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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@@ -1,4 +1,4 @@
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"""模拟盘分析器：为一个币调用模型，划出经程序校验、由执行器在 5m 收盘确认后自动入场的短线计划。
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"""模拟盘分析器：为一个币调用模型，划出经程序校验、由执行器立即挂限价单执行的短线计划。
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只开放只读工具和 submit_trade_plan；行情预先取好放进用户消息，减少工具往返。
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"""
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@@ -48,31 +48,28 @@ def _ladder(direction: str) -> str:
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return f"{' / '.join(sign + _pct(p) for p, _ in steps)} 分别平 {' / '.join(_pct(r) for _, r in steps)}"
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INSTRUCTIONS = f"""你是 AlphaPulse 的模拟盘交易分析器：为一个币种划出短线「待确认入场」，由程序在 5m 收盘确认后自动入场并管理持仓。
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INSTRUCTIONS = f"""你是 AlphaPulse 的模拟盘交易分析器：为一个币种划出短线计划（区间 + 区内的挂单价），由程序立即挂限价单并管理持仓。
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## 任务
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- 下方 Skills 是交易规范。以下几处按本节执行，与 Skills 冲突时以本节为准：
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- main/README 第 8 节的输出表格不适用：用简短中文写出结论、所用的区间、依据（新闻、结构、衍生品）和风险；数字只通过 submit_trade_plan 提交。
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- main/README 第 9 节不适用：没有 CONTEXT.md，不要写。之前的结论见用户消息里的「最近决策」，要按实时数据复核，不直接沿用旧点位。
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- 数量、止损、止盈由程序计算，你只给方向、区间、确认价、有效期和置信度。
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- 数量、止损、止盈由程序计算，你只给方向、区间、挂单价、有效期和置信度。
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- 用户消息里已预先取好实盘行情（ticker、{' / '.join(KLINE_INTERVALS)} K 线、衍生品），不要用相同参数重复调用；需要其他周期或其他币时再调用。
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- 新闻没有预取，必须用 search_news 检索相关新闻，并查清有效期和持仓时限内的重大数据及公布时间。
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- 最后必须调用一次 submit_trade_plan。校验不通过会返回原因，按原因修正后重新提交。
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## 程序如何执行
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- 待确认入场（action=plan）：程序在每根 5m K 线收盘时检查，只看计划生效后收盘的 K 线，交易所上不预挂入场单。
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- 做多：某根 5m 的最低价进入区间（≤ zone_high）之后，出现一根收盘 ≥ confirm_price（可以是同一根）→ 立即市价做多。在此之前若有 5m 收盘 < zone_low，视为支撑破位，计划撤销并重新请你分析。
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- 做空：某根 5m 的最高价进入区间（≥ zone_low）之后，出现一根收盘 ≤ confirm_price → 立即市价做空。在此之前若有 5m 收盘 > zone_high，视为压力突破，撤销。
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- 到 valid_hours 仍未触发则作废，并重新请你分析。
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- 止损：触发时由程序计算，放在进区以来的最低价（做空为最高价）外 {rules.STOP_ATR_FACTOR}×ATR14(5m)，在市价入场前挂到交易所（按标记价触发）。止损距现价超过 {_pct(rules.MAX_STOP_PCT)} 就放弃这次入场。
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- 止盈：按成交均价，做多 {_ladder("long")}；做空 {_ladder("short")}。止盈 1 成交后止损移到保本价。
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- 持仓最长 {rules.MAX_HOLD_HOURS} 小时，到时市价平仓。平仓后程序会请你重新分析。
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- 计划（action=plan）被采纳后，程序立即在 entry_price 挂限价单（maker 手续费），同时在交易所挂只减仓止损（按标记价触发）。到 valid_hours 仍未成交则撤单，并重新请你分析。
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- 止损：区间远端外 {rules.STOP_ATR_FACTOR}×ATR14(5m)，做多放在 zone_low 下方，做空放在 zone_high 上方。
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- 止盈：按成交均价，做多 {_ladder("long")}；做空 {_ladder("short")}。止盈 1 成交后撤销未成交的入场部分，止损移到保本价。
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- 首次成交后最长持仓 {rules.MAX_HOLD_HOURS} 小时，到时市价平仓。平仓后程序会请你重新分析。
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- 仓位：单笔风险为交易资金的 {_pct(rules.RISK_PCT)}，置信度低时减半；名义仓位合计不超过 {rules.MAX_LEVERAGE} 倍交易资金。
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- reevaluate：任一条件满足时程序重新请你分析（最多 {rules.MAX_REEVALUATE} 个），用来表达另一侧方向、需要重新划区的位置。
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## 程序的硬性校验
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- zone_low < zone_high。做多：confirm_price ≥ zone_high，现价 ≥ zone_low；做空：confirm_price ≤ zone_low，现价 ≤ zone_high。确认就是「进区后收盘回到区间外侧」。
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- 按确认价入场、止损放在区间远端外 {rules.STOP_ATR_FACTOR}×ATR 估算：止损距离不超过 {_pct(rules.MAX_STOP_PCT)}，数量不低于交易所最小下单金额。
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- zone_low < zone_high，entry_price 在区间内。做多 entry_price 低于现价，做空高于现价（限价单要等价格过来，不能一挂就成交）。
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- 止损距挂单价不超过 {_pct(rules.MAX_STOP_PCT)}，数量不低于交易所最小下单金额。
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- valid_hours ≤ {rules.SETUP_VALID_HOURS}。
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## 有持仓时
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@@ -106,13 +103,13 @@ def plan_brief(decision: dict, sizing: dict | None) -> dict:
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brief = {k: decision.get(k) for k in ("action", "summary", "direction", "confidence", "setup", "valid_hours")}
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brief["reevaluate"] = [{k: c[k] for k in ("direction", "price", "timeframe")} for c in decision.get("reevaluate") or []]
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if sizing and "entry" in sizing:
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brief["entry"] = {k: sizing["entry"][k] for k in ("triggered_at", "price", "stop", "quantity", "risk_at_stop")}
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brief["entry"] = {k: sizing["entry"].get(k) for k in ("price", "stop", "quantity", "risk_at_stop")}
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return brief
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async def confirm_atr(symbol: str) -> Decimal:
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"""最近已收盘 5m K 线的 ATR14，用于预估止损"""
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bars = parse_bars(await market_client.get("um", "klines", {"symbol": symbol, "interval": rules.CONFIRM_INTERVAL, "limit": rules.ATR_PERIOD + 2}))
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async def recent_atr(symbol: str) -> Decimal:
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"""最近已收盘 5m K 线的 ATR14，用于计算止损"""
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bars = parse_bars(await market_client.get("um", "klines", {"symbol": symbol, "interval": rules.ATR_INTERVAL, "limit": rules.ATR_PERIOD + 2}))
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now_ms = datetime.now(UTC).timestamp() * 1000
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return atr([b for b in bars if b.close_time < now_ms])
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@@ -179,7 +176,7 @@ async def prepare(symbol: str, reasons: list[str], analysis_id: int) -> Prepared
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symbol_rules_ = await symbol_rules(symbol)
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mark = await mark_price(symbol)
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context = PlanContext(
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mark_price=mark, capital=capital, other_notional=other_notional, rules=symbol_rules_, atr=await confirm_atr(symbol),
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mark_price=mark, capital=capital, other_notional=other_notional, rules=symbol_rules_, atr=await recent_atr(symbol),
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has_plan=current is not None, position_side=position_side(snapshot, symbol),
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)
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@@ -239,11 +236,11 @@ def describe(plan: TradePlan, sizing: dict, dry_run: bool) -> str:
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prefix = "试运行" if dry_run else ""
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if plan.action != "plan":
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return f"{prefix}{ACTION_LABELS[plan.action]}：{plan.summary}"
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setup, estimate = sizing["setup"], sizing["estimate"]
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setup, entry = sizing["setup"], sizing["entry"]
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return (
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f"{prefix}待确认入场：{DIRECTION_LABELS[plan.direction]}，置信度{CONFIDENCE_LABELS[plan.confidence]}；"
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f"区间 {setup['zone_low']}–{setup['zone_high']}，5m 收盘{'≥' if plan.direction == 'long' else '≤'} {setup['confirm_price']} 入场，"
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f"有效 {plan.valid_hours} 小时；按确认价预估止损 {estimate['stop']}（{estimate['stop_pct']}%）、数量 {estimate['quantity']}。{plan.summary}"
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f"{prefix}计划：限价{DIRECTION_LABELS[plan.direction]} {entry['price']} × {entry['quantity']}，置信度{CONFIDENCE_LABELS[plan.confidence]}；"
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f"区间 {setup['zone_low']}–{setup['zone_high']}，止损 {entry['stop']}（{entry['stop_pct']}%），止损亏损 {entry['risk_at_stop']} USDT，"
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f"有效 {plan.valid_hours} 小时。{plan.summary}"
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)
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@@ -254,7 +251,7 @@ async def submit(prepared: Prepared, symbol: str, analysis_id: int, arguments: d
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return dump({"error": "参数无效", "details": e.errors(include_url=False)}), None
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# 分析可能持续几分钟，按提交时的标记价、持仓和 ATR 校验
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prepared.context.mark_price = await mark_price(symbol)
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prepared.context.atr = await confirm_atr(symbol)
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prepared.context.atr = await recent_atr(symbol)
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snapshot = await read_snapshot()
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if snapshot:
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prepared.context.position_side = position_side(snapshot, symbol)
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@@ -2,8 +2,8 @@
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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. 采纳分析器提交的待确认入场（有持仓或当前计划已触发时作废）。
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3. 推进计划状态，执行程序规则：5m 收盘确认入场、破位撤销、到期、时间止损、复核条件、无计划持仓。
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2. 采纳分析器提交的限价计划（有持仓时作废）。
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3. 推进计划状态，执行程序规则：限价单到期、时间止损、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下新入场单）。
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"""
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@@ -24,8 +24,7 @@ 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 (
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CONFIRM_INTERVAL, MAX_HOLD_HOURS, TAKE_PROFIT_STEPS, Bar, OrderSpec, PlanError, SymbolRules, atr, condition_met, desired_orders,
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diff_orders, parse_bars, round_to_step, scan_setup, setup_stop, size_entry,
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MAX_HOLD_HOURS, TAKE_PROFIT_STEPS, OrderSpec, SymbolRules, condition_met, desired_orders, diff_orders, round_to_step,
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)
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from alphapulse.trading.schedule import request_analysis
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@@ -40,15 +39,12 @@ SUBMIT_GRACE_SECONDS = 10
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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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# 每次取的 5m K 线根数：覆盖待确认入场的最长有效期（24 根）和 ATR14
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CONFIRM_BARS = 40
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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", "exit": "模型决定结束",
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"external": "外部平仓（如在网页手动平仓）", "stop_failed": "止损挂单失败", "close": "市价平仓"}
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CANCEL_REASON_LABELS = {"expired": "到期未触发", "stopped": "已停止交易", "broken": "区间被突破", "missed": "错过确认",
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"skipped": "放弃入场", "entry_failed": "入场失败"}
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CANCEL_REASON_LABELS = {"expired": "限价单到期未成交", "stopped": "已停止交易", "entry_failed": "入场单被拒"}
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@dataclass
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@@ -80,8 +76,6 @@ class Executor:
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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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# symbol -> (下一根收盘时间 ms, 最近的 5m K 线)
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self.bars_cache: dict[str, tuple[int, list[Bar]]] = {}
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# 已提示过的无计划持仓：symbol -> 持仓均价，同一笔持仓只提示一次
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self.unmanaged_noticed: dict[str, Decimal] = {}
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@@ -122,16 +116,6 @@ class Executor:
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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 confirm_bars(self, symbol: str) -> list[Bar]:
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"""实盘最近的 5m K 线（最后一根可能未收盘），缓存到下一根收盘"""
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now_ms = int(time.time() * 1000)
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cached = self.bars_cache.get(symbol)
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if cached and now_ms < cached[0]:
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return cached[1]
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bars = parse_bars(await self.market.get("um", "klines", {"symbol": symbol, "interval": CONFIRM_INTERVAL, "limit": CONFIRM_BARS}))
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self.bars_cache[symbol] = (bars[-1].close_time + 1, bars)
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return bars
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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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@@ -276,11 +260,11 @@ class Executor:
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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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# 分析期间可能已经入场：持仓中或已触发的计划不能被替换（持仓由程序管理，平仓后会重新分析）
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# 分析期间可能已经成交：持仓由程序管理，不能被新计划替换（平仓后会重新分析）
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qty = position.qty if position else Decimal(0)
