1639 lines
62 KiB
Python
1639 lines
62 KiB
Python
"""
|
||
Paper Trading Module - 多币种多周期独立仓位管理
|
||
|
||
支持多币种 (BTC/USDT, ETH/USDT 等) 和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
|
||
|
||
每个币种的每个周期独立管理：
|
||
- 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
|
||
|
||
from config.settings import settings
|
||
|
||
logger = logging.getLogger(__name__)
|
||
|
||
|
||
class TimeFrame(Enum):
|
||
"""交易周期"""
|
||
SHORT = "short" # 短周期 5m/15m/1h
|
||
MEDIUM = "medium" # 中周期 4h/1d
|
||
LONG = "long" # 长周期 1d/1w
|
||
|
||
|
||
TIMEFRAME_CONFIG = {
|
||
TimeFrame.SHORT: {
|
||
'name': '短周期',
|
||
'name_en': 'Short-term',
|
||
'signal_keys': ['short_term_5m_15m_1h', 'intraday'],
|
||
'leverage': 10,
|
||
'initial_balance': 10000.0,
|
||
'signal_expiry_minutes': 5, # 信号有效期5分钟
|
||
'min_risk_reward_ratio': 1.5, # 最小风险回报比
|
||
'base_price_deviation': 0.003, # 基础价格偏差 0.3%
|
||
'atr_deviation_multiplier': 0.5, # ATR偏差系数
|
||
},
|
||
TimeFrame.MEDIUM: {
|
||
'name': '中周期',
|
||
'name_en': 'Medium-term',
|
||
'signal_keys': ['medium_term_4h_1d', 'swing'],
|
||
'leverage': 10,
|
||
'initial_balance': 10000.0,
|
||
'signal_expiry_minutes': 30, # 信号有效期30分钟
|
||
'min_risk_reward_ratio': 1.5,
|
||
'base_price_deviation': 0.005, # 基础价格偏差 0.5%
|
||
'atr_deviation_multiplier': 0.8,
|
||
},
|
||
TimeFrame.LONG: {
|
||
'name': '长周期',
|
||
'name_en': 'Long-term',
|
||
'signal_keys': ['long_term_1d_1w'],
|
||
'leverage': 10,
|
||
'initial_balance': 10000.0,
|
||
'signal_expiry_minutes': 120, # 信号有效期2小时
|
||
'min_risk_reward_ratio': 2.0, # 长周期要求更高回报比
|
||
'base_price_deviation': 0.01, # 基础价格偏差 1%
|
||
'atr_deviation_multiplier': 1.0,
|
||
},
|
||
}
|
||
|
||
# 金字塔加仓配置：每次加仓的仓位比例（总计100%）
|
||
PYRAMID_LEVELS = [0.4, 0.3, 0.2, 0.1] # 首仓40%，加仓30%、20%、10%
|
||
|
||
# 加仓价格改善要求（相对于均价的百分比）
|
||
PYRAMID_PRICE_IMPROVEMENT = 0.005 # 加仓价格需比均价优 0.5%
|
||
|
||
# 多周期协调配置
|
||
TIMEFRAME_HIERARCHY = {
|
||
TimeFrame.SHORT: [TimeFrame.MEDIUM, TimeFrame.LONG], # 短周期受中、长周期约束
|
||
TimeFrame.MEDIUM: [TimeFrame.LONG], # 中周期受长周期约束
|
||
TimeFrame.LONG: [], # 长周期不受约束
|
||
}
|
||
|
||
# 信号确认配置
|
||
SIGNAL_CONFIRMATION_COUNT = 2 # 需要连续2次相同方向信号才执行
|
||
|
||
|
||
@dataclass
|
||
class PositionEntry:
|
||
"""单次入场记录"""
|
||
price: float
|
||
size: float # BTC 数量
|
||
margin: float # 本次占用保证金
|
||
timestamp: str
|
||
level: int # 金字塔层级 0=首仓, 1=加仓1, ...
|
||
|
||
def to_dict(self) -> dict:
|
||
return asdict(self)
|
||
|
||
@classmethod
|
||
def from_dict(cls, data: dict) -> 'PositionEntry':
|
||
return cls(**data)
|
||
|
||
|
||
@dataclass
|
||
class Position:
|
||
"""持仓信息（支持金字塔加仓）"""
|
||
side: str # LONG, SHORT, FLAT
|
||
entries: List['PositionEntry'] = field(default_factory=list) # 入场记录
|
||
stop_loss: float = 0.0
|
||
take_profit: float = 0.0
|
||
created_at: str = ""
|
||
signal_reasoning: str = ""
|
||
|
||
@property
|
||
def entry_price(self) -> float:
|
||
"""加权平均入场价"""
|
||
if not self.entries:
|
||
return 0.0
|
||
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)
|
||
|
||
@property
|
||
def margin(self) -> float:
|
||
"""总占用保证金"""
|
||
return sum(e.margin for e in self.entries)
|
||
|
||
@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,
|
||
'entry_price': self.entry_price,
|
||
'size': self.size,
|
||
'margin': self.margin,
|
||
'pyramid_level': self.pyramid_level,
|
||
'entries': [e.to_dict() for e in self.entries],
|
||
'stop_loss': self.stop_loss,
|
||
'take_profit': self.take_profit,
|
||
'created_at': self.created_at,
|
||
'signal_reasoning': self.signal_reasoning,
|
||
}
|
||
|
||
@classmethod
|
||
def from_dict(cls, data: dict) -> 'Position':
|
||
entries = [PositionEntry.from_dict(e) for e in data.get('entries', [])]
|
||
# 兼容旧数据格式
|
||
if not entries and data.get('entry_price') and data.get('size'):
|
||
entries = [PositionEntry(
|
||
price=data['entry_price'],
|
||
size=data['size'],
|
||
margin=data.get('margin', 0),
|
||
timestamp=data.get('created_at', ''),
|
||
level=0,
|
||
)]
|
||
return cls(
|
||
side=data['side'],
|
||
entries=entries,
|
||
stop_loss=data.get('stop_loss', 0),
|
||
take_profit=data.get('take_profit', 0),
|
||
created_at=data.get('created_at', ''),
|
||
signal_reasoning=data.get('signal_reasoning', ''),
|
||
)
|
||
|
||
|
||
@dataclass
|
||
class Trade:
|
||
"""交易记录"""
|
||
id: str
|
||
timeframe: str
|
||
side: str
|
||
entry_price: float
|
||
entry_time: str
|
||
exit_price: float
|
||
exit_time: str
|
||
size: float
|
||
pnl: float
|
||
pnl_pct: float
|
||
exit_reason: str
|
||
symbol: str = "BTCUSDT" # 交易币种
|
||
|
||
def to_dict(self) -> dict:
|
||
return asdict(self)
|
||
|
||
@classmethod
|
||
def from_dict(cls, data: dict) -> 'Trade':
|
||
# 兼容旧数据
|
||
if 'symbol' not in data:
|
||
data['symbol'] = 'BTCUSDT'
|
||
return cls(**data)
|
||
|
||
|
||
@dataclass
|
||
class SignalHistory:
|
||
"""信号历史记录（用于信号确认机制）"""
|
||
direction: str # LONG, SHORT, NONE
|
||
timestamp: str
|
||
entry_price: float = 0.0
|
||
stop_loss: float = 0.0
|
||
take_profit: float = 0.0
|
||
|
||
def to_dict(self) -> dict:
|
||
return asdict(self)
|
||
|
||
@classmethod
|
||
def from_dict(cls, data: dict) -> 'SignalHistory':
|
||
return cls(**data)
|
||
|
||
|
||
@dataclass
|
||
class TimeFrameAccount:
|
||
"""单个币种单个周期的账户
|
||
|
||
资金结构：
|
||
- initial_balance: 初始本金
|
||
- realized_pnl: 已实现盈亏（平仓后累计）
|
||
- position.margin: 当前持仓占用保证金
|
||
- unrealized_pnl: 未实现盈亏（需实时计算）
|
||
|
||
账户权益 = initial_balance + realized_pnl + unrealized_pnl
|
||
可用余额 = initial_balance + realized_pnl - position.margin
|
||
"""
|
||
timeframe: str
|
||
initial_balance: float
|
||
leverage: int
|
||
symbol: str = "BTCUSDT" # 交易币种
|
||
realized_pnl: float = 0.0 # 已实现盈亏
|
||
position: Optional[Position] = None
|
||
trades: List[Trade] = field(default_factory=list)
|
||
stats: Dict = field(default_factory=dict)
|
||
equity_curve: List[Dict] = field(default_factory=list)
|
||
signal_history: List[SignalHistory] = field(default_factory=list) # 信号确认历史
|
||
last_atr: float = 0.0 # 最近的ATR值（用于动态计算）
|
||
|
||
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,
|
||
'symbol': self.symbol,
|
||
'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'],
|
||
symbol=data.get('symbol', 'BTCUSDT'), # 兼容旧数据
|
||
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:
|
||
"""多币种多周期模拟盘交易器"""
|
||
|
||
def __init__(
|
||
self,
|
||
initial_balance: float = 10000.0,
|
||
state_file: str = None,
|
||
symbols: List[str] = None
|
||
):
|
||
self.initial_balance = initial_balance
|
||
|
||
# 支持的币种列表
|
||
self.symbols = symbols or settings.symbols_list
|
||
logger.info(f"支持的交易对: {', '.join(self.symbols)}")
|
||
|
||
# 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'
|
||
|
||
# 多币种多周期账户: {symbol: {TimeFrame: TimeFrameAccount}}
|
||
self.accounts: Dict[str, Dict[TimeFrame, TimeFrameAccount]] = {}
|
||
|
||
# 加载或初始化状态
|
||
self._load_state()
|
||
|
||
logger.info(f"Multi-symbol Multi-timeframe Paper Trader initialized: {len(self.symbols)} symbols")
|
||
|
||
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)
|
||
|
||
# 检查是否是新的多币种格式
|
||
if 'symbols' in state:
|
||
# 新格式: {symbols: {BTCUSDT: {short: {...}, medium: {...}, long: {...}}, ...}}
|
||
for symbol in self.symbols:
|
||
symbol_data = state.get('symbols', {}).get(symbol, {})
|
||
self.accounts[symbol] = {}
|
||
for tf in TimeFrame:
|
||
tf_data = symbol_data.get(tf.value)
|
||
if tf_data:
|
||
self.accounts[symbol][tf] = TimeFrameAccount.from_dict(tf_data)
|
||
else:
|
||
self._init_account(symbol, tf)
|
||
else:
|
||
# 旧格式: {accounts: {short: {...}, medium: {...}, long: {...}}}
|
||
# 将旧数据迁移到第一个币种 (BTCUSDT)
|
||
first_symbol = self.symbols[0] if self.symbols else 'BTCUSDT'
|
||
self.accounts[first_symbol] = {}
|
||
for tf in TimeFrame:
|
||
tf_data = state.get('accounts', {}).get(tf.value)
|
||
if tf_data:
|
||
tf_data['symbol'] = first_symbol # 添加 symbol 字段
|
||
self.accounts[first_symbol][tf] = TimeFrameAccount.from_dict(tf_data)
|
||
else:
|
||
self._init_account(first_symbol, tf)
|
||
# 初始化其他币种
|
||
for symbol in self.symbols[1:]:
|
||
self._init_symbol_accounts(symbol)
|
||
|
||
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):
|
||
"""初始化所有币种所有周期账户"""
|
||
for symbol in self.symbols:
|
||
self._init_symbol_accounts(symbol)
|
||
|
||
def _init_symbol_accounts(self, symbol: str):
|
||
"""初始化单个币种的所有周期账户"""
|
||
self.accounts[symbol] = {}
|
||
for tf in TimeFrame:
|
||
self._init_account(symbol, tf)
|
||
|
||
def _init_account(self, symbol: str, tf: TimeFrame):
|
||
"""初始化单个币种单个周期账户"""
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
# 每个币种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[symbol][tf] = TimeFrameAccount(
|
||
timeframe=tf.value,
|
||
initial_balance=config['initial_balance'],
|
||
leverage=config['leverage'],
|
||
symbol=symbol,
|
||
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)
|
||
|
||
# 新格式: {symbols: {BTCUSDT: {short: {...}, ...}, ETHUSDT: {...}}, accounts: {...}}
|
||
symbols_data = {}
|
||
for symbol, tf_accounts in self.accounts.items():
|
||
symbols_data[symbol] = {
|
||
tf.value: acc.to_dict() for tf, acc in tf_accounts.items()
|
||
}
|
||
|
||
# 同时保留旧格式兼容 (使用第一个币种)
|
||
first_symbol = self.symbols[0] if self.symbols else 'BTCUSDT'
|
||
legacy_accounts = {}
|
||
if first_symbol in self.accounts:
|
||
legacy_accounts = {
|
||
tf.value: acc.to_dict() for tf, acc in self.accounts[first_symbol].items()
|
||
}
|
||
|
||
state = {
|
||
'symbols': symbols_data,
|
||
'accounts': legacy_accounts, # 向后兼容
|
||
'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,
|
||
symbol: str = None
|
||
) -> Dict[str, Any]:
|
||
"""处理单个币种的交易信号 - 检查所有周期
|
||
|
||
Args:
|
||
signal: 该币种的信号数据
|
