feat(v54b): 5门Gate重构 — 与signal_engine执行逻辑完全对应，DB字段改名，前后端统一

backend/main.py

@@ -2202,14 +2202,22 @@ class StrategyCreateRequest(BaseModel):
     weight_aux: int = 15
     weight_momentum: int = 5
     entry_score: int = 75
-    gate_obi_enabled: bool = True
+    # 门1 波动率
-    obi_threshold: float = 0.3
-    gate_whale_enabled: bool = True
-    whale_cvd_threshold: float = 0.0
     gate_vol_enabled: bool = True
-    atr_percentile_min: int = 20
+    vol_atr_pct_min: float = 0.002
+    # 门2 CVD共振
+    gate_cvd_enabled: bool = True
+    # 门3 鲸鱼否决
+    gate_whale_enabled: bool = True
+    whale_usd_threshold: float = 50000.0
+    whale_flow_pct: float = 0.5
+    # 门4 OBI否决
+    gate_obi_enabled: bool = True
+    obi_threshold: float = 0.35
+    # 门5 期现背离
     gate_spot_perp_enabled: bool = False
-    spot_perp_threshold: float = 0.002
+    spot_perp_threshold: float = 0.005
+    # 风控参数
     sl_atr_multiplier: float = 1.5
     tp1_ratio: float = 0.75
     tp2_ratio: float = 1.5
@@ -2288,6 +2296,27 @@ class StrategyCreateRequest(BaseModel):
             raise ValueError("entry_score must be 60-95")
         return v
 
+    @field_validator("vol_atr_pct_min")
+    @classmethod
+    def validate_vol_atr(cls, v):
+        if not 0.0001 <= v <= 0.02:
+            raise ValueError("vol_atr_pct_min must be 0.0001-0.02")
+        return v
+
+    @field_validator("whale_usd_threshold")
+    @classmethod
+    def validate_whale_usd(cls, v):
+        if not 1000 <= v <= 1000000:
+            raise ValueError("whale_usd_threshold must be 1000-1000000")
+        return v
+
+    @field_validator("whale_flow_pct")
+    @classmethod
+    def validate_whale_flow(cls, v):
+        if not 0.0 <= v <= 1.0:
+            raise ValueError("whale_flow_pct must be 0.0-1.0")
+        return v
+
     @field_validator("obi_threshold")
     @classmethod
     def validate_obi(cls, v):
@@ -2295,20 +2324,6 @@ class StrategyCreateRequest(BaseModel):
             raise ValueError("obi_threshold must be 0.1-0.9")
         return v
 
-    @field_validator("whale_cvd_threshold")
-    @classmethod
-    def validate_whale(cls, v):
-        if not -1.0 <= v <= 1.0:
-            raise ValueError("whale_cvd_threshold must be -1.0 to 1.0")
-        return v
-
-    @field_validator("atr_percentile_min")
-    @classmethod
-    def validate_atr_pct(cls, v):
-        if not 5 <= v <= 80:
-            raise ValueError("atr_percentile_min must be 5-80")
-        return v
-
     @field_validator("spot_perp_threshold")
     @classmethod
     def validate_spot_perