From 7efa2eb68b96cd1ef5ae35cb886b2ed4d2735358 Mon Sep 17 00:00:00 2001 From: eezd Date: Thu, 15 Oct 2026 13:09:19 +0800 Subject: [PATCH] Switch demo trading to 5m short-term swing setups (plan 3.1) - The model now submits a pending setup (direction, zone, confirm price, validity); the executor enters at market once a 5m close confirms a dip into support or a rejection from resistance, and cancels the setup when the zone breaks, the trigger is missed or the stop is too far - Stop beyond the confirmation extreme by 0.5 x ATR14(5m), skipped above 1%; fixed take-profit ladders from the fill price (long 60/30/10 at +0.5/0.75/1%, short 80/20 at -0.5/0.75%); 4h time stop - While holding, the model may only keep or exit - Drop the long-term angle from the program, API, tables and page --- ...0261015_e8b25c71d4a9_trading_drop_angle.py | 31 ++ backend/src/alphapulse/api/trading.py | 31 +- backend/src/alphapulse/models/trading.py | 7 +- backend/src/alphapulse/trading/analyst.py | 160 +++--- backend/src/alphapulse/trading/executor.py | 208 +++++--- backend/src/alphapulse/trading/plan.py | 472 ++++++++---------- backend/src/alphapulse/trading/schedule.py | 2 +- backend/tests/test_plan.py | 287 ++++++----- web/src/apis/trading.ts | 77 +-- .../trading/components/AddSymbolDialog.vue | 14 +- web/src/pages/trading/components/PlanCard.vue | 127 +++-- web/src/pages/trading/index.vue | 26 +- 12 files changed, 696 insertions(+), 746 deletions(-) create mode 100644 backend/alembic/versions/20261015_e8b25c71d4a9_trading_drop_angle.py diff --git a/backend/alembic/versions/20261015_e8b25c71d4a9_trading_drop_angle.py b/backend/alembic/versions/20261015_e8b25c71d4a9_trading_drop_angle.py new file mode 100644 index 0000000..4c08ce9 --- /dev/null +++ b/backend/alembic/versions/20261015_e8b25c71d4a9_trading_drop_angle.py @@ -0,0 +1,31 @@ +"""trading drop angle + +Revision ID: e8b25c71d4a9 +Revises: c3f19d7a2e58 +Create Date: 2026-10-15 13:30:00.000000 + +""" +from typing import Sequence, Union + +from alembic import op +import sqlalchemy as sa + + +# revision identifiers, used by Alembic. +revision: str = 'e8b25c71d4a9' +down_revision: Union[str, Sequence[str], None] = 'c3f19d7a2e58' +branch_labels: Union[str, Sequence[str], None] = None +depends_on: Union[str, Sequence[str], None] = None + + +def upgrade() -> None: + """Upgrade schema.""" + # 用户决定模拟盘只做短线（2026-10-15），不再有角度之分 + op.drop_column('trading_symbols', 'angle') + op.drop_column('trading_analyses', 'angle') + + +def downgrade() -> None: + """Downgrade schema.""" + op.add_column('trading_analyses', sa.Column('angle', sa.String(length=8), nullable=False, server_default='short')) + op.add_column('trading_symbols', sa.Column('angle', sa.String(length=8), nullable=False, server_default='short')) diff --git a/backend/src/alphapulse/api/trading.py b/backend/src/alphapulse/api/trading.py index 18d0d01..ec308ba 100644 --- a/backend/src/alphapulse/api/trading.py +++ b/backend/src/alphapulse/api/trading.py @@ -3,7 +3,7 @@ import json from datetime import datetime, timedelta from decimal import Decimal -from typing import Annotated, Literal +from typing import Annotated from fastapi import APIRouter, Depends, HTTPException, Query, status from pydantic import BaseModel, Field @@ -24,11 +24,9 @@ from alphapulse.trading.snapshot import read_snapshot router = APIRouter(prefix="/api/trading", tags=["trading"], dependencies=[Depends(require_admin)]) -Angle = Literal["short", "long"] -ANGLE_LABELS = {"short": "短线", "long": "长线"} SYMBOLS_CACHE_KEY = f"{KEY_PREFIX}trading:symbols" SYMBOLS_CACHE_SECONDS = 3600 -# 删除或切换角度前要求快照足够新，否则无法确认没有仓位和挂单 +# 删除前要求快照足够新，否则无法确认没有仓位和挂单 SNAPSHOT_FRESH_SECONDS = 30 # 执行器正在管理的计划状态 LIVE_PLAN_STATUSES = ("pending", "open", "closing") @@ -68,7 +66,6 @@ class SymbolOption(BaseModel): class SymbolOut(BaseModel): symbol: str - angle: str added_at: datetime analysis_requested_at: datetime | None analyzing: bool @@ -80,17 +77,11 @@ class SymbolOut(BaseModel): class SymbolIn(BaseModel): symbol: str - angle: Angle - - -class SymbolPatch(BaseModel): - angle: Angle class AnalysisOut(BaseModel): id: int symbol: str - angle: str reasons: list[str] dry_run: bool status: str @@ -267,7 +258,7 @@ async def list_symbols(session: Annotated[AsyncSession, Depends(get_session)]) - )} return [ SymbolOut( - symbol=s.symbol, angle=s.angle, added_at=s.added_at, analysis_requested_at=s.analysis_requested_at, + symbol=s.symbol, added_at=s.added_at, analysis_requested_at=s.analysis_requested_at, analyzing=s.symbol in analyzing, plan_id=plans[s.symbol].id if s.symbol in plans else None, plan_status=plans[s.symbol].plan_status if s.symbol in plans else None, close_deadline=plans[s.symbol].close_deadline if s.symbol in plans else None, @@ -281,8 +272,8 @@ async def add_symbol(body: SymbolIn, session: Annotated[AsyncSession, Depends(ge symbol = body.symbol.strip().upper() if not any(o["symbol"] == symbol for o in await symbol_options()): raise HTTPException(status.HTTP_400_BAD_REQUEST, f"{symbol} 不是模拟盘和实盘都在交易的加密货币 USDT 永续合约") - session.add(TradingSymbol(symbol=symbol, angle=body.angle)) - session.add(TradingEvent(symbol=symbol, kind="symbol_added", message=f"加入交易列表，角度：{ANGLE_LABELS[body.angle]}")) + session.add(TradingSymbol(symbol=symbol)) + session.add(TradingEvent(symbol=symbol, kind="symbol_added", message="加入交易列表")) try: await session.commit() except IntegrityError: @@ -290,7 +281,7 @@ async def add_symbol(body: SymbolIn, session: Annotated[AsyncSession, Depends(ge async def ensure_idle(session: AsyncSession, symbol: str, action: str) -> TradingSymbol: - """只有空仓、没有本程序的挂单、没有进行中的计划和分析时，才能删除或切换角度""" + """只有空仓、没有本程序的挂单、没有进行中的计划和分析时，才能删除""" s = await session.get(TradingSymbol, symbol) if s is None: raise HTTPException(status.HTTP_404_NOT_FOUND, f"{symbol} 不在交易列表中") @@ -311,16 +302,6 @@ async def ensure_idle(session: AsyncSession, symbol: str, action: str) -> Tradin return s -@router.patch("/symbols/{symbol}") -async def patch_symbol(symbol: str, body: SymbolPatch, session: Annotated[AsyncSession, Depends(get_session)]) -> None: - s = await ensure_idle(session, symbol, "切换角度") - if s.angle != body.angle: - session.add(TradingEvent(symbol=symbol, kind="angle_changed", - message=f"角度从{ANGLE_LABELS[s.angle]}改为{ANGLE_LABELS[body.angle]}")) - s.angle = body.angle - await session.commit() - - @router.delete("/symbols/{symbol}") async def delete_symbol(symbol: str, session: Annotated[AsyncSession, Depends(get_session)]) -> None: """只移出列表；分析、订单流水和时间线保留""" diff --git a/backend/src/alphapulse/models/trading.py b/backend/src/alphapulse/models/trading.py index 43ddd6e..403fd05 100644 --- a/backend/src/alphapulse/models/trading.py +++ b/backend/src/alphapulse/models/trading.py @@ -32,8 +32,6 @@ class TradingSymbol(Base): __tablename__ = "trading_symbols" symbol: Mapped[str] = mapped_column(String(32), primary_key=True) - # short：24h 内平仓；long：12–48h 平仓 - angle: Mapped[str] = mapped_column(String(8)) added_at: Mapped[datetime] = mapped_column(DateTime(timezone=True), server_default=func.now()) # 待执行的分析请求：多个触发在执行前合并为一次 analysis_requested_at: Mapped[datetime | None] = mapped_column(DateTime(timezone=True)) @@ -48,7 +46,6 @@ class TradingAnalysis(Base): id: Mapped[int] = mapped_column(primary_key=True) symbol: Mapped[str] = mapped_column(String(32)) - angle: Mapped[str] = mapped_column(String(8)) reasons: Mapped[list[str]] = mapped_column(JSONB) # 停止状态下的分析只记录计划、不下单 dry_run: Mapped[bool] = mapped_column(Boolean) @@ -69,8 +66,8 @@ class TradingAnalysis(Base): error: Mapped[str | None] = mapped_column(Text) started_at: Mapped[datetime] = mapped_column(DateTime(timezone=True), server_default=func.now()) finished_at: Mapped[datetime | None] = mapped_column(DateTime(timezone=True)) - # proposed（待执行器采纳）/ pending（挂单中）/ open（持仓中）/ closing（平仓中）/ closed / canceled（未成交即结束） - # / replaced（被新计划替换）/ stale（采纳前持仓已变，作废）/ applied（exit 决定已执行） + # proposed（待执行器采纳）/ pending（等待 5m 确认，sizing 有 entry 表示已触发）/ open（持仓中）/ closing（平仓中） + # / closed / canceled（未入场即结束）/ replaced（被新计划替换）/ stale（采纳前已有持仓或已触发，作废）/ applied（exit 决定已执行） plan_status: Mapped[str | None] = mapped_column(String(16)) valid_until: Mapped[datetime | None] = mapped_column(DateTime(timezone=True)) first_fill_at: Mapped[datetime | None] = mapped_column(DateTime(timezone=True)) diff --git a/backend/src/alphapulse/trading/analyst.py b/backend/src/alphapulse/trading/analyst.py index 132bde6..fd3f2bf 100644 --- a/backend/src/alphapulse/trading/analyst.py +++ b/backend/src/alphapulse/trading/analyst.py @@ -1,4 +1,4 @@ -"""模拟盘分析器：为一个币的一个角度调用模型，产出经程序校验、可自动执行的交易计划。 +"""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。 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。 """ @@ -16,11 +16,12 @@ from sqlalchemy import select from alphapulse.ai import llm from alphapulse.ai.prompt import data_overview, estimate_tokens, skills_section from alphapulse.ai.tools import TOOLS, dump, local, run_tool +from alphapulse.api.market import client as market_client from alphapulse.core.db import SessionLocal from alphapulse.models import AiProvider, TradingAccount, TradingAnalysis, TradingEvent, TradingOrder, TradingSymbol from alphapulse.trading import plan as rules -from alphapulse.trading.client import OWN_CLIENT_ID, ExchangeError, mark_price, symbol_rules -from alphapulse.trading.plan import PlanContext, PlanError, TradePlan, size_plan +from alphapulse.trading.client import ExchangeError, mark_price, symbol_rules +from alphapulse.trading.plan import PlanContext, PlanError, TradePlan, atr, check_setup, parse_bars from alphapulse.trading.snapshot import read_snapshot logger = logging.getLogger("alphapulse.trading.analyst") @@ -29,54 +30,54 @@ READ_TOOLS = ("search_news", "get_news", "search_symbols", "get_klines", "get_ti # 最后一轮只开放 submit_trade_plan，逼模型给出结论 MAX_ROUNDS = 6 RECENT_DECISIONS = 2 -ANGLE_LABELS = {"short": "短线（24 小时内平仓）", "long": "长线（12–48 小时内平仓）"} DIRECTION_LABELS = {"long": "做多", "short": "做空"} CONFIDENCE_LABELS = {"high": "高", "medium": "中", "low": "低"} ACTION_LABELS = {"plan": "新计划", "keep": "维持当前计划", "exit": "结束当前计划", "wait": "观望"} -# 与 README 第 1 节一致：定方向和找区的周期、衍生品参数 -KLINE_INTERVALS = {"short": ("4h", "1h", "15m"), "long": ("1d", "4h", "1h")} -DERIVATIVES_PARAMS = {"short": ("1h", 24), "long": ("4h", 18)} +# 找区、确认的周期和衍生品参数（与 README 一致） +KLINE_INTERVALS = ("1d", "4h", "1h", "15m", "5m") +DERIVATIVES_PARAMS = ("1h", 24) def _pct(value: Decimal) -> str: return f"{(value * 100).normalize()}%" -INSTRUCTIONS = f"""你是 AlphaPulse 的模拟盘交易分析器：为一个币种的一个角度给出由程序自动执行的交易计划。 +def _ladder(direction: str) -> str: + sign = "+" if direction == "long" else "−" + steps = rules.TAKE_PROFIT_STEPS[direction] + return f"{' / '.join(sign + _pct(p) for p, _ in steps)} 分别平 {' / '.join(_pct(r) for _, r in steps)}" + + +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。 ## 任务 -- 只分析用户消息指定的币种和角度（短线或长线），不给另一个角度。 - 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： - - main/README 第 1 节「每次同时给出两个角度」不适用，只给指定角度。 - - main/README 第 8 节的输出表格不适用：用简短中文写出结论、用到的支撑区与压力区、依据（新闻、结构、衍生品）和风险；计划的数字只通过 submit_trade_plan 提交。 - - 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」，按 README 第 6 节做实时复核，不直接沿用旧点位。 - - main/README 5.4 的条件计划（突破回踩、事件落地后再入场等）不能直接挂单，改写成 reevaluate 条件：价格到达后程序会重新请你分析。 - - 数量由程序按交易资金计算，你只给价格、档位比例和置信度。 -- 用户消息里已预先取好实盘行情（ticker、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。 -- 新闻没有预取，必须按 main/README 第 3 节第 3 步用 search_news 检索相关新闻，并查清持仓时限内的重大数据及公布时间。 + - 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。 + - 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。 + - 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。 +- 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。 +- 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。 - 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。 -## 程序如何执行计划 -- 入场：每档一张限价单；到 entry_valid_hours 仍未成交的档位撤销。买单价高于现价（卖单价低于现价）会立即成交。 -- 止损：与入场单同时在交易所挂只减仓止损单（按标记价触发），首档成交即受保护。 -- 止盈：短线止盈 1 平一半、止盈 2 平剩余；长线 3 个止盈依次平 50% / 30% / 20%。止盈 1 成交后撤销剩余入场单，止损移到保本价。 -- invalidation（失效条件）：短线用 1m 或 15m 收盘，触发后程序立即市价平仓；长线只能用 4h 收盘，触发后程序请你复核。 -- 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、条件计划和需要复核的位置。 -- max_hold_hours 从首档成交起算，到时程序市价平仓。 +## 程序如何执行 +- 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。 + - 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。 + - 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。 + - 到 valid_hours 仍未触发则作废，并重新请你分析。 +- 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。 +- 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。 +- 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。 +- 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。 +- 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。 ## 程序的硬性校验 -- 短线 1 档入场、2 个止盈；长线 1–3 档入场、3 个止盈；入场比例之和为 1。 -- 做多：止损 < 失效价 < 所有入场价 < 止盈 1 < 止盈 2 < 止盈 3，且止损低于现价、止盈 1 高于现价；做空反过来。 -- 盈亏比 ≥ {rules.MIN_REWARD_RISK}：短线按止盈 1，长线按 50/30/20 加权（全部档位成交时）。 -- entry_valid_hours：短线 ≤ {rules.ENTRY_VALID_HOURS['short']}，长线 ≤ {rules.ENTRY_VALID_HOURS['long']}；max_hold_hours：短线 ≤ {rules.MAX_HOLD_HOURS['short']}，长线 ≤ {rules.MAX_HOLD_HOURS['long']}。 -- 每档入场的名义价值不低于交易所最小下单金额，不足时合并或删档。 -- 单笔风险为交易资金的 {_pct(rules.RISK_PCT['short'])}（短线）或 {_pct(rules.RISK_PCT['long'])}（长线），置信度低时减半；名义仓位合计不超过 {rules.MAX_LEVERAGE} 倍交易资金。这两条由程序计算数量来保证。 -- 有持仓时新计划的方向必须与持仓一致；要反手先用 exit。 +- 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」。 +- 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。 +- valid_hours ≤ {rules.SETUP_VALID_HOURS}。 ## 有持仓时 -- action=plan 只用来调整止损（只能收紧）、止盈、失效条件和 reevaluate：entries 留空，不加仓（README 第 10 节禁止计划外加仓）。止盈按当前持仓数量拆分；平仓截止时间沿用首档成交时确定的，不延长。 -- 计划仍然合适就用 keep；要提前结束用 exit（撤销未成交的入场单并市价平仓）。 -- 计划提交后由执行器在下一轮（约 2 秒内）按最新持仓核对后生效；期间持仓变了，计划作废并重新请你分析。 +- 持仓由程序按止损、止盈和持仓时限管理，你只能 keep（继续持有）或 exit（立即市价平仓），不能提交新计划。 +- 只有出现与持仓方向明显相反的重大消息或结构破坏时才 exit。 """ SUBMIT_SPEC = llm.ToolSpec( @@ -95,36 +96,44 @@ class Prepared: provider: AiProvider effort: str | None dry_run: bool - angle: str system: str user_text: str context: PlanContext - # 当前计划的仓位计算结果，提交时重算当前止损用 - current_sizing: dict | None def plan_brief(decision: dict, sizing: dict | None) -> dict: """给模型看的计划摘要：只留价格和状态，不带长段文字""" - brief = {k: decision.get(k) for k in ("action", "summary", "direction", "confidence", "stop", "entry_valid_hours", "max_hold_hours")} - brief["entries"] = [{"price": e["price"], "ratio": e["ratio"]} for e in decision.get("entries") or []] - brief["take_profits"] = [t["price"] for t in decision.get("take_profits") or []] - brief["invalidation"] = decision.get("invalidation") + brief = {k: decision.get(k) for k in ("action", "summary", "direction", "confidence", "setup", "valid_hours")} brief["reevaluate"] = [{k: c[k] for k in ("direction", "price", "timeframe")} for c in decision.get("reevaluate") or []] - if sizing: - brief["sizing"] = {k: sizing.get(k) for k in ("quantity", "notional", "risk_at_stop", "reward_risk")} + if sizing and "entry" in sizing: + brief["entry"] = {k: sizing["entry"][k] for k in ("triggered_at", "price", "stop", "quantity", "risk_at_stop")} return brief -async def prefetch(symbol: str, angle: str) -> str: +async def confirm_atr(symbol: str) -> Decimal: + """最近已收盘 5m K 线的 ATR14，用于预估止损""" + bars = parse_bars(await market_client.get("um", "klines", {"symbol": symbol, "interval": rules.CONFIRM_INTERVAL, "limit": rules.ATR_PERIOD + 2})) + now_ms = datetime.now(UTC).timestamp() * 1000 + return atr([b for b in bars if b.close_time < now_ms]) + + +async def prefetch(symbol: str) -> str: """预取行情：工具出错时把错误原样放进消息，不中断分析""" - period, limit = DERIVATIVES_PARAMS[angle] + period, limit = DERIVATIVES_PARAMS calls = [("get_ticker", {"symbol": symbol})] - calls += [("get_klines", {"symbol": symbol, "interval": i, "limit": 200}) for i in KLINE_INTERVALS[angle]] + calls += [("get_klines", {"symbol": symbol, "interval": i, "limit": 200}) for i in KLINE_INTERVALS] calls.append(("get_derivatives", {"symbol": symbol, "period": period, "limit": limit})) outcomes = await asyncio.gather(*(run_tool(name, args) for name, args in calls)) return "\n\n".join(f"### {name} {json.dumps(args, ensure_ascii=False)}\n{o.result}" for (name, args), o in zip(calls, outcomes, strict=True)) +def position_side(snapshot: dict, symbol: str) -> str | None: + position = next((p for p in snapshot["positions"] if p["symbol"] == symbol), None) + if position is None: + return None + return "long" if position["side"] == "LONG" else "short" + + async def prepare(symbol: str, reasons: list[str], analysis_id: int) -> Prepared: async with SessionLocal() as session: account = await session.get(TradingAccount, 1) @@ -157,7 +166,7 @@ async def prepare(symbol: str, reasons: list[str], analysis_id: int) -> Prepared )).all() ] if current else [] system = "\n\n".join([INSTRUCTIONS, "## 数据概况", await data_overview(session), await skills_section(session)]) - angle, dry_run = target.angle, not account.running + dry_run = not account.running effort = account.reasoning_effort or provider.reasoning_effort snapshot = await read_snapshot() @@ -170,26 +179,25 @@ async def prepare(symbol: str, reasons: list[str], analysis_id: int) -> Prepared symbol_rules_ = await symbol_rules(symbol) mark = await mark_price(symbol) context = PlanContext( - angle=angle, mark_price=mark, capital=capital, other_notional=other_notional, rules=symbol_rules_, has_plan=current is not None, - position_side=None, + mark_price=mark, capital=capital, other_notional=other_notional, rules=symbol_rules_, atr=await confirm_atr(symbol), + has_plan=current is not None, position_side=position_side(snapshot, symbol), ) - apply_position(context, snapshot, symbol, current.sizing if current else None) orders = [o for o in snapshot["orders"] + snapshot["algo_orders"] if o["symbol"] == symbol] - risk = capital * rules.RISK_PCT[angle] + risk = capital * rules.RISK_PCT lines = [ "## 任务", f"- 币种：{symbol}（币安 U 本位永续）", - f"- 角度：{ANGLE_LABELS[angle]}", f"- 触发原因：{'；'.join(reasons)}", f"- 运行模式：{'试运行（引擎已停止，计划只记录、不下单）' if dry_run else '交易中（计划会在模拟盘执行）'}", "", "## 账户（程序据此计算数量）", f"- 交易资金：{capital:.2f} USDT（设定 {account.capital_usdt} USDT，账户权益 {equity:.2f} USDT，取较小者）", - f"- 本次单笔风险金额：{risk:.2f} USDT（{_pct(rules.RISK_PCT[angle])}；置信度低时 {risk * rules.LOW_CONFIDENCE_FACTOR:.2f}）", + f"- 本次单笔风险金额：{risk:.2f} USDT（{_pct(rules.RISK_PCT)}；置信度低时 {risk * rules.LOW_CONFIDENCE_FACTOR:.2f}）", f"- 可用名义仓位：{capital * rules.MAX_LEVERAGE - other_notional:.2f} USDT（{rules.MAX_LEVERAGE} 倍交易资金减去交易列表其他币的持仓 {other_notional:.2f}）", f"- 模拟盘交易规则：价格精度 {symbol_rules_.tick_size}，数量精度 {symbol_rules_.step_size}，最小下单金额 {symbol_rules_.min_notional} USDT", f"- 模拟盘标记价：{mark}（校验以此为准；行情数据来自实盘，两者通常相差不到 0.1%）", + f"- 最近已收盘 5m K 线的 ATR14：{context.atr:.{max(0, -symbol_rules_.tick_size.as_tuple().exponent)}f}（程序按它计算止损）", "", "## 当前持仓与挂单（模拟盘）", f"- 持仓：{dump(position) if position else '无'}", @@ -201,7 +209,6 @@ async def prepare(symbol: str, reasons: list[str], analysis_id: int) -> Prepared "valid_until": current.valid_until and local(current.valid_until), "first_fill_at": current.first_fill_at and local(current.first_fill_at), "close_deadline": current.close_deadline and local(current.close_deadline), - "current_stop": str(context.current_stop) if context.current_stop else None, "fills": fills, **plan_brief(current.decision, current.sizing), }) if current else "无", @@ -210,30 +217,9 @@ async def prepare(symbol: str, reasons: list[str], analysis_id: int) -> Prepared *([f"- {local(a.started_at)}{'（试运行）' if a.dry_run else ''}：{dump(plan_brief(a.decision, a.sizing))}" for a in recent] or ["无"]), "", "## 预取的行情（实盘数据，已取，不要用相同参数重复调用）", - await prefetch(symbol, angle), + await prefetch(symbol), ] - return Prepared(provider=provider, effort=effort, dry_run=dry_run, angle=angle, system=system, user_text="\n".join(lines), - context=context, current_sizing=current.sizing if current else None) - - -def apply_position(context: PlanContext, snapshot: dict, symbol: str, current_sizing: dict | None) -> None: - """按快照填入持仓与当前止损。