
||
self._init_all_accounts()
|
||
else:
|
||
self._init_all_accounts()
|
||
|
||
def _init_all_accounts(self):
|
||
"""初始化所有账户"""
|
||
for tf in TimeFrame:
|
||
self._init_account(tf)
|
||
|
||
def _init_account(self, tf: TimeFrame):
|
||
"""初始化单个周期账户"""
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
# 每个周期独立初始资金 10000 USD，10倍杠杆，最大仓位价值 100000 USD
|
||
self.accounts[tf] = TimeFrameAccount(
|
||
timeframe=tf.value,
|
||
initial_balance=config['initial_balance'],
|
||
leverage=config['leverage'],
|
||
realized_pnl=0.0,
|
||
)
|
||
|
||
def _save_state(self):
|
||
"""保存状态到文件"""
|
||
self.state_file.parent.mkdir(parents=True, exist_ok=True)
|
||
|
||
state = {
|
||
'accounts': {tf.value: acc.to_dict() for tf, acc in self.accounts.items()},
|
||
'last_updated': datetime.now().isoformat(),
|
||
}
|
||
|
||
with open(self.state_file, 'w') as f:
|
||
json.dump(state, f, indent=2, ensure_ascii=False)
|
||
|
||
def process_signal(self, signal: Dict[str, Any], current_price: float) -> Dict[str, Any]:
|
||
"""处理交易信号 - 检查所有周期"""
|
||
results = {
|
||
'timestamp': datetime.now().isoformat(),
|
||
'current_price': current_price,
|
||
'timeframes': {},
|
||
}
|
||
|
||
for tf in TimeFrame:
|
||
result = self._process_timeframe_signal(tf, signal, current_price)
|
||
results['timeframes'][tf.value] = result
|
||
|
||
self._save_state()
|
||
return results
|
||
|
||
def _process_timeframe_signal(
|
||
self, tf: TimeFrame, signal: Dict[str, Any], current_price: float
|
||
) -> Dict[str, Any]:
|
||
"""处理单个周期的信号"""
|
||
account = self.accounts[tf]
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
|
||
result = {
|
||
'action': 'NONE',
|
||
'details': None,
|
||
}
|
||
|
||
# 更新权益曲线
|
||
self._update_equity_curve(tf, current_price)
|
||
|
||
# 1. 检查止盈止损
|
||
if account.position and account.position.side != 'FLAT':
|
||
close_result = self._check_close_position(tf, current_price)
|
||
if close_result:
|
||
result['action'] = 'CLOSE'
|
||
result['details'] = close_result
|
||
return result
|
||
|
||
# 2. 提取该周期的信号
|
||
tf_signal = self._extract_timeframe_signal(signal, config['signal_keys'])
|
||
|
||
if not tf_signal or not tf_signal.get('exists'):
|
||
result['action'] = 'NO_SIGNAL'
|
||
return result
|
||
|
||
direction = tf_signal.get('direction')
|
||
if not direction:
|
||
result['action'] = 'NO_SIGNAL'
|
||
return result
|
||
|
||
signal_stop_loss = tf_signal.get('stop_loss', 0)
|
||
signal_take_profit = tf_signal.get('take_profit', 0)
|
||
signal_entry_price = tf_signal.get('entry_price', 0)
|
||
|
||
# 验证止盈止损
|
||
if signal_stop_loss <= 0 or signal_take_profit <= 0:
|
||
result['action'] = 'NO_SIGNAL'
|
||
result['details'] = {'reason': '缺少有效止盈止损'}
|
||
return result
|
||
|
||
# 检查价格偏差：当前价格与建议入场价偏差超过阈值则不开仓
|
||
max_deviation = config.get('max_price_deviation', 0.002)
|
||
if signal_entry_price > 0:
|
||
price_deviation = abs(current_price - signal_entry_price) / signal_entry_price