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if qty > 0 or (current is not None and (current.plan_status != "pending" or "entry" in current.sizing)):
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if qty > 0 or (current is not None and current.plan_status != "pending"):
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proposal.plan_status = "stale"
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reason = f"已有持仓 {fmt(qty)}" if qty > 0 else ("计划正在平仓" if current.plan_status == "closing" else "当前计划已触发入场")
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reason = f"已有持仓 {fmt(qty)}" if qty > 0 else "计划正在平仓"
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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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return current
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@@ -288,12 +272,12 @@ class Executor:
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current.plan_status, current.close_reason, current.closed_at = "replaced", "replaced", now
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proposal.plan_status = "pending"
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proposal.valid_until = now + timedelta(hours=float(proposal.decision["valid_hours"]))
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setup = proposal.sizing["setup"]
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entry = proposal.sizing["entry"]
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side = "做多" if proposal.sizing["direction"] == "long" else "做空"
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session.add(TradingEvent(
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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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+ f"：等待 5m 确认{side}（区间 {setup['zone_low']}–{setup['zone_high']}，确认价 {setup['confirm_price']}），"
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+ f"：限价{side} {entry['price']} × {entry['quantity']}，止损 {entry['stop']}（{entry['stop_pct']}%），"
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f"有效至 {proposal.valid_until.astimezone(LOCAL_TZ).strftime('%H:%M')}",
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))
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return proposal
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@@ -345,8 +329,7 @@ class Executor:
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# ---------- 对账 ----------
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async def reconcile(self, session: AsyncSession, client: DemoClient, symbol: TradingSymbol, running: bool, position: Position | None,
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other_notional: Decimal) -> None:
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async def reconcile(self, session: AsyncSession, client: DemoClient, symbol: TradingSymbol, running: bool, position: Position | None) -> None:
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name = symbol.symbol
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rules = await symbol_rules(name)
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open_orders = {o["clientOrderId"]: o for o in await client.request("GET", "/fapi/v1/openOrders", {"symbol": name})}
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@@ -404,21 +387,20 @@ class Executor:
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if plan.plan_status == "pending":
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entry_rows = [r for r in plan_rows if r.purpose == "entry"]
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# 入场成交后持仓可能已被止损或手动平掉：照样转入持仓，下一轮按持仓归零结束
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rejected = next((r for r in entry_rows if r.status in ("rejected", "failed")), None)
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# 成交后持仓可能已被止损或手动平掉：照样转入持仓，下一轮按持仓归零结束
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if qty > 0 or any(r.filled_qty > 0 for r in entry_rows):
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plan.plan_status, plan.first_fill_at = "open", now
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||||
plan.close_deadline = now + timedelta(hours=MAX_HOLD_HOURS)
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session.add(TradingEvent(symbol=name, analysis_id=plan.id, kind="plan_open",
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||||
message=f"入场成交，计划 #{plan.id} 进入持仓；最晚 {plan.close_deadline.astimezone(LOCAL_TZ).strftime('%m-%d %H:%M')} 平仓"))
|
||||
elif "entry" in plan.sizing:
|
||||
if entry_rows and all(r.status not in ACTIVE_ORDER_STATUSES for r in entry_rows):
|
||||
await self.cancel_plan(session, plan, "entry_failed", f"市价入场失败：{entry_rows[-1].error or entry_rows[-1].status}", "error")
|
||||
message=f"限价单成交，计划 #{plan.id} 进入持仓；最晚 {plan.close_deadline.astimezone(LOCAL_TZ).strftime('%m-%d %H:%M')} 平仓"))
|
||||
elif not running:
|
||||
await self.cancel_plan(session, plan, "stopped", "已停止交易")
|
||||
await self.cancel_plan(session, plan, "stopped", "已停止交易，撤销未成交的限价单")
|
||||
elif now >= plan.valid_until:
|
||||
await self.cancel_plan(session, plan, "expired", "到期未触发")
|
||||
else:
|
||||
await self.check_setup(session, client, plan, rules, other_notional)
|
||||
await self.cancel_plan(session, plan, "expired", "限价单到期未成交")
|
||||
elif rejected:
|
||||
# 被拒后不重挂，免得每轮重复下同一张会被拒的单
|
||||
await self.cancel_plan(session, plan, "entry_failed", f"限价单被拒：{rejected.error or rejected.status}", "error")
|
||||
elif plan.plan_status == "open":
|
||||
if qty == 0:
|
||||
await self.finish(session, client, plan, plan_rows)
|
||||
@@ -429,7 +411,7 @@ class Executor:
|
||||
await session.commit()
|
||||
|
||||
if plan.plan_status in LIVE_PLAN_STATUSES:
|
||||
await self.sync_orders(session, client, plan, plan_rows, position, rules, stale_entry_canceled)
|
||||
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:
|
||||
@@ -442,49 +424,6 @@ class Executor:
|
||||
await self.check_reevaluate(session, name, position.mark if position else None)
|
||||
await session.commit()
|
||||
|
||||
async def check_setup(self, session: AsyncSession, client: DemoClient, plan: TradingAnalysis, rules: SymbolRules, other_notional: Decimal) -> None:
|
||||
"""待确认入场：5m 收盘确认后算止损和数量，写入 sizing.entry，由 sync_orders 先挂止损再市价入场。
|
||||
other_notional：交易列表中其他币的持仓名义价值"""
|
||||
now_ms = int(time.time() * 1000)
|
||||
bars = await self.confirm_bars(plan.symbol)
|
||||
sizing = plan.sizing
|
||||
direction, setup = sizing["direction"], sizing["setup"]
|
||||
scan = scan_setup(direction, setup, bars, int(plan.finished_at.timestamp() * 1000), now_ms)
|
||||
if scan.state == "waiting":
|
||||
return
|
||||
long = direction == "long"
|
||||
at = datetime.fromtimestamp((scan.bar.close_time + 1) / 1000, LOCAL_TZ).strftime("%H:%M")
|
||||
if scan.state == "broken":
|
||||
edge = f"跌破区间下沿 {setup['zone_low']}" if long else f"突破区间上沿 {setup['zone_high']}"
|
||||
await self.cancel_plan(session, plan, "broken", f"{at} 5m 收盘 {fmt(scan.bar.close)} {edge}")
|
||||
return
|
||||
if scan.state == "missed":
|
||||
await self.cancel_plan(session, plan, "missed", f"{at} 的 5m 收盘已满足确认，但程序没有及时执行，不补做", "warn")
|
||||
return
|
||||
|
||||
# 触发很少发生，直接查最新权益，不依赖快照循环
|
||||
account = await session.get(TradingAccount, 1)
|
||||
equity = Decimal((await client.request("GET", "/fapi/v3/account"))["totalMarginBalance"])