当前止损取交易所上本程序止损单里最紧的一张（可能已移到保本价），没有则取当前计划的止损""" - position = next((p for p in snapshot["positions"] if p["symbol"] == symbol), None) - if position is None: - context.position_side, context.position_qty, context.position_entry, context.current_stop = None, Decimal(0), None, None - return - side = "long" if position["side"] == "LONG" else "short" - close_side = "SELL" if side == "long" else "BUY" - stops = [ - Decimal(o["trigger_price"]) for o in snapshot["algo_orders"] - if o["symbol"] == symbol and o["side"] == close_side and o["type"].startswith("STOP") and OWN_CLIENT_ID.match(o["client_id"]) - ] - if stops: - current_stop = max(stops) if side == "long" else min(stops) - else: - current_stop = Decimal(current_sizing["stop"]) if current_sizing else None - context.position_side, context.position_qty = side, Decimal(position["amount"]) - context.position_entry, context.current_stop = Decimal(position["entry_price"]), current_stop + return Prepared(provider=provider, effort=effort, dry_run=dry_run, system=system, user_text="\n".join(lines), context=context) async def complete(prepared: Prepared, messages: list[dict], tools: list[llm.ToolSpec]) -> llm.Completion: @@ -253,12 +239,11 @@ def describe(plan: TradePlan, sizing: dict, dry_run: bool) -> str: prefix = "试运行" if dry_run else "" if plan.action != "plan": return f"{prefix}{ACTION_LABELS[plan.action]}：{plan.summary}" - entries = "、".join(f"{e['price']}×{e['quantity']}" for e in sizing["entries"]) - targets = " / ".join(t["price"] for t in sizing["take_profits"]) + setup, estimate = sizing["setup"], sizing["estimate"] return ( - f"{prefix}计划：{DIRECTION_LABELS[plan.direction]}，置信度{CONFIDENCE_LABELS[plan.confidence]}；入场 {entries}，" - f"止损 {sizing['stop']}，止盈 {targets}；止损亏损 {sizing['risk_at_stop']} USDT（交易资金的 {sizing['risk_pct']}%），" - f"盈亏比 {sizing['reward_risk']}（仅首档 {sizing['reward_risk_first_only']}）。{plan.summary}" + f"{prefix}待确认入场：{DIRECTION_LABELS[plan.direction]}，置信度{CONFIDENCE_LABELS[plan.confidence]}；" + f"区间 {setup['zone_low']}–{setup['zone_high']}，5m 收盘{'≥' if plan.direction == 'long' else '≤'} {setup['confirm_price']} 入场，" + 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}" ) @@ -267,13 +252,14 @@ async def submit(prepared: Prepared, symbol: str, analysis_id: int, arguments: d plan = TradePlan.model_validate(arguments) except ValidationError as e: return dump({"error": "参数无效", "details": e.errors(include_url=False)}), None - # 分析可能持续几分钟，按提交时的标记价和持仓校验 + # 分析可能持续几分钟，按提交时的标记价、持仓和 ATR 校验 prepared.context.mark_price = await mark_price(symbol) + prepared.context.atr = await confirm_atr(symbol) snapshot = await read_snapshot() if snapshot: - apply_position(prepared.context, snapshot, symbol, prepared.current_sizing) + prepared.context.position_side = position_side(snapshot, symbol) try: - sizing = size_plan(plan, prepared.context) + sizing = check_setup(plan, prepared.context) except PlanError as e: await add_event(symbol, analysis_id, "plan_rejected", f"计划未通过校验，已退回模型修正：{'；'.join(e.errors)}", "warn") return dump({"error": "计划未通过校验", "details": e.errors, "mark_price": str(prepared.context.mark_price)}), None @@ -284,11 +270,7 @@ async def run_analysis(symbol: str, reasons: list[str]) -> None: """一次完整的分析；结果和失败原因都写进 trading_analyses 和时间线，不向外抛出""" async with SessionLocal() as session: account = await session.get(TradingAccount, 1) - target = await session.get(TradingSymbol, symbol) - analysis = TradingAnalysis( - symbol=symbol, angle=target.angle if target else "long", reasons=reasons, - dry_run=not (account and account.running), status="running", - ) + analysis = TradingAnalysis(symbol=symbol, reasons=reasons, dry_run=not (account and account.running), status="running") session.add(analysis) await session.commit() analysis_id, dry_run = analysis.id, analysis.dry_run diff --git a/backend/src/alphapulse/trading/executor.py b/backend/src/alphapulse/trading/executor.py index b018c00..88974d3 100644 --- a/backend/src/alphapulse/trading/executor.py +++ b/backend/src/alphapulse/trading/executor.py @@ -2,9 +2,9 @@ 每轮对交易列表里的每个币： 1. 同步订单流水与交易所（成交、撤销、触发）。 -2. 采纳分析器提交的新计划（按最新持仓核对，过时则作废重算）。 -3. 推进计划状态，执行程序规则：到期、时间止损、失效条件、复核条件、无计划持仓。 -4. 算出应有订单与现有订单对比：先挂止损，再撤多余，最后补缺（撤了旧入场单的这一轮不挂新入场单）。 +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）。 +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。 +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）。 """ import asyncio @@ -23,7 +23,10 @@ from alphapulse.core.db import SessionLocal from alphapulse.market.binance import BinanceClient from alphapulse.models import TradingAccount, TradingAnalysis, TradingEvent, TradingOrder, TradingSymbol from alphapulse.trading.client import OWN_CLIENT_ID, DemoClient, ExchangeError, mark_price, symbol_rules -from alphapulse.trading.plan import MAX_HOLD_HOURS, OrderSpec, SymbolRules, condition_met, desired_orders, diff_orders, round_to_step +from alphapulse.trading.plan import ( + CONFIRM_INTERVAL, MAX_HOLD_HOURS, TAKE_PROFIT_STEPS, Bar, OrderSpec, PlanError, SymbolRules, atr, condition_met, desired_orders, + diff_orders, parse_bars, round_to_step, scan_setup, setup_stop, size_entry, +) from alphapulse.trading.schedule import request_analysis logger = logging.getLogger("alphapulse.trading.executor") @@ -37,12 +40,15 @@ SUBMIT_GRACE_SECONDS = 10 STOP_FAILURE_LIMIT = 3 # 同一错误的时间线事件间隔，避免刷屏 ERROR_EVENT_SECONDS = 600 +# 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 +CONFIRM_BARS = 40 ORDER_STATUSES = {"NEW": "new", "PARTIALLY_FILLED": "partially_filled", "FILLED": "filled", "CANCELED": "canceled", "EXPIRED": "expired", "EXPIRED_IN_MATCH": "expired", "REJECTED": "rejected"} PURPOSE_LABELS = {"entry": "入场", "tp": "止盈", "stop": "止损", "close": "市价平仓"} -CLOSE_REASON_LABELS = {"stop": "止损", "take_profit": "止盈", "time": "到达持仓时限", "invalidation": "短线失效条件触发", - "exit": "模型决定结束", "external": "外部平仓（如在网页手动平仓）", "stop_failed": "止损挂单失败", - "close": "市价平仓"} +CLOSE_REASON_LABELS = {"stop": "止损", "take_profit": "止盈", "time": "到达持仓时限", "exit": "模型决定结束", + "external": "外部平仓（如在网页手动平仓）", "stop_failed": "止损挂单失败", "close": "市价平仓"} +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", + "skipped": "放弃入场", "entry_failed": "入场失败"} @dataclass @@ -74,8 +80,10 @@ class Executor: self.error_events: dict[str, float] = {} # (symbol, 周期) -> (下一根收盘时间 ms, 最近收盘价) self.kline_cache: dict[tuple[str, str], tuple[int, Decimal]] = {} - # 已请模型接管的无计划持仓：symbol -> 持仓均价，同一笔持仓只请求一次 - self.takeover_requested: dict[str, Decimal] = {} + # symbol -> (下一根收盘时间 ms, 最近的 5m K 线) + self.bars_cache: dict[str, tuple[int, list[Bar]]] = {} + # 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 + self.unmanaged_noticed: dict[str, Decimal] = {} # ---------- 基础 ---------- @@ -114,6 +122,16 @@ class Executor: self.kline_cache[(symbol, interval)] = (next_close, Decimal(closed[4])) return Decimal(closed[4]) + async def confirm_bars(self, symbol: str) -> list[Bar]: + """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""" + now_ms = int(time.time() * 1000) + cached = self.bars_cache.get(symbol) + if cached and now_ms < cached[0]: + return cached[1] + bars = parse_bars(await self.market.get("um", "klines", {"symbol": symbol, "interval": CONFIRM_INTERVAL, "limit": CONFIRM_BARS})) + self.bars_cache[symbol] = (bars[-1].close_time + 1, bars) + return bars + async def condition_met(self, symbol: str, condition: dict, mark: Decimal) -> tuple[bool, Decimal]: price = mark if condition["timeframe"] == "mark" else await self.last_close(symbol, condition["timeframe"]) return condition_met(condition["direction"], Decimal(condition["price"]), price), price @@ -223,15 +241,13 @@ class Executor: return if row.filled_qty > before: delta = row.filled_qty - before - leg = f"第 {row.leg + 1} 档" if row.purpose == "entry" else (f" {row.leg + 1} " if row.purpose == "tp" else "") + leg = f" {row.leg + 1} " if row.purpose == "tp" else "" session.add(TradingEvent( symbol=row.symbol, analysis_id=row.analysis_id, kind=f"{row.purpose}_filled", level="warn" if row.purpose == "stop" else "info", message=f"{PURPOSE_LABELS[row.purpose]}{leg}成交 {fmt(delta)} @ {row.avg_price}", data={"order_id": row.id, "quantity": fmt(delta)}, )) - if row.purpose == "tp": - await request_analysis(session, row.symbol, f"止盈 {row.leg + 1} 成交") # ---------- 计划 ---------- @@ -260,27 +276,26 @@ class Executor: close_side = "SELL" if position.side == "long" else "BUY" await self.place(session, client, symbol.symbol, proposal.id, "close", OrderSpec("close", None, close_side, "MARKET", None, None, position.qty)) return current + # 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） qty = position.qty if position else Decimal(0) - expected = Decimal(proposal.sizing["position_qty"]) - if qty != expected or (current is not None and current.plan_status == "closing"): + if qty > 0 or (current is not None and (current.plan_status != "pending" or "entry" in current.sizing)): proposal.plan_status = "stale" - reason = "计划正在平仓" if current is not None and current.plan_status == "closing" else f"持仓已从 {fmt(expected)} 变为 {fmt(qty)}" + 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") session.add(TradingEvent(symbol=symbol.symbol, analysis_id=proposal.id, kind="plan_stale", level="warn", message=f"计划未采纳：{reason}")) - await request_analysis(session, symbol.symbol, "持仓变化，计划作废重算") return current if current is not None: current.plan_status, current.close_reason, current.closed_at = "replaced", "replaced", now - if qty > 0: - proposal.plan_status = "open" - proposal.first_fill_at = current.first_fill_at if current and current.first_fill_at else now - # 持仓时限沿用原计划，不延长；接管无计划持仓时从现在起算 - proposal.close_deadline = current.close_deadline if current and current.close_deadline else now + timedelta(hours=MAX_HOLD_HOURS[symbol.angle]) - else: - proposal.plan_status = "pending" - proposal.valid_until = now + timedelta(hours=float(proposal.decision["entry_valid_hours"])) - session.add(TradingEvent(symbol=symbol.symbol, analysis_id=proposal.id, kind="plan_adopted", - message=f"采纳计划 #{proposal.id}" + (f"，替换 #{current.id}" if current else ""))) + proposal.plan_status = "pending" + proposal.valid_until = now + timedelta(hours=float(proposal.decision["valid_hours"])) + setup = proposal.sizing["setup"] + side = "做多" if proposal.sizing["direction"] == "long" else "做空" + session.add(TradingEvent( + symbol=symbol.symbol, analysis_id=proposal.id, kind="plan_adopted", + message=f"采纳计划 #{proposal.id}" + (f"，替换 #{current.id}" if current else "") + + f"：等待 5m 确认{side}（区间 {setup['zone_low']}–{setup['zone_high']}，确认价 {setup['confirm_price']}），" + f"有效至 {proposal.valid_until.astimezone(LOCAL_TZ).strftime('%H:%M')}", + )) return proposal async def