||
current_price: 该币种当前价格
|
||
symbol: 交易对，如 'BTCUSDT'。若未指定则使用第一个币种
|
||
"""
|
||
symbol = symbol or (self.symbols[0] if self.symbols else 'BTCUSDT')
|
||
|
||
# 确保该币种的账户已初始化
|
||
if symbol not in self.accounts:
|
||
self._init_symbol_accounts(symbol)
|
||
|
||
results = {
|
||
'timestamp': datetime.now().isoformat(),
|
||
'symbol': symbol,
|
||
'current_price': current_price,
|
||
'timeframes': {},
|
||
}
|
||
|
||
for tf in TimeFrame:
|
||
result = self._process_timeframe_signal(symbol, tf, signal, current_price)
|
||
results['timeframes'][tf.value] = result
|
||
|
||
self._save_state()
|
||
return results
|
||
|
||
def process_all_signals(
|
||
self,
|
||
signals: Dict[str, Dict[str, Any]],
|
||
prices: Dict[str, float]
|
||
) -> Dict[str, Any]:
|
||
"""处理所有币种的信号
|
||
|
||
Args:
|
||
signals: {symbol: signal_data} 各币种的信号
|
||
prices: {symbol: price} 各币种的当前价格
|
||
"""
|
||
results = {
|
||
'timestamp': datetime.now().isoformat(),
|
||
'symbols': {},
|
||
}
|
||
|
||
for symbol in self.symbols:
|
||
if symbol in signals and symbol in prices:
|
||
result = self.process_signal(
|
||
signal=signals[symbol],
|
||
current_price=prices[symbol],
|
||
symbol=symbol
|
||
)
|
||
results['symbols'][symbol] = result
|
||
|
||
return results
|
||
|
||
def _process_timeframe_signal(
|
||
self, symbol: str, tf: TimeFrame, signal: Dict[str, Any], current_price: float
|
||
) -> Dict[str, Any]:
|
||
"""处理单个币种单个周期的信号（包含所有优化）"""
|
||
account = self.accounts[symbol][tf]
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
|
||
result = {
|
||
'action': 'NONE',
|
||
'details': None,
|
||
}
|
||
|
||
# 更新权益曲线
|
||
self._update_equity_curve(symbol, tf, current_price)
|
||
|
||
# 1. 检查止盈止损
|
||
if account.position and account.position.side != 'FLAT':
|
||
close_result = self._check_close_position(symbol, 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'):
|
||
# 记录无信号到历史
|
||
self._record_signal_history(account, 'NONE', 0, 0, 0)
|
||
result['action'] = 'NO_SIGNAL'
|
||
return result
|
||
|
||
direction = tf_signal.get('direction')
|
||
if not direction:
|
||
self._record_signal_history(account, 'NONE', 0, 0, 0)
|
||
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)
|
||
signal_timestamp = signal.get('timestamp') or signal.get('aggregated_signal', {}).get('timestamp')
|
||
|
||
# ========== 优化1: 信号时效性检查 ==========
|
||
if signal_timestamp:
|
||
expiry_check = self._check_signal_expiry(signal_timestamp, config)
|
||
if not expiry_check['valid']:
|
||
result['action'] = 'SIGNAL_EXPIRED'
|
||
result['details'] = expiry_check
|
||
logger.info(f"[{symbol}][{config['name']}] 信号已过期: {expiry_check['age_minutes']:.1f}分钟")
|
||
return result
|
||
|
||
# 验证止盈止损存在
|
||
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
|
||
|
||
# ========== 优化2: 风险回报比验证 ==========
|
||
rr_check = self._check_risk_reward_ratio(
|
||
direction, current_price, signal_stop_loss, signal_take_profit, config
|
||
)
|
||
if not rr_check['valid']:
|
||
result['action'] = 'LOW_RISK_REWARD'
|
||
result['details'] = rr_check
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] 风险回报比不足: {rr_check['ratio']:.2f} < {rr_check['min_ratio']}"
|
||
)
|
||
return result
|
||
|
||
# ========== 优化3: 动态价格偏差（基于ATR） ==========
|
||
# 更新ATR（从信号中获取）
|
||
atr = self._get_atr_from_signal(signal)
|
||
if atr > 0:
|
||
account.last_atr = atr
|
||
|
||
max_deviation = self._calculate_dynamic_deviation(config, account.last_atr, current_price)
|
||
|
||
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:.2f}%',
|
||
'signal_entry': signal_entry_price,
|
||
'current_price': current_price,
|
||
'deviation_pct': price_deviation * 100,
|
||
'max_deviation_pct': max_deviation * 100,
|
||
'atr_used': account.last_atr,
|
||
}
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] 跳过开仓: 价格偏差 {price_deviation*100:.2f}% > {max_deviation*100:.2f}% "
|
||
f"(信号价: ${signal_entry_price:.2f}, 当前价: ${current_price:.2f})"
|
||
)
|
||
return result
|
||
|
||
# ========== 优化4: 多周期协调（大周期趋势过滤） ==========
|
||
if not account.position or account.position.side == 'FLAT':
|
||
trend_check = self._check_higher_timeframe_trend(symbol, tf, direction, signal)
|
||
if not trend_check['aligned']:
|
||
result['action'] = 'TREND_CONFLICT'
|
||
result['details'] = trend_check
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] 与大周期趋势冲突: {direction} vs {trend_check['higher_tf_trend']}"
|
||
)
|
||
return result
|
||
|
||
# ========== 优化5: 信号确认机制 ==========
|
||
self._record_signal_history(account, direction, signal_entry_price, signal_stop_loss, signal_take_profit)
|
||
|
||
if not account.position or account.position.side == 'FLAT':
|
||
confirm_check = self._check_signal_confirmation(account, direction)
|
||
if not confirm_check['confirmed']:
|
||
result['action'] = 'AWAITING_CONFIRMATION'
|
||