|
||||
capital = min(account.capital_usdt, equity)
|
||||
atr_value = atr([b for b in bars if b.close_time < now_ms])
|
||||
stop = setup_stop(direction, scan.extreme, atr_value, rules.tick_size)
|
||||
mark = await mark_price(plan.symbol)
|
||||
confirm = f"5m 收盘 {fmt(scan.bar.close)}，{'最低' if long else '最高'} {fmt(scan.extreme)}"
|
||||
try:
|
||||
entry = size_entry(direction, mark, stop, capital=capital, other_notional=other_notional,
|
||||
confidence=plan.decision["confidence"], rules=rules)
|
||||
except PlanError as e:
|
||||
await self.cancel_plan(session, plan, "skipped", f"{at} {confirm} 已确认，但{e}，放弃入场", "warn")
|
||||
return
|
||||
plan.sizing = {**sizing, "entry": {**entry, "triggered_at": utcnow().isoformat(), "bar_close": fmt(scan.bar.close),
|
||||
"extreme": fmt(scan.extreme), "atr": fmt(atr_value.quantize(rules.tick_size))}}
|
||||
session.add(TradingEvent(
|
||||
symbol=plan.symbol, analysis_id=plan.id, kind="setup_triggered",
|
||||
message=f"{at} {confirm}，确认{'做多' if long else '做空'}：市价入场 {entry['quantity']}（现价 {fmt(mark)}），"
|
||||
f"止损 {entry['stop']}（{entry['stop_pct']}%），止损亏损 {entry['risk_at_stop']} USDT",
|
||||
data={"bar_open_time": scan.bar.open_time},
|
||||
))
|
||||
|
||||
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(
|
||||
@@ -521,7 +460,7 @@ class Executor:
|
||||
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, rules: SymbolRules, block_entries: bool) -> None:
|
||||
position: Position | None, running: bool, rules: SymbolRules, block_entries: bool) -> None:
|
||||
sizing = plan.sizing
|
||||
qty = position.qty if position else Decimal(0)
|
||||
long = sizing["direction"] == "long"
|
||||
@@ -535,13 +474,11 @@ class Executor:
|
||||
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
|
||||
if "entry" not in sizing:
|
||||
# 还在等 5m 确认，交易所上没有本计划的单
|
||||
return
|
||||
|
||||
entry_rows = [r for r in plan_rows if r.purpose == "entry"]
|
||||
entry_rows = [r for r in plan_rows if r.purpose == "entry" and r.filled_qty > 0]
|
||||
filled = sum((r.filled_qty for r in entry_rows), Decimal(0))
|
||||
average = next((r.avg_price for r in entry_rows if r.filled_qty > 0 and r.avg_price), None)
|
||||
# 限价单撤了重挂时会有多行成交，按成交量加权
|
||||
average = sum((r.filled_qty * r.avg_price for r in entry_rows), Decimal(0)) / filled if filled else None
|
||||
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(len(TAKE_PROFIT_STEPS[sizing["direction"]]))]
|
||||
stop = Decimal(sizing["entry"]["stop"])
|
||||
@@ -550,7 +487,9 @@ class Executor:
|
||||
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)
|
||||
|
||||
desired = desired_orders(sizing, entry_sent=bool(entry_rows), entry_fill=(filled, average) if average else None,
|
||||
# 止盈 1 成交后不再加仓
|
||||
entries_open = running and utcnow() < plan.valid_until and tp_filled[0] == 0
|
||||
desired = desired_orders(sizing, entries_open=entries_open, entry_filled=filled, entry_average=average,
|
||||
tp_filled=tp_filled, position_qty=qty, stop_price=stop, rules=rules)
|
||||
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)
|
||||
@@ -608,11 +547,9 @@ class Executor:
|
||||
side="long" if amount > 0 else "short", qty=abs(amount), entry=Decimal(p["entryPrice"]),
|
||||
break_even=Decimal(p["breakEvenPrice"]), mark=Decimal(p["markPrice"]),
|
||||
)
|
||||
names = {s.symbol for s in symbols}
|
||||
for symbol in symbols:
|
||||
other_notional = sum((p.qty * p.mark for name, p in positions.items() if name != symbol.symbol and name in names), Decimal(0))
|
||||
try:
|
||||
await self.reconcile(session, client, symbol, account.running, positions.get(symbol.symbol), other_notional)
|
||||
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}")
|
||||
|
||||
@@ -1,6 +1,7 @@
|
||||
"""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。
|
||||
"""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。
|
||||
|
||||
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。
|
||||
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）；
|
||||
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。
|
||||
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。
|
||||
"""
|
||||
|
||||
@@ -18,12 +19,12 @@ DAILY_ANALYSIS_LIMIT = 60
|
||||
RISK_PCT = Decimal("0.01")
|
||||
LOW_CONFIDENCE_FACTOR = Decimal("0.5")
|
||||
MAX_LEVERAGE = 3
|
||||
# 待确认入场的最长有效小时数；成交后的最长持仓小时数
|
||||
# 限价单的最长有效小时数；首次成交后的最长持仓小时数
|
||||
SETUP_VALID_HOURS = 2
|
||||
MAX_HOLD_HOURS = 4
|
||||
CONFIRM_INTERVAL = "5m"
|
||||
ATR_INTERVAL = "5m"
|
||||
ATR_PERIOD = 14
|
||||
# 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
|
||||
# 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
|
||||
STOP_ATR_FACTOR = Decimal("0.5")
|
||||
MAX_STOP_PCT = Decimal("0.01")
|
||||
# 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
|
||||
@@ -32,7 +33,7 @@ TAKE_PROFIT_STEPS: dict[str, tuple[tuple[Decimal, Decimal], ...]] = {
|
||||
"short": ((Decimal("0.005"), Decimal("0.8")), (Decimal("0.0075"), Decimal("0.2"))),
|
||||
}
|
||||
MAX_REEVALUATE = 4
|
||||
# 入场（市价）和止损都按吃单手续费估算（C1 实测 taker 0.04%）
|
||||
# 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%）
|
||||
TAKER_FEE_RATE = Decimal("0.0004")
|
||||
# 例行分析周期：跟 1h 收盘
|
||||
ROUTINE_HOURS = 1
|
||||
@@ -55,18 +56,18 @@ class Condition(BaseModel):
|
||||
class Setup(BaseModel):
|
||||
zone_low: Price
|
||||
zone_high: Price
|
||||
confirm_price: Annotated[Decimal, Field(gt=0, description=(
|
||||
"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"
|
||||
entry_price: Annotated[Decimal, Field(gt=0, description=(
|
||||
"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"
|
||||
))]
|
||||
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")]
|
||||
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")]
|
||||
|
||||
|
||||
class TradePlan(BaseModel):
|
||||
"""submit_trade_plan 的参数"""
|
||||
|
||||
action: Annotated[Literal["plan", "keep", "exit", "wait"], Field(description=(
|
||||
"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；"
|
||||
"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）"
|
||||
"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；"
|
||||
"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）"
|
||||
))]
|
||||
summary: Annotated[str, Field(description="一句话结论，含方向和置信度")]
|
||||
reasons: Annotated[str, Field(description="依据要点：新闻、结构、衍生品，引用新闻写 [新闻 id]")]
|
||||
@@ -76,8 +77,8 @@ class TradePlan(BaseModel):
|
||||
))] = []
|
||||
direction: Direction | None = None
|
||||
confidence: Literal["high", "medium", "low"] | None = None
|
||||
setup: Annotated[Setup | None, Field(description="待确认入场：做多为支撑区，做空为压力区")] = None
|
||||
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
|
||||
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
|
||||
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
|
||||
|
||||
|
||||
@dataclass
|
||||
@@ -95,7 +96,7 @@ class PlanContext:
|
||||
# 交易列表中其他币的持仓名义价值合计
|
||||
other_notional: Decimal
|
||||
rules: SymbolRules
|
||||
# 最近已收盘 5m K 线的 ATR14，用于预估止损
|
||||
# 最近已收盘 5m K 线的 ATR14，用于计算止损
|
||||
atr: Decimal
|
||||
has_plan: bool
|
||||
position_side: Direction | None
|
||||
@@ -111,14 +112,6 @@ class Bar:
|
||||
close: Decimal
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
class SetupScan:
|
||||
state: Literal["waiting", "triggered", "broken", "missed"]
|
||||
bar: Bar | None = None
|
||||
# 进区以来的极值：做多为最低价，做空为最高价
|
||||
extreme: Decimal | None = None
|
||||
|