realized(self, client: DemoClient, symbol: str, since: datetime | None) -> dict | None: @@ -306,6 +321,13 @@ class Executor: message=f"计划 #{plan.id} 结束：{label}{net}", data=plan.result)) await request_analysis(session, plan.symbol, f"平仓（{label}）") + async def cancel_plan(self, session: AsyncSession, plan: TradingAnalysis, reason: str, detail: str, level: str = "info") -> None: + """未入场的计划撤销，排队重新分析（停止交易时 request_analysis 不排队）""" + plan.plan_status, plan.close_reason, plan.closed_at = "canceled", reason, utcnow() + session.add(TradingEvent(symbol=plan.symbol, analysis_id=plan.id, kind="plan_canceled", level=level, + message=f"计划 #{plan.id} 撤销：{detail}")) + await request_analysis(session, plan.symbol, f"计划撤销（{CANCEL_REASON_LABELS[reason]}）") + async def start_closing(self, session: AsyncSession, plan: TradingAnalysis, reason: str, detail: str = "") -> None: plan.plan_status, plan.close_reason = "closing", reason session.add(TradingEvent(symbol=plan.symbol, analysis_id=plan.id, kind="plan_closing", level="warn", @@ -323,7 +345,8 @@ class Executor: # ---------- 对账 ---------- - async def reconcile(self, session: AsyncSession, client: DemoClient, symbol: TradingSymbol, running: bool, position: Position | None) -> None: + async def reconcile(self, session: AsyncSession, client: DemoClient, symbol: TradingSymbol, running: bool, position: Position | None, + other_notional: Decimal) -> None: name = symbol.symbol rules = await symbol_rules(name) open_orders = {o["clientOrderId"]: o for o in await client.request("GET", "/fapi/v1/openOrders", {"symbol": name})} @@ -362,7 +385,7 @@ class Executor: if row.purpose == "stop": await self.cancel(client, row) if position is None: - self.takeover_requested.pop(name, None) + self.unmanaged_noticed.pop(name, None) elif running: await self.unmanaged(session, client, name, position, open_algos) if running: @@ -380,32 +403,33 @@ class Executor: plan_rows = list((await session.scalars(select(TradingOrder).where(TradingOrder.analysis_id == plan.id))).all()) if plan.plan_status == "pending": - if qty > 0: + entry_rows = [r for r in plan_rows if r.purpose == "entry"] + # 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 + if qty > 0 or any(r.filled_qty > 0 for r in entry_rows): plan.plan_status, plan.first_fill_at = "open", now - plan.close_deadline = now + timedelta(hours=float(plan.decision["max_hold_hours"])) + plan.close_deadline = now + timedelta(hours=MAX_HOLD_HOURS) session.add(TradingEvent(symbol=name, analysis_id=plan.id, kind="plan_open", - message=f"首档成交，计划 #{plan.id} 进入持仓；最晚 {plan.close_deadline.astimezone(LOCAL_TZ).strftime('%m-%d %H:%M')} 平仓")) - await request_analysis(session, name, "首档成交") - elif now >= plan.valid_until or not running: - plan.plan_status, plan.closed_at = "canceled", now - plan.close_reason = "expired" if running else "stopped" - session.add(TradingEvent(symbol=name, analysis_id=plan.id, kind="plan_canceled", - message=f"计划 #{plan.id} 撤销：{'入场单到期未成交' if running else '已停止交易，撤销未成交的入场单'}")) - if running: - await request_analysis(session, name, "计划到期未成交") + 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") + elif not running: + await self.cancel_plan(session, plan, "stopped", "已停止交易") + 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) elif plan.plan_status == "open": if qty == 0: await self.finish(session, client, plan, plan_rows) elif now >= plan.close_deadline: await self.start_closing(session, plan, "time") - else: - await self.check_invalidation(session, plan, position) elif plan.plan_status == "closing" and qty == 0: await self.finish(session, client, plan, plan_rows) await session.commit() if plan.plan_status in LIVE_PLAN_STATUSES: - await self.sync_orders(session, client, plan, plan_rows, position, running, rules, stale_entry_canceled) + await self.sync_orders(session, client, plan, plan_rows, position, 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: @@ -418,17 +442,48 @@ class Executor: await self.check_reevaluate(session, name, position.mark if position else None) await session.commit() - async def check_invalidation(self, session: AsyncSession, plan: TradingAnalysis, position: Position) -> None: - condition = plan.decision["invalidation"] - met, price = await self.condition_met(plan.symbol, condition, position.mark) - if not met: + 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 - detail = f"（{condition['timeframe']} 收盘 {fmt(price)} {'高于' if condition['direction'] == 'above' else '低于'} {condition['price']}）" - if plan.angle == "short": - await self.start_closing(session, plan, "invalidation", detail) - else: - await self.review_once(session, plan.id, plan.symbol, "invalidation_review", 0, - f"长线失效条件触发{detail}，请模型复核", f"失效条件触发{detail}") + 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""" @@ -447,15 +502,14 @@ class Executor: await self.review_once(session, latest.id, symbol, "reevaluate_triggered", i, f"复核条件满足：{text}", f"复核条件满足：{text}") async def unmanaged(self, session: AsyncSession, client: DemoClient, symbol: str, position: Position, open_algos: dict) -> None: - """有持仓但没有计划：有止损就请模型接管，没有止损就市价平仓""" + """有持仓但没有计划：有止损就只提示，没有止损就市价平仓""" close_side = "SELL" if position.side == "long" else "BUY" has_stop = any(o["side"] == close_side and o["orderType"].startswith("STOP") for o in open_algos.values()) if has_stop: - if self.takeover_requested.get(symbol) != position.entry: - self.takeover_requested[symbol] = position.entry + if self.unmanaged_noticed.get(symbol) != position.entry: + self.unmanaged_noticed[symbol] = position.entry session.add(TradingEvent(symbol=symbol, kind="unmanaged_position", level="warn", - message=f"{symbol} 有持仓 {fmt(position.qty)} 和止损但没有计划，请模型接管")) - await request_analysis(session, symbol, "有持仓但没有计划，请接管") + message=f"{symbol} 有持仓 {fmt(position.qty)} 和止损但没有计划：程序不管理，由止损保护")) return closing = await session.scalar(select(func.count()).where( TradingOrder.symbol == symbol, TradingOrder.purpose == "close", TradingOrder.status.in_(ACTIVE_ORDER_STATUSES), @@ -467,22 +521,11 @@ 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, running: bool, rules: SymbolRules, block_entries: bool) -> None: + position: Position | None, rules: SymbolRules, block_entries: bool) -> None: sizing = plan.sizing qty = position.qty if position else Decimal(0) - n_entries, n_tps = len(sizing["entries"]), len(sizing["take_profits"]) - entry_filled = [sum((r.filled_qty for r in plan_rows if r.purpose == "entry" and r.leg == i), Decimal(0)) for i in range(n_entries)] - tp_filled = [sum((r.filled_qty for r in plan_rows if r.purpose == "tp" and r.leg == j), Decimal(0)) for j in range(n_tps)] - tp1_hit = tp_filled[0] > 0 - stop = Decimal(sizing["stop"]) - if tp1_hit and position is not None: - # 止盈 1 后止损移到保本价：做多向上取整、做空向下取整，保证不亏；只收紧不放宽 - long = sizing["direction"] == "long" - break_even = round_to_step(position.break_even, rules.tick_size, ROUND_CEILING if long else ROUND_FLOOR) - stop = max(stop, break_even) if long else min(stop, break_even) - - active = [r for r in plan_rows if r.status in ACTIVE_ORDER_STATUSES and r.purpose in ("entry", "stop", "tp")] long = sizing["direction"] == "long" + active = [r for r in plan_rows if r.status in ACTIVE_ORDER_STATUSES and r.purpose in ("entry", "stop", "tp")] if plan.plan_status == "closing": # 平仓中：撤入场和止盈，保留已有止损直到市价平仓成交（止损可能正因越过现价挂不上，不再补挂） for row in active: @@ -492,10 +535,23 @@ 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 - entries_open = running and utcnow() < (plan.valid_until or utcnow()) and not tp1_hit - desired = desired_orders(sizing, entries_open=entries_open, entry_filled=entry_filled, tp_filled=tp_filled, - position_qty=qty, stop_price=stop, step_size=rules.step_size) + entry_rows = [r for r in plan_rows if r.purpose == "entry"] + 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) + 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"]) + if tp_filled[0] > 0 and position is not None: + # 止盈 1 后止损移到保本价：做多向上取整、做空向下取整，保证不亏；只收紧不放宽 + 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, + 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) @@ -515,7 +571,7 @@ class Executor: for row in to_cancel: await self.cancel(client, row) canceled_entry = canceled_entry or row.purpose == "entry" - # 3. 补止盈；入场单只在本轮没有撤旧入场单、且止损在场时挂 + # 3. 补止盈；入场单只在本轮没有撤旧入场单、且止损在场时下 has_stop = any(r.purpose == "stop" for r in active if r not in to_cancel) or any(d.purpose == "stop" for d in to_place) for spec in [d for d in to_place if d.purpose == "tp"]: await self.place(session, client, plan.symbol, plan.id, "tp", spec) @@ -552,9 +608,11 @@ 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)) + await self.reconcile(session, client, symbol, account.running, positions.get(symbol.symbol), other_notional) except ExchangeError as e: await session.rollback() await self.report(session, symbol.symbol, f"对账失败：{e}") diff --git a/backend/src/alphapulse/trading/plan.py b/backend/src/alphapulse/trading/plan.py index fdad159..c5f6f10 100644 --- a/backend/src/alphapulse/trading/plan.py +++ b/backend/src/alphapulse/trading/plan.py @@ -1,6 +1,7 @@ -"""交易计划的纯计算：模型提交的计划参数、校验、价格取整、仓位计算、止盈拆分。 +"""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。 -下方常量与 main/README 第 1、2 节的数字重复，并写进了分析器的提示词；改 README 时要同步修改。 +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。 +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。 """ from dataclasses import dataclass @@ -10,31 +11,31 @@ from typing import Annotated, Literal from pydantic import BaseModel, Field -Angle = Literal["short", "long"] Direction = Literal["long", "short"] # 所有币合计每天（北京时间）最多自动分析的次数 DAILY_ANALYSIS_LIMIT = 60 -RISK_PCT = {"short": Decimal("0.01"), "long": Decimal("0.02")} +RISK_PCT = Decimal("0.01") LOW_CONFIDENCE_FACTOR = Decimal("0.5") MAX_LEVERAGE = 3 -MIN_REWARD_RISK = Decimal("1.5") -ENTRY_VALID_HOURS = {"short": 4, "long": 24} -MAX_HOLD_HOURS = {"short": 24, "long": 48} -# 入场档数（最少，最多） -ENTRY_COUNT = {"short": (1, 1), "long": (1, 3)} -# 止盈档数由角度决定：短线止盈 1 平一半、止盈 2 平剩余；长线 50/30/20 -TAKE_PROFIT_RATIOS = {"short": (Decimal("0.5"), Decimal("0.5")), "long": (Decimal("0.5"), Decimal("0.3"), Decimal("0.2"))} -# 短线失效立即市价平仓，要用短周期；长线等 4h 收盘后复核 -INVALIDATION_TIMEFRAMES = {"short": ("1m", "15m"), "long": ("4h",)} +# 待确认入场的最长有效小时数；成交后的最长持仓小时数 +SETUP_VALID_HOURS = 2 +MAX_HOLD_HOURS = 4 +CONFIRM_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 +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 +TAKE_PROFIT_STEPS: dict[str, tuple[tuple[Decimal, Decimal], ...]] = { + "long": ((Decimal("0.005"), Decimal("0.6")), (Decimal("0.0075"), Decimal("0.3")), (Decimal("0.01"), Decimal("0.1"))), + "short": ((Decimal("0.005"), Decimal("0.8")), (Decimal("0.0075"), Decimal("0.2"))), +} MAX_REEVALUATE = 4 -# 开仓、止损都按吃单手续费估算（C1 实测 taker 0.04%） +# 入场（市价）和止损都按吃单手续费估算（C1 实测 taker 0.04%） TAKER_FEE_RATE = Decimal("0.0004") -# 模拟盘 PERCENT_PRICE：买单价不高于标记价 × 1.05，卖单价不低于标记价 × 0.95 -PERCENT_PRICE_LIMIT = Decimal("0.05") -RATIO_TOLERANCE = Decimal("0.001") -# 例行分析周期（小时）：短线跟 1h、长线跟 4h 收盘 -ROUTINE_HOURS = {"short": 1, "long": 4} +# 例行分析周期：跟 1h 收盘 +ROUTINE_HOURS = 1 # 同一个币两次自动分析的最短间隔 MIN_ANALYSIS_GAP = timedelta(minutes=10) @@ -45,45 +46,38 @@ class Condition(BaseModel): direction: Annotated[Literal["above", "below"], Field(description="above：价格高于 price 时满足；below：低于时满足")] price: Price timeframe: Annotated[ - Literal["mark", "1m", "15m", "1h", "4h"], + Literal["mark", "1m", "5m", "15m", "1h", "4h"], Field(description="mark：标记价触及即满足；其他：该周期 K 线收盘价满足才算"), ] basis: Annotated[str, Field(description="依据，如对应的支撑区、压力区")] -class Entry(BaseModel): - price: Price - ratio: Annotated[Decimal, Field(gt=0, le=1, description="占总仓位的比例，所有档位之和为 1")] - basis: str - - -class TakeProfit(BaseModel): - price: Price - basis: str +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" + ))] + 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")] class TradePlan(BaseModel): """submit_trade_plan 的参数""" action: Annotated[Literal["plan", "keep", "exit", "wait"], Field(description=( - "plan：给出新计划（替换当前计划）；keep：当前计划不变；" - "exit：结束当前计划，撤销未成交的入场单，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）" + "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）" ))] 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]")] - risks: Annotated[str, Field(description="持仓时限内的重大事件及时间、与结论相反的信号")] + risks: Annotated[str, Field(description="有效期和持仓时限内的重大事件及时间、与结论相反的信号")] reevaluate: Annotated[list[Condition], Field(max_length=MAX_REEVALUATE, description=( - "满足任一条件时程序重新请你分析：用来表达另一侧方向、突破回踩等条件计划、需要复核的位置。提交时不能已经满足" + "满足任一条件时程序重新请你分析：用来表达另一侧方向、需要重新划区的位置。提交时不能已经满足" ))] = [] direction: Direction | None = None confidence: Literal["high", "medium", "low"] | None = None - entries: Annotated[list[Entry] | None, Field(description="入场限价单，每档一张")] = None - stop: Annotated[Price | None, Field(description="统一止损价")] = None - stop_basis: str | None = None - take_profits: Annotated[list[TakeProfit] | None, Field(description="按价格由近到远排列")] = None - entry_valid_hours: Annotated[Decimal | None, Field(gt=0, description="入场单有效小时数，到期未成交的档位撤销")] = None - max_hold_hours: Annotated[Decimal | None, Field(gt=0, description="首档成交起最长持仓小时数，到时市价平仓")] = None - invalidation: Annotated[Condition | None, Field(description="失效条件：做多为 below，做空为 above")] = 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 @dataclass @@ -95,20 +89,34 @@ class SymbolRules: @dataclass class PlanContext: - angle: Angle mark_price: Decimal # min(设定的交易资金, 账户权益) capital: Decimal # 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 + atr: Decimal has_plan: bool position_side: Direction | None - position_qty: Decimal = Decimal(0) - # 持仓均价 - position_entry: Decimal | None = None - # 当前生效的止损价（可能已移到保本价）；新计划只能收紧 - current_stop: Decimal | None = None + + +@dataclass(frozen=True) +class Bar: + open_time: int + # 币安的 close_time：收盘前 1 毫秒 + close_time: int + high: Decimal + low: Decimal + 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): @@ -130,10 +138,95 @@ def split_take_profits(quantity: Decimal, ratios: tuple[Decimal, ...], step: Dec return [*parts, quantity - sum(parts, Decimal(0))] -def reward_risk(entry: Decimal, stop: Decimal, targets: list[Decimal], ratios: tuple[Decimal, ...]) -> Decimal: - """综合盈亏比 = Σ(止盈比例 × |止盈价 − 入场价|) ÷ |入场价 − 止损价|，与 README 第 4 节一致（不含手续费）""" - reward = sum((r * abs(t - entry) for t, r in zip(targets, ratios, strict=True)), Decimal(0)) - return reward / abs(entry - stop) +def parse_bars(rows: list[list]) -> list[Bar]: + """币安 klines 原始行""" + return [Bar(int(r[0]), int(r[6]), Decimal(r[2]), Decimal(r[3]), Decimal(r[4])) for r in rows] + + +def atr(bars: list[Bar], period: int = ATR_PERIOD) -> Decimal: + """最后 period 根的真实波幅简单平均，与 get_klines 的 atr14 口径一致""" + if len(bars) < period + 1: + raise ValueError(f"计算 ATR 需要至少 {period + 1} 根 K 线，现有 {len(bars)} 根") + recent = bars[-period - 1:] + ranges = [max(b.high - b.low, abs(b.high - prev.close), abs(b.low - prev.close)) for prev, b in zip(recent, recent[1:], strict=False)] + 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""" + 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) + + +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""" + 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}"]) + 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}%"]) + 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 + if max_notional <= 0: + raise PlanError([f"交易列表其他币的名义仓位 {other_notional:.2f} 已达到 {MAX_LEVERAGE} 倍交易资金，不能开新仓"]) + by_risk = risk_amount / unit_loss + by_leverage = max_notional / price + quantity = round_to_step(min(by_risk, by_leverage), rules.step_size, ROUND_FLOOR) + notional = quantity * price + if notional < rules.min_notional: + raise PlanError([f"数量 {quantity} 的名义价值 {notional:.2f} USDT 低于最小下单金额 {rules.min_notional} USDT"]) + risk_at_stop = quantity * unit_loss + return { + "price": str(price), + "stop": str(stop), + "stop_pct": str((stop_pct * 100).quantize(Decimal("0.01"))), + "quantity": str(quantity), + "notional": str(notional.quantize(Decimal("0.01"))), + "leverage": str((notional / capital).quantize(Decimal("0.01"))), + "risk_amount": str(risk_amount.quantize(Decimal("0.01"))), + "risk_at_stop": str(risk_at_stop.quantize(Decimal("0.01"))), + "risk_pct": str((risk_at_stop / capital * 100).quantize(Decimal("0.01"))), + "capped_by_leverage": by_leverage < by_risk, + } + + +def take_profit_targets(direction: Direction, average: Decimal, quantity: Decimal, rules: SymbolRules) -> list[tuple[Decimal, Decimal]]: + """止盈阶梯（价格，数量）：价格 = 成交均价 ×（1 ± 涨跌幅），向靠近均价的方向取整；数量按比例拆分""" + steps = TAKE_PROFIT_STEPS[direction] + quantities = split_take_profits(quantity, tuple(r for _, r in steps), rules.step_size) + if direction == "long": + prices = [round_to_step(average * (1 + pct), rules.tick_size, ROUND_FLOOR) for pct, _ in steps] + else: + prices = [round_to_step(average * (1 - pct), rules.tick_size, ROUND_CEILING) for pct, _ in steps] + return list(zip(prices, quantities, strict=True)) def check_action(plan: TradePlan, ctx: PlanContext) -> list[str]: @@ -144,6 +237,8 @@ def check_action(plan: TradePlan, ctx: PlanContext) -> list[str]: errors.append("当前没有计划也没有持仓，不能用 exit，观望请用 wait") if plan.action == "wait" and (ctx.has_plan or ctx.position_side is not None): errors.append("有当前计划或持仓时不能用 wait：保留用 keep，结束用 exit") + if plan.action == "plan" and ctx.position_side is not None: + errors.append("已有持仓：持仓由程序按止损、止盈和持仓时限管理，只能 keep 或 exit") for i, c in enumerate(plan.reevaluate, 1): satisfied = ctx.mark_price > c.price if c.direction == "above" else ctx.mark_price < c.price if satisfied: @@ -151,221 +246,48 @@ def check_action(plan: TradePlan, ctx: PlanContext) -> list[str]: return errors -def check_plan_fields(plan: TradePlan, ctx: PlanContext) -> list[str]: - """action=plan 时的字段完整性、档数、比例、有效期。有持仓时只调整止损止盈等，不加仓""" - holding = ctx.position_side is not None - required = ("direction", "confidence", "stop", "take_profits", "invalidation") - if not holding: - required += ("entries", "entry_valid_hours", "max_hold_hours") - missing = [name for name in required if getattr(plan, name) is None] - if missing: - return [f"action=plan 时缺少：{', '.join(missing)}"] - errors = [] - angle = ctx.angle - label = "短线" if angle == "short" else "长线" - if holding: - if plan.entries: - errors.append("已有持仓，新计划不加仓：entries 须为空，只调整止损、止盈、失效条件和 reevaluate") - if plan.direction != ctx.position_side: - errors.append(f"已有{'多' if ctx.position_side == 'long' else '空'}头持仓，新计划方向必须一致；要反手请先用 exit") - if len(plan.take_profits) != len(TAKE_PROFIT_RATIOS[angle]): - errors.append(f"{label}须给 {len(TAKE_PROFIT_RATIOS[angle])} 个止盈，现为 {len(plan.take_profits)}") - if plan.invalidation.timeframe not in INVALIDATION_TIMEFRAMES[angle]: - errors.append(f"{label}失效条件的周期只能是 {'/'.join(INVALIDATION_TIMEFRAMES[angle])}") - return errors - low, high = ENTRY_COUNT[angle] - if not low <= len(plan.entries) <= high: - errors.append(f"{label}入场档数须为 {low}–{high}，现为 {len(plan.entries)}" if low != high else f"{label}只能 {low} 档入场，现为 {len(plan.entries)}") - if abs(sum((e.ratio for e in plan.entries), Decimal(0)) - 1) > RATIO_TOLERANCE: - errors.append("入场各档比例之和须为 1") - if len(plan.take_profits) != len(TAKE_PROFIT_RATIOS[angle]): - errors.append(f"{label}须给 {len(TAKE_PROFIT_RATIOS[angle])} 个止盈，现为 {len(plan.take_profits)}") - if plan.entry_valid_hours > ENTRY_VALID_HOURS[angle]: - errors.append(f"{label} entry_valid_hours 不能超过 {ENTRY_VALID_HOURS[angle]}") - if plan.max_hold_hours > MAX_HOLD_HOURS[angle]: - errors.append(f"{label} max_hold_hours 不能超过 {MAX_HOLD_HOURS[angle]}") - if plan.invalidation.timeframe not in INVALIDATION_TIMEFRAMES[angle]: - errors.append(f"{label}失效条件的周期只能是 {'/'.join(INVALIDATION_TIMEFRAMES[angle])}") - return errors - - -def check_prices(direction: Direction, entries: list[Decimal], stop: Decimal, targets: list[Decimal], plan: TradePlan, ctx: PlanContext) -> list[str]: - """价格顺序：做多 止损 < 失效价 < 入场 < 止盈 1 < 止盈 2 < …，止损低于现价、止盈 1 高于现价；做空镜像""" - errors = [] - sign = 1 if direction == "long" else -1 - mark = ctx.mark_price - invalidation = plan.invalidation.price - - def below(a: Decimal, b: Decimal) -> bool: - # 做多时 a < b；做空时 a > b - return sign * (b - a) > 0 - - side = "做多" if direction == "long" else "做空" - if plan.invalidation.direction != ("below" if direction == "long" else "above"): - errors.append(f"{side}的失效条件方向应为 {'below' if direction == 'long' else 'above'}") - if not below(stop, invalidation): - errors.append(f"{side}时止损 {stop} 应在失效价 {invalidation} 之外") - nearest_entry = max(entries) if direction == "long" else min(entries) - farthest_entry = min(entries) if direction == "long" else max(entries) - if not below(invalidation, farthest_entry): - errors.append(f"{side}时失效价 {invalidation} 应在所有入场价之外") - if not below(stop, mark): - errors.append(f"{side}时止损 {stop} 应在现价 {mark} 之外，否则挂单会立即触发") - if len(set(entries)) != len(entries): - errors.append("入场档位价格重复") - if targets and not below(nearest_entry, targets[0]): - errors.append(f"{side}时止盈 1 {targets[0]} 应在所有入场价之外的盈利方向") - if targets and not below(mark, targets[0]): - errors.append(f"止盈 1 {targets[0]} 已越过现价 {mark}，挂单会立即成交") - if any(not below(a, b) for a, b in zip(targets, targets[1:], strict=False)): - errors.append("止盈价须按由近到远排列且不重复") - limit = mark * (1 + PERCENT_PRICE_LIMIT) if direction == "long" else mark * (1 - PERCENT_PRICE_LIMIT) - if any(below(limit, e) for e in entries): - errors.append(f"入场价超出交易所限价范围（{'不高于' if direction == 'long' else '不低于'} {limit:.2f}）") - return errors - - -def size_plan(plan: TradePlan, ctx: PlanContext) -> dict: - """校验计划并计算仓位；不通过时抛 PlanError。