|
||
if price_deviation > max_deviation:
|
||
result['action'] = 'PRICE_DEVIATION'
|
||
result['details'] = {
|
||
'reason': f'价格偏差过大: {price_deviation*100:.2f}% > {max_deviation*100:.1f}%',
|
||
'signal_entry': signal_entry_price,
|
||
'current_price': current_price,
|
||
'deviation_pct': price_deviation * 100,
|
||
'max_deviation_pct': max_deviation * 100,
|
||
}
|
||
logger.info(
|
||
f"[{config['name']}] 跳过开仓: 价格偏差 {price_deviation*100:.2f}% > {max_deviation*100:.1f}% "
|
||
f"(信号价: ${signal_entry_price:.2f}, 当前价: ${current_price:.2f})"
|
||
)
|
||
return result
|
||
|
||
# 3. 如果有持仓
|
||
if account.position and account.position.side != 'FLAT':
|
||
# 反向信号：只平仓不开反向仓
|
||
if (account.position.side == 'LONG' and direction == 'SHORT') or \
|
||
(account.position.side == 'SHORT' and direction == 'LONG'):
|
||
close_result = self._close_position(tf, current_price, 'SIGNAL_REVERSE')
|
||
result['action'] = 'CLOSE'
|
||
result['details'] = close_result
|
||
logger.info(
|
||
f"[{config['name']}] 反向信号平仓，等待下一周期新信号"
|
||
)
|
||
return result
|
||
else:
|
||
# 同方向信号：尝试金字塔加仓
|
||
add_result = self._add_position(
|
||
tf, current_price,
|
||
signal_stop_loss, signal_take_profit,
|
||
tf_signal.get('reasoning', '')[:100]
|
||
)
|
||
if add_result:
|
||
result['action'] = 'ADD'
|
||
result['details'] = add_result
|
||
else:
|
||
# 已达到最大仓位，保持持仓
|
||
result['action'] = 'HOLD'
|
||
result['details'] = {
|
||
'position': account.position.to_dict(),
|
||
'unrealized_pnl': self._calc_unrealized_pnl(tf, current_price),
|
||
'reason': '已达最大仓位层级',
|
||
}
|
||
return result
|
||
|
||
# 4. 无持仓，开新仓（首仓）
|
||
open_result = self._open_position(
|
||
tf, direction, current_price,
|
||
signal_stop_loss, signal_take_profit,
|
||
tf_signal.get('reasoning', '')[:100]
|
||
)
|
||
|
||
if open_result:
|
||
result['action'] = 'OPEN'
|
||
result['details'] = open_result
|
||
else:
|
||
result['action'] = 'WAIT'
|
||
|
||
return result
|
||
|
||
def _extract_timeframe_signal(
|
||
self, signal: Dict[str, Any], signal_keys: List[str]
|
||
) -> Optional[Dict[str, Any]]:
|
||
"""提取特定周期的信号"""
|
||
try:
|
||
# 从 llm_signal.opportunities 中提取
|
||
llm_signal = signal.get('llm_signal') or signal.get('aggregated_signal', {}).get('llm_signal')
|
||
|
||
if llm_signal and isinstance(llm_signal, dict):
|
||
opportunities = llm_signal.get('opportunities', {})
|
||
for key in signal_keys:
|
||
if key in opportunities and opportunities[key]:
|
||
return opportunities[key]
|
||
|
||
# 备选路径
|
||
agg = signal.get('aggregated_signal', {})
|
||
if agg:
|
||
llm = agg.get('llm_signal', {})
|
||
if llm:
|
||
opps = llm.get('opportunities', {})
|
||
for key in signal_keys:
|
||
if key in opps and opps[key]:
|
||
return opps[key]
|
||
|
||
return None
|
||
except Exception as e:
|
||
logger.error(f"Error extracting signal: {e}")
|
||
return None
|
||
|
||
def _get_max_position_value(self, tf: TimeFrame) -> float:
|
||
"""获取最大仓位价值（本金 × 杠杆）"""
|
||
account = self.accounts[tf]
|
||
return account.initial_balance * account.leverage
|
||
|
||
def _get_current_position_value(self, tf: TimeFrame, current_price: float) -> float:
|
||
"""获取当前仓位价值"""
|
||
account = self.accounts[tf]
|
||
if not account.position or account.position.side == 'FLAT':
|
||
return 0.0
|
||
return account.position.size * current_price
|
||
|
||
def _open_position(
|
||
self, tf: TimeFrame, direction: str, price: float,
|
||
stop_loss: float, take_profit: float, reasoning: str
|
||
) -> Optional[Dict]:
|
||
"""开首仓（金字塔第一层）"""
|
||
account = self.accounts[tf]
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
|
||
# 计算首仓仓位：最大仓位 × 首仓比例
|
||
max_position_value = self._get_max_position_value(tf)
|
||
first_level_ratio = PYRAMID_LEVELS[0] # 40%
|
||
position_value = max_position_value * first_level_ratio
|
||
margin = position_value / account.leverage
|
||
size = position_value / price
|
||
|
||
# 检查可用余额是否足够
|
||
available_balance = account.get_available_balance()
|
||
if available_balance < margin:
|
||
logger.warning(f"[{config['name']}] 可用余额不足: ${available_balance:.2f} < ${margin:.2f}")
|
||
return None
|
||
|
||
if size <= 0:
|
||
return None
|
||
|
||
# 创建首仓入场记录
|
||
entry = PositionEntry(
|
||
price=price,
|
||
size=size,
|
||
margin=margin,
|
||
timestamp=datetime.now().isoformat(),
|
||
level=0,
|
||
)
|
||
|
||
account.position = Position(
|
||
side=direction,
|
||
entries=[entry],
|
||
stop_loss=stop_loss,
|
||
take_profit=take_profit,
|
||
created_at=datetime.now().isoformat(),
|
||
signal_reasoning=reasoning,
|
||
)
|
||
|
||
logger.info(
|
||
f"[{config['name']}] OPEN {direction} [L1/{len(PYRAMID_LEVELS)}]: price=${price:.2f}, "
|
||
f"size={size:.6f} BTC, margin=${margin:.2f}, value=${position_value:.2f}, "
|
||
f"SL=${stop_loss:.2f}, TP=${take_profit:.2f}"
|
||
)
|
||
|
||
return {
|
||
'timeframe': tf.value,
|
||
'side': direction,
|
||
'entry_price': price,
|
||
'size': size,
|
||
'margin': margin,
|
||
'position_value': position_value,
|
||
'pyramid_level': 1,
|
||
'max_levels': len(PYRAMID_LEVELS),
|
||
'stop_loss': stop_loss,
|
||
'take_profit': take_profit,
|
||
}
|
||
|
||
def _add_position(
|
||
self, tf: TimeFrame, price: float,
|
||
stop_loss: float, take_profit: float, reasoning: str
|
||
) -> Optional[Dict]:
|
||
"""金字塔加仓"""
|
||
account = self.accounts[tf]
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
pos = account.position
|
||
|
||
if not pos or pos.side == 'FLAT':
|
||
return None
|
||
|
||
# 检查是否已达最大层级
|
||
current_level = pos.pyramid_level
|
||
if current_level >= len(PYRAMID_LEVELS):
|
||
logger.info(f"[{config['name']}] 已达最大仓位层级 {current_level}/{len(PYRAMID_LEVELS)}")
|
||
return None
|
||
|
||
# 计算加仓仓位
|
||
max_position_value = self._get_max_position_value(tf)
|
||
level_ratio = PYRAMID_LEVELS[current_level]
|
||
add_position_value = max_position_value * level_ratio