result['details'] = confirm_check
|
||
logger.debug(
|
||
f"[{symbol}][{config['name']}] 等待信号确认: {confirm_check['count']}/{SIGNAL_CONFIRMATION_COUNT}"
|
||
)
|
||
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(symbol, tf, current_price, 'SIGNAL_REVERSE')
|
||
result['action'] = 'CLOSE'
|
||
result['details'] = close_result
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] 反向信号平仓，等待下一周期新信号"
|
||
)
|
||
return result
|
||
else:
|
||
# ========== 优化6: 加仓价格检查（支持entry_levels）==========
|
||
entry_levels = tf_signal.get('entry_levels', [])
|
||
add_result = self._add_position_with_price_check(
|
||
symbol, tf, current_price,
|
||
signal_stop_loss, signal_take_profit,
|
||
tf_signal.get('reasoning', '')[:100],
|
||
entry_levels=entry_levels
|
||
)
|
||
if add_result:
|
||
if add_result.get('skipped'):
|
||
result['action'] = 'ADD_PRICE_NOT_IMPROVED'
|
||
result['details'] = add_result
|
||
else:
|
||
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(symbol, tf, current_price),
|
||
'reason': '已达最大仓位层级',
|
||
}
|
||
return result
|
||
|
||
# 4. 无持仓，开新仓（首仓）
|
||
# ========== 优化7: 动态止损（验证止损距离合理性） ==========
|
||
adjusted_sl, adjusted_tp = self._adjust_stop_loss_take_profit(
|
||
direction, current_price, signal_stop_loss, signal_take_profit,
|
||
account.last_atr, config
|
||
)
|
||
|
||
# ========== 优化8: 检查首仓价格是否匹配 entry_levels ==========
|
||
entry_levels = tf_signal.get('entry_levels', [])
|
||
if entry_levels and len(entry_levels) > 0:
|
||
first_entry = entry_levels[0]
|
||
target_price = first_entry.get('price', 0)
|
||
if target_price > 0:
|
||
price_tolerance = 0.003 # 0.3% 容差
|
||
if direction == 'LONG':
|
||
# 做多：当前价格需要 ≤ 首仓目标价格
|
||
if current_price > target_price * (1 + price_tolerance):
|
||
result['action'] = 'WAIT_ENTRY_LEVEL'
|
||
result['details'] = {
|
||
'reason': f'等待首仓价位 ${target_price:.2f}',
|
||
'current_price': current_price,
|
||
'target_price': target_price,
|
||
'direction': direction,
|
||
'entry_levels': entry_levels,
|
||
}
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] 等待首仓价位: "
|
||
f"目标=${target_price:.2f}, 当前=${current_price:.2f}"
|
||
)
|
||
return result
|
||
else: # SHORT
|
||
# 做空：当前价格需要 ≥ 首仓目标价格
|
||
if current_price < target_price * (1 - price_tolerance):
|
||
result['action'] = 'WAIT_ENTRY_LEVEL'
|
||
result['details'] = {
|
||
'reason': f'等待首仓价位 ${target_price:.2f}',
|
||
'current_price': current_price,
|
||
'target_price': target_price,
|
||
'direction': direction,
|
||
'entry_levels': entry_levels,
|
||
}
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] 等待首仓价位: "
|
||
f"目标=${target_price:.2f}, 当前=${current_price:.2f}"
|
||
)
|
||
return result
|
||
|
||
open_result = self._open_position(
|
||
symbol, tf, direction, current_price,
|
||
adjusted_sl, adjusted_tp,
|
||
tf_signal.get('reasoning', '')[:100]
|
||
)
|
||
|
||
if open_result:
|
||
result['action'] = 'OPEN'
|
||
result['details'] = open_result
|
||
else:
|
||
result['action'] = 'WAIT'
|
||
|
||
return result
|
||
|
||
# ==================== 新增优化方法 ====================
|
||
|
||
def _check_signal_expiry(self, signal_timestamp: str, config: Dict) -> Dict:
|
||
"""检查信号是否过期"""
|
||
try:
|
||
# 解析信号时间
|
||
if 'T' in signal_timestamp:
|
||
signal_time = datetime.fromisoformat(signal_timestamp.replace('Z', '+00:00'))
|
||
else:
|
||
signal_time = datetime.fromisoformat(signal_timestamp)
|
||
|
||
# 移除时区信息进行比较
|
||
if signal_time.tzinfo:
|
||
signal_time = signal_time.replace(tzinfo=None)
|
||
|
||
now = datetime.now()
|
||
age = now - signal_time
|
||
age_minutes = age.total_seconds() / 60
|
||
|
||
expiry_minutes = config.get('signal_expiry_minutes', 15)
|
||
|
||
return {
|
||
'valid': age_minutes <= expiry_minutes,
|
||
'age_minutes': age_minutes,
|
||
'expiry_minutes': expiry_minutes,
|
||
'signal_time': signal_timestamp,
|
||
}
|
||
except Exception as e:
|
||
logger.warning(f"信号时间解析失败: {e}")
|
||
return {'valid': True, 'age_minutes': 0, 'expiry_minutes': 0}
|
||
|
||
def _check_risk_reward_ratio(
|
||
self, direction: str, entry_price: float,
|
||
stop_loss: float, take_profit: float, config: Dict
|
||
) -> Dict:
|
||
"""验证风险回报比"""
|
||
min_ratio = config.get('min_risk_reward_ratio', 1.5)
|
||
|
||
if direction == 'LONG':
|
||
risk = entry_price - stop_loss
|
||
reward = take_profit - entry_price
|
||
else: # SHORT
|
||
risk = stop_loss - entry_price
|
||
reward = entry_price - take_profit
|
||
|
||
if risk <= 0:
|
||
return {'valid': False, 'ratio': 0, 'min_ratio': min_ratio, 'reason': '止损设置错误'}
|
||
|
||
ratio = reward / risk
|
||
|
||
return {
|
||
'valid': ratio >= min_ratio,
|
||
'ratio': round(ratio, 2),
|
||
'min_ratio': min_ratio,
|
||
'risk': risk,
|
||
'reward': reward,
|
||
}
|
||
|
||
def _calculate_dynamic_deviation(self, config: Dict, atr: float, current_price: float) -> float:
|
||
"""计算动态价格偏差阈值"""
