355 lines
13 KiB
Python
355 lines
13 KiB
Python
"""
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Realtime Paper Trading - 基于 WebSocket 实时数据的模拟盘
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使用 Binance WebSocket 获取实时价格，结合信号进行模拟交易
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支持仓位管理：金字塔加仓、最大持仓限制、部分止盈
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"""
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import asyncio
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import json
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import logging
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import signal
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import sys
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from datetime import datetime
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from pathlib import Path
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from typing import Dict, Any, Optional, Callable
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import websockets
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from .paper_trading import PaperTrader
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logger = logging.getLogger(__name__)
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class RealtimeTrader:
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"""实时模拟盘交易器"""
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def __init__(
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self,
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symbol: str = "btcusdt",
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initial_balance: float = 10000.0,
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leverage: int = 5,
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max_position_pct: float = 0.5,
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base_position_pct: float = 0.1,
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signal_check_interval: int = 60, # 每60秒检查一次信号
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):
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"""
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初始化实时交易器
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Args:
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symbol: 交易对 (小写)
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initial_balance: 初始资金
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leverage: 杠杆倍数
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max_position_pct: 最大持仓比例 (占资金百分比)
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base_position_pct: 基础仓位比例 (每次入场)
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signal_check_interval: 信号检查间隔(秒)
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"""
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self.symbol = symbol.lower()
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self.signal_check_interval = signal_check_interval
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# WebSocket URL
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self.ws_url = f"wss://fstream.binance.com/ws/{self.symbol}@aggTrade"
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# 模拟盘 - 使用新的仓位管理参数
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self.trader = PaperTrader(
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initial_balance=initial_balance,
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leverage=leverage,
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max_position_pct=max_position_pct,
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base_position_pct=base_position_pct,
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)
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# 状态
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self.current_price = 0.0
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self.last_signal_check = 0
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self.is_running = False
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self.ws = None
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# 信号文件路径
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self.signal_file = Path(__file__).parent.parent / 'output' / 'latest_signal.json'
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# 回调函数
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self.on_trade_callback: Optional[Callable] = None
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self.on_price_callback: Optional[Callable] = None
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async def start(self):
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"""启动实时交易"""
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self.is_running = True
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logger.info(f"Starting realtime trader for {self.symbol.upper()}")
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logger.info(f"WebSocket URL: {self.ws_url}")
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logger.info(f"Initial balance: ${self.trader.balance:.2f}")
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logger.info(f"Leverage: {self.trader.leverage}x")
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logger.info(f"Max position: {self.trader.position_manager.max_position_pct * 100}%")
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logger.info(f"Base position: {self.trader.position_manager.base_position_pct * 100}%")
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logger.info(f"Signal check interval: {self.signal_check_interval}s")
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while self.is_running:
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try:
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await self._connect_and_trade()
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except Exception as e:
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logger.error(f"Connection error: {e}")
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if self.is_running:
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logger.info("Reconnecting in 5 seconds...")
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await asyncio.sleep(5)
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async def _connect_and_trade(self):
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"""连接 WebSocket 并开始交易"""
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async with websockets.connect(self.ws_url) as ws:
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self.ws = ws
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logger.info("WebSocket connected")
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# 打印初始状态
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self._print_status()
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async for message in ws:
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if not self.is_running:
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break
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try:
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data = json.loads(message)
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await self._process_tick(data)
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except json.JSONDecodeError:
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continue
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except Exception as e:
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logger.error(f"Error processing tick: {e}")
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async def _process_tick(self, data: Dict[str, Any]):
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"""处理每个 tick 数据"""
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# 提取价格
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self.current_price = float(data.get('p', 0))
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if self.current_price <= 0:
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return
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# 调用价格回调
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if self.on_price_callback:
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self.on_price_callback(self.current_price)
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# 检查止盈止损
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if self.trader.position:
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close_result = self.trader._check_close_position(self.current_price)