|
||
add_margin = add_position_value / account.leverage
|
||
add_size = add_position_value / price
|
||
|
||
# 检查可用余额
|
||
available_balance = account.get_available_balance()
|
||
if available_balance < add_margin:
|
||
logger.warning(
|
||
f"[{config['name']}] 加仓余额不足: ${available_balance:.2f} < ${add_margin:.2f}"
|
||
)
|
||
return None
|
||
|
||
# 添加入场记录
|
||
entry = PositionEntry(
|
||
price=price,
|
||
size=add_size,
|
||
margin=add_margin,
|
||
timestamp=datetime.now().isoformat(),
|
||
level=current_level,
|
||
)
|
||
pos.entries.append(entry)
|
||
|
||
# 更新止盈止损
|
||
pos.stop_loss = stop_loss
|
||
pos.take_profit = take_profit
|
||
|
||
new_level = pos.pyramid_level
|
||
logger.info(
|
||
f"[{config['name']}] ADD {pos.side} [L{new_level}/{len(PYRAMID_LEVELS)}]: price=${price:.2f}, "
|
||
f"add_size={add_size:.6f} BTC, add_margin=${add_margin:.2f}, "
|
||
f"total_size={pos.size:.6f} BTC, total_margin=${pos.margin:.2f}, "
|
||
f"avg_price=${pos.entry_price:.2f}"
|
||
)
|
||
|
||
return {
|
||
'timeframe': tf.value,
|
||
'side': pos.side,
|
||
'add_price': price,
|
||
'add_size': add_size,
|
||
'add_margin': add_margin,
|
||
'add_position_value': add_position_value,
|
||
'total_size': pos.size,
|
||
'total_margin': pos.margin,
|
||
'avg_entry_price': pos.entry_price,
|
||
'pyramid_level': new_level,
|
||
'max_levels': len(PYRAMID_LEVELS),
|
||
'stop_loss': stop_loss,
|
||
'take_profit': take_profit,
|
||
}
|
||
|
||
def _check_close_position(self, tf: TimeFrame, current_price: float) -> Optional[Dict]:
|
||
"""检查是否触发止盈止损"""
|
||
account = self.accounts[tf]
|
||
pos = account.position
|
||
|
||
if not pos or pos.side == 'FLAT':
|
||
return None
|
||
|
||
if pos.side == 'LONG':
|
||
if current_price >= pos.take_profit:
|
||
return self._close_position(tf, current_price, 'TAKE_PROFIT')
|
||
elif current_price <= pos.stop_loss:
|
||
return self._close_position(tf, current_price, 'STOP_LOSS')
|
||
else: # SHORT
|
||
if current_price <= pos.take_profit:
|
||
return self._close_position(tf, current_price, 'TAKE_PROFIT')
|
||
elif current_price >= pos.stop_loss:
|
||
return self._close_position(tf, current_price, 'STOP_LOSS')
|
||
|
||
return None
|
||
|
||
def _close_position(self, tf: TimeFrame, price: float, reason: str) -> Dict:
|
||
"""平仓"""
|
||
account = self.accounts[tf]
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
pos = account.position
|
||
|
||
if not pos or pos.side == 'FLAT':
|
||
return {'error': 'No position'}
|
||
|
||
# 计算盈亏（基于保证金的收益率）
|
||
if pos.side == 'LONG':
|
||
# 做多：(卖出价 - 买入价) * 数量
|
||
pnl = (price - pos.entry_price) * pos.size
|
||
else:
|
||
# 做空：(买入价 - 卖出价) * 数量
|
||
pnl = (pos.entry_price - price) * pos.size
|
||
|
||
# 收益率 = 盈亏 / 保证金 * 100
|
||
pnl_pct = (pnl / pos.margin * 100) if pos.margin > 0 else 0
|
||
|
||
# 更新已实现盈亏（保证金释放 + 盈亏结算）
|
||
account.realized_pnl += pnl
|
||
|
||
# 记录交易
|
||
trade = Trade(