|
||
base_deviation = config.get('base_price_deviation', 0.005)
|
||
atr_multiplier = config.get('atr_deviation_multiplier', 0.5)
|
||
|
||
if atr > 0 and current_price > 0:
|
||
# ATR 百分比
|
||
atr_pct = atr / current_price
|
||
# 动态偏差 = 基础偏差 + ATR偏差
|
||
dynamic_deviation = base_deviation + (atr_pct * atr_multiplier)
|
||
return min(dynamic_deviation, 0.02) # 最大2%
|
||
else:
|
||
return base_deviation
|
||
|
||
def _get_atr_from_signal(self, signal: Dict) -> float:
|
||
"""从信号中提取ATR值"""
|
||
try:
|
||
# 尝试多个路径
|
||
atr = signal.get('market_analysis', {}).get('volatility_analysis', {}).get('atr', 0)
|
||
if not atr:
|
||
atr = signal.get('aggregated_signal', {}).get('levels', {}).get('atr', 0)
|
||
if not atr:
|
||
atr = signal.get('quantitative_signal', {}).get('indicators', {}).get('atr', 0)
|
||
return float(atr) if atr else 0.0
|
||
except:
|
||
return 0.0
|
||
|
||
def _check_higher_timeframe_trend(
|
||
self, symbol: str, tf: TimeFrame, direction: str, signal: Dict
|
||
) -> Dict:
|
||
"""检查大周期趋势是否与当前方向一致
|
||
|
||
支持两种格式:
|
||
1. 新格式: trades数组
|
||
2. 旧格式: opportunities对象
|
||
"""
|
||
higher_tfs = TIMEFRAME_HIERARCHY.get(tf, [])
|
||
|
||
if not higher_tfs:
|
||
return {'aligned': True, 'reason': '无需检查大周期'}
|
||
|
||
# 从信号中获取各周期的方向
|
||
llm_signal = signal.get('llm_signal') or signal.get('aggregated_signal', {}).get('llm_signal', {})
|
||
|
||
if not llm_signal:
|
||
return {'aligned': True, 'reason': '无LLM信号数据'}
|
||
|
||
# ========== 新格式: trades数组 ==========
|
||
trades = llm_signal.get('trades', [])
|
||
if trades and isinstance(trades, list) and len(trades) >= 3:
|
||
trades_by_tf = {t.get('timeframe'): t for t in trades if t.get('timeframe')}
|
||
|
||
for higher_tf in higher_tfs:
|
||
higher_tf_key = higher_tf.value # 'short', 'medium', 'long'
|
||
higher_trade = trades_by_tf.get(higher_tf_key, {})
|
||
|
||
if higher_trade and higher_trade.get('status') == 'ACTIVE':
|
||
higher_direction = higher_trade.get('direction')
|
||
if higher_direction and higher_direction != direction and higher_direction != 'NONE':
|
||
return {
|
||
'aligned': False,
|
||
'higher_tf': higher_tf.value,
|
||
'higher_tf_trend': higher_direction,
|
||
'current_direction': direction,
|
||
'reason': f'{higher_tf.value}周期为{higher_direction}，与{direction}冲突',
|
||
}
|
||
|
||
return {'aligned': True, 'reason': '大周期趋势一致或无明确方向'}
|
||
|
||
# ========== 旧格式: opportunities对象 ==========
|
||
opportunities = llm_signal.get('opportunities', {}) if llm_signal else {}
|
||
|
||
for higher_tf in higher_tfs:
|
||
higher_config = TIMEFRAME_CONFIG[higher_tf]
|
||
for key in higher_config['signal_keys']:
|
||
higher_opp = opportunities.get(key, {})
|
||
if higher_opp and higher_opp.get('exists'):
|
||
higher_direction = higher_opp.get('direction')
|
||
if higher_direction and higher_direction != direction:
|
||
# 大周期方向相反，不建议开仓
|
||
# 但如果大周期是 HOLD/观望，则允许
|
||
return {
|
||
'aligned': False,
|
||
'higher_tf': higher_tf.value,
|
||
'higher_tf_trend': higher_direction,
|
||
'current_direction': direction,
|
||
'reason': f'{higher_tf.value}周期为{higher_direction}，与{direction}冲突',
|
||
}
|
||
|
||
return {'aligned': True, 'reason': '大周期趋势一致或无明确方向'}
|
||
|
||
def _record_signal_history(
|
||
self, account: TimeFrameAccount, direction: str,
|
||
entry_price: float, stop_loss: float, take_profit: float
|
||
):
|
||
"""记录信号历史"""
|
||
history = SignalHistory(
|
||
direction=direction,
|
||
timestamp=datetime.now().isoformat(),
|
||
entry_price=entry_price,
|
||
stop_loss=stop_loss,
|
||
take_profit=take_profit,
|
||
)
|
||
account.signal_history.append(history)
|
||
# 只保留最近10条
|
||
if len(account.signal_history) > 10:
|
||
account.signal_history = account.signal_history[-10:]
|
||
|
||
def _check_signal_confirmation(self, account: TimeFrameAccount, direction: str) -> Dict:
|
||
"""检查信号是否已确认（连续N次相同方向）"""
|
||
if len(account.signal_history) < SIGNAL_CONFIRMATION_COUNT:
|
||
return {
|
||
'confirmed': False,
|
||
'count': len(account.signal_history),
|
||
'required': SIGNAL_CONFIRMATION_COUNT,
|
||
}
|
||
|
||
# 检查最近N次信号是否都是同一方向
|
||
recent = account.signal_history[-SIGNAL_CONFIRMATION_COUNT:]
|
||
same_direction_count = sum(1 for h in recent if h.direction == direction)
|
||
|
||
return {
|
||
'confirmed': same_direction_count >= SIGNAL_CONFIRMATION_COUNT,
|
||
'count': same_direction_count,
|
||
'required': SIGNAL_CONFIRMATION_COUNT,
|
||
'recent_signals': [h.direction for h in recent],
|
||
}
|
||
|
||
def _add_position_with_price_check(
|
||
self, symbol: str, tf: TimeFrame, price: float,
|
||
stop_loss: float, take_profit: float, reasoning: str,
|
||
entry_levels: List[Dict] = None
|
||
) -> Optional[Dict]:
|
||
"""带价格检查的加仓 - 支持信号中的 entry_levels
|
||
|
||
Args:
|
||
entry_levels: LLM信号中的多级进场价位列表
|
||
[{'price': 90000, 'ratio': 0.4, 'level': 0}, ...]