||||
|
||||
class PlanError(Exception):
|
||||
"""计划不通过校验；errors 逐条返回给模型修正"""
|
||||
|
||||
@@ -152,46 +145,22 @@ def atr(bars: list[Bar], period: int = ATR_PERIOD) -> Decimal:
|
||||
return sum(ranges, Decimal(0)) / period
|
||||
|
||||
|
||||
def scan_setup(direction: Direction, setup: dict, bars: list[Bar], after_ms: int, now_ms: int) -> SetupScan:
|
||||
"""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）：
|
||||
|
||||
- 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；
|
||||
在此之前任何一根收盘 < zone_low → 支撑破位。做空镜像。
|
||||
- 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。
|
||||
"""
|
||||
zone_low, zone_high, confirm = (Decimal(setup[k]) for k in ("zone_low", "zone_high", "confirm_price"))
|
||||
closed = [b for b in bars if after_ms <= b.close_time < now_ms]
|
||||
long = direction == "long"
|
||||
extreme: Decimal | None = None
|
||||
for i, bar in enumerate(closed):
|
||||
if (bar.close < zone_low) if long else (bar.close > zone_high):
|
||||
return SetupScan("broken", bar)
|
||||
if extreme is None and ((bar.low <= zone_high) if long else (bar.high >= zone_low)):
|
||||
extreme = bar.low if long else bar.high
|
||||
if extreme is None:
|
||||
continue
|
||||
extreme = min(extreme, bar.low) if long else max(extreme, bar.high)
|
||||
if (bar.close >= confirm) if long else (bar.close <= confirm):
|
||||
return SetupScan("triggered" if i == len(closed) - 1 else "missed", bar, extreme)
|
||||
return SetupScan("waiting")
|
||||
|
||||
|
||||
def setup_stop(direction: Direction, extreme: Decimal, atr_value: Decimal, tick: Decimal) -> Decimal:
|
||||
"""止损 = 极值外 STOP_ATR_FACTOR × ATR，向远离现价的方向取整"""
|
||||
def setup_stop(direction: Direction, far_edge: Decimal, atr_value: Decimal, tick: Decimal) -> Decimal:
|
||||
"""止损 = 区间远端外 STOP_ATR_FACTOR × ATR，向远离入场的方向取整"""
|
||||
if direction == "long":
|
||||
return round_to_step(extreme - STOP_ATR_FACTOR * atr_value, tick, ROUND_FLOOR)
|
||||
return round_to_step(extreme + STOP_ATR_FACTOR * atr_value, tick, ROUND_CEILING)
|
||||
return round_to_step(far_edge - STOP_ATR_FACTOR * atr_value, tick, ROUND_FLOOR)
|
||||
return round_to_step(far_edge + STOP_ATR_FACTOR * atr_value, tick, ROUND_CEILING)
|
||||
|
||||
|
||||
def size_entry(direction: Direction, price: Decimal, stop: Decimal, *, capital: Decimal, other_notional: Decimal,
|
||||
confidence: str, rules: SymbolRules) -> dict:
|
||||
"""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"""
|
||||
"""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"""
|
||||
sign = 1 if direction == "long" else -1
|
||||
stop_pct = sign * (price - stop) / price
|
||||
if stop_pct <= 0:
|
||||
raise PlanError([f"止损 {stop} 已越过现价 {price}"])
|
||||
raise PlanError([f"止损 {stop} 不在入场价 {price} 的亏损一侧"])
|
||||
if stop_pct > MAX_STOP_PCT:
|
||||
raise PlanError([f"止损 {stop} 距现价 {price} {stop_pct * 100:.2f}%，超过 {MAX_STOP_PCT * 100:.0f}%"])
|
||||
raise PlanError([f"止损 {stop} 距入场价 {price} {stop_pct * 100:.2f}%，超过 {MAX_STOP_PCT * 100:.0f}%"])
|
||||
unit_loss = abs(price - stop) + (price + stop) * TAKER_FEE_RATE
|
||||
risk_amount = capital * RISK_PCT * (LOW_CONFIDENCE_FACTOR if confidence == "low" else 1)
|
||||
max_notional = capital * MAX_LEVERAGE - other_notional
|
||||
@@ -247,7 +216,7 @@ def check_action(plan: TradePlan, ctx: PlanContext) -> list[str]:
|
||||
|
||||
|
||||
def check_setup(plan: TradePlan, ctx: PlanContext) -> dict:
|
||||
"""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"""
|
||||
"""校验计划；action=plan 时算出限价、止损和数量。不通过时抛 PlanError"""
|
||||
errors = check_action(plan, ctx)
|
||||
if plan.action != "plan":
|
||||
if errors:
|
||||
@@ -256,36 +225,35 @@ def check_setup(plan: TradePlan, ctx: PlanContext) -> dict:
|
||||
missing = [name for name in ("direction", "confidence", "setup", "valid_hours") if getattr(plan, name) is None]
|
||||
if missing:
|
||||
raise PlanError([*errors, f"action=plan 时缺少：{', '.join(missing)}"])
|
||||
direction, setup, mark = plan.direction, plan.setup, ctx.mark_price
|
||||
direction, setup, mark, rules = plan.direction, plan.setup, ctx.mark_price, ctx.rules
|
||||
long = direction == "long"
|
||||
# 向保守方向取整：做多的挂单价向下、做空向上
|
||||
entry = round_to_step(setup.entry_price, rules.tick_size, ROUND_FLOOR if long else ROUND_CEILING)
|
||||
if setup.zone_low >= setup.zone_high:
|
||||
errors.append(f"区间下沿 {setup.zone_low} 须低于上沿 {setup.zone_high}")
|
||||
# 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
|
||||
if long and setup.confirm_price < setup.zone_high:
|
||||
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）")
|
||||
if not long and setup.confirm_price > setup.zone_low:
|
||||
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）")
|
||||
if long and mark < setup.zone_low:
|
||||
errors.append(f"现价 {mark} 已跌破区间下沿 {setup.zone_low}，支撑已破")
|
||||
if not long and mark > setup.zone_high:
|
||||
errors.append(f"现价 {mark} 已突破区间上沿 {setup.zone_high}，压力已破")
|
||||
if not setup.zone_low <= entry <= setup.zone_high:
|
||||
errors.append(f"挂单价 {entry} 须在区间 {setup.zone_low}–{setup.zone_high} 内")
|
||||
# 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
|
||||
if long and entry >= mark:
|
||||
errors.append(f"做多的挂单价 {entry} 须低于现价 {mark}")
|
||||
if not long and entry <= mark:
|
||||
errors.append(f"做空的挂单价 {entry} 须高于现价 {mark}")
|
||||
if plan.valid_hours > SETUP_VALID_HOURS:
|
||||
errors.append(f"valid_hours 不能超过 {SETUP_VALID_HOURS}")
|
||||
if errors:
|
||||
raise PlanError(errors)
|
||||
far_edge = setup.zone_low if long else setup.zone_high
|
||||
stop = setup_stop(direction, far_edge, ctx.atr, ctx.rules.tick_size)
|
||||
stop = setup_stop(direction, setup.zone_low if long else setup.zone_high, ctx.atr, rules.tick_size)
|
||||
try:
|
||||
estimate = size_entry(direction, setup.confirm_price, stop, capital=ctx.capital, other_notional=ctx.other_notional,
|
||||
confidence=plan.confidence, rules=ctx.rules)
|
||||
sizing = size_entry(direction, entry, stop, capital=ctx.capital, other_notional=ctx.other_notional,
|
||||
confidence=plan.confidence, rules=rules)
|
||||
except PlanError as e:
|
||||
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}。"
|
||||
"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
|
||||
raise PlanError([f"止损放在区间{'下沿' if long else '上沿'}外 {STOP_ATR_FACTOR}×ATR(5m)={stop}：{e}。"
|
||||
"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
|
||||
return {
|
||||
"direction": direction,
|
||||
"setup": {k: str(getattr(setup, k)) for k in ("zone_low", "zone_high", "confirm_price")},
|
||||
"estimate": estimate,
|
||||
"atr": str(ctx.atr.quantize(ctx.rules.tick_size)),
|
||||
"setup": {"zone_low": str(setup.zone_low), "zone_high": str(setup.zone_high)},
|
||||
"entry": sizing,
|
||||
"atr": str(ctx.atr.quantize(rules.tick_size)),
|
||||
# 执行器采纳前核对：持仓变了说明计划基于过时状态
|
||||
"position_qty": "0",
|
||||
}
|
||||
@@ -307,26 +275,25 @@ class OrderSpec:
|
||||
|
||||
|
||||
def desired_orders(
|
||||
sizing: dict, *, entry_sent: bool, entry_fill: tuple[Decimal, Decimal] | None, tp_filled: list[Decimal],
|
||||
sizing: dict, *, entries_open: bool, entry_filled: Decimal, entry_average: Decimal | None, tp_filled: list[Decimal],
|
||||
position_qty: Decimal, stop_price: Decimal, rules: SymbolRules,
|
||||
) -> list[OrderSpec]:
|
||||
"""已触发的计划在当前状态下应挂的单。
|
||||
"""计划在当前成交状态下应挂的单。
|
||||
|
||||
- 入场：还没下过入场单时一张市价单；只下一次，被拒不重试。
|
||||
- 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）。
