Add demo trading executor and analysis scheduling (plan 3 C4)
- Executor reconciles each symbol to its desired orders: journaled ap{id}
client ids, reduce-only quantity stop placed before entries, make-before-
break stop moves, breakeven after TP1, orphan cancel, -2021 market close
- Plan lifecycle: proposed plans are adopted only if the position is
unchanged; holding-mode plans may only tighten the stop
- Program rules: time stop, short-term invalidation close, long-term 4h
review, reevaluate conditions, takeover of unmanaged positions
- Trigger and routine analysis scheduling with a 10 min gap, daily cap and
bounded retries
- Plan endpoint and plan status, fills and countdowns on the trading page
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"""执行器：按「应有状态」对账。唯一会下单、撤单、推进计划状态的代码。
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每轮对交易列表里的每个币：
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1. 同步订单流水与交易所（成交、撤销、触发）。
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2. 采纳分析器提交的新计划（按最新持仓核对，过时则作废重算）。
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3. 推进计划状态，执行程序规则：到期、时间止损、失效条件、复核条件、无计划持仓。
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4. 算出应有订单与现有订单对比：先挂止损，再撤多余，最后补缺（撤了旧入场单的这一轮不挂新入场单）。
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"""
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import asyncio
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import logging
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import time
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from dataclasses import dataclass
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from datetime import UTC, datetime, timedelta
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from decimal import ROUND_CEILING, ROUND_FLOOR, Decimal
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from sqlalchemy import func, select
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from sqlalchemy.ext.asyncio import AsyncSession
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from alphapulse.ai.tools import LOCAL_TZ
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from alphapulse.core.crypto import decrypt
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from alphapulse.core.db import SessionLocal
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from alphapulse.market.binance import BinanceClient
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from alphapulse.models import TradingAccount, TradingAnalysis, TradingEvent, TradingOrder, TradingSymbol
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from alphapulse.trading.client import OWN_CLIENT_ID, DemoClient, ExchangeError, mark_price, symbol_rules
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from alphapulse.trading.plan import MAX_HOLD_HOURS, OrderSpec, SymbolRules, condition_met, desired_orders, diff_orders, round_to_step
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from alphapulse.trading.schedule import request_analysis
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logger = logging.getLogger("alphapulse.trading.executor")
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EXECUTOR_SECONDS = 2
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ACTIVE_ORDER_STATUSES = ("submitting", "new", "partially_filled")
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LIVE_PLAN_STATUSES = ("pending", "open", "closing")
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# 刚下的单可能短时间查不到（C1 实测约 0.25s）
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SUBMIT_GRACE_SECONDS = 10
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# 止损挂单连续失败（可重试错误）达到次数后撤单平仓
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STOP_FAILURE_LIMIT = 3
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# 同一错误的时间线事件间隔，避免刷屏
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ERROR_EVENT_SECONDS = 600
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ORDER_STATUSES = {"NEW": "new", "PARTIALLY_FILLED": "partially_filled", "FILLED": "filled", "CANCELED": "canceled",
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"EXPIRED": "expired", "EXPIRED_IN_MATCH": "expired", "REJECTED": "rejected"}
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PURPOSE_LABELS = {"entry": "入场", "tp": "止盈", "stop": "止损", "close": "市价平仓"}
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CLOSE_REASON_LABELS = {"stop": "止损", "take_profit": "止盈", "time": "到达持仓时限", "invalidation": "短线失效条件触发",
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"exit": "模型决定结束", "external": "外部平仓（如在网页手动平仓）", "stop_failed": "止损挂单失败",
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"close": "市价平仓"}
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@dataclass
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class Position:
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side: str # long / short
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qty: Decimal
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entry: Decimal
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break_even: Decimal
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mark: Decimal
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def fmt(value: Decimal) -> str:
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return format(value, "f")
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def utcnow() -> datetime:
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return datetime.now(UTC)
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class Executor:
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def __init__(self) -> None:
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self.client: DemoClient | None = None
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self.key_ciphertext: bytes | None = None
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self.market = BinanceClient()
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# 已设置为逐仓 3 倍的币；单向持仓是账户级，只设一次
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self.configured: set[str] = set()
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self.one_way_checked = False
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self.stop_failures: dict[str, int] = {}
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self.error_events: dict[str, float] = {}
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# (symbol, 周期) -> (下一根收盘时间 ms, 最近收盘价)
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self.kline_cache: dict[tuple[str, str], tuple[int, Decimal]] = {}
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# 已请模型接管的无计划持仓：symbol -> 持仓均价，同一笔持仓只请求一次
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self.takeover_requested: dict[str, Decimal] = {}
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# ---------- 基础 ----------
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async def ensure_client(self, account: TradingAccount | None) -> DemoClient | None:
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ciphertext = account.api_key_encrypted if account else None
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if ciphertext != self.key_ciphertext:
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if self.client is not None:
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await self.client.http.aclose()
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self.client = None
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self.configured.clear()
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self.one_way_checked = False
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self.key_ciphertext = ciphertext
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if account is not None and ciphertext is not None:
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self.client = DemoClient(decrypt(ciphertext), decrypt(account.api_secret_encrypted))
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return self.client
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async def report(self, session: AsyncSession, symbol: str | None, message: str, level: str = "error", analysis_id: int | None = None) -> None:
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"""同一条错误十分钟内只记一次"""
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key = f"{symbol}:{message}"
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if time.monotonic() - self.error_events.get(key, -ERROR_EVENT_SECONDS) < ERROR_EVENT_SECONDS:
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return
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self.error_events[key] = time.monotonic()
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logger.warning("%s %s", symbol, message)
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session.add(TradingEvent(symbol=symbol, analysis_id=analysis_id, kind="executor_error", level=level, message=message))
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async def last_close(self, symbol: str, interval: str) -> Decimal:
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"""实盘该周期最近一根已收盘 K 线的收盘价；到下一根收盘前用缓存"""
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now_ms = int(time.time() * 1000)
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cached = self.kline_cache.get((symbol, interval))
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if cached and now_ms < cached[0]:
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return cached[1]
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rows = await self.market.get("um", "klines", {"symbol": symbol, "interval": interval, "limit": 2})
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closed = rows[-1] if rows[-1][6] < now_ms else rows[-2]
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# 下一根收盘时间 = 当前未收盘 K 线的 close_time
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next_close = rows[-1][6] + 1 if rows[-1][6] >= now_ms else now_ms
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self.kline_cache[(symbol, interval)] = (next_close, Decimal(closed[4]))
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return Decimal(closed[4])
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async def condition_met(self, symbol: str, condition: dict, mark: Decimal) -> tuple[bool, Decimal]:
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price = mark if condition["timeframe"] == "mark" else await self.last_close(symbol, condition["timeframe"])
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return condition_met(condition["direction"], Decimal(condition["price"]), price), price
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async def ensure_symbol_setup(self, client: DemoClient, symbol: str) -> None:
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"""单向持仓、逐仓、3 倍杠杆。先查再改：有挂单时即使不需要修改，写操作也可能被拒（-4067）"""
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if not self.one_way_checked:
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if (await client.request("GET", "/fapi/v1/positionSide/dual"))["dualSidePosition"]:
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await client.request("POST", "/fapi/v1/positionSide/dual", {"dualSidePosition": False})
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self.one_way_checked = True
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if symbol in self.configured:
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return
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config = (await client.request("GET", "/fapi/v1/symbolConfig", {"symbol": symbol}))[0]
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if config["marginType"] != "ISOLATED":
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await client.request("POST", "/fapi/v1/marginType", {"symbol": symbol, "marginType": "ISOLATED"})
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if config["leverage"] != 3:
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await client.request("POST", "/fapi/v1/leverage", {"symbol": symbol, "leverage": 3})
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self.configured.add(symbol)
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# ---------- 订单 ----------
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async def place(self, session: AsyncSession, client: DemoClient, symbol: str, plan_id: int | None, purpose: str, spec: OrderSpec) -> ExchangeError | None:
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"""先写流水并提交，再用 ap{id} 下单。结果不明（网络、5xx）时保持 submitting，下一轮按 id 查询，绝不换 id 重发"""
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row = TradingOrder(
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analysis_id=plan_id, symbol=symbol, purpose=purpose, leg=spec.leg, is_algo=spec.type == "STOP_MARKET",
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side=spec.side, type=spec.type, price=spec.price, trigger_price=spec.trigger_price, quantity=spec.quantity,
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reduce_only=purpose != "entry", status="submitting",
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)
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session.add(row)
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await session.commit()
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client_id = f"ap{row.id}"
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try:
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if row.is_algo:
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result = await client.request("POST", "/fapi/v1/algoOrder", {
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"algoType": "CONDITIONAL", "symbol": symbol, "side": spec.side, "type": "STOP_MARKET",
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"triggerPrice": fmt(spec.trigger_price), "quantity": fmt(spec.quantity), "reduceOnly": True,
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"workingType": "MARK_PRICE", "clientAlgoId": client_id,
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})
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row.exchange_id, row.status = str(result["algoId"]), "new"
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else:
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params = {"symbol": symbol, "side": spec.side, "type": spec.type, "quantity": fmt(spec.quantity),
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"reduceOnly": row.reduce_only or None, "newClientOrderId": client_id}
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if spec.type == "LIMIT":
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params |= {"price": fmt(spec.price), "timeInForce": "GTC"}
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result = await client.request("POST", "/fapi/v1/order", params)
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row.exchange_id = str(result["orderId"])
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row.status = ORDER_STATUSES.get(result["status"], result["status"].lower())
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except ExchangeError as e:
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row.error = str(e)
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if not (e.retryable or e.status is None):
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row.status = "rejected"
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await session.commit()
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return e
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await session.commit()
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return None
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async def cancel(self, client: DemoClient, row: TradingOrder) -> None:
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await self.cancel_client_id(client, row.symbol, f"ap{row.id}", row.is_algo)
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async def cancel_client_id(self, client: DemoClient, symbol: str, client_id: str, is_algo: bool) -> None:
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"""撤单后不直接改状态：可能恰好已成交，交给下一轮同步确认"""
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try:
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if is_algo:
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await client.request("DELETE", "/fapi/v1/algoOrder", {"clientAlgoId": client_id})
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else:
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await client.request("DELETE", "/fapi/v1/order", {"symbol": symbol, "origClientOrderId": client_id})
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except ExchangeError as e:
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# -2011 / -2013：单已不在，等同步
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if e.code not in (-2011, -2013):
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raise
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async def sync_order(self, session: AsyncSession, client: DemoClient, row: TradingOrder, open_orders: dict, open_algos: dict) -> None:
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client_id = f"ap{row.id}"
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before = row.filled_qty
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try:
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if row.is_algo:
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if client_id in open_algos:
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row.exchange_id, row.status = str(open_algos[client_id]["algoId"]), "new"
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return
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algo = await client.request("GET", "/fapi/v1/algoOrder", {"clientAlgoId": client_id})
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if algo["algoStatus"] in ("NEW", "TRIGGERING"):
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row.status = "new"
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return
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row.exchange_id = str(algo["algoId"])
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if algo["algoStatus"] == "FINISHED" and algo.get("actualOrderId"):
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actual = await client.request("GET", "/fapi/v1/order", {"symbol": row.symbol, "orderId": algo["actualOrderId"]})
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row.filled_qty = Decimal(actual["executedQty"])
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row.avg_price = Decimal(actual["avgPrice"]) or None
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row.status = "filled" if actual["status"] == "FILLED" else ORDER_STATUSES.get(actual["status"], "finished")
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if row.status == "new":
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# 触发后的市价单还没成交完，下一轮再查
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return
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else:
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row.status = algo["algoStatus"].lower()
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else:
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order = open_orders.get(client_id) or await client.request("GET", "/fapi/v1/order", {"symbol": row.symbol, "origClientOrderId": client_id})
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row.exchange_id = str(order["orderId"])
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row.status = ORDER_STATUSES.get(order["status"], order["status"].lower())
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row.filled_qty = Decimal(order["executedQty"])
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row.avg_price = Decimal(order["avgPrice"]) or None
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except ExchangeError as e:
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if e.code != -2013:
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raise
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if row.status == "submitting" and utcnow() - row.created_at < timedelta(seconds=SUBMIT_GRACE_SECONDS):
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return
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row.status, row.error = "failed", "交易所查无此单"
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return
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if row.filled_qty > before:
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delta = row.filled_qty - before
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leg = f"第 {row.leg + 1} 档" if row.purpose == "entry" else (f" {row.leg + 1} " if row.purpose == "tp" else "")
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session.add(TradingEvent(
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symbol=row.symbol, analysis_id=row.analysis_id, kind=f"{row.purpose}_filled",
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level="warn" if row.purpose == "stop" else "info",
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message=f"{PURPOSE_LABELS[row.purpose]}{leg}成交 {fmt(delta)} @ {row.avg_price}",
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data={"order_id": row.id, "quantity": fmt(delta)},
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))
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if row.purpose == "tp":
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await request_analysis(session, row.symbol, f"止盈 {row.leg + 1} 成交")
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# ---------- 计划 ----------
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async def adopt(self, session: AsyncSession, client: DemoClient, symbol: TradingSymbol, current: TradingAnalysis | None,
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position: Position | None) -> TradingAnalysis | None:
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"""采纳最新的提议；较早的提议作废。返回采纳后的当前计划"""
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proposals = (await session.scalars(
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select(TradingAnalysis).where(TradingAnalysis.symbol == symbol.symbol, TradingAnalysis.plan_status == "proposed")