|
||
"""
|
||
account = self.accounts[symbol][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):
|
||
return None
|
||
|
||
# ========== 优化：使用信号中的 entry_levels ==========
|
||
if entry_levels and len(entry_levels) > current_level:
|
||
# 获取当前应该的加仓价位
|
||
target_entry = entry_levels[current_level]
|
||
target_price = target_entry.get('price', 0)
|
||
|
||
if target_price > 0:
|
||
# 检查当前价格是否到达目标加仓价位
|
||
price_tolerance = 0.002 # 0.2% 容差
|
||
|
||
if pos.side == 'LONG':
|
||
# 做多：当前价格需要 ≤ 目标价格 (价格下跌才加仓)
|
||
if price > target_price * (1 + price_tolerance):
|
||
return {
|
||
'skipped': True,
|
||
'reason': f'未触及加仓价位 L{current_level+1}',
|
||
'current_price': price,
|
||
'target_price': target_price,
|
||
'next_level': current_level + 1,
|
||
'entry_levels': entry_levels,
|
||
}
|
||
else: # SHORT
|
||
# 做空：当前价格需要 ≥ 目标价格 (价格上涨才加仓)
|
||
if price < target_price * (1 - price_tolerance):
|
||
return {
|
||
'skipped': True,
|
||
'reason': f'未触及加仓价位 L{current_level+1}',
|
||
'current_price': price,
|
||
'target_price': target_price,
|
||
'next_level': current_level + 1,
|
||
'entry_levels': entry_levels,
|
||
}
|
||
|
||
# 价格到达目标价位，执行加仓
|
||
logger.info(
|
||
f"[{symbol}] 触及加仓价位 L{current_level+1}: "
|
||
f"目标=${target_price:.2f}, 当前=${price:.2f}"
|
||
)
|
||
return self._add_position(symbol, tf, price, stop_loss, take_profit, reasoning)
|
||
|
||
# ========== 回退：使用均价改善检查 ==========
|
||
avg_price = pos.entry_price
|
||
improvement_required = PYRAMID_PRICE_IMPROVEMENT
|
||
|
||
if pos.side == 'LONG':
|
||
# 做多：加仓价格需要比均价低
|
||
price_improvement = (avg_price - price) / avg_price
|
||
if price_improvement < improvement_required:
|
||
return {
|
||
'skipped': True,
|
||
'reason': f'加仓价格未改善: 需低于均价{improvement_required*100:.1f}%',
|
||
'avg_price': avg_price,
|
||
'current_price': price,
|
||
'improvement_pct': price_improvement * 100,
|
||
'required_improvement_pct': improvement_required * 100,
|
||
}
|
||
else: # SHORT
|
||
# 做空：加仓价格需要比均价高
|
||
price_improvement = (price - avg_price) / avg_price
|
||
if price_improvement < improvement_required:
|
||
return {
|
||
'skipped': True,
|
||
'reason': f'加仓价格未改善: 需高于均价{improvement_required*100:.1f}%',
|
||
'avg_price': avg_price,
|
||
'current_price': price,
|
||
'improvement_pct': price_improvement * 100,
|
||
'required_improvement_pct': improvement_required * 100,
|
||
}
|
||
|
||
# 价格检查通过，执行加仓
|
||
return self._add_position(symbol, tf, price, stop_loss, take_profit, reasoning)
|
||
|
||
def _adjust_stop_loss_take_profit(
|
||
self, direction: str, entry_price: float,
|
||
signal_sl: float, signal_tp: float,
|
||
atr: float, config: Dict
|
||
) -> tuple:
|
||
"""调整止损止盈（基于ATR验证合理性）"""
|
||
if atr <= 0:
|
||
return signal_sl, signal_tp
|
||
|
||
# 计算最小止损距离 (1.5 ATR)
|
||
min_sl_distance = atr * 1.5
|
||
# 计算当前止损距离
|
||
if direction == 'LONG':
|
||
current_sl_distance = entry_price - signal_sl
|
||
# 如果止损太近，调整
|
||
if current_sl_distance < min_sl_distance:
|
||
adjusted_sl = entry_price - min_sl_distance
|
||
logger.info(f"止损调整: ${signal_sl:.2f} -> ${adjusted_sl:.2f} (基于ATR)")
|
||
signal_sl = adjusted_sl
|
||
else: # SHORT
|
||
current_sl_distance = signal_sl - entry_price
|
||
if current_sl_distance < min_sl_distance:
|
||
adjusted_sl = entry_price + min_sl_distance
|
||
logger.info(f"止损调整: ${signal_sl:.2f} -> ${adjusted_sl:.2f} (基于ATR)")
|
||
signal_sl = adjusted_sl
|
||
|
||
return signal_sl, signal_tp
|
||
|
||
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
|
||
|
||
支持两种格式:
|
||
1. 新格式: trades数组 (优先)
|
||
2. 旧格式: opportunities对象 (向后兼容)
|
||
"""
|
||
try:
|
||
# 从 llm_signal 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):
|
||
# ========== 新格式: trades数组 ==========
|
||
trades = llm_signal.get('trades', [])
|
||
if trades and isinstance(trades, list) and len(trades) >= 3:
|
||
# 确定当前 signal_keys 对应的 timeframe
|
||
tf_mapping = {
|
||
'short_term_5m_15m_1h': 'short',
|
||
'intraday': 'short',
|
||
'medium_term_4h_1d': 'medium',
|
||
'swing': 'medium',
|
||
'long_term_1d_1w': 'long',
|
||
}
|
||
|
||
target_tf = None
|
||
for key in signal_keys:
|
||
if key in tf_mapping:
|
||
target_tf = tf_mapping[key]
|
||
break
|
||
|
||
if target_tf:
|
||
# 从 trades 数组中找到对应周期
|
||
for trade in trades:
|
||
if trade.get('timeframe') == target_tf:
|
||
# 转换为统一格式
|
||
return self._convert_trade_to_opportunity(trade)
|
||
|
||
# ========== 旧格式: opportunities对象 ==========
|
||
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:
|
||
# 先检查新格式
|
||
trades = llm.get('trades', [])
|
||
if trades and isinstance(trades, list) and len(trades) >= 3:
|
||
tf_mapping = {
|
||
'short_term_5m_15m_1h': 'short',
|
||
'intraday': 'short',
|
||
'medium_term_4h_1d': 'medium',
|
||
'swing': 'medium',
|
||
'long_term_1d_1w': 'long',
|
||
}
|
||
target_tf = None
|
||
for key in signal_keys:
|
||
if key in tf_mapping:
|
||
target_tf = tf_mapping[key]
|
||
break
|
||
if target_tf:
|
||
for trade in trades:
|
||
if trade.get('timeframe') == target_tf:
|
||
return self._convert_trade_to_opportunity(trade)
|
||
|
||
# 回退到旧格式
|
||
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 _convert_trade_to_opportunity(self, trade: Dict[str, Any]) -> Dict[str, Any]:
|
||
"""将新格式 trade 转换为旧格式 opportunity
|
||
|
||
新格式:
|
||
{
|
||
"id": "short_001",
|
||
"timeframe": "short",
|
||
"status": "ACTIVE|INACTIVE",
|
||
"direction": "LONG|SHORT|NONE",
|
||
"entry": {"price_1": 90000, "price_2": 89700, ...},
|
||
"exit": {"stop_loss": 88500, "take_profit_1": 91000, ...},
|
||
"position": {"size_pct_1": 40, "size_pct_2": 30, ...},
|
||
"risk_reward": 2.5,
|
||
"expected_profit_pct": 1.5,
|
||
"reasoning": "..."