|
||||
- 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。
|
||||
- 入场：entries_open 时一张限价单，数量为剩余未成交部分。
|
||||
- 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）。
|
||||
- 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。
|
||||
"""
|
||||
direction = sizing["direction"]
|
||||
open_side, close_side = ("BUY", "SELL") if direction == "long" else ("SELL", "BUY")
|
||||
quantity = Decimal(sizing["entry"]["quantity"])
|
||||
orders = []
|
||||
if not entry_sent:
|
||||
orders.append(OrderSpec("entry", 0, open_side, "MARKET", None, None, quantity))
|
||||
if position_qty > 0 or entry_fill is None:
|
||||
if entries_open and entry_filled < quantity:
|
||||
orders.append(OrderSpec("entry", 0, open_side, "LIMIT", Decimal(sizing["entry"]["price"]), None, quantity - entry_filled))
|
||||
if position_qty > 0 or orders:
|
||||
orders.append(OrderSpec("stop", None, close_side, "STOP_MARKET", None, stop_price, max(quantity, position_qty)))
|
||||
if position_qty > 0 and entry_fill is not None:
|
||||
filled, average = entry_fill
|
||||
for j, (price, target) in enumerate(take_profit_targets(direction, average, filled, rules)):
|
||||
if position_qty > 0 and entry_average is not None:
|
||||
for j, (price, target) in enumerate(take_profit_targets(direction, entry_average, entry_filled, rules)):
|
||||
remaining = target - tp_filled[j]
|
||||
if remaining > 0:
|
||||
orders.append(OrderSpec("tp", j, close_side, "LIMIT", price, None, remaining))
|
||||
|
||||
+57
-82
@@ -5,7 +5,7 @@ import pytest
|
||||
|
||||
from alphapulse.trading.plan import (
|
||||
Bar, OrderSpec, PlanContext, PlanError, SymbolRules, TradePlan, atr, check_setup, desired_orders, diff_orders, next_routine_at,
|
||||
round_to_step, scan_setup, setup_stop, size_entry, split_take_profits, take_profit_targets,
|
||||
round_to_step, setup_stop, size_entry, split_take_profits, take_profit_targets,
|
||||
)
|
||||
|
||||
BTC = SymbolRules(tick_size=Decimal("0.1"), step_size=Decimal("0.0001"), min_notional=Decimal("50"))
|
||||
@@ -39,11 +39,6 @@ def bars_until(hhmm: str) -> list[Bar]:
|
||||
return [Bar(ms(t), ms(t) + FIVE_MINUTES_MS - 1, Decimal(h), Decimal(lo), Decimal(c)) for t, h, lo, c in BTC_BARS if ms(t) <= ms(hhmm)]
|
||||
|
||||
|
||||
def scan(direction, zone_low, zone_high, confirm, adopted: str, now: str):
|
||||
setup = {"zone_low": zone_low, "zone_high": zone_high, "confirm_price": confirm}
|
||||
return scan_setup(direction, setup, bars_until(now), ms(adopted), ms(now) + 2000)
|
||||
|
||||
|
||||
def context(**overrides) -> PlanContext:
|
||||
values = {
|
||||
"mark_price": Decimal("81000"), "capital": Decimal("1000"), "other_notional": Decimal("0"), "rules": BTC,
|
||||
@@ -55,7 +50,7 @@ def context(**overrides) -> PlanContext:
|
||||
def setup_plan(**overrides) -> TradePlan:
|
||||
values = {
|
||||
"action": "plan", "summary": "回踩支撑做多", "reasons": "支撑区", "risks": "无", "direction": "long", "confidence": "medium",
|
||||
"setup": {"zone_low": "80200", "zone_high": "80700", "confirm_price": "80750", "basis": "1h 支撑区"}, "valid_hours": "2",
|
||||
"setup": {"zone_low": "80200", "zone_high": "80700", "entry_price": "80500", "basis": "1h 支撑区"}, "valid_hours": "2",
|
||||
}
|
||||
return TradePlan.model_validate({**values, **overrides})
|
||||
|
||||
@@ -81,55 +76,26 @@ def test_split_take_profits_keeps_total():
|
||||
assert split_take_profits(Decimal("0.001"), (Decimal("0.5"), Decimal("0.3"), Decimal("0.2")), Decimal("0.001")) == [0, 0, Decimal("0.001")]
|
||||
|
||||
|
||||
# ---------- 5m 确认（用户的两个例子） ----------
|
||||
|
||||
def test_long_example_triggers_on_close_back_above_after_dip():
|
||||
# 10:20 收在 80700 还低于确认价；10:25 下探到 80188（影线低于区间下沿但收盘没破）收回 80804 → 10:30 触发
|
||||
result = scan("long", "80200", "80700", "80750", adopted="10:12", now="10:30")
|
||||
assert result.state == "triggered"
|
||||
assert result.bar.open_time == ms("10:25")
|
||||
assert result.extreme == Decimal("80188.00")
|
||||
assert scan("long", "80200", "80700", "80750", adopted="10:12", now="10:25").state == "waiting"
|
||||
|
||||
|
||||
def test_short_example_triggers_on_rejection_from_resistance():
|
||||
# 10:50 只到 81411.7，未进区；10:55 冲到 81646.5 后收在 81500 → 11:00 触发
|
||||
result = scan("short", "81500", "81700", "81500", adopted="10:47", now="11:00")
|
||||
assert (result.state, result.bar.open_time, result.extreme) == ("triggered", ms("10:55"), Decimal("81646.50"))
|
||||
|
||||
|
||||
def test_bars_closed_before_adoption_are_ignored():
|
||||
# 10:25 那根在计划生效（10:30）前已收盘，不算
|
||||
assert scan("long", "80200", "80700", "80750", adopted="10:30", now="10:30").state == "waiting"
|
||||
|
||||
|
||||
def test_trigger_not_on_latest_bar_is_missed():
|
||||
assert scan("long", "80200", "80700", "80750", adopted="10:12", now="10:35").state == "missed"
|
||||
|
||||
|
||||
def test_close_beyond_far_edge_breaks_setup():
|
||||
result = scan("long", "80750", "81000", "81050", adopted="10:12", now="10:30")
|
||||
assert (result.state, result.bar.open_time) == ("broken", ms("10:20"))
|
||||
|
||||
# ---------- 止损与仓位（用户的例子） ----------
|
||||
|
||||
def test_atr_and_stop_from_example():
|
||||
closed = bars_until("10:25")
|
||||
value = atr(closed)
|
||||
value = atr(bars_until("10:25"))
|
||||
assert value.quantize(Decimal("0.0001")) == Decimal("302.9714")
|
||||
# 做多：80188 − 0.5 × 302.97 = 80036.51 → 向下取整 80036.5，距 80804.2 约 0.95%，仍在 1% 以内
|
||||
stop = setup_stop("long", Decimal("80188.00"), value, BTC.tick_size)
|
||||
assert stop == Decimal("80036.5")
|
||||
entry = size_entry("long", Decimal("80804.2"), stop, capital=Decimal("1000"), other_notional=Decimal("0"), confidence="medium", rules=BTC)
|
||||
assert entry["stop_pct"] == "0.95"
|
||||
# 10 ÷ (767.7 + (80804.2 + 80036.5) × 0.0004 = 832.04) = 0.01201… → 0.0120
|
||||
assert entry["quantity"] == "0.0120"
|
||||
assert setup_stop("short", Decimal("81646.50"), atr(bars_until("10:55")), BTC.tick_size) == Decimal("81827.8")
|
||||
# 做多：支撑区 80200–80700 内挂 80500；止损 80200 − 0.5 × 302.97 = 80048.51 → 向下取整 80048.5，距挂单价 0.56%
|
||||
stop = setup_stop("long", Decimal("80200"), value, BTC.tick_size)
|
||||
assert stop == Decimal("80048.5")
|
||||
entry = size_entry("long", Decimal("80500"), stop, capital=Decimal("1000"), other_notional=Decimal("0"), confidence="medium", rules=BTC)
|
||||
assert entry["stop_pct"] == "0.56"
|
||||
# 10 ÷ (451.5 + (80500 + 80048.5) × 0.0004 = 515.72) = 0.01939… → 0.0193
|
||||
assert entry["quantity"] == "0.0193"
|
||||
# 做空：压力区上沿 81700 + 0.5 × 362.56 = 81881.28 → 向上取整 81881.3
|
||||
assert setup_stop("short", Decimal("81700"), atr(bars_until("10:55")), BTC.tick_size) == Decimal("81881.3")
|
||||
|
||||
|
||||
def test_size_entry_rejects_far_stop_and_halves_low_confidence():
|
||||
with pytest.raises(PlanError, match="超过 1%"):
|
||||
size_entry("long", Decimal("80000"), Decimal("79100"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="high", rules=BTC)
|
||||
with pytest.raises(PlanError, match="越过现价"):
|
||||
with pytest.raises(PlanError, match="亏损一侧"):
|
||||
size_entry("short", Decimal("80000"), Decimal("79900"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="high", rules=BTC)
|
||||
medium = size_entry("long", Decimal("80000"), Decimal("79600"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="medium", rules=BTC)
|
||||
low = size_entry("long", Decimal("80000"), Decimal("79600"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="low", rules=BTC)
