feat: extend RT-WS to ETH/XRP/SOL + add per-symbol 4-gate control to v53_alt
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@ -317,8 +317,8 @@ class SymbolState:
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self.last_signal_dir: dict[str, str] = {}
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self.recent_large_trades: deque = deque()
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# ── Phase 2 实时内存字段（由后台WebSocket协程更新）──────────
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self.rt_obi: float = 0.0 # 订单簿失衡[-1,1]
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self.rt_spot_perp_div: float = 0.0 # 期现背离（spot-mark)/mark
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self.rt_obi: float = 0.0 # 订单簿失衡[-1,1]（实时WebSocket，所有symbol）
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self.rt_spot_perp_div: float = 0.0 # 期现背离（spot-mark)/mark（实时WebSocket，所有symbol）
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# tiered_cvd_whale：按成交额分档，实时累计（最近15分钟窗口）
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self._whale_trades: deque = deque() # (time_ms, usd_val, is_sell)
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self.WHALE_WINDOW_MS: int = 15 * 60 * 1000 # 15分钟
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@ -753,6 +753,20 @@ class SymbolState:
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last_signal_ts = self.last_signal_ts.get(strategy_name, 0)
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in_cooldown = now_ms - last_signal_ts < COOLDOWN_MS
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# ── Per-symbol 四门参数（从 strategy_cfg.symbol_gates 读取）──────────
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symbol_gates = (strategy_cfg.get("symbol_gates") or {}).get(self.symbol, {})
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min_vol = float(symbol_gates.get("min_vol_threshold", 0.003))
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whale_usd = float(symbol_gates.get("whale_threshold_usd", 50000))
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obi_veto = float(symbol_gates.get("obi_veto_threshold", 0.35))
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spd_veto = float(symbol_gates.get("spot_perp_divergence_veto", 0.005))
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gate_block = None # 门控否决原因，None = 全部通过
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# 门1：波动率下限
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atr_pct_price = atr / price if price > 0 else 0
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if atr_pct_price < min_vol:
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gate_block = f"low_vol({atr_pct_price:.4f}<{min_vol})"
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# ── Direction Layer（55分）──────────────────────────────────
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# cvd_resonance（30分）：fast+mid同向 = 有效方向
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if cvd_fast > 0 and cvd_mid > 0:
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@ -768,6 +782,37 @@ class SymbolState:
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cvd_resonance = 0
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no_direction = True # gate: 方向不一致 → 直接不开仓
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# 门2：鲸鱼推力（大单净方向需与信号方向一致）
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if not gate_block and not no_direction:
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whale_aligned = any(
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(direction == "LONG" and lt[2] == 0 and lt[1] * price >= whale_usd) or
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(direction == "SHORT" and lt[2] == 1 and lt[1] * price >= whale_usd)
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for lt in self.recent_large_trades
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)
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whale_adverse = any(
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(direction == "LONG" and lt[2] == 1 and lt[1] * price >= whale_usd) or
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(direction == "SHORT" and lt[2] == 0 and lt[1] * price >= whale_usd)
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for lt in self.recent_large_trades
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)
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# 有明确对立大单时否决（没有大单时不否决，给机会）
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if whale_adverse and not whale_aligned:
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gate_block = f"whale_adverse(>${whale_usd/1000:.0f}k)"
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# 门3：OBI否决（优先实时WebSocket值，fallback DB）
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obi_raw = self.rt_obi if self.rt_obi != 0.0 else to_float(self.market_indicators.get("obi_depth_10"))
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if not gate_block and not no_direction and obi_raw is not None:
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if direction == "LONG" and obi_raw < -obi_veto:
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gate_block = f"obi_veto({obi_raw:.3f}<-{obi_veto})"
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elif direction == "SHORT" and obi_raw > obi_veto:
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gate_block = f"obi_veto({obi_raw:.3f}>{obi_veto})"
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# 门4：期现背离否决（优先实时WebSocket值，fallback DB）
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spot_perp_div = self.rt_spot_perp_div if self.rt_spot_perp_div != 0.0 else to_float(self.market_indicators.get("spot_perp_divergence"))
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if not gate_block and not no_direction and spot_perp_div is not None:
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if (direction == "LONG" and spot_perp_div < -spd_veto) or \
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(direction == "SHORT" and spot_perp_div > spd_veto):
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gate_block = f"spd_veto({spot_perp_div:.4f})"
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# p99_flow_alignment（0/10/20分）
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has_adverse_p99 = any(
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(direction == "LONG" and lt[2] == 1) or (direction == "SHORT" and lt[2] == 0)
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@ -833,12 +878,22 @@ class SymbolState:
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total_score = min(direction_score + crowding_score + environment_score + aux_score, 100)
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total_score = max(0, round(total_score, 1))
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# 门控否决时归零分、清方向
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gate_passed = gate_block is None