返回值可直接存 JSONB（数值为字符串）""" +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""" errors = check_action(plan, ctx) if plan.action != "plan": if errors: raise PlanError(errors) return {} - errors += check_plan_fields(plan, ctx) + 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 + long = direction == "long" + 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 plan.valid_hours > SETUP_VALID_HOURS: + errors.append(f"valid_hours 不能超过 {SETUP_VALID_HOURS}") if errors: raise PlanError(errors) - if ctx.position_side is not None: - return size_managed(plan, ctx) - - angle, direction, rules = ctx.angle, plan.direction, ctx.rules - # 向保守方向取整：做多的入场、止损、止盈都向下（入场更低、止损更远、止盈更近），做空都向上 - rounding = ROUND_FLOOR if direction == "long" else ROUND_CEILING - entry_prices = [round_to_step(e.price, rules.tick_size, rounding) for e in plan.entries] - stop = round_to_step(plan.stop, rules.tick_size, rounding) - targets = [round_to_step(t.price, rules.tick_size, rounding) for t in plan.take_profits] - ratios = [e.ratio / sum((e.ratio for e in plan.entries), Decimal(0)) for e in plan.entries] - tp_ratios = TAKE_PROFIT_RATIOS[angle] - - errors = check_prices(direction, entry_prices, stop, targets, plan, ctx) - if errors: - raise PlanError(errors) - - average = sum((r * p for r, p in zip(ratios, entry_prices, strict=True)), Decimal(0)) - rr = reward_risk(average, stop, targets, tp_ratios) if angle == "long" else reward_risk(average, stop, targets[:1], (Decimal(1),)) - if rr < MIN_REWARD_RISK: - basis = "50/30/20 加权" if angle == "long" else "止盈 1" - raise PlanError([f"盈亏比 {rr:.2f}（按{basis}）低于 {MIN_REWARD_RISK}。止盈必须放在有依据的区，不得为凑盈亏比倒推；凑不够就不给这个方向"]) - nearest_entry = max(entry_prices) if direction == "long" else min(entry_prices) - rr_first = reward_risk(nearest_entry, stop, targets, tp_ratios) if angle == "long" else rr - - def unit_loss(price: Decimal) -> Decimal: - return abs(price - stop) + (price + stop) * TAKER_FEE_RATE - - risk_amount = ctx.capital * RISK_PCT[angle] * (LOW_CONFIDENCE_FACTOR if plan.confidence == "low" else 1) - max_notional = ctx.capital * MAX_LEVERAGE - ctx.other_notional - if max_notional <= 0: - raise PlanError([f"交易列表其他币的名义仓位 {ctx.other_notional:.2f} 已达到 {MAX_LEVERAGE} 倍交易资金，不能开新仓"]) - by_risk = risk_amount / unit_loss(average) - by_leverage = max_notional / average - total = min(by_risk, by_leverage) - quantities = [round_to_step(total * r, rules.step_size, ROUND_FLOOR) for r in ratios] - small = [ - f"第 {i} 档 {p} × {q} = {p * q:.2f} USDT" - for i, (p, q) in enumerate(zip(entry_prices, quantities, strict=True), 1) if p * q < rules.min_notional - ] - if small: - raise PlanError([ - f"入场档位名义价值低于最小下单金额 {rules.min_notional} USDT：{'、'.join(small)}。" - f"本次可用风险金额 {risk_amount:.2f} USDT、总数量约 {total:.6f}，请合并或删档" - ]) - - quantity = sum(quantities, Decimal(0)) - notional = sum((p * q for p, q in zip(entry_prices, quantities, strict=True)), Decimal(0)) - risk_at_stop = sum((q * unit_loss(p) for p, q in zip(entry_prices, quantities, strict=True)), Decimal(0)) - tp_quantities = split_take_profits(quantity, tp_ratios, rules.step_size) + far_edge = setup.zone_low if long else setup.zone_high + stop = setup_stop(direction, far_edge, ctx.atr, ctx.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) + 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 return { "direction": direction, - "entries": [ - {"price": str(p), "ratio": str(r.quantize(Decimal("0.0001"))), "quantity": str(q), "notional": str((p * q).quantize(Decimal("0.01")))} - for p, r, q in zip(entry_prices, ratios, quantities, strict=True) - ], - "stop": str(stop), - "take_profits": [ - {"price": str(t), "ratio": str(r), "quantity": str(q)} for t, r, q in zip(targets, tp_ratios, tp_quantities, strict=True) - ], - "average_price": str(average.quantize(rules.tick_size)), - "quantity": str(quantity), - "notional": str(notional.quantize(Decimal("0.01"))), - "capital": str(ctx.capital), - "leverage": str((notional / ctx.capital).quantize(Decimal("0.01"))), - "risk_amount": str(risk_amount.quantize(Decimal("0.01"))), - "risk_at_stop": str(risk_at_stop.quantize(Decimal("0.01"))), - "risk_pct": str((risk_at_stop / ctx.capital * 100).quantize(Decimal("0.01"))), - "capped_by_leverage": by_leverage < by_risk, - "reward_risk": str(rr.quantize(Decimal("0.01"))), - "reward_risk_first_only": str(rr_first.quantize(Decimal("0.01"))), + "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)), # 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", - "managed": False, - } - - -def size_managed(plan: TradePlan, ctx: PlanContext) -> dict: - """有持仓时的新计划：不加仓，止损只能收紧，止盈按当前持仓数量拆分""" - direction, rules = plan.direction, ctx.rules - rounding = ROUND_FLOOR if direction == "long" else ROUND_CEILING - stop = round_to_step(plan.stop, rules.tick_size, rounding) - targets = [round_to_step(t.price, rules.tick_size, rounding) for t in plan.take_profits] - sign = 1 if direction == "long" else -1 - mark, invalidation = ctx.mark_price, plan.invalidation.price - - def below(a: Decimal, b: Decimal) -> bool: - return sign * (b - a) > 0 - - side = "做多" if direction == "long" else "做空" - errors = [] - if plan.invalidation.direction != ("below" if direction == "long" else "above"): - errors.append(f"{side}的失效条件方向应为 {'below' if direction == 'long' else 'above'}") - if not (below(stop, invalidation) and below(invalidation, mark)): - errors.append(f"{side}时须满足 止损 {stop} → 失效价 {invalidation} → 现价 {mark} 的顺序") - if ctx.current_stop is not None and below(stop, ctx.current_stop): - errors.append(f"止损只能收紧：当前止损 {ctx.current_stop}，新止损 {stop} 更宽") - if targets and not below(mark, targets[0]): - errors.append(f"止盈 1 {targets[0]} 已越过现价 {mark}，挂单会立即成交") - if any(not below(a, b) for a, b in zip(targets, targets[1:], strict=False)): - errors.append("止盈价须按由近到远排列且不重复") - if errors: - raise PlanError(errors) - - tp_ratios = TAKE_PROFIT_RATIOS[ctx.angle] - entry = ctx.position_entry - quantity = ctx.position_qty - rr = reward_risk(mark, stop, targets, tp_ratios) if ctx.angle == "long" else reward_risk(mark, stop, targets[:1], (Decimal(1),)) - loss = quantity * (sign * (entry - stop) + (entry + stop) * TAKER_FEE_RATE) - return { - "direction": direction, - "entries": [], - "stop": str(stop), - "take_profits": [ - {"price": str(t), "ratio": str(r), "quantity": str(q)} - for t, r, q in zip(targets, tp_ratios, split_take_profits(quantity, tp_ratios, rules.step_size), strict=True) - ], - "average_price": str(entry), - "quantity": str(quantity), - "notional": str((entry * quantity).quantize(Decimal("0.01"))), - "capital": str(ctx.capital), - "leverage": str((entry * quantity / ctx.capital).quantize(Decimal("0.01"))), - "risk_amount": "0", - # 止损已越过成本价时为负，表示锁定盈利 - "risk_at_stop": str(loss.quantize(Decimal("0.01"))), - "risk_pct": str((loss / ctx.capital * 100).quantize(Decimal("0.01"))), - "capped_by_leverage": False, - # 按现价计算 - "reward_risk": str(rr.quantize(Decimal("0.01"))), - "reward_risk_first_only": str(rr.quantize(Decimal("0.01"))), - "position_qty": str(quantity), - "managed": True, } @@ -385,33 +307,29 @@ class OrderSpec: def desired_orders( - sizing: dict, *, entries_open: bool, entry_filled: list[Decimal], tp_filled: list[Decimal], - position_qty: Decimal, stop_price: Decimal, step_size: Decimal, + sizing: dict, *, entry_sent: bool, entry_fill: tuple[Decimal, Decimal] | None, tp_filled: list[Decimal], + position_qty: Decimal, stop_price: Decimal, rules: SymbolRules, ) -> list[OrderSpec]: - """计划在当前成交状态下应挂的单。 + """已触发的计划在当前状态下应挂的单。 - - 入场：entries_open 时各档剩余数量。 - - 止损：有持仓或有入场单时一张只减仓止损，数量取计划总量与持仓的较大者（数量大于持仓时交易所只平实际持仓）。 - - 止盈：有持仓时按累计成交数量拆分，减去各档已成交。 + - 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。 """ - long = sizing["direction"] == "long" - open_side, close_side = ("BUY", "SELL") if long else ("SELL", "BUY") + direction = sizing["direction"] + open_side, close_side = ("BUY", "SELL") if direction == "long" else ("SELL", "BUY") + quantity = Decimal(sizing["entry"]["quantity"]) orders = [] - if entries_open: - for i, e in enumerate(sizing["entries"]): - remaining = Decimal(e["quantity"]) - entry_filled[i] - if remaining > 0: - orders.append(OrderSpec("entry", i, open_side, "LIMIT", Decimal(e["price"]), None, remaining)) - if position_qty > 0 or orders: - quantity = max(Decimal(sizing["quantity"]), position_qty) - orders.append(OrderSpec("stop", None, close_side, "STOP_MARKET", None, stop_price, quantity)) - if position_qty > 0: - filled_total = Decimal(sizing["quantity"]) if sizing["managed"] else sum(entry_filled, Decimal(0)) - ratios = tuple(Decimal(t["ratio"]) for t in sizing["take_profits"]) - for j, (t, target) in enumerate(zip(sizing["take_profits"], split_take_profits(filled_total, ratios, step_size), strict=True)): + if not entry_sent: + orders.append(OrderSpec("entry", 0, open_side, "MARKET", None, None, quantity)) + if position_qty > 0 or entry_fill is None: + 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)): remaining = target - tp_filled[j] if remaining > 0: - orders.append(OrderSpec("tp", j, close_side, "LIMIT", Decimal(t["price"]), None, remaining)) + orders.append(OrderSpec("tp", j, close_side, "LIMIT", price, None, remaining)) return orders @@ -431,10 +349,10 @@ def condition_met(direction: Literal["above", "below"], threshold: Decimal, pric return price > threshold if direction == "above" else price < threshold -def next_routine_at(last_started: datetime, angle: Angle) -> datetime: +def next_routine_at(last_started: datetime) -> datetime: """例行分析时间：上次分析后约 3/4 个周期之后的第一个 K 线收盘，再加 1 分钟等收盘数据就绪。 