|
||||
@@ -150,24 +116,25 @@ def test_take_profit_ladders():
|
||||
|
||||
# ---------- 提交校验 ----------
|
||||
|
||||
def test_check_setup_accepts_and_estimates():
|
||||
def test_check_setup_sizes_limit_entry():
|
||||
sizing = check_setup(setup_plan(), context())
|
||||
assert sizing["setup"] == {"zone_low": "80200", "zone_high": "80700", "confirm_price": "80750"}
|
||||
# 预估止损 = 80200 − 0.5 × 100 = 80150，距确认价 80750 约 0.74%
|
||||
assert (sizing["estimate"]["stop"], sizing["estimate"]["stop_pct"]) == ("80150.0", "0.74")
|
||||
assert sizing["setup"] == {"zone_low": "80200", "zone_high": "80700"}
|
||||
# 止损 = 80200 − 0.5 × 100 = 80150，距 80500 为 0.43%；数量 10 ÷ (350 + 64.26) = 0.0241
|
||||
entry = sizing["entry"]
|
||||
assert (entry["price"], entry["stop"], entry["stop_pct"], entry["quantity"]) == ("80500.0", "80150.0", "0.43", "0.0241")
|
||||
assert sizing["position_qty"] == "0"
|
||||
|
||||
|
||||
def test_check_setup_rejects_bad_setups():
|
||||
bad_order = setup_plan(setup={"zone_low": "80700", "zone_high": "80200", "confirm_price": "80750", "basis": "x"})
|
||||
assert "须低于上沿" in errors_of(bad_order, context())
|
||||
inside = setup_plan(setup={"zone_low": "80200", "zone_high": "80700", "confirm_price": "80500", "basis": "x"})
|
||||
assert "不低于区间上沿" in errors_of(inside, context())
|
||||
short_inside = setup_plan(direction="short", setup={"zone_low": "81500", "zone_high": "81700", "confirm_price": "81600", "basis": "x"})
|
||||
assert "不高于区间下沿" in errors_of(short_inside, context())
|
||||
assert "支撑已破" in errors_of(setup_plan(), context(mark_price=Decimal("80100")))
|
||||
wide = setup_plan(setup={"zone_low": "79800", "zone_high": "80700", "confirm_price": "80750", "basis": "x"})
|
||||
assert "超过 1%" in errors_of(wide, context())
|
||||
def plan(direction="long", **setup):
|
||||
return setup_plan(direction=direction, setup={"zone_low": "80200", "zone_high": "80700", "entry_price": "80500", "basis": "x", **setup})
|
||||
|
||||
assert "须低于上沿" in errors_of(plan(zone_low="80700", zone_high="80200"), context())
|
||||
assert "须在区间" in errors_of(plan(entry_price="80800"), context())
|
||||
# 限价单必须挂在现价下方（做空在上方），否则一挂就按市价成交
|
||||
assert "须低于现价" in errors_of(plan(), context(mark_price=Decimal("80400")))
|
||||
assert "须高于现价" in errors_of(plan("short"), context(mark_price=Decimal("80600")))
|
||||
assert "超过 1%" in errors_of(plan(zone_low="79600"), context())
|
||||
assert "valid_hours" in errors_of(setup_plan(valid_hours="3"), context())
|
||||
|
||||
|
||||
@@ -183,35 +150,43 @@ def test_action_rules():
|
||||
|
||||
# ---------- 应有订单 ----------
|
||||
|
||||
TRIGGERED = {"direction": "long", "setup": {}, "entry": {"quantity": "0.0120", "stop": "80036.5"}}
|
||||
LIMIT_PLAN = {"direction": "long", "setup": {}, "entry": {"price": "80500.0", "quantity": "0.0241", "stop": "80150.0"}}
|
||||
NO_TP = [Decimal(0)] * 3
|
||||
|
||||
|
||||
def test_desired_orders_places_stop_and_market_entry_once():
|
||||
orders = desired_orders(TRIGGERED, entry_sent=False, entry_fill=None, tp_filled=NO_TP, position_qty=Decimal(0),
|
||||
stop_price=Decimal("80036.5"), rules=BTC)
|
||||
assert [(o.purpose, o.side, o.type, o.quantity) for o in orders] == [
|
||||
("entry", "BUY", "MARKET", Decimal("0.0120")), ("stop", "SELL", "STOP_MARKET", Decimal("0.0120")),
|
||||
]
|
||||
# 入场单已发出、还没成交：只保留止损，不重发入场
|
||||
orders = desired_orders(TRIGGERED, entry_sent=True, entry_fill=None, tp_filled=NO_TP, position_qty=Decimal(0),
|
||||
stop_price=Decimal("80036.5"), rules=BTC)
|
||||
assert [o.purpose for o in orders] == ["stop"]
|
||||
def desired(**overrides):
|
||||
values = {"entries_open": True, "entry_filled": Decimal(0), "entry_average": None, "tp_filled": NO_TP,
|
||||
"position_qty": Decimal(0), "stop_price": Decimal("80150.0"), "rules": BTC}
|
||||
return desired_orders(LIMIT_PLAN, **{**values, **overrides})
|
||||
|
||||
|
||||
def test_desired_orders_take_profits_follow_fill_price():
|
||||
orders = desired_orders(TRIGGERED, entry_sent=True, entry_fill=(Decimal("0.0120"), Decimal("80810.0")),
|
||||
tp_filled=[Decimal("0.0072"), Decimal(0), Decimal(0)], position_qty=Decimal("0.0048"),
|
||||
stop_price=Decimal("80850.0"), rules=BTC)
|
||||
assert [(o.purpose, o.leg, o.price, o.trigger_price, o.quantity) for o in orders] == [
|
||||
("stop", None, None, Decimal("80850.0"), Decimal("0.0120")),
|
||||
("tp", 1, Decimal("81416.0"), None, Decimal("0.0036")), ("tp", 2, Decimal("81618.1"), None, Decimal("0.0012")),
|
||||
def test_desired_orders_places_limit_entry_with_stop():
|
||||
assert [(o.purpose, o.side, o.type, o.price, o.trigger_price, o.quantity) for o in desired()] == [
|
||||
("entry", "BUY", "LIMIT", Decimal("80500.0"), None, Decimal("0.0241")),
|
||||
("stop", "SELL", "STOP_MARKET", None, Decimal("80150.0"), Decimal("0.0241")),
|
||||
]
|
||||
|
||||
|
||||
def test_desired_orders_nothing_after_flat():
|
||||
assert desired_orders(TRIGGERED, entry_sent=True, entry_fill=(Decimal("0.0120"), Decimal("80810.0")), tp_filled=NO_TP,
|
||||
position_qty=Decimal(0), stop_price=Decimal("80036.5"), rules=BTC) == []
|
||||
def test_desired_orders_partial_fill_splits_take_profits_by_filled():
|
||||
orders = desired(entry_filled=Decimal("0.0100"), entry_average=Decimal("80500"), position_qty=Decimal("0.0100"))
|
||||
# 止盈：80500 × 1.005 = 80902.5，× 1.0075 = 81103.75 → 81103.7，× 1.01 = 81305；0.0100 按 60/30/10 拆
|
||||
assert [(o.purpose, o.leg, o.price, o.quantity) for o in orders] == [
|
||||
("entry", 0, Decimal("80500.0"), Decimal("0.0141")), ("stop", None, None, Decimal("0.0241")),
|
||||
("tp", 0, Decimal("80902.5"), Decimal("0.0060")), ("tp", 1, Decimal("81103.7"), Decimal("0.0030")),
|
||||
("tp", 2, Decimal("81305.0"), Decimal("0.0010")),
|
||||
]
|
||||
|
||||
|
||||
def test_desired_orders_after_tp1_keeps_remaining_targets_only():
|
||||
orders = desired(entries_open=False, entry_filled=Decimal("0.0241"), entry_average=Decimal("80500"),
|
||||
tp_filled=[Decimal("0.0144"), Decimal(0), Decimal(0)], position_qty=Decimal("0.0097"), stop_price=Decimal("80540.0"))
|
||||
assert [(o.purpose, o.leg, o.trigger_price, o.quantity) for o in orders] == [
|
||||
("stop", None, Decimal("80540.0"), Decimal("0.0241")), ("tp", 1, None, Decimal("0.0072")), ("tp", 2, None, Decimal("0.0025")),
|
||||
]
|
||||
|
||||
|
||||
def test_desired_orders_nothing_when_flat_and_entries_closed():
|
||||
assert desired(entries_open=False) == []
|
||||
|
||||
|
||||
def test_diff_orders_matches_by_value():
|
||||
|
||||
+8
-13
@@ -151,8 +151,8 @@ export interface TradeDecision {
|
||||
reevaluate: PlanCondition[]
|
||||
direction: "long" | "short" | null
|
||||
confidence: "high" | "medium" | "low" | null
|
||||
/** 待确认入场；计划 3.1 之前的分析没有这个字段 */
|
||||
setup?: { zone_low: string, zone_high: string, confirm_price: string, basis: string } | null
|
||||
/** 区间与挂单价；更早格式的分析没有这个字段 */
|
||||
setup?: { zone_low: string, zone_high: string, entry_price?: string, basis: string } | null
|
||||
valid_hours?: string | null
|
||||
}
|
||||
|
||||
@@ -172,13 +172,11 @@ export interface EntrySizing {
|
||||
|
||||
export interface Sizing {
|
||||
direction: "long" | "short"
|
||||
setup: { zone_low: string, zone_high: string, confirm_price: string }
|
||||
/** 提交时按确认价入场、止损放在区间远端外估算 */
|
||||
estimate: EntrySizing
|
||||