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if close_result:
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self._on_position_closed(close_result)
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# 定期检查信号
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now = asyncio.get_event_loop().time()
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if now - self.last_signal_check >= self.signal_check_interval:
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self.last_signal_check = now
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await self._check_and_execute_signal()
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async def _check_and_execute_signal(self):
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"""检查信号并执行交易"""
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signal = self._load_latest_signal()
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if not signal:
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return
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result = self.trader.process_signal(signal, self.current_price)
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if result['action'] in ['OPEN', 'CLOSE', 'REVERSE', 'ADD', 'PARTIAL_CLOSE']:
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self._on_trade_executed(result)
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self._print_status()
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def _load_latest_signal(self) -> Optional[Dict[str, Any]]:
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"""加载最新信号"""
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try:
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if not self.signal_file.exists():
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return None
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with open(self.signal_file, 'r') as f:
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return json.load(f)
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except Exception as e:
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logger.error(f"Error loading signal: {e}")
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return None
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def _on_trade_executed(self, result: Dict[str, Any]):
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"""交易执行回调"""
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action = result['action']
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details = result['details']
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if action == 'OPEN':
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logger.info("=" * 60)
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logger.info(f"🟢 OPEN {details['side']}")
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logger.info(f" Entry: ${details['entry_price']:.2f}")
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logger.info(f" Size: {details['size']:.6f} BTC")
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logger.info(f" Total Size: {details['total_size']:.6f} BTC")
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logger.info(f" Stop Loss: ${details['stop_loss']:.2f}")
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logger.info(f" Take Profit: ${details['take_profit']:.2f}")
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logger.info("=" * 60)
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elif action == 'ADD':
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logger.info("=" * 60)
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logger.info(f"➕ ADD POSITION {details['side']}")
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logger.info(f" Add Price: ${details['add_price']:.2f}")
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logger.info(f" Add Size: {details['add_size']:.6f} BTC")
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logger.info(f" Total Size: {details['total_size']:.6f} BTC")
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logger.info(f" Avg Entry: ${details['avg_entry_price']:.2f}")
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logger.info(f" Entries: {details['num_entries']}")
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logger.info("=" * 60)
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elif action == 'CLOSE':
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pnl = details['pnl']
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pnl_icon = "🟢" if pnl > 0 else "🔴"
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logger.info("=" * 60)
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logger.info(f"{pnl_icon} CLOSE {details['side']}")
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logger.info(f" Entry: ${details['entry_price']:.2f}")
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logger.info(f" Exit: ${details['exit_price']:.2f}")
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logger.info(f" Size: {details['size']:.6f} BTC")
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logger.info(f" Entries: {details.get('num_entries', 1)}")
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logger.info(f" PnL: ${pnl:.2f} ({details['pnl_pct']:.2f}%)")
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logger.info(f" Reason: {details['reason']}")
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logger.info(f" New Balance: ${details['new_balance']:.2f}")
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logger.info("=" * 60)
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elif action == 'PARTIAL_CLOSE':
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pnl = details['pnl']
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pnl_icon = "🟢" if pnl > 0 else "🔴"
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logger.info("=" * 60)
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logger.info(f"📉 PARTIAL CLOSE {details['side']}")
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logger.info(f" Closed Size: {details['closed_size']:.6f} BTC")
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logger.info(f" Exit: ${details['exit_price']:.2f}")
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logger.info(f" {pnl_icon} PnL: ${pnl:.2f} ({details['pnl_pct']:.2f}%)")
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logger.info(f" Remaining: {details['remaining_size']:.6f} BTC")
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logger.info(f" New Balance: ${details['new_balance']:.2f}")
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logger.info("=" * 60)
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elif action == 'REVERSE':
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logger.info("=" * 60)
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logger.info("🔄 REVERSE POSITION")
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if 'close' in details:
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logger.info(f" Closed: PnL ${details['close']['pnl']:.2f}")
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if 'open' in details:
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logger.info(f" Opened: {details['open']['side']} @ ${details['open']['entry_price']:.2f}")
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logger.info("=" * 60)
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# 调用外部回调
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if self.on_trade_callback:
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self.on_trade_callback(result)
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def _on_position_closed(self, close_result: Dict[str, Any]):
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"""持仓被平仓回调（止盈止损）"""
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pnl = close_result['pnl']
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pnl_icon = "🟢" if pnl > 0 else "🔴"
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reason_icon = "🎯" if close_result['reason'] == 'TAKE_PROFIT' else "🛑"
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logger.info("=" * 60)
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logger.info(f"{reason_icon} {close_result['reason']}")
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logger.info(f" {pnl_icon} PnL: ${pnl:.2f} ({close_result['pnl_pct']:.2f}%)")
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logger.info(f" Entry: ${close_result['entry_price']:.2f}")
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logger.info(f" Exit: ${close_result['exit_price']:.2f}")