任何一次分析（包括触发式）都会让例行分析重新计时""" - period = timedelta(hours=ROUTINE_HOURS[angle]) + period = timedelta(hours=ROUTINE_HOURS) # 币安 K 线按 UTC 对齐 earliest = (last_started + period * 3 / 4).astimezone(UTC) day = earliest.replace(hour=0, minute=0, second=0, microsecond=0) diff --git a/backend/src/alphapulse/trading/schedule.py b/backend/src/alphapulse/trading/schedule.py index 87c35b8..2007971 100644 --- a/backend/src/alphapulse/trading/schedule.py +++ b/backend/src/alphapulse/trading/schedule.py @@ -58,7 +58,7 @@ async def routine_requests() -> None: )).all() if recent and recent[0].status == "running": continue - if not recent or now >= next_routine_at(recent[0].started_at, target.angle): + if not recent or now >= next_routine_at(recent[0].started_at): await request_analysis(session, target.symbol, "例行分析") continue last = recent[0] diff --git a/backend/tests/test_plan.py b/backend/tests/test_plan.py index 7baee34..585c459 100644 --- a/backend/tests/test_plan.py +++ b/backend/tests/test_plan.py @@ -4,49 +4,65 @@ from decimal import ROUND_CEILING, ROUND_FLOOR, Decimal import pytest from alphapulse.trading.plan import ( - OrderSpec, PlanContext, PlanError, SymbolRules, TradePlan, desired_orders, diff_orders, next_routine_at, round_to_step, - size_plan, split_take_profits, + 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, ) BTC = SymbolRules(tick_size=Decimal("0.1"), step_size=Decimal("0.0001"), min_notional=Decimal("50")) +TZ8 = timezone(timedelta(hours=8)) +FIVE_MINUTES_MS = 5 * 60_000 + +# BTCUSDT 永续 5m，2026-10-15 北京时间（开盘时间, 最高, 最低, 收盘），即用户举例的那段行情 +BTC_BARS = [ + ("09:10", "81858.10", "81629.20", "81687.60"), ("09:15", "81771.40", "81570.20", "81716.40"), + ("09:20", "81732.40", "81584.80", "81584.90"), ("09:25", "81615.70", "81451.60", "81544.00"), + ("09:30", "81810.00", "81523.80", "81751.80"), ("09:35", "81827.40", "81675.00", "81731.70"), + ("09:40", "81832.80", "81700.80", "81809.50"), ("09:45", "81810.00", "81637.20", "81680.20"), + ("09:50", "81795.00", "81656.70", "81678.90"), ("09:55", "81730.00", "81575.10", "81602.00"), + ("10:00", "81619.40", "81495.20", "81507.10"), ("10:05", "81737.00", "81500.00", "81554.70"), + ("10:10", "81620.00", "81412.80", "81412.80"), ("10:15", "81775.10", "81406.20", "81769.20"), + ("10:20", "81770.10", "80664.20", "80700.10"), ("10:25", "81038.10", "80188.00", "80804.20"), + ("10:30", "81057.50", "80476.70", "80979.30"), ("10:35", "81293.20", "80959.00", "81081.90"), + ("10:40", "81293.00", "81053.30", "81293.00"), ("10:45", "81350.00", "81111.00", "81213.70"), + ("10:50", "81411.70", "81152.70", "81410.00"), ("10:55", "81646.50", "81409.90", "81500.00"), + ("11:00", "81514.40", "81077.70", "81153.30"), ("11:05", "81332.10", "81116.00", "81288.10"), +] + + +def ms(hhmm: str) -> int: + hour, minute = map(int, hhmm.split(":")) + return int(datetime(2026, 10, 15, hour, minute, tzinfo=TZ8).timestamp() * 1000) + + +def bars_until(hhmm: str) -> list[Bar]: + """到 hhmm 为止的 K 线，最后一根是 hhmm 开盘、尚未收盘的那根""" + 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 = { - "angle": "long", "mark_price": Decimal("82000"), "capital": Decimal("1000"), "other_notional": Decimal("0"), - "rules": BTC, "has_plan": False, "position_side": None, + "mark_price": Decimal("81000"), "capital": Decimal("1000"), "other_notional": Decimal("0"), "rules": BTC, + "atr": Decimal("100"), "has_plan": False, "position_side": None, } return PlanContext(**{**values, **overrides}) -def long_plan(**overrides) -> TradePlan: +def setup_plan(**overrides) -> TradePlan: values = { - "action": "plan", "summary": "长线做多", "reasons": "支撑区", "risks": "无", - "direction": "long", "confidence": "medium", - "entries": [{"price": "81000", "ratio": "0.4", "basis": "区1"}, {"price": "80000", "ratio": "0.6", "basis": "区2"}], - "stop": "79500", "stop_basis": "区下沿外", - "take_profits": [{"price": "83000", "basis": "压1"}, {"price": "84000", "basis": "压2"}, {"price": "85000", "basis": "压3"}], - "entry_valid_hours": "24", "max_hold_hours": "48", - "invalidation": {"direction": "below", "price": "79800", "timeframe": "4h", "basis": "跌破区"}, - } - return TradePlan.model_validate({**values, **overrides}) - - -def short_term_plan(**overrides) -> TradePlan: - values = { - "action": "plan", "summary": "短线做空", "reasons": "压力区", "risks": "无", - "direction": "short", "confidence": "medium", - "entries": [{"price": "82500", "ratio": "1", "basis": "压力区"}], - "stop": "82900", "take_profits": [{"price": "81800", "basis": "支1"}, {"price": "81300", "basis": "支2"}], - "entry_valid_hours": "4", "max_hold_hours": "24", - "invalidation": {"direction": "above", "price": "82800", "timeframe": "15m", "basis": "站上区"}, + "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", } return TradePlan.model_validate({**values, **overrides}) def errors_of(plan: TradePlan, ctx: PlanContext) -> str: with pytest.raises(PlanError) as e: - size_plan(plan, ctx) + check_setup(plan, ctx) return "；".join(e.value.errors) @@ -65,151 +81,137 @@ 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")] -def test_long_plan_sizing_matches_hand_calculation(): - sizing = size_plan(long_plan(), context()) - # 均价 0.4×81000 + 0.6×80000 = 80400；单位亏损 900 + (80400+79500)×0.0004 = 963.96；20 ÷ 963.96 = 0.020747 - assert sizing["average_price"] == "80400.0" - assert [e["quantity"] for e in sizing["entries"]] == ["0.0082", "0.0124"] - assert sizing["quantity"] == "0.0206" - assert sizing["notional"] == "1656.20" - assert sizing["risk_amount"] == "20.00" - assert sizing["risk_at_stop"] == "19.82" - # (0.5×2600 + 0.3×3600 + 0.2×4600) ÷ 900；只成交首档 (0.5×2000 + 0.3×3000 + 0.2×4000) ÷ 1500 - assert sizing["reward_risk"] == "3.67" - assert sizing["reward_risk_first_only"] == "1.80" - assert [t["quantity"] for t in sizing["take_profits"]] == ["0.0103", "0.0061", "0.0042"] - assert sizing["capped_by_leverage"] is False +# ---------- 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_low_confidence_halves_risk(): - sizing = size_plan(long_plan(confidence="low"), context()) - assert sizing["risk_amount"] == "10.00" - # 10 ÷ 963.96 = 0.010374：0.4 档 0.0041，0.6 档 0.0062 - assert sizing["quantity"] == "0.0103" +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_leverage_cap_counts_other_positions(): - sizing = size_plan(long_plan(), context(other_notional=Decimal("2000"))) - assert sizing["capped_by_leverage"] is True - assert Decimal(sizing["notional"]) <= Decimal("1000") +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_short_term_short_plan(): - sizing = size_plan(short_term_plan(), context(angle="short")) - # 止盈 1 盈亏比 700 ÷ 400 - assert sizing["reward_risk"] == "1.75" - assert sizing["risk_amount"] == "10.00" - assert len(sizing["take_profits"]) == 2 +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_short_prices_round_up(): - sizing = size_plan(short_term_plan(entries=[{"price": "82500.01", "ratio": "1", "basis": "x"}]), context(angle="short")) - assert sizing["entries"][0]["price"] == "82500.1" +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")) -def test_rejects_wrong_counts_and_timeframe(): - message = errors_of(short_term_plan(entries=[{"price": "82500", "ratio": "0.5", "basis": "a"}, {"price": "82600", "ratio": "0.5", "basis": "b"}]), context(angle="short")) - assert "短线只能 1 档入场" in message - assert "长线失效条件的周期只能是 4h" in errors_of(long_plan(invalidation={"direction": "below", "price": "79800", "timeframe": "1h", "basis": "x"}), context()) - assert "长线须给 3 个止盈" in errors_of(long_plan(take_profits=[{"price": "83000", "basis": "a"}]), context()) +def test_atr_and_stop_from_example(): + closed = bars_until("10:25") + value = atr(closed) + 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") -def test_rejects_bad_price_order(): - message = errors_of(long_plan(stop="80500"), context()) - assert "做多时止损 80500.0 应在失效价 79800 之外" in message - assert "止盈 1 81000.0 已越过现价" in errors_of(long_plan(take_profits=[{"price": "81000", "basis": "a"}, {"price": "84000", "basis": "b"}, {"price": "85000", "basis": "c"}], entries=[{"price": "80500", "ratio": "1", "basis": "a"}]), context()) +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"): + 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) + assert (medium["risk_amount"], low["risk_amount"]) == ("10.00", "5.00") + # 止损很近时按 3 倍杠杆封顶：3000 − 其他币 1000 = 2000 ÷ 80000 = 0.025 + capped = size_entry("long", Decimal("80000"), Decimal("79990"), capital=Decimal("1000"), other_notional=Decimal("1000"), confidence="high", rules=BTC) + assert (capped["quantity"], capped["capped_by_leverage"]) == ("0.0250", True) -def test_rejects_low_reward_risk(): - # (0.5×400 + 0.3×600 + 0.2×800) ÷ 500 = 1.08 - plan = long_plan(take_profits=[{"price": "80400", "basis": "a"}, {"price": "80600", "basis": "b"}, {"price": "80800", "basis": "c"}], - entries=[{"price": "80000", "ratio": "1", "basis": "a"}]) - assert "盈亏比 1.08" in errors_of(plan, context(mark_price=Decimal("80300"))) +def test_take_profit_ladders(): + long = take_profit_targets("long", Decimal("80804.2"), Decimal("0.0120"), BTC) + # +0.5% = 81208.22 → 81208.2；+0.75% = 81410.23 → 81410.2；+1% = 81612.24 → 81612.2；数量 60/30/10 + assert long == [(Decimal("81208.2"), Decimal("0.0072")), (Decimal("81410.2"), Decimal("0.0036")), (Decimal("81612.2"), Decimal("0.0012"))] + short = take_profit_targets("short", Decimal("81500"), Decimal("0.0123"), BTC) + # −0.5% = 81092.5；−0.75% = 80888.75 → 向上取整 80888.8；数量 80/20 + assert short == [(Decimal("81092.5"), Decimal("0.0098")), (Decimal("80888.8"), Decimal("0.0025"))] -def test_rejects_entries_below_min_notional(): - message = errors_of(long_plan(entries=[{"price": "81000", "ratio": "0.02", "basis": "a"}, {"price": "80000", "ratio": "0.98", "basis": "b"}]), context()) - assert "最小下单金额 50" in message - assert "第 1 档" in message +# ---------- 提交校验 ---------- + +def test_check_setup_accepts_and_estimates(): + 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["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()) + assert "valid_hours" in errors_of(setup_plan(valid_hours="3"), context()) def test_action_rules(): assert "不能用 keep" in errors_of(TradePlan(action="keep", summary="s", reasons="r", risks="x"), context()) assert "不能用 wait" in errors_of(TradePlan(action="wait", summary="s", reasons="r", risks="x"), context(position_side="long")) - assert size_plan(TradePlan(action="wait", summary="s", reasons="r", risks="x"), context()) == {} + assert check_setup(TradePlan(action="wait", summary="s", reasons="r", risks="x"), context()) == {} satisfied = TradePlan(action="wait", summary="s", reasons="r", risks="x", - reevaluate=[{"direction": "above", "price": "81000", "timeframe": "1h", "basis": "x"}]) + reevaluate=[{"direction": "above", "price": "80000", "timeframe": "5m", "basis": "x"}]) assert "已经满足" in errors_of(satisfied, context()) - assert "方向必须一致" in errors_of(long_plan(), context(position_side="short")) - - -# ---------- 有持仓时的新计划 ---------- - -def managed_plan(**overrides) -> TradePlan: - values = { - "action": "plan", "summary": "调整", "reasons": "r", "risks": "x", "direction": "long", "confidence": "medium", - "stop": "80000", "take_profits": [{"price": "83000", "basis": "a"}, {"price": "84000", "basis": "b"}, {"price": "85000", "basis": "c"}], - "invalidation": {"direction": "below", "price": "80500", "timeframe": "4h", "basis": "x"}, - } - return TradePlan.model_validate({**values, **overrides}) - - -def holding(**overrides) -> PlanContext: - return context(position_side="long", position_qty=Decimal("0.0100"), position_entry=Decimal("81000"), current_stop=Decimal("79500"), has_plan=True, **overrides) - - -def test_managed_plan_does_not_add_and_splits_position(): - sizing = size_plan(managed_plan(), holding()) - assert sizing["managed"] is True - assert sizing["entries"] == [] - assert [t["quantity"] for t in sizing["take_profits"]] == ["0.0050", "0.0030", "0.0020"] - assert sizing["position_qty"] == "0.0100" - assert "entries 须为空" in errors_of(managed_plan(entries=[{"price": "80000", "ratio": "1", "basis": "a"}]), holding()) - - -def test_managed_plan_only_tightens_stop(): - assert "止损只能收紧" in errors_of(managed_plan(stop="79000", invalidation={"direction": "below", "price": "79400", "timeframe": "4h", "basis": "x"}), holding()) + assert "只能 keep 或 exit" in errors_of(setup_plan(), context(position_side="long", has_plan=True)) # ---------- 应有订单 ---------- -LONG_SIZING = { - "direction": "long", "managed": False, "quantity": "0.0030", - "entries": [{"price": "81000.0", "quantity": "0.0012"}, {"price": "80000.0", "quantity": "0.0018"}], - "take_profits": [{"price": "83000.0", "ratio": "0.5"}, {"price": "84000.0", "ratio": "0.3"}, {"price": "85000.0", "ratio": "0.2"}], -} -ZERO3 = [Decimal(0)] * 3 +TRIGGERED = {"direction": "long", "setup": {}, "entry": {"quantity": "0.0120", "stop": "80036.5"}} +NO_TP = [Decimal(0)] * 3 -def test_desired_orders_before_fill_places_entries_and_stop_together(): - orders = desired_orders(LONG_SIZING, entries_open=True, entry_filled=[Decimal(0)] * 2, tp_filled=ZERO3, - position_qty=Decimal(0), stop_price=Decimal("79500"), step_size=Decimal("0.0001")) - assert [(o.purpose, o.leg, o.side, o.quantity) for o in orders] == [ - ("entry", 0, "BUY", Decimal("0.0012")), ("entry", 1, "BUY", Decimal("0.0018")), ("stop", None, "SELL", Decimal("0.0030")), +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 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_partial_fill_splits_take_profits_by_filled(): - orders = desired_orders(LONG_SIZING, entries_open=True, entry_filled=[Decimal("0.0012"), Decimal("0.0004")], tp_filled=ZERO3, - position_qty=Decimal("0.0016"), stop_price=Decimal("79500"), step_size=Decimal("0.0001")) - assert [(o.purpose, o.leg, o.quantity) for o in orders] == [ - ("entry", 1, Decimal("0.0014")), ("stop", None, Decimal("0.0030")), - ("tp", 0, Decimal("0.0008")), ("tp", 1, Decimal("0.0004")), ("tp", 2, Decimal("0.0004")), - ] - - -def test_desired_orders_after_tp1_keeps_remaining_targets_only(): - orders = desired_orders(LONG_SIZING, entries_open=False, entry_filled=[Decimal("0.0012"), Decimal("0.0018")], - tp_filled=[Decimal("0.0015"), Decimal(0), Decimal(0)], position_qty=Decimal("0.0015"), - stop_price=Decimal("81050"), step_size=Decimal("0.0001")) - assert [(o.purpose, o.leg, o.quantity, o.trigger_price) for o in orders] == [ - ("stop", None, Decimal("0.0030"), Decimal("81050")), ("tp", 1, Decimal("0.0009"), None), ("tp", 2, Decimal("0.0006"), None), - ] - - -def test_desired_orders_nothing_when_flat_and_entries_closed(): - assert desired_orders(LONG_SIZING, entries_open=False, entry_filled=[Decimal(0)] * 2, tp_filled=ZERO3, - position_qty=Decimal(0), stop_price=Decimal("79500"), step_size=Decimal("0.0001")) == [] +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_diff_orders_matches_by_value(): @@ -223,12 +225,9 @@ def test_diff_orders_matches_by_value(): def test_next_routine_at_aligns_to_candle_close(): - tz8 = timezone(timedelta(hours=8)) - # 北京 10:20 = UTC 02:20；短线 +45 分钟后的第一个整点 UTC 04:00，再加 1 分钟 - assert next_routine_at(datetime(2026, 10, 15, 10, 20, tzinfo=tz8), "short") == datetime(2026, 10, 15, 4, 1, tzinfo=UTC) - assert next_routine_at(datetime(2026, 10, 15, 3, 1, tzinfo=UTC), "short") == datetime(2026, 10, 15, 4, 1, tzinfo=UTC) - # 长线：UTC 04:01 + 3h = 07:01，下一个 4h 收盘 08:00 - assert next_routine_at(datetime(2026, 10, 15, 4, 1, tzinfo=UTC), "long") == datetime(2026, 10, 15, 8, 1, tzinfo=UTC) + # 北京 10:20 = UTC 02:20；+45 分钟后的第一个整点 UTC 04:00，再加 1 分钟 + assert next_routine_at(datetime(2026, 10, 15, 10, 20, tzinfo=TZ8)) == datetime(2026, 10, 15, 4, 1, tzinfo=UTC) + assert next_routine_at(datetime(2026, 10, 15, 3, 1, tzinfo=UTC)) == datetime(2026, 10, 15, 4, 1, tzinfo=UTC) def test_step_decimal_never_uses_exponent(): diff --git a/web/src/apis/trading.ts b/web/src/apis/trading.ts index 4a64152..d07d4a6 100644 --- a/web/src/apis/trading.ts +++ b/web/src/apis/trading.ts @@ -1,10 +1,6 @@ import type { Effort } from "@/apis/settings" import { http } from "@/http" -export type Angle = "short" | "long" - -export const ANGLE_LABELS: Record = { short: "短线（24h 内平仓）", long: "长线（12–48h 平仓）" } - /** 以下数值字段都是币安返回的十进制字符串，避免浮点误差 */ export interface SnapshotPosition { symbol: string @@ -73,7 +69,6 @@ export interface TradingStatus { export interface TradingSymbol { symbol: string - angle: Angle added_at: string analysis_requested_at: string | null analyzing: boolean @@ -128,12 +123,8 @@ export function listSymbols(): Promise { return http.get("/trading/symbols") } -export function addSymbol(symbol: string, angle: Angle): Promise { - return http.post("/trading/symbols", { symbol, angle }) -} - -export function patchSymbol(symbol: string, angle: Angle): Promise { - return http.patch(`/trading/symbols/${symbol}`, { angle }) +export function addSymbol(symbol: string): Promise { + return http.post("/trading/symbols", { symbol }) } export function deleteSymbol(symbol: string): Promise { @@ -147,7 +138,7 @@ export function listEvents(params: { symbol?: string, before?: number, limit?: n export interface PlanCondition { direction: "above" | "below" price: string - timeframe: "mark" | "1m" | "15m" | "1h" | "4h" + timeframe: "mark" | "1m" | "5m" | "15m" | "1h" | "4h" basis: string } @@ -160,42 +151,39 @@ export interface TradeDecision { reevaluate: PlanCondition[] direction: "long" | "short" | null confidence: "high" | "medium" | "low" | null - entries: { price: string, ratio: string, basis: string }[] | null - stop: string | null - stop_basis: string | null - take_profits: { price: string, basis: string }[] | null - entry_valid_hours: string | null - max_hold_hours: string | null - invalidation: PlanCondition | 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 + valid_hours?: string | null } -/** 程序按交易资金算出的数量和风险 */ -export interface Sizing { - direction: "long" | "short" - entries: { price: string, ratio: string, quantity: string, notional: string }[] +/** 程序按止损和交易资金算出的数量与风险 */ +export interface EntrySizing { + price: string stop: string - take_profits: { price: string, ratio: string, quantity: string }[] - average_price: string + stop_pct: string quantity: string notional: string - capital: string leverage: string risk_amount: string risk_at_stop: string risk_pct: string capped_by_leverage: boolean - reward_risk: string - reward_risk_first_only: string - /** 采纳前核对用：提交时的持仓数量 */ +} + +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 + atr: string position_qty: string - /** 持仓中调整的计划：不加仓 */ - managed: boolean + /** 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 { id: number symbol: string - angle: Angle reasons: string[] dry_run: boolean status: "running" | "done" | "failed" @@ -232,7 +220,7 @@ export type PlanStatus = "proposed" | "pending" | "open" | "closing" | "closed" export const PLAN_STATUS_LABELS: Record = { proposed: "待采纳", - pending: "挂单中", + pending: "等待确认", open: "持仓中", closing: "平仓中", closed: "已结束", @@ -259,6 +247,29 @@ export interface OrderRow { created_at: string } +export const CLOSE_REASON_LABELS: Record = { + stop: "止损", + take_profit: "止盈", + time: "到达持仓时限", + exit: "模型决定结束", + external: "外部平仓", + 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", + 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" +} + +/** 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] */ +export const TAKE_PROFIT_STEPS: Record<"long" | "short", [number, number][]> = { + long: [[0.005, 0.6], [0.0075, 0.3], [0.01, 0.1]], + short: [[0.005, 0.8], [0.0075, 0.2]] +} + export function getSymbolPlan(symbol: string): Promise<{ plan: Analysis | null, orders: OrderRow[] }> { return http.get(`/trading/symbols/${symbol}/plan`) } diff --git a/web/src/pages/trading/components/AddSymbolDialog.vue b/web/src/pages/trading/components/AddSymbolDialog.vue index 7368cbb..f674914 100644 --- a/web/src/pages/trading/components/AddSymbolDialog.vue +++ b/web/src/pages/trading/components/AddSymbolDialog.vue @@ -1,12 +1,11 @@