Record news signals forward for a no-trade edge test
The trader labels crypto news published after 2026-10-16 15:00 with the configured model (category and BTC direction) and, four hours later, backfills BTC/ETH 1m opens at publish, +5m, +1h and +4h from the klines table. A drawer on the trading page shows the cumulative returns of trading the labelled direction, after fees. Nothing is traded; this only collects an out-of-sample record.
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"""新闻信号前向记录：给新进来的加密相关新闻打标签（类别、对 BTC 的方向），发布 4 小时后回填 BTC/ETH 的价格。
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研究（2026-10-16，见 CONTEXT.md）：事件新闻按模型标注方向持有 4 小时，样本内约 +15bp 但不显著，且模型可能记得那段行情。
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前向记录只看标注时还没发生的行情，用来确认或否定这条线索。只记录，不下单。
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"""
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import asyncio
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import logging
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import re
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from datetime import UTC, datetime, timedelta
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from sqlalchemy import func, select
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from sqlalchemy.dialects.postgresql import insert
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from alphapulse.ai import llm
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from alphapulse.ai.tools import LOCAL_TZ
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from alphapulse.core.db import SessionLocal
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from alphapulse.models import AiProvider, Kline, NewsItem, NewsSignal, TradingAccount
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logger = logging.getLogger("alphapulse.trading.news_signals")
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# 研究样本截止到 2026-10-16 14:15，之后发布的新闻才计入，两份样本互不重叠
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FORWARD_START = datetime(2026, 10, 16, 15, 0, tzinfo=LOCAL_TZ)
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CRYPTO_PATTERN = "比特币|加密货币|以太坊|加密市场|数字货币|稳定币|Coinbase|微策略|币安|BTC"
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SYMBOLS = ("BTCUSDT", "ETHUSDT")
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# 发布所在分钟之后第几分钟的 1m 开盘价：发布后第 5 分钟进场（抓取加分析约 1–3 分钟），持有 1h、4h
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OFFSETS = {"open": 0, "entry": 5, "1h": 65, "4h": 245}
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LOOP_SECONDS = 60
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BATCH = 40
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CATEGORIES = {"price_report", "event", "irrelevant"}
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DIRECTIONS = {"bullish", "bearish", "neutral"}
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SYSTEM = """你是加密货币新闻分类员。只根据给出的新闻文字判断，不要使用你对之后行情的任何记忆。
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对每条新闻给出：
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- category：price_report（只是在报道价格已经发生的涨跌，如「比特币跌破 78000 美元」「比特币日内涨超 4%」，包括概念股跟随币价的涨跌）；
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event（会影响币价的事件或信息，如机构增持/减持、ETF 资金流、监管政策、宏观政策对加密市场的影响、黑客攻击、交易所动态）；
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irrelevant（与 BTC/ETH 价格基本无关，如个别公司财报细节、分析师调整目标价、技术合作）。
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- direction：对 BTC 价格短期（几小时内）的影响，bullish / bearish / neutral。price_report 按它报道的涨跌方向填。
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用 label 工具一次提交全部结果，id 与输入一一对应。"""
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TOOL = llm.ToolSpec("label", "提交分类结果", {
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"type": "object",
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"properties": {"items": {"type": "array", "items": {
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"type": "object",
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"properties": {
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"id": {"type": "integer"},
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"category": {"type": "string", "enum": sorted(CATEGORIES)},
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"direction": {"type": "string", "enum": sorted(DIRECTIONS)},
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},
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"required": ["id", "category", "direction"],
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}}},
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"required": ["items"],
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})
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def news_text():
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"""快讯常常没有标题，取正文开头"""
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return func.coalesce(func.nullif(NewsItem.title, ""), func.left(NewsItem.content_text, 120))
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def clean(text: str) -> str:
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# 去掉「财联社10月7日电，」之类的日期前缀，减少模型联想到具体日期
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return re.sub(r"^(财联社)?\d{1,2}月\d{1,2}日电[，,]?", "", text).strip()[:200]
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async def label_new() -> int:
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"""给还没打标签的加密新闻打标签，返回本轮标注条数。模型漏掉的条目下一轮重试"""
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async with SessionLocal() as session:
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rows = (await session.execute(
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select(NewsItem.id, news_text()).outerjoin(NewsSignal, NewsSignal.news_id == NewsItem.id)
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.where(NewsSignal.news_id.is_(None), NewsItem.published_at >= FORWARD_START, news_text().op("~")(CRYPTO_PATTERN))
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.order_by(NewsItem.published_at).limit(BATCH)
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)).all()
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if not rows:
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return 0
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account = await session.get(TradingAccount, 1)
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provider = await session.get(AiProvider, account.provider_id) if account and account.provider_id else await session.scalar(
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select(AiProvider).where(AiProvider.is_default)
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)
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if provider is None:
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raise RuntimeError("没有可用的模型配置，无法给新闻打标签")
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session.expunge(provider)
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completion = None
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text = "\n".join(f"{news_id}\t{clean(t)}" for news_id, t in rows)
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async for item in llm.stream(provider, SYSTEM, [{"role": "user", "text": text}], [TOOL], "low"):
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if isinstance(item, llm.Completion):
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completion = item
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call = next((c for c in completion.tool_calls if c["name"] == "label"), None)
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if call is None:
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raise RuntimeError("模型没有调用 label 工具")
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ids = {news_id for news_id, _ in rows}
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values = [
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{"news_id": x["id"], "category": x["category"], "direction": x["direction"], "model": provider.model}
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for x in call["arguments"].get("items", [])
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if x.get("id") in ids and x.get("category") in CATEGORIES and x.get("direction") in DIRECTIONS
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]
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if len(values) < len(rows):
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logger.warning("新闻标签：%d 条中模型只返回了 %d 条有效结果，其余下一轮重试", len(rows), len(values))
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if values:
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async with SessionLocal() as session:
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await session.execute(insert(NewsSignal).values(values).on_conflict_do_nothing())
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await session.commit()
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return len(values)
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async def fill_prices() -> int:
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"""发布满 4 小时的信号回填价格，返回回填条数。1m K 线有缺口时留到下一轮"""
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cutoff = datetime.now(UTC) - timedelta(minutes=OFFSETS["4h"] + 2)
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filled = 0
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async with SessionLocal() as session:
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pending = (await session.execute(
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select(NewsSignal, NewsItem.published_at).join(NewsItem, NewsItem.id == NewsSignal.news_id)
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.where(NewsSignal.prices.is_(None), NewsItem.published_at <= cutoff)
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)).all()
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for signal, published_at in pending:
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minute = int(published_at.timestamp()) // 60 * 60_000
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times = {key: minute + offset * 60_000 for key, offset in OFFSETS.items()}
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prices = {}
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for symbol in SYMBOLS:
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opens = dict((await session.execute(
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select(Kline.open_time, Kline.open).where(
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Kline.market == "um", Kline.symbol == symbol, Kline.interval == "1m", Kline.open_time.in_(times.values()),
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)
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)).tuples().all())
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if len(opens) < len(times):
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break
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prices[symbol] = {key: str(opens[t]) for key, t in times.items()}
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else:
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signal.prices = prices
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filled += 1
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await session.commit()
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return filled
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async def news_signal_loop() -> None:
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while True:
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try:
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labeled = await label_new()
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filled = await fill_prices()
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if labeled or filled:
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logger.info("新闻信号：标注 %d 条，回填价格 %d 条", labeled, filled)
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except Exception:
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logger.exception("新闻信号记录出错，稍后重试")
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await asyncio.sleep(LOOP_SECONDS)
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