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if not gate_passed:
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total_score = 0
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result.update({
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"score": total_score,
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"direction": direction if not no_direction else None,
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"direction": direction if (not no_direction and gate_passed) else None,
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"atr_value": atr_value,
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"factors": {
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"track": "ALT",
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"gate_passed": gate_passed,
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"gate_block": gate_block,
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"atr_pct_price": round(atr_pct_price, 5),
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"obi_raw": obi_raw,
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"spot_perp_div": spot_perp_div,
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"direction": {
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"score": direction_score, "max": 55,
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"cvd_resonance": cvd_resonance, "p99_flow": p99_flow, "accel_bonus": accel_bonus,
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@ -852,7 +907,7 @@ class SymbolState:
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},
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})
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if not no_direction and not in_cooldown:
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if not no_direction and gate_passed and not in_cooldown:
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if total_score >= flip_threshold:
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result["signal"] = direction
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result["tier"] = "heavy"
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@ -1314,14 +1369,15 @@ async def _ws_spot_perp_stream(symbol: str, state):
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await asyncio.gather(read_spot(), read_perp())
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async def _realtime_ws_runner(states: dict):
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"""统一启动所有实时WebSocket协程，目前只给BTC"""
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btc_state = states.get("BTCUSDT")
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if btc_state is None:
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return
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await asyncio.gather(
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_ws_obi_stream("BTCUSDT", btc_state),
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_ws_spot_perp_stream("BTCUSDT", btc_state),
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)
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"""统一启动所有实时WebSocket协程，BTC + ALT (ETH/XRP/SOL)"""
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coros = []
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for sym, state in states.items():
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# OBI流：所有symbol都接（perp depth10）
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coros.append(_ws_obi_stream(sym, state))
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# 期现背离流：只有有现货+合约的币种（BTC/ETH/XRP/SOL都有）
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coros.append(_ws_spot_perp_stream(sym, state))
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if coros:
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await asyncio.gather(*coros)
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def start_realtime_ws(states: dict):
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"""在独立线程里跑asyncio event loop，驱动实时WebSocket采集"""
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@ -2,7 +2,7 @@
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"name": "v53_alt",
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"version": "5.3",
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"track": "ALT",
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"description": "V5.3 ALT轨（ETH/XRP/SOL）: 55/25/15/5权重，删除确认层（解决CVD双重计分），独立BTC走gate-control",
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"description": "V5.3 ALT轨（ETH/XRP/SOL）: 55/25/15/5权重，删除确认层，per-symbol四门控制",
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"threshold": 75,
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"flip_threshold": 85,
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"weights": {
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@ -28,5 +28,25 @@
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"tp_maker": true
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},
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"symbols": ["ETHUSDT", "XRPUSDT", "SOLUSDT"],
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"signals": ["cvd", "p99", "accel", "ls_ratio", "top_trader", "oi", "coinbase_premium"]
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"signals": ["cvd", "p99", "accel", "ls_ratio", "top_trader", "oi", "coinbase_premium"],
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"symbol_gates": {
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"ETHUSDT": {
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"min_vol_threshold": 0.003,
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"whale_threshold_usd": 50000,
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"obi_veto_threshold": 0.35,
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"spot_perp_divergence_veto": 0.005
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},
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"SOLUSDT": {
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"min_vol_threshold": 0.006,
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"whale_threshold_usd": 20000,
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"obi_veto_threshold": 0.45,
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"spot_perp_divergence_veto": 0.008
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},
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"XRPUSDT": {
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"min_vol_threshold": 0.004,
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"whale_threshold_usd": 30000,
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"obi_veto_threshold": 0.40,
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"spot_perp_divergence_veto": 0.006
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}
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}
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}
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