Place limit entries as soon as a demo plan is adopted (plan 3.2)
- The model gives a zone and a limit price inside it (below the mark for longs, above for shorts); the executor places the GTC limit order with the reduce-only stop right away instead of waiting for a 5m confirmation and entering at market, so entries pay maker fees - Stop beyond the far edge of the zone by 0.5 x ATR14(5m), computed with the quantity at submission and rejected above 1% - Unfilled limits are cancelled at expiry; a rejected entry cancels the plan instead of being retried every round
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@@ -1,6 +1,7 @@
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"""交易计划的纯计算：模型提交的待确认入场、校验、5m 确认扫描、触发时的止损与仓位、止盈阶梯。
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"""交易计划的纯计算：模型提交的区间和限价、校验、止损与仓位、止盈阶梯、应有订单。
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只做短线做波动：模型划出区间和确认价，程序在 5m 收盘确认后市价入场，止损和止盈由程序按固定规则计算。
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只做短线做波动：模型划出支撑区（压力区）并给出区内的限价，采纳后立即挂限价单（maker 手续费）；
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止损放在区间远端外，与入场单一起挂；止盈按成交均价的固定比例。
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下方常量与 main/README 的数字重复，并写进了分析器的提示词；改 README 时要同步修改。
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"""
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@@ -18,12 +19,12 @@ DAILY_ANALYSIS_LIMIT = 60
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RISK_PCT = Decimal("0.01")
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LOW_CONFIDENCE_FACTOR = Decimal("0.5")
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MAX_LEVERAGE = 3
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# 待确认入场的最长有效小时数；成交后的最长持仓小时数
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# 限价单的最长有效小时数；首次成交后的最长持仓小时数
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SETUP_VALID_HOURS = 2
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MAX_HOLD_HOURS = 4
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CONFIRM_INTERVAL = "5m"
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ATR_INTERVAL = "5m"
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ATR_PERIOD = 14
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# 止损放在确认过程的极值外 STOP_ATR_FACTOR × ATR14(5m)；离现价超过 MAX_STOP_PCT 就放弃这次入场
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# 止损放在区间远端外 STOP_ATR_FACTOR × ATR14(5m)；离挂单价超过 MAX_STOP_PCT 的计划不做
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STOP_ATR_FACTOR = Decimal("0.5")
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MAX_STOP_PCT = Decimal("0.01")
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# 止盈阶梯：（距成交均价的涨跌幅，平仓比例）。牛市里空单不恋战，第一档就平掉大部分
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@@ -32,7 +33,7 @@ TAKE_PROFIT_STEPS: dict[str, tuple[tuple[Decimal, Decimal], ...]] = {
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"short": ((Decimal("0.005"), Decimal("0.8")), (Decimal("0.0075"), Decimal("0.2"))),
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}
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MAX_REEVALUATE = 4
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# 入场（市价）和止损都按吃单手续费估算（C1 实测 taker 0.04%）
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# 风险按吃单手续费保守估算（C1 实测 taker 0.04%；限价入场实际是 maker 0.02%）
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TAKER_FEE_RATE = Decimal("0.0004")
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# 例行分析周期：跟 1h 收盘
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ROUTINE_HOURS = 1
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@@ -55,18 +56,18 @@ class Condition(BaseModel):
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class Setup(BaseModel):
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zone_low: Price
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zone_high: Price
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confirm_price: Annotated[Decimal, Field(gt=0, description=(
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"做多：不低于 zone_high，进区后 5m 收盘 ≥ 此价入场；做空：不高于 zone_low，进区后 5m 收盘 ≤ 此价入场"
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entry_price: Annotated[Decimal, Field(gt=0, description=(
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"限价单价格，须在区间内：做多低于现价，等价格回落成交；做空高于现价，等价格反弹成交"
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))]
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basis: Annotated[str, Field(description="区间和确认价的依据：对应的支撑区或压力区、周期、触碰次数")]
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basis: Annotated[str, Field(description="区间和挂单价的依据：对应的支撑区或压力区、周期、触碰次数")]
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class TradePlan(BaseModel):
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"""submit_trade_plan 的参数"""
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action: Annotated[Literal["plan", "keep", "exit", "wait"], Field(description=(
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"plan：给出新的待确认入场（替换当前未触发的计划，仅在没有持仓时）；keep：当前计划或持仓不变；"
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"exit：结束当前计划，有持仓则市价平仓；wait：观望，不给计划（仅在没有持仓和当前计划时）"
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"plan：给出新的限价计划（替换当前未成交的计划，仅在没有持仓时）；keep：当前计划或持仓不变；"
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"exit：结束当前计划，撤销未成交的限价单，有持仓则市价平仓；wait：观望，不给计划（仅在没有持仓和当前计划时）"
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))]
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summary: Annotated[str, Field(description="一句话结论，含方向和置信度")]
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reasons: Annotated[str, Field(description="依据要点：新闻、结构、衍生品，引用新闻写 [新闻 id]")]
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@@ -76,8 +77,8 @@ class TradePlan(BaseModel):
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))] = []
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direction: Direction | None = None