|
||
}
|
||
|
||
转换为:
|
||
{
|
||
"exists": True,
|
||
"direction": "LONG",
|
||
"entry_price": 90000,
|
||
"entry_levels": [...],
|
||
"stop_loss": 88500,
|
||
"take_profit": 91000,
|
||
"reasoning": "..."
|
||
}
|
||
"""
|
||
status = trade.get('status', 'INACTIVE')
|
||
is_active = status == 'ACTIVE'
|
||
|
||
if not is_active:
|
||
return {
|
||
'exists': False,
|
||
'direction': None,
|
||
'entry_price': 0,
|
||
'stop_loss': 0,
|
||
'take_profit': 0,
|
||
'reasoning': trade.get('reasoning', ''),
|
||
}
|
||
|
||
entry = trade.get('entry', {})
|
||
exit_data = trade.get('exit', {})
|
||
position = trade.get('position', {})
|
||
|
||
# 构建 entry_levels（金字塔入场价位）
|
||
entry_levels = []
|
||
for i in range(1, 5):
|
||
price = entry.get(f'price_{i}', 0)
|
||
ratio = position.get(f'size_pct_{i}', [40, 30, 20, 10][i-1]) / 100
|
||
if price > 0:
|
||
entry_levels.append({
|
||
'price': float(price),
|
||
'ratio': ratio,
|
||
'level': i - 1,
|
||
})
|
||
|
||
# 第一个入场价作为主入场价
|
||
entry_price = float(entry.get('price_1', 0))
|
||
|
||
return {
|
||
'exists': True,
|
||
'direction': trade.get('direction', 'NONE'),
|
||
'entry_price': entry_price,
|
||
'entry_levels': entry_levels,
|
||
'stop_loss': float(exit_data.get('stop_loss', 0)),
|
||
'take_profit': float(exit_data.get('take_profit_1', 0)),
|
||
'take_profit_2': float(exit_data.get('take_profit_2', 0)),
|
||
'take_profit_3': float(exit_data.get('take_profit_3', 0)),
|
||
'risk_reward': trade.get('risk_reward', 0),
|
||
'expected_profit_pct': trade.get('expected_profit_pct', 0),
|
||
'reasoning': trade.get('reasoning', ''),
|
||
}
|
||
|
||
def _get_max_position_value(self, symbol: str, tf: TimeFrame) -> float:
|
||
"""获取最大仓位价值（本金 × 杠杆）"""
|
||
account = self.accounts[symbol][tf]
|
||
return account.initial_balance * account.leverage
|
||
|
||
def _get_current_position_value(self, symbol: str, tf: TimeFrame, current_price: float) -> float:
|
||
"""获取当前仓位价值"""
|
||
account = self.accounts[symbol][tf]
|
||
if not account.position or account.position.side == 'FLAT':
|
||
return 0.0
|
||
return account.position.size * current_price
|
||
|
||
def _open_position(
|
||
self, symbol: str, 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[symbol][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(symbol, 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"[{symbol}][{config['name']}] 可用余额不足: ${available_balance:.2f} < ${margin:.2f}")
|
||
return None
|
||
|
||
if size <= 0:
|
||
return None
|
||
|
||
# 创建首仓入场记录
|
||
entry = PositionEntry(
|
||
price=price,
|
||
size=size,
|
||
margin=margin,
|
||
timestamp=datetime.now().isoformat(),
|
||
level=0,
|
||
)
|
||
|
||
account.position = Position(
|
||
side=direction,
|
||
entries=[entry],
|
||
stop_loss=stop_loss,
|
||
take_profit=take_profit,
|
||
created_at=datetime.now().isoformat(),
|
||
signal_reasoning=reasoning,
|
||
)
|
||
|
||
# 确定单位名称
|
||
unit = symbol.replace('USDT', '') if symbol.endswith('USDT') else symbol
|
||
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] OPEN {direction} [L1/{len(PYRAMID_LEVELS)}]: price=${price:.2f}, "
|
||
f"size={size:.6f} {unit}, margin=${margin:.2f}, value=${position_value:.2f}, "
|
||
f"SL=${stop_loss:.2f}, TP=${take_profit:.2f}"
|
||
)
|
||
|
||
return {
|
||
'symbol': symbol,
|
||
'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, symbol: str, tf: TimeFrame, price: float,
|
||
stop_loss: float, take_profit: float, reasoning: str
|
||
) -> Optional[Dict]:
|
||
"""金字塔加仓"""
|
||
account = self.accounts[symbol][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"[{symbol}][{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(symbol, 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"[{symbol}][{config['name']}] 加仓余额不足: ${available_balance:.2f} < ${add_margin:.2f}"
|
||
)
|
||
return None
|
||
|
||
# 添加入场记录
|
||
entry = PositionEntry(
|
||
price=price,
|
||
size=add_size,
|
||
margin=add_margin,
|
||
timestamp=datetime.now().isoformat(),
|
||
level=current_level,
|
||
)
|
||
pos.entries.append(entry)
|
||
|
||
# 更新止盈止损
|
||
pos.stop_loss = stop_loss
|
||
pos.take_profit = take_profit
|
||
|
||
# 确定单位名称
|
||
unit = symbol.replace('USDT', '') if symbol.endswith('USDT') else symbol
|
||
|
||
new_level = pos.pyramid_level
|
||
logger.info(
|
||
f"[{symbol}][{config['name']}] ADD {pos.side} [L{new_level}/{len(PYRAMID_LEVELS)}]: price=${price:.2f}, "
|
||
f"add_size={add_size:.6f} {unit}, add_margin=${add_margin:.2f}, "
|
||
f"total_size={pos.size:.6f} {unit}, total_margin=${pos.margin:.2f}, "
|
||
f"avg_price=${pos.entry_price:.2f}"
|
||
)
|
||
|
||
return {
|
||
'symbol': symbol,
|
||
'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, symbol: str, tf: TimeFrame, current_price: float) -> Optional[Dict]:
|
||
"""检查是否触发止盈止损"""
|
||
account = self.accounts[symbol][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(symbol, tf, current_price, 'TAKE_PROFIT')
|
||
elif current_price <= pos.stop_loss:
|
||
return self._close_position(symbol, tf, current_price, 'STOP_LOSS')
|
||
else: # SHORT
|
||
if current_price <= pos.take_profit:
|
||