setup: { zone_low: string, zone_high: string }
|
||||
/** 限价、止损和数量 */
|
||||
entry: EntrySizing
|
||||
atr: string
|
||||
position_qty: string
|
||||
/** 5m 确认后由执行器写入；有它表示已触发 */
|
||||
entry?: EntrySizing & { triggered_at: string, bar_close: string, extreme: string, atr: string }
|
||||
}
|
||||
|
||||
export interface Analysis {
|
||||
@@ -220,7 +218,7 @@ export type PlanStatus = "proposed" | "pending" | "open" | "closing" | "closed"
|
||||
|
||||
export const PLAN_STATUS_LABELS: Record<PlanStatus, string> = {
|
||||
proposed: "待采纳",
|
||||
pending: "等待确认",
|
||||
pending: "挂单中",
|
||||
open: "持仓中",
|
||||
closing: "平仓中",
|
||||
closed: "已结束",
|
||||
@@ -256,12 +254,9 @@ export const CLOSE_REASON_LABELS: Record<string, string> = {
|
||||
stop_failed: "止损挂单失败",
|
||||
close: "市价平仓",
|
||||
replaced: "被新计划替换",
|
||||
expired: "到期未触发",
|
||||
expired: "限价单到期未成交",
|
||||
stopped: "已停止交易",
|
||||
broken: "区间被突破",
|
||||
missed: "错过确认",
|
||||
skipped: "止损过远，放弃入场",
|
||||
entry_failed: "入场失败"
|
||||
entry_failed: "入场单被拒"
|
||||
}
|
||||
|
||||
/** 止盈阶梯（与后端 plan.TAKE_PROFIT_STEPS 一致）：[距成交均价的涨跌幅, 平仓比例] */
|
||||
|
||||
@@ -43,7 +43,7 @@ const long = computed(() => sizing.value?.direction === "long")
|
||||
const entryRow = computed(() => props.orders.find(o => o.purpose === "entry" && Number(o.filled_qty) > 0))
|
||||
/** 交易所上生效的止损：止盈 1 后会移到保本价 */
|
||||
const currentStop = computed(() => props.orders.filter(o => o.purpose === "stop" && ACTIVE_ORDER_STATUSES.includes(o.status)).at(-1)?.trigger_price)
|
||||
const ladder = computed(() => sizing.value?.entry
|
||||
const ladder = computed(() => sizing.value?.entry && entryRow.value
|
||||
? TAKE_PROFIT_STEPS[sizing.value.direction].map(([pct, ratio], leg) => ({
|
||||
leg,
|
||||
move: `${long.value ? "+" : "−"}${pct * 100}%`,
|
||||
@@ -58,7 +58,7 @@ const ladder = computed(() => sizing.value?.entry
|
||||
<div class="border border-[var(--el-border-color)] rounded border-solid p-3">
|
||||
<div class="mb-2 flex items-center gap-2">
|
||||
<span class="font-bold">{{ symbol.symbol }}</span>
|
||||
<span class="text-xs text-[var(--el-text-color-secondary)]">短线做波动（5m 确认入场，最长持仓 4 小时）</span>
|
||||
<span class="text-xs text-[var(--el-text-color-secondary)]">短线做波动（区间内挂限价单，最长持仓 4 小时）</span>
|
||||
<div class="flex-1" />
|
||||
<el-button v-if="analysis && analysis.status !== 'running'" link type="primary" @click="emit('detail', analysis.id)">
|
||||
查看完整分析
|
||||
@@ -116,7 +116,7 @@ const ladder = computed(() => sizing.value?.entry
|
||||
</el-link>
|
||||
</div>
|
||||
<div v-if="analysis.valid_until || analysis.close_deadline" class="flex flex-wrap gap-x-6">
|
||||
<span v-if="analysis.plan_status === 'pending' && analysis.valid_until && !sizing?.entry"><span class="label">等待确认至</span>{{ formatTime(analysis.valid_until, "MM-DD HH:mm") }}（剩 {{ countdown(analysis.valid_until) }}）</span>
|
||||
<span v-if="analysis.plan_status === 'pending' && analysis.valid_until"><span class="label">限价单有效至</span>{{ formatTime(analysis.valid_until, "MM-DD HH:mm") }}（剩 {{ countdown(analysis.valid_until) }}）</span>
|
||||
<span v-if="analysis.first_fill_at"><span class="label">入场</span>{{ formatTime(analysis.first_fill_at, "MM-DD HH:mm") }}</span>
|
||||
<span v-if="analysis.close_deadline"><span class="label">最晚平仓</span>{{ formatTime(analysis.close_deadline, "MM-DD HH:mm") }}（剩 {{ countdown(analysis.close_deadline) }}）</span>
|
||||
</div>
|
||||
@@ -125,38 +125,23 @@ const ladder = computed(() => sizing.value?.entry
|
||||
</div>
|
||||
<div><span class="label">为什么</span>{{ decision.reasons }}</div>
|
||||
|
||||
<template v-if="decision.action === 'plan' && decision.setup && sizing?.setup">
|
||||
<template v-if="decision.action === 'plan' && decision.setup && sizing?.entry">
|
||||
<div class="grid grid-cols-2 gap-x-6 gap-y-1">
|
||||
<div>
|
||||
<span class="label">{{ long ? "支撑区" : "压力区" }}</span>{{ sizing.setup.zone_low }} – {{ sizing.setup.zone_high }} · {{ decision.setup.basis }}
|
||||
</div>
|
||||
<div>
|
||||
<span class="label">确认</span>5m {{ long ? "最低价进区后收盘 ≥" : "最高价进区后收盘 ≤" }} {{ sizing.setup.confirm_price }} → 市价{{ long ? "做多" : "做空" }}；
|
||||
先有收盘{{ long ? "低于" : "高于" }} {{ long ? sizing.setup.zone_low : sizing.setup.zone_high }} 则撤销
|
||||
</div>
|
||||
<div v-if="!sizing.entry">
|
||||
<span class="label">预估</span>按确认价入场：止损 {{ sizing.estimate.stop }}（{{ sizing.estimate.stop_pct }}%），数量 {{ sizing.estimate.quantity }}，止损亏损 {{ sizing.estimate.risk_at_stop }} USDT
|
||||
</div>
|
||||
<div v-if="!sizing.entry">
|
||||
<span class="label">有效期</span>{{ decision.valid_hours }} 小时；止损按触发时的极值外 0.5×ATR(5m) 计算，超过 1% 放弃入场
|
||||
</div>
|
||||
</div>
|
||||
<template v-if="sizing.entry">
|
||||
<div class="grid grid-cols-2 gap-x-6 gap-y-1">
|
||||
<div>
|
||||
<span class="label">触发</span>{{ formatTime(sizing.entry.triggered_at, "MM-DD HH:mm:ss") }}，5m 收盘 {{ sizing.entry.bar_close }}，{{ long ? "最低" : "最高" }} {{ sizing.entry.extreme }}，ATR {{ sizing.entry.atr }}
|
||||
<span class="label">限价{{ long ? "做多" : "做空" }}</span>{{ sizing.entry.price }} × {{ sizing.entry.quantity }}，已成交 {{ filled("entry", 0) }}{{ entryRow?.avg_price ? `，均价 ${entryRow.avg_price}` : "" }}
|
||||
（名义 {{ sizing.entry.notional }} USDT，{{ sizing.entry.leverage }} 倍交易资金）
|
||||
</div>
|
||||
<div>
|
||||
<span class="label">入场</span>市价 {{ sizing.entry.quantity }}，成交均价 {{ entryRow?.avg_price ?? "待成交" }}（名义 {{ sizing.entry.notional }} USDT，{{ sizing.entry.leverage }} 倍交易资金）
|
||||
</div>
|
||||
<div>
|
||||
<span class="label">止损</span>{{ currentStop ?? sizing.entry.stop }}（初始 {{ sizing.entry.stop }}，{{ sizing.entry.stop_pct }}%；止盈 1 后移到保本价）
|
||||
<span class="label">止损</span>{{ currentStop ?? sizing.entry.stop }}（初始 {{ sizing.entry.stop }}，距挂单价 {{ sizing.entry.stop_pct }}%；区间远端外 0.5×ATR(5m)，止盈 1 后移到保本价）
|
||||
</div>
|
||||
<div>
|
||||
<span class="label">止损亏损</span>{{ sizing.entry.risk_at_stop }} USDT（交易资金的 {{ sizing.entry.risk_pct }}%）{{ sizing.entry.capped_by_leverage ? "，受 3 倍上限限制" : "" }}
|
||||
</div>
|
||||
</div>
|
||||
<el-table :data="ladder" border size="small">
|
||||
<el-table v-if="ladder.length" :data="ladder" border size="small">
|
||||
<el-table-column label="分批止盈" min-width="90">
|
||||
<template #default="{ row }">
|
||||
止盈 {{ row.leg + 1 }}
|
||||
@@ -168,7 +153,6 @@ const ladder = computed(() => sizing.value?.entry
|
||||
<el-table-column prop="filled" label="已成交" min-width="80" />
|
||||
</el-table>
|
||||
</template>
|
||||
</template>
|
||||
|
||||
<div v-if="decision.reevaluate.length">
|
||||
<span class="label">重新判断</span>
|
||||
|
||||
@@ -87,7 +87,7 @@ function symbolState(s: TradingSymbol) {
|
||||
if (positions.value.some(p => p.symbol === s.symbol))
|
||||
return { label: "持仓中", type: "success" } as const
|
||||
if (s.plan_status === "pending")
|
||||
return { label: "等待确认", type: "primary" } as const
|
||||
return { label: "挂单中", type: "primary" } as const
|
||||
return { label: "空仓", type: "info" } as const
|
||||
}
|
||||
|
||||
@@ -170,7 +170,7 @@ watch(selected, () => {
|
||||
async function toggleRunning() {
|
||||
if (status.value!.running) {
|
||||
await ElMessageBox.confirm(
|
||||
"停止后不再做新的分析，并撤销还在等待确认的计划。已有持仓保留，止损、止盈、到期平仓等程序规则继续执行。",
|
||||
"停止后不再做新的分析，并撤销未成交的限价单。已有持仓保留，止损、止盈、到期平仓等程序规则继续执行。",
|
||||
"停止行情交易",
|
||||
{ type: "warning", confirmButtonText: "停止" }
|
||||
)
|
||||
|
||||
Reference in new issue
Block a user