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logger.info(f" Size: {close_result['size']:.6f} BTC")
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logger.info(f" Entries: {close_result.get('num_entries', 1)}")
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logger.info(f" New Balance: ${close_result['new_balance']:.2f}")
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logger.info("=" * 60)
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self._print_status()
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if self.on_trade_callback:
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self.on_trade_callback({
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'action': 'CLOSE',
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'details': close_result,
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})
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def _print_status(self):
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"""打印当前状态"""
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status = self.trader.get_status(self.current_price)
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print("\n" + "=" * 70)
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print(f"📊 PAPER TRADING STATUS - {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
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print("=" * 70)
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print(f"💰 Balance: ${status['balance']:.2f} (Initial: ${status['initial_balance']:.2f})")
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print(f"📈 Total Return: {status['total_return']:.2f}%")
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print(f"💵 Current Price: ${self.current_price:.2f}")
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if status['position']:
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pos = status['position']
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unrealized = pos.get('unrealized_pnl', 0)
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unrealized_pct = pos.get('unrealized_pnl_pct', 0)
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pnl_icon = "🟢" if unrealized > 0 else "🔴" if unrealized < 0 else "⚪"
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print(f"\n📍 Position: {pos['side']} ({len(pos.get('entries', []))} entries)")
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print(f" Avg Entry: ${pos['avg_entry_price']:.2f}")
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print(f" Size: {pos['total_size']:.6f} BTC")
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print(f" Stop Loss: ${pos['stop_loss']:.2f}")
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print(f" Take Profit: ${pos['take_profit']:.2f}")
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print(f" {pnl_icon} Unrealized PnL: ${unrealized:.2f} ({unrealized_pct:.2f}%)")
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else:
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print("\n📍 Position: FLAT (No position)")
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stats = status['stats']
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print(f"\n📊 Statistics:")
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print(f" Total Trades: {stats['total_trades']}")
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print(f" Win Rate: {stats['win_rate']:.1f}%")
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print(f" Total PnL: ${stats['total_pnl']:.2f}")
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print(f" Profit Factor: {stats['profit_factor']:.2f}")
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print(f" Max Drawdown: {stats['max_drawdown']:.2f}%")
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print(f" Max Consecutive Wins: {stats.get('max_consecutive_wins', 0)}")
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print(f" Max Consecutive Losses: {stats.get('max_consecutive_losses', 0)}")
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if status['recent_trades']:
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print(f"\n📝 Recent Trades:")
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for trade in status['recent_trades'][-5:]:
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pnl_icon = "🟢" if trade['pnl'] > 0 else "🔴"
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print(f" {pnl_icon} {trade['side']} | PnL: ${trade['pnl']:.2f} ({trade['pnl_pct']:.1f}%) | {trade['exit_reason']}")
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print("=" * 70 + "\n")
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def stop(self):
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"""停止交易"""
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self.is_running = False
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logger.info("Stopping realtime trader...")
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def get_status(self) -> Dict[str, Any]:
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"""获取状态"""
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return self.trader.get_status(self.current_price)
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async def main():
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"""主函数"""
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import os
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from dotenv import load_dotenv
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# 加载环境变量
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load_dotenv(Path(__file__).parent.parent / '.env')
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# 设置日志
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logging.basicConfig(
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level=logging.INFO,
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format='%(asctime)s - %(levelname)s - %(message)s'
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)
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# 创建交易器
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trader = RealtimeTrader(
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symbol='btcusdt',
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initial_balance=10000.0,
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leverage=5,
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max_position_pct=0.5, # 最大持仓50%资金
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base_position_pct=0.1, # 每次入场10%资金
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signal_check_interval=30, # 每30秒检查一次信号
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)
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# 设置信号处理
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def signal_handler(sig, frame):
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logger.info("Received shutdown signal")
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trader.stop()
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signal.signal(signal.SIGINT, signal_handler)
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signal.signal(signal.SIGTERM, signal_handler)
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# 启动
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print("\n" + "=" * 70)
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print("🚀 REALTIME PAPER TRADING")
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print("=" * 70)
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print("Position Management:")
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print(" - Max position: 50% of balance")
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print(" - Base entry: 10% of balance")
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print(" - Max entries: 5 (pyramid)")
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print(" - Pyramid factor: 0.8x per entry")
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print(" - Signal cooldown: 5 minutes")
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print("=" * 70)
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print("Press Ctrl+C to stop")
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print("=" * 70 + "\n")
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await trader.start()
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if __name__ == "__main__":
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asyncio.run(main())
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