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.order_by(TradingAnalysis.id.desc())
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)).all()
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if not proposals:
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return current
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proposal, older = proposals[0], proposals[1:]
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for p in older:
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p.plan_status = "stale"
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now = utcnow()
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if proposal.action == "exit":
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proposal.plan_status = "applied"
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if current is not None:
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current.plan_status, current.close_reason = "closing", "exit"
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session.add(TradingEvent(symbol=symbol.symbol, analysis_id=current.id, kind="plan_exit", level="warn",
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message=f"按分析 #{proposal.id} 结束计划：撤销入场单，有持仓则市价平仓"))
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elif position is not None:
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session.add(TradingEvent(symbol=symbol.symbol, analysis_id=proposal.id, kind="plan_exit", level="warn",
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message=f"按分析 #{proposal.id} 市价平掉无计划的持仓 {fmt(position.qty)}"))
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close_side = "SELL" if position.side == "long" else "BUY"
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await self.place(session, client, symbol.symbol, proposal.id, "close", OrderSpec("close", None, close_side, "MARKET", None, None, position.qty))
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return current
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qty = position.qty if position else Decimal(0)
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expected = Decimal(proposal.sizing["position_qty"])
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if qty != expected or (current is not None and current.plan_status == "closing"):
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proposal.plan_status = "stale"
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reason = "计划正在平仓" if current is not None and current.plan_status == "closing" else f"持仓已从 {fmt(expected)} 变为 {fmt(qty)}"
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session.add(TradingEvent(symbol=symbol.symbol, analysis_id=proposal.id, kind="plan_stale", level="warn",
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message=f"计划未采纳：{reason}"))
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await request_analysis(session, symbol.symbol, "持仓变化，计划作废重算")
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return current
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if current is not None:
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current.plan_status, current.close_reason, current.closed_at = "replaced", "replaced", now
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if qty > 0:
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proposal.plan_status = "open"
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proposal.first_fill_at = current.first_fill_at if current and current.first_fill_at else now
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# 持仓时限沿用原计划，不延长；接管无计划持仓时从现在起算
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proposal.close_deadline = current.close_deadline if current and current.close_deadline else now + timedelta(hours=MAX_HOLD_HOURS[symbol.angle])
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else:
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proposal.plan_status = "pending"
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proposal.valid_until = now + timedelta(hours=float(proposal.decision["entry_valid_hours"]))
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session.add(TradingEvent(symbol=symbol.symbol, analysis_id=proposal.id, kind="plan_adopted",
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message=f"采纳计划 #{proposal.id}" + (f"，替换 #{current.id}" if current else "")))
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return proposal
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async def realized(self, client: DemoClient, symbol: str, since: datetime | None) -> dict | None:
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if since is None:
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return None
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trades = await client.request("GET", "/fapi/v1/userTrades", {"symbol": symbol, "startTime": int(since.timestamp() * 1000) - 1000, "limit": 1000})
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pnl = sum((Decimal(t["realizedPnl"]) for t in trades), Decimal(0))
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fee = sum((Decimal(t["commission"]) for t in trades if t["commissionAsset"] == "USDT"), Decimal(0))
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return {"realized_pnl": fmt(pnl), "commission": fmt(fee), "net": fmt(pnl - fee)}
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async def finish(self, session: AsyncSession, client: DemoClient, plan: TradingAnalysis, rows: list[TradingOrder]) -> None:
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"""持仓归零：计划结束，记录原因和盈亏，排队分析"""
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if plan.close_reason is None or plan.plan_status == "open":
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filled = sorted((r for r in rows if r.filled_qty > 0 and r.purpose in ("stop", "tp", "close")), key=lambda r: r.updated_at)
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last = filled[-1].purpose if filled else None
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plan.close_reason = {"stop": "stop", "tp": "take_profit", "close": plan.close_reason or "close"}.get(last, "external")
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plan.plan_status = "closed" if plan.first_fill_at else "canceled"
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plan.closed_at = utcnow()
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plan.result = await self.realized(client, plan.symbol, plan.first_fill_at)
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net = f"，净盈亏 {plan.result['net']} USDT（含手续费 {plan.result['commission']}）" if plan.result else ""
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label = CLOSE_REASON_LABELS.get(plan.close_reason, plan.close_reason)
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session.add(TradingEvent(symbol=plan.symbol, analysis_id=plan.id, kind="plan_closed", level="warn" if plan.close_reason in ("stop", "stop_failed", "external") else "info",
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message=f"计划 #{plan.id} 结束：{label}{net}", data=plan.result))
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await request_analysis(session, plan.symbol, f"平仓（{label}）")
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|
||||
async def start_closing(self, session: AsyncSession, plan: TradingAnalysis, reason: str, detail: str = "") -> None:
|
||||
plan.plan_status, plan.close_reason = "closing", reason
|
||||
session.add(TradingEvent(symbol=plan.symbol, analysis_id=plan.id, kind="plan_closing", level="warn",
|
||||
message=f"{CLOSE_REASON_LABELS[reason]}{detail}：撤销入场单并市价平仓"))
|
||||
|
||||
async def review_once(self, session: AsyncSession, plan_id: int, symbol: str, kind: str, index: int, message: str, reason: str) -> None:
|
||||
"""失效复核、reevaluate 每个条件只触发一次：以时间线事件去重"""
|
||||
exists = await session.scalar(select(func.count()).where(
|
||||
TradingEvent.analysis_id == plan_id, TradingEvent.kind == kind, TradingEvent.data["index"].as_integer() == index,
|
||||
))
|
||||
if exists:
|
||||
return
|
||||
session.add(TradingEvent(symbol=symbol, analysis_id=plan_id, kind=kind, level="warn", message=message, data={"index": index}))
|
||||
await request_analysis(session, symbol, reason)
|
||||
|
||||
# ---------- 对账 ----------
|
||||
|
||||
async def reconcile(self, session: AsyncSession, client: DemoClient, symbol: TradingSymbol, running: bool, position: Position | None) -> None:
|
||||
name = symbol.symbol
|
||||
rules = await symbol_rules(name)
|
||||
open_orders = {o["clientOrderId"]: o for o in await client.request("GET", "/fapi/v1/openOrders", {"symbol": name})}
|
||||
open_algos = {o["clientAlgoId"]: o for o in await client.request("GET", "/fapi/v1/openAlgoOrders", {"symbol": name})}
|
||||
|
||||
rows = list((await session.scalars(
|
||||
select(TradingOrder).where(TradingOrder.symbol == name, TradingOrder.status.in_(ACTIVE_ORDER_STATUSES))
|
||||
)).all())
|
||||
for row in rows:
|
||||
await self.sync_order(session, client, row, open_orders, open_algos)
|
||||
await session.commit()
|
||||
|
||||
# 交易所上本程序的单，但流水里不是活动状态：孤儿单，撤掉（用户手动下的单不动）
|
||||
active_ids = {f"ap{r.id}" for r in rows if r.status in ACTIVE_ORDER_STATUSES}
|
||||
for client_id, order in [*open_orders.items(), *open_algos.items()]:
|
||||
if OWN_CLIENT_ID.match(client_id) and client_id not in active_ids:
|
||||
await self.cancel_client_id(client, name, client_id, client_id in open_algos)
|
||||
session.add(TradingEvent(symbol=name, kind="orphan_canceled", level="warn", message=f"撤销孤儿单 {client_id}（{order.get('type') or order.get('orderType')}）"))
|
||||
|
||||
plan = await session.scalar(
|
||||
select(TradingAnalysis).where(TradingAnalysis.symbol == name, TradingAnalysis.plan_status.in_(LIVE_PLAN_STATUSES))
|
||||
.order_by(TradingAnalysis.id.desc()).limit(1)
|
||||
)
|
||||
plan = await self.adopt(session, client, symbol, plan, position)
|
||||
await session.commit()
|
||||
|
||||
# 不属于当前计划的活动订单（被替换、已结束的计划）：入场和止盈先撤；止损等新止损挂上后再撤，不留无保护窗口
|
||||
stale = [r for r in rows if r.status in ACTIVE_ORDER_STATUSES and r.purpose != "close" and (plan is None or r.analysis_id != plan.id)]
|
||||
for row in stale:
|
||||
if row.purpose != "stop":
|
||||
await self.cancel(client, row)
|
||||
stale_entry_canceled = any(r.purpose == "entry" for r in stale)
|
||||
|
||||
if plan is None:
|
||||
for row in stale:
|
||||
if row.purpose == "stop":
|
||||
await self.cancel(client, row)
|
||||
if position is None:
|
||||
self.takeover_requested.pop(name, None)
|
||||
elif running:
|
||||
await self.unmanaged(session, client, name, position, open_algos)
|
||||
if running:
|
||||
await self.check_reevaluate(session, name, position.mark if position else None)
|
||||
await session.commit()
|
||||
return
|
||||
|
||||
direction = plan.sizing["direction"]
|
||||
if position is not None and position.side != direction:
|
||||
await self.report(session, name, f"持仓方向（{position.side}）与计划 #{plan.id} 方向（{direction}）不一致，暂停该币的下单", analysis_id=plan.id)
|
||||
await session.commit()
|
||||
return
|
||||
qty = position.qty if position else Decimal(0)
|
||||
now = utcnow()
|
||||
plan_rows = list((await session.scalars(select(TradingOrder).where(TradingOrder.analysis_id == plan.id))).all())
|
||||
|
||||
if plan.plan_status == "pending":
|
||||
if qty > 0:
|
||||
plan.plan_status, plan.first_fill_at = "open", now
|
||||
plan.close_deadline = now + timedelta(hours=float(plan.decision["max_hold_hours"]))
|
||||
session.add(TradingEvent(symbol=name, analysis_id=plan.id, kind="plan_open",
|
||||
message=f"首档成交，计划 #{plan.id} 进入持仓；最晚 {plan.close_deadline.astimezone(LOCAL_TZ).strftime('%m-%d %H:%M')} 平仓"))
|
||||
await request_analysis(session, name, "首档成交")
|
||||
elif now >= plan.valid_until or not running:
|
||||
plan.plan_status, plan.closed_at = "canceled", now
|
||||
plan.close_reason = "expired" if running else "stopped"
|
||||
session.add(TradingEvent(symbol=name, analysis_id=plan.id, kind="plan_canceled",
|
||||
message=f"计划 #{plan.id} 撤销：{'入场单到期未成交' if running else '已停止交易，撤销未成交的入场单'}"))
|
||||
if running:
|
||||
await request_analysis(session, name, "计划到期未成交")
|
||||
elif plan.plan_status == "open":
|
||||
if qty == 0:
|
||||
await self.finish(session, client, plan, plan_rows)
|
||||
elif now >= plan.close_deadline:
|
||||
await self.start_closing(session, plan, "time")
|
||||
else:
|
||||
await self.check_invalidation(session, plan, position)
|
||||
elif plan.plan_status == "closing" and qty == 0:
|
||||
await self.finish(session, client, plan, plan_rows)
|
||||
await session.commit()
|
||||
|
||||
if plan.plan_status in LIVE_PLAN_STATUSES:
|
||||
await self.sync_orders(session, client, plan, plan_rows, position, running, rules, stale_entry_canceled)
|
||||
else:
|
||||
# 计划已结束：只减仓止损不会被交易所自动撤销，必须主动撤，以免作用到之后的新仓位
|
||||
for row in plan_rows:
|
||||
if row.status in ACTIVE_ORDER_STATUSES and row.purpose != "close":
|
||||
await self.cancel(client, row)
|
||||
for row in stale:
|
||||
if row.purpose == "stop":
|
||||
await self.cancel(client, row)
|
||||
if running and plan.plan_status != "closing":
|
||||
await self.check_reevaluate(session, name, position.mark if position else None)
|
||||
await session.commit()
|
||||
|
||||
async def check_invalidation(self, session: AsyncSession, plan: TradingAnalysis, position: Position) -> None:
|
||||
condition = plan.decision["invalidation"]
|
||||
met, price = await self.condition_met(plan.symbol, condition, position.mark)
|
||||
if not met:
|
||||
return
|
||||
detail = f"（{condition['timeframe']} 收盘 {fmt(price)} {'高于' if condition['direction'] == 'above' else '低于'} {condition['price']}）"
|
||||
if plan.angle == "short":
|
||||
await self.start_closing(session, plan, "invalidation", detail)
|
||||
else:
|
||||
await self.review_once(session, plan.id, plan.symbol, "invalidation_review", 0,
|
||||
f"长线失效条件触发{detail}，请模型复核", f"失效条件触发{detail}")
|
||||
|
||||
async def check_reevaluate(self, session: AsyncSession, symbol: str, mark: Decimal | None) -> None:
|
||||
"""最近一次交易中分析给出的 reevaluate 条件：满足任一个就排队分析"""
|
||||
latest = await session.scalar(
|
||||
select(TradingAnalysis).where(TradingAnalysis.symbol == symbol, TradingAnalysis.status == "done", TradingAnalysis.dry_run.is_(False))
|
||||
.order_by(TradingAnalysis.id.desc()).limit(1)
|
||||
)
|
||||
if latest is None or not latest.decision["reevaluate"]:
|
||||
return
|
||||
if mark is None and any(c["timeframe"] == "mark" for c in latest.decision["reevaluate"]):
|
||||
mark = await mark_price(symbol)
|
||||
for i, condition in enumerate(latest.decision["reevaluate"]):
|
||||
met, price = await self.condition_met(symbol, condition, mark)
|
||||
if met:
|
||||
text = f"{condition['timeframe']} {'高于' if condition['direction'] == 'above' else '低于'} {condition['price']}（现 {fmt(price)}）"
|
||||
await self.review_once(session, latest.id, symbol, "reevaluate_triggered", i, f"复核条件满足：{text}", f"复核条件满足：{text}")
|
||||
|
||||
async def unmanaged(self, session: AsyncSession, client: DemoClient, symbol: str, position: Position, open_algos: dict) -> None:
|
||||
"""有持仓但没有计划：有止损就请模型接管，没有止损就市价平仓"""
|
||||
close_side = "SELL" if position.side == "long" else "BUY"
|
||||
has_stop = any(o["side"] == close_side and o["orderType"].startswith("STOP") for o in open_algos.values())
|
||||
if has_stop:
|
||||
if self.takeover_requested.get(symbol) != position.entry:
|
||||
self.takeover_requested[symbol] = position.entry
|
||||
session.add(TradingEvent(symbol=symbol, kind="unmanaged_position", level="warn",
|
||||
message=f"{symbol} 有持仓 {fmt(position.qty)} 和止损但没有计划，请模型接管"))
|
||||
await request_analysis(session, symbol, "有持仓但没有计划，请接管")
|
||||
return
|
||||
closing = await session.scalar(select(func.count()).where(
|
||||
TradingOrder.symbol == symbol, TradingOrder.purpose == "close", TradingOrder.status.in_(ACTIVE_ORDER_STATUSES),
|
||||
))
|
||||
if closing:
|
||||
return
|
||||
session.add(TradingEvent(symbol=symbol, kind="unmanaged_closed", level="error",
|
||||
message=f"{symbol} 有持仓 {fmt(position.qty)} 但没有计划也没有止损，市价平仓"))
|
||||
await self.place(session, client, symbol, None, "close", OrderSpec("close", None, close_side, "MARKET", None, None, position.qty))
|
||||
|
||||
async def sync_orders(self, session: AsyncSession, client: DemoClient, plan: TradingAnalysis, plan_rows: list[TradingOrder],
|
||||
position: Position | None, running: bool, rules: SymbolRules, block_entries: bool) -> None:
|
||||
sizing = plan.sizing
|
||||
qty = position.qty if position else Decimal(0)
|
||||
n_entries, n_tps = len(sizing["entries"]), len(sizing["take_profits"])
|
||||
entry_filled = [sum((r.filled_qty for r in plan_rows if r.purpose == "entry" and r.leg == i), Decimal(0)) for i in range(n_entries)]
|
||||
tp_filled = [sum((r.filled_qty for r in plan_rows if r.purpose == "tp" and r.leg == j), Decimal(0)) for j in range(n_tps)]
|
||||
tp1_hit = tp_filled[0] > 0
|
||||
stop = Decimal(sizing["stop"])
|
||||
if tp1_hit and position is not None:
|
||||
# 止盈 1 后止损移到保本价：做多向上取整、做空向下取整，保证不亏；只收紧不放宽
|
||||
long = sizing["direction"] == "long"
|
||||
break_even = round_to_step(position.break_even, rules.tick_size, ROUND_CEILING if long else ROUND_FLOOR)
|
||||
stop = max(stop, break_even) if long else min(stop, break_even)
|
||||
|
||||
active = [r for r in plan_rows if r.status in ACTIVE_ORDER_STATUSES and r.purpose in ("entry", "stop", "tp")]
|
||||
long = sizing["direction"] == "long"
|
||||
if plan.plan_status == "closing":
|
||||
# 平仓中：撤入场和止盈，保留已有止损直到市价平仓成交（止损可能正因越过现价挂不上，不再补挂）
|
||||
for row in active:
|
||||
if row.purpose != "stop":
|
||||
await self.cancel(client, row)
|
||||
if qty > 0 and not any(r.purpose == "close" and r.status in ACTIVE_ORDER_STATUSES for r in plan_rows):
|
||||
close_side = "SELL" if long else "BUY"
|
||||
await self.place(session, client, plan.symbol, plan.id, "close", OrderSpec("close", None, close_side, "MARKET", None, None, qty))
|
||||
return
|
||||
|
||||
entries_open = running and utcnow() < (plan.valid_until or utcnow()) and not tp1_hit
|
||||
desired = desired_orders(sizing, entries_open=entries_open, entry_filled=entry_filled, tp_filled=tp_filled,
|
||||
position_qty=qty, stop_price=stop, step_size=rules.step_size)
|
||||
actual = [(r, OrderSpec(r.purpose, r.leg, r.side, r.type, r.price, r.trigger_price, r.quantity - r.filled_qty)) for r in active]
|
||||
to_cancel, to_place = diff_orders(desired, actual)
|
||||
|
||||
entries = [d for d in to_place if d.purpose == "entry"]
|
||||
if entries:
|
||||
# 保证金模式和杠杆在有挂单时不能改，必须在挂任何单之前设好
|
||||
await self.ensure_symbol_setup(client, plan.symbol)
|
||||
# 1. 止损先挂新的再撤旧的（只减仓止损可以并存），任何时候都不留无保护窗口
|
||||
for spec in [d for d in to_place if d.purpose == "stop"]:
|
||||
error = await self.place(session, client, plan.symbol, plan.id, "stop", spec)
|
||||
if error is not None:
|
||||
await self.stop_failed(session, plan, error)
|
||||
return
|
||||
self.stop_failures.pop(plan.symbol, None)
|
||||
# 2. 撤多余的单
|
||||
canceled_entry = False
|
||||
for row in to_cancel:
|
||||
await self.cancel(client, row)
|
||||
canceled_entry = canceled_entry or row.purpose == "entry"
|
||||
# 3. 补止盈；入场单只在本轮没有撤旧入场单、且止损在场时挂
|
||||
has_stop = any(r.purpose == "stop" for r in active if r not in to_cancel) or any(d.purpose == "stop" for d in to_place)
|
||||
for spec in [d for d in to_place if d.purpose == "tp"]:
|
||||
await self.place(session, client, plan.symbol, plan.id, "tp", spec)
|
||||
if entries and has_stop and not canceled_entry and not block_entries:
|
||||
for spec in entries:
|
||||
await self.place(session, client, plan.symbol, plan.id, "entry", spec)
|
||||
|
||||
async def stop_failed(self, session: AsyncSession, plan: TradingAnalysis, error: ExchangeError) -> None:
|
||||
"""会立即触发（-2021）或不可重试的错误：撤单平仓；可重试的错误连续失败多次后同样处理"""
|
||||
if error.retryable or error.status is None:
|
||||
count = self.stop_failures[plan.symbol] = self.stop_failures.get(plan.symbol, 0) + 1
|
||||
if count < STOP_FAILURE_LIMIT:
|
||||
await self.report(session, plan.symbol, f"挂止损失败（第 {count} 次），下一轮重试：{error}", "warn", plan.id)
|
||||
return
|
||||
self.stop_failures.pop(plan.symbol, None)
|
||||
reason = "止损价已越过现价" if error.code == -2021 else f"挂止损失败：{error}"
|
||||
session.add(TradingEvent(symbol=plan.symbol, analysis_id=plan.id, kind="stop_failed", level="error", message=reason))
|
||||
await self.start_closing(session, plan, "stop_failed")
|
||||
|
||||
# ---------- 主循环 ----------
|
||||
|
||||
async def tick(self) -> None:
|
||||
async with SessionLocal() as session:
|
||||
account = await session.get(TradingAccount, 1)
|
||||
symbols = list((await session.scalars(select(TradingSymbol))).all())
|
||||
client = await self.ensure_client(account)
|
||||
if client is None or not symbols:
|
||||
return
|
||||
positions = {}
|
||||
for p in await client.request("GET", "/fapi/v3/positionRisk"):
|
||||
amount = Decimal(p["positionAmt"])
|
||||
if amount != 0:
|
||||
positions[p["symbol"]] = Position(
|
||||
side="long" if amount > 0 else "short", qty=abs(amount), entry=Decimal(p["entryPrice"]),
|
||||
break_even=Decimal(p["breakEvenPrice"]), mark=Decimal(p["markPrice"]),
|
||||
)
|
||||
for symbol in symbols:
|
||||
try:
|
||||
await self.reconcile(session, client, symbol, account.running, positions.get(symbol.symbol))
|
||||
except ExchangeError as e:
|
||||
await session.rollback()
|
||||
await self.report(session, symbol.symbol, f"对账失败：{e}")
|
||||
await session.commit()
|
||||
except Exception as e:
|
||||
logger.exception("%s 对账出错", symbol.symbol)
|
||||
await session.rollback()
|
||||
await self.report(session, symbol.symbol, f"对账出错：{e!r}")
|
||||
await session.commit()
|
||||
|
||||
|
||||
async def executor_loop() -> None:
|
||||
executor = Executor()
|
||||
while True:
|
||||
try:
|
||||
await executor.tick()
|
||||
except ExchangeError as e:
|
||||
logger.warning("执行器同步失败：%s", e)
|
||||
except Exception:
|
||||
logger.exception("执行器出错，稍后重试")
|
||||
await asyncio.sleep(EXECUTOR_SECONDS)
|
||||
Reference in new issue
Block a user