return self._close_position(symbol, tf, current_price, 'TAKE_PROFIT')
|
||
elif current_price >= pos.stop_loss:
|
||
return self._close_position(symbol, tf, current_price, 'STOP_LOSS')
|
||
|
||
return None
|
||
|
||
def _close_position(self, symbol: str, tf: TimeFrame, price: float, reason: str) -> Dict:
|
||
"""平仓"""
|
||
account = self.accounts[symbol][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"{symbol[0]}{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,
|
||
symbol=symbol,
|
||
)
|
||
account.trades.append(trade)
|
||
self._update_stats(symbol, tf, trade)
|
||
|
||
# 计算新的账户权益
|
||
new_equity = account.get_equity()
|
||
|
||
result = {
|
||
'symbol': symbol,
|
||
'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"[{symbol}][{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, symbol: str, tf: TimeFrame, current_price: float) -> Dict[str, float]:
|
||
"""计算未实现盈亏"""
|
||
account = self.accounts[symbol][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, symbol: str, tf: TimeFrame, current_price: float):
|
||
"""更新权益曲线"""
|
||
account = self.accounts[symbol][tf]
|
||
unrealized = self._calc_unrealized_pnl(symbol, 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, symbol: str, tf: TimeFrame, trade: Trade):
|
||
"""更新统计数据"""
|
||
account = self.accounts[symbol][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,
|
||
symbol: str = None,
|
||
prices: Dict[str, float] = None
|
||
) -> Dict[str, Any]:
|
||
"""获取状态
|
||
|
||
Args:
|
||
current_price: 单币种价格（向后兼容）
|
||
symbol: 指定币种（若为空则返回所有）
|
||
prices: 多币种价格 {symbol: price}
|
||
"""
|
||
# 如果指定了单个币种
|
||
if symbol:
|
||
return self._get_symbol_status(symbol, current_price or (prices.get(symbol) if prices else None))
|
||
|
||
# 返回所有币种汇总
|
||
return self._get_all_status(prices or {self.symbols[0]: current_price} if current_price else {})
|
||
|
||
def _get_symbol_status(self, symbol: str, current_price: float = None) -> Dict[str, Any]:
|
||
"""获取单个币种所有周期状态"""
|
||
if symbol not in self.accounts:
|
||
return {'error': f'Symbol {symbol} not found'}
|
||
|
||
total_equity = 0
|
||
total_initial = 0
|
||
total_realized_pnl = 0
|
||
total_unrealized_pnl = 0
|
||
|
||
timeframes_data = {}
|
||
for tf in TimeFrame:
|
||
account = self.accounts[symbol][tf]
|
||
config = TIMEFRAME_CONFIG[tf]
|
||
|
||
# 计算未实现盈亏
|
||
unrealized = self._calc_unrealized_pnl(symbol, 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
|
||
|
||
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'],
|
||
'symbol': symbol,
|
||
'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
|
||
|
||
total_return = (total_equity - total_initial) / total_initial * 100 if total_initial > 0 else 0
|
||
|
||
return {
|
||
'timestamp': datetime.now().isoformat(),
|
||
'symbol': symbol,
|
||
'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,
|
||
}
|
||
|
||
def _get_all_status(self, prices: Dict[str, float] = None) -> Dict[str, Any]:
|
||
"""获取所有币种汇总状态"""
|
||
prices = prices or {}
|
||
|
||
grand_total_equity = 0
|
||
grand_total_initial = 0
|
||
grand_total_realized_pnl = 0
|
||
grand_total_unrealized_pnl = 0
|
||
|
||
symbols_data = {}
|
||
for symbol in self.symbols:
|
||
if symbol not in self.accounts:
|
||
continue
|
||
|
||
current_price = prices.get(symbol)
|
||
symbol_status = self._get_symbol_status(symbol, current_price)
|
||
|
||
symbols_data[symbol] = symbol_status
|
||
|
||
grand_total_initial += symbol_status.get('total_initial_balance', 0)
|
||
grand_total_realized_pnl += symbol_status.get('total_realized_pnl', 0)
|
||
grand_total_unrealized_pnl += symbol_status.get('total_unrealized_pnl', 0)
|
||
grand_total_equity += symbol_status.get('total_equity', 0)
|
||
|
||
grand_total_return = (grand_total_equity - grand_total_initial) / grand_total_initial * 100 if grand_total_initial > 0 else 0
|
||
|
||
# 向后兼容：保留 timeframes 字段（使用第一个币种）
|
||
first_symbol = self.symbols[0] if self.symbols else None
|
||
legacy_timeframes = symbols_data.get(first_symbol, {}).get('timeframes', {}) if first_symbol else {}
|
||
|
||
return {
|
||
'timestamp': datetime.now().isoformat(),
|
||
'symbols': symbols_data,
|
||
'timeframes': legacy_timeframes, # 向后兼容
|
||
'grand_total_initial_balance': grand_total_initial,
|
||
'grand_total_realized_pnl': grand_total_realized_pnl,
|
||
'grand_total_unrealized_pnl': grand_total_unrealized_pnl,
|
||
'grand_total_equity': grand_total_equity,
|
||
'grand_total_return': grand_total_return,
|
||
# 向后兼容字段
|
||
'total_initial_balance': grand_total_initial,
|
||
'total_realized_pnl': grand_total_realized_pnl,
|
||
'total_unrealized_pnl': grand_total_unrealized_pnl,
|
||
'total_equity': grand_total_equity,
|
||
'total_return': grand_total_return,
|
||
}
|
||
|
||
def reset(self, symbol: str = None):
|
||
"""重置账户
|
||
|
||
Args:
|
||
symbol: 指定币种，若为空则重置所有
|
||
"""
|
||
if symbol:
|
||
if symbol in self.accounts:
|
||
self._init_symbol_accounts(symbol)
|
||
logger.info(f"{symbol} accounts reset")
|
||
else:
|
||
self._init_all_accounts()
|
||
logger.info("All accounts reset")
|
||
self._save_state()
|
||
|
||
|
||
# 兼容旧的 PaperTrader 接口
|
||
PaperTrader = MultiTimeframePaperTrader
|