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confidence: Literal["high", "medium", "low"] | None = None
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setup: Annotated[Setup | None, Field(description="待确认入场：做多为支撑区，做空为压力区")] = None
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valid_hours: Annotated[Decimal | None, Field(gt=0, description=f"有效小时数（≤ {SETUP_VALID_HOURS}），到期未触发则作废")] = None
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setup: Annotated[Setup | None, Field(description="做多为支撑区，做空为压力区，以及区内的挂单价")] = None
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valid_hours: Annotated[Decimal | None, Field(gt=0, description=f"限价单有效小时数（≤ {SETUP_VALID_HOURS}），到期未成交则撤单")] = None
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@dataclass
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@@ -95,7 +96,7 @@ class PlanContext:
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# 交易列表中其他币的持仓名义价值合计
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other_notional: Decimal
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rules: SymbolRules
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# 最近已收盘 5m K 线的 ATR14，用于预估止损
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# 最近已收盘 5m K 线的 ATR14，用于计算止损
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atr: Decimal
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has_plan: bool
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position_side: Direction | None
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@@ -111,14 +112,6 @@ class Bar:
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close: Decimal
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@dataclass(frozen=True)
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class SetupScan:
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state: Literal["waiting", "triggered", "broken", "missed"]
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bar: Bar | None = None
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# 进区以来的极值：做多为最低价，做空为最高价
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extreme: Decimal | None = None
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class PlanError(Exception):
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"""计划不通过校验；errors 逐条返回给模型修正"""
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@@ -152,46 +145,22 @@ def atr(bars: list[Bar], period: int = ATR_PERIOD) -> Decimal:
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return sum(ranges, Decimal(0)) / period
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def scan_setup(direction: Direction, setup: dict, bars: list[Bar], after_ms: int, now_ms: int) -> SetupScan:
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"""按计划生效后收盘的 5m K 线判断待确认入场（按时间顺序，先发生的为准）：
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- 做多：某根最低价进入区间（≤ zone_high）后，出现收盘 ≥ 确认价（可以是同一根）→ 触发；
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在此之前任何一根收盘 < zone_low → 支撑破位。做空镜像。
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- 触发的那根不是最新一根已收盘 K 线（如程序停过）→ missed，不补做。
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"""
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zone_low, zone_high, confirm = (Decimal(setup[k]) for k in ("zone_low", "zone_high", "confirm_price"))
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closed = [b for b in bars if after_ms <= b.close_time < now_ms]
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long = direction == "long"
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extreme: Decimal | None = None
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for i, bar in enumerate(closed):
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if (bar.close < zone_low) if long else (bar.close > zone_high):
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return SetupScan("broken", bar)
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if extreme is None and ((bar.low <= zone_high) if long else (bar.high >= zone_low)):
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extreme = bar.low if long else bar.high
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if extreme is None:
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continue
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extreme = min(extreme, bar.low) if long else max(extreme, bar.high)
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if (bar.close >= confirm) if long else (bar.close <= confirm):
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return SetupScan("triggered" if i == len(closed) - 1 else "missed", bar, extreme)
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return SetupScan("waiting")
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def setup_stop(direction: Direction, extreme: Decimal, atr_value: Decimal, tick: Decimal) -> Decimal:
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"""止损 = 极值外 STOP_ATR_FACTOR × ATR，向远离现价的方向取整"""
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def setup_stop(direction: Direction, far_edge: Decimal, atr_value: Decimal, tick: Decimal) -> Decimal:
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"""止损 = 区间远端外 STOP_ATR_FACTOR × ATR，向远离入场的方向取整"""
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if direction == "long":
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return round_to_step(extreme - STOP_ATR_FACTOR * atr_value, tick, ROUND_FLOOR)
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return round_to_step(extreme + STOP_ATR_FACTOR * atr_value, tick, ROUND_CEILING)
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return round_to_step(far_edge - STOP_ATR_FACTOR * atr_value, tick, ROUND_FLOOR)
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return round_to_step(far_edge + STOP_ATR_FACTOR * atr_value, tick, ROUND_CEILING)