|
||
id=f"{tf.value[0].upper()}{len(account.trades)+1:04d}",
|
||
timeframe=tf.value,
|
||
side=pos.side,
|
||
entry_price=pos.entry_price,
|
||
entry_time=pos.created_at,
|
||
exit_price=price,
|
||
exit_time=datetime.now().isoformat(),
|
||
size=pos.size,
|
||
pnl=pnl,
|
||
pnl_pct=pnl_pct,
|
||
exit_reason=reason,
|
||
)
|
||
account.trades.append(trade)
|
||
self._update_stats(tf, trade)
|
||
|
||
# 计算新的账户权益
|
||
new_equity = account.get_equity()
|
||
|
||
result = {
|
||
'timeframe': tf.value,
|
||
'side': pos.side,
|
||
'entry_price': pos.entry_price,
|
||
'exit_price': price,
|
||
'size': pos.size,
|
||
'margin': pos.margin,
|
||
'pnl': pnl,
|
||
'pnl_pct': pnl_pct,
|
||
'reason': reason,
|
||
'new_equity': new_equity,
|
||
'realized_pnl': account.realized_pnl,
|
||
}
|
||
|
||
logger.info(
|
||
f"[{config['name']}] CLOSE {pos.side}: entry=${pos.entry_price:.2f}, "
|
||
f"exit=${price:.2f}, PnL=${pnl:.2f} ({pnl_pct:.2f}%), reason={reason}, "
|
||
f"equity=${new_equity:.2f}"
|
||
)
|
||
|
||
account.position = None
|
||
return result
|
||
|
||
def _calc_unrealized_pnl(self, tf: TimeFrame, current_price: float) -> Dict[str, float]:
|
||
"""计算未实现盈亏"""
|
||
account = self.accounts[tf]
|
||
pos = account.position
|
||
|
||
if not pos or pos.side == 'FLAT':
|
||
return {'pnl': 0, 'pnl_pct': 0}
|
||
|
||
# 计算未实现盈亏
|
||
if pos.side == 'LONG':
|
||
pnl = (current_price - pos.entry_price) * pos.size
|
||
else:
|
||
pnl = (pos.entry_price - current_price) * pos.size
|
||
|
||
# 收益率 = 盈亏 / 保证金 * 100
|
||
pnl_pct = (pnl / pos.margin * 100) if pos.margin > 0 else 0
|
||
|
||
return {'pnl': pnl, 'pnl_pct': pnl_pct}
|
||
|
||
def _update_equity_curve(self, tf: TimeFrame, current_price: float):
|
||
"""更新权益曲线"""
|
||
account = self.accounts[tf]
|
||
unrealized = self._calc_unrealized_pnl(tf, current_price)
|
||
equity = account.get_equity(unrealized['pnl'])
|
||
|
||
account.equity_curve.append({
|
||
'timestamp': datetime.now().isoformat(),
|
||
'equity': equity,
|
||
'initial_balance': account.initial_balance,
|
||
'realized_pnl': account.realized_pnl,
|
||
'unrealized_pnl': unrealized['pnl'],
|
||
'price': current_price,
|
||
})
|
||
|
||
def _update_stats(self, tf: TimeFrame, trade: Trade):
|
||
"""更新统计数据"""
|
||
account = self.accounts[tf]
|
||
stats = account.stats
|
||
|
||
stats['total_trades'] += 1
|
||
stats['total_pnl'] += trade.pnl
|
||
|
||
if trade.pnl > 0:
|
||
stats['winning_trades'] += 1
|
||
else:
|
||
stats['losing_trades'] += 1
|
||
|
||
if stats['total_trades'] > 0:
|
||
stats['win_rate'] = stats['winning_trades'] / stats['total_trades'] * 100
|
||
|
||
wins = [t for t in account.trades if t.pnl > 0]
|
||
losses = [t for t in account.trades if t.pnl <= 0]
|
||
|
||
if wins:
|
||
stats['avg_win'] = sum(t.pnl for t in wins) / len(wins)
|
||
if losses:
|
||
stats['avg_loss'] = sum(t.pnl for t in losses) / len(losses)
|
||
|
||
if stats['avg_loss'] != 0:
|
||
stats['profit_factor'] = abs(stats['avg_win'] / stats['avg_loss'])
|
||
|
||
# 更新峰值和回撤（基于账户权益）
|
||
equity = account.get_equity()
|
||
if equity > stats['peak_balance']:
|
||
stats['peak_balance'] = equity
|
||
|
||
drawdown = (stats['peak_balance'] - equity) / stats['peak_balance'] * 100
|
||
if drawdown > stats['max_drawdown']:
|
||
stats['max_drawdown'] = drawdown
|
||
|
||
def get_status(self, current_price: float = None) -> Dict[str, Any]:
|
||
"""获取所有周期状态"""
|
||
total_equity = 0
|
||
total_initial = 0
|
||
total_realized_pnl = 0
|
||
total_unrealized_pnl = 0
|
||
|
||
# 先计算各周期数据
|
||
timeframes_data = {}
|
||
for tf in TimeFrame:
|
||
account = self.accounts[tf]
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
|
||
# 计算未实现盈亏
|
||
unrealized = self._calc_unrealized_pnl(tf, current_price) if current_price else {'pnl': 0, 'pnl_pct': 0}
|
||
equity = account.get_equity(unrealized['pnl'])
|
||
|
||
total_initial += account.initial_balance
|
||
total_realized_pnl += account.realized_pnl
|
||
total_unrealized_pnl += unrealized['pnl']
|
||
total_equity += equity
|
||
|
||
# 收益率 = (权益 - 初始本金) / 初始本金
|
||
return_pct = (equity - account.initial_balance) / account.initial_balance * 100 if account.initial_balance > 0 else 0
|
||
|
||
tf_status = {
|
||
'name': config['name'],
|
||
'name_en': config['name_en'],
|
||
'initial_balance': account.initial_balance,
|
||
'realized_pnl': account.realized_pnl,
|
||
'unrealized_pnl': unrealized['pnl'],
|
||
'equity': equity,
|
||
'available_balance': account.get_available_balance(),
|
||
'used_margin': account.get_used_margin(),
|
||
'return_pct': return_pct,
|
||
'leverage': account.leverage,
|
||
'position': None,
|
||
'stats': account.stats,
|
||
'recent_trades': [t.to_dict() for t in account.trades[-10:]],
|
||
'equity_curve': account.equity_curve[-100:],
|
||
}
|
||
|
||
if account.position and account.position.side != 'FLAT':
|
||
pos_dict = account.position.to_dict()
|
||
if current_price:
|
||
pos_dict['current_price'] = current_price
|
||
pos_dict['unrealized_pnl'] = unrealized['pnl']
|
||
pos_dict['unrealized_pnl_pct'] = unrealized['pnl_pct']
|
||
tf_status['position'] = pos_dict
|
||
|
||
timeframes_data[tf.value] = tf_status
|
||
|
||
# 总收益率
|
||
total_return = (total_equity - total_initial) / total_initial * 100 if total_initial > 0 else 0
|
||
|
||
status = {
|
||
'timestamp': datetime.now().isoformat(),
|
||
'total_initial_balance': total_initial,
|
||
'total_realized_pnl': total_realized_pnl,
|
||
'total_unrealized_pnl': total_unrealized_pnl,
|
||
'total_equity': total_equity,
|
||
'total_return': total_return,
|
||
'timeframes': timeframes_data,
|
||
}
|
||
|
||
return status
|
||
|
||
def reset(self):
|
||
"""重置所有账户"""
|
||
self._init_all_accounts()
|
||
self._save_state()
|
||
logger.info("All accounts reset")
|
||
|
||
|
||
# 兼容旧的 PaperTrader 接口
|
||
PaperTrader = MultiTimeframePaperTrader
|