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def size_entry(direction: Direction, price: Decimal, stop: Decimal, *, capital: Decimal, other_notional: Decimal,
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confidence: str, rules: SymbolRules) -> dict:
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"""按估计入场价和止损算数量：单笔风险上限与全账户杠杆取小。止损离现价太远、方向不对或数量不足时抛 PlanError"""
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"""按入场价和止损算数量：单笔风险上限与全账户杠杆取小。止损离入场价太远、方向不对或数量不足时抛 PlanError"""
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sign = 1 if direction == "long" else -1
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stop_pct = sign * (price - stop) / price
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if stop_pct <= 0:
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raise PlanError([f"止损 {stop} 已越过现价 {price}"])
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raise PlanError([f"止损 {stop} 不在入场价 {price} 的亏损一侧"])
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if stop_pct > MAX_STOP_PCT:
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raise PlanError([f"止损 {stop} 距现价 {price} {stop_pct * 100:.2f}%，超过 {MAX_STOP_PCT * 100:.0f}%"])
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raise PlanError([f"止损 {stop} 距入场价 {price} {stop_pct * 100:.2f}%，超过 {MAX_STOP_PCT * 100:.0f}%"])
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unit_loss = abs(price - stop) + (price + stop) * TAKER_FEE_RATE
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risk_amount = capital * RISK_PCT * (LOW_CONFIDENCE_FACTOR if confidence == "low" else 1)
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max_notional = capital * MAX_LEVERAGE - other_notional
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@@ -247,7 +216,7 @@ def check_action(plan: TradePlan, ctx: PlanContext) -> list[str]:
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def check_setup(plan: TradePlan, ctx: PlanContext) -> dict:
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"""校验计划；action=plan 时返回待确认入场和预估（按确认价入场、止损放在区间远端外）。不通过时抛 PlanError"""
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"""校验计划；action=plan 时算出限价、止损和数量。不通过时抛 PlanError"""
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errors = check_action(plan, ctx)
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if plan.action != "plan":
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if errors:
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@@ -256,36 +225,35 @@ def check_setup(plan: TradePlan, ctx: PlanContext) -> dict:
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missing = [name for name in ("direction", "confidence", "setup", "valid_hours") if getattr(plan, name) is None]
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if missing:
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raise PlanError([*errors, f"action=plan 时缺少：{', '.join(missing)}"])
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direction, setup, mark = plan.direction, plan.setup, ctx.mark_price
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direction, setup, mark, rules = plan.direction, plan.setup, ctx.mark_price, ctx.rules
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long = direction == "long"
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# 向保守方向取整：做多的挂单价向下、做空向上
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entry = round_to_step(setup.entry_price, rules.tick_size, ROUND_FLOOR if long else ROUND_CEILING)
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if setup.zone_low >= setup.zone_high:
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errors.append(f"区间下沿 {setup.zone_low} 须低于上沿 {setup.zone_high}")
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# 确认 = 进区后收盘回到区间外侧；确认价在区间内会让刚碰到区间边缘、没有真正回落或收回的 K 线也触发
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if long and setup.confirm_price < setup.zone_high:
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errors.append(f"做多的确认价 {setup.confirm_price} 须不低于区间上沿 {setup.zone_high}（进区后收盘回到区间上方才算确认）")
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if not long and setup.confirm_price > setup.zone_low:
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errors.append(f"做空的确认价 {setup.confirm_price} 须不高于区间下沿 {setup.zone_low}（进区后收盘回到区间下方才算确认）")
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if long and mark < setup.zone_low:
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errors.append(f"现价 {mark} 已跌破区间下沿 {setup.zone_low}，支撑已破")
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if not long and mark > setup.zone_high:
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errors.append(f"现价 {mark} 已突破区间上沿 {setup.zone_high}，压力已破")
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if not setup.zone_low <= entry <= setup.zone_high:
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errors.append(f"挂单价 {entry} 须在区间 {setup.zone_low}–{setup.zone_high} 内")
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# 限价单要挂在现价下方（做空在上方）等价格过来，否则会立即按市价成交，付吃单手续费
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if long and entry >= mark:
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errors.append(f"做多的挂单价 {entry} 须低于现价 {mark}")
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if not long and entry <= mark:
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errors.append(f"做空的挂单价 {entry} 须高于现价 {mark}")
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if plan.valid_hours > SETUP_VALID_HOURS:
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errors.append(f"valid_hours 不能超过 {SETUP_VALID_HOURS}")
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if errors:
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raise PlanError(errors)
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far_edge = setup.zone_low if long else setup.zone_high
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stop = setup_stop(direction, far_edge, ctx.atr, ctx.rules.tick_size)
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stop = setup_stop(direction, setup.zone_low if long else setup.zone_high, ctx.atr, rules.tick_size)
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try:
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estimate = size_entry(direction, setup.confirm_price, stop, capital=ctx.capital, other_notional=ctx.other_notional,
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confidence=plan.confidence, rules=ctx.rules)
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sizing = size_entry(direction, entry, stop, capital=ctx.capital, other_notional=ctx.other_notional,
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confidence=plan.confidence, rules=rules)
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except PlanError as e:
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raise PlanError([f"按确认价入场、止损放在区间{'下沿' if long else '上沿'}外 {STOP_ATR_FACTOR}×ATR(5m)={stop} 估算：{e}。"
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"区间太宽或离确认价太远，触发后也会被放弃，请收窄区间或调整确认价"]) from e
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raise PlanError([f"止损放在区间{'下沿' if long else '上沿'}外 {STOP_ATR_FACTOR}×ATR(5m)={stop}：{e}。"
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"区间太宽或挂单价离区间远端太远，请收窄区间或调整挂单价"]) from e
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return {
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"direction": direction,
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"setup": {k: str(getattr(setup, k)) for k in ("zone_low", "zone_high", "confirm_price")},
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"estimate": estimate,
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"atr": str(ctx.atr.quantize(ctx.rules.tick_size)),
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"setup": {"zone_low": str(setup.zone_low), "zone_high": str(setup.zone_high)},
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"entry": sizing,
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"atr": str(ctx.atr.quantize(rules.tick_size)),
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# 执行器采纳前核对：持仓变了说明计划基于过时状态
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"position_qty": "0",
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}
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@@ -307,26 +275,25 @@ class OrderSpec:
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def desired_orders(
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sizing: dict, *, entry_sent: bool, entry_fill: tuple[Decimal, Decimal] | None, tp_filled: list[Decimal],
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sizing: dict, *, entries_open: bool, entry_filled: Decimal, entry_average: Decimal | None, tp_filled: list[Decimal],
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position_qty: Decimal, stop_price: Decimal, rules: SymbolRules,
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) -> list[OrderSpec]:
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"""已触发的计划在当前状态下应挂的单。
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"""计划在当前成交状态下应挂的单。
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- 入场：还没下过入场单时一张市价单；只下一次，被拒不重试。
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- 止损：有持仓或入场还没成交（未下单、已发出待成交）时一张只减仓止损，数量取计划数量与持仓的较大者（大于持仓时交易所只平实际持仓）。
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- 止盈：有持仓时按入场成交（数量，均价）排出阶梯，减去各档已成交。
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- 入场：entries_open 时一张限价单，数量为剩余未成交部分。
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- 止损：有持仓或有入场单时一张只减仓止损，数量取计划数量与持仓的较大者（大于持仓时交易所只平实际持仓）。
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- 止盈：有持仓时按已成交数量和成交均价排出阶梯，减去各档已成交。
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"""
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direction = sizing["direction"]
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open_side, close_side = ("BUY", "SELL") if direction == "long" else ("SELL", "BUY")
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quantity = Decimal(sizing["entry"]["quantity"])
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orders = []
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if not entry_sent:
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orders.append(OrderSpec("entry", 0, open_side, "MARKET", None, None, quantity))
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if position_qty > 0 or entry_fill is None:
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if entries_open and entry_filled < quantity:
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orders.append(OrderSpec("entry", 0, open_side, "LIMIT", Decimal(sizing["entry"]["price"]), None, quantity - entry_filled))
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if position_qty > 0 or orders:
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orders.append(OrderSpec("stop", None, close_side, "STOP_MARKET", None, stop_price, max(quantity, position_qty)))
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if position_qty > 0 and entry_fill is not None:
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filled, average = entry_fill
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for j, (price, target) in enumerate(take_profit_targets(direction, average, filled, rules)):
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if position_qty > 0 and entry_average is not None:
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for j, (price, target) in enumerate(take_profit_targets(direction, entry_average, entry_filled, rules)):
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remaining = target - tp_filled[j]
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if remaining > 0:
|
||||
orders.append(OrderSpec("tp", j, close_side, "LIMIT", price, None, remaining))
|
||||
|
||||
Reference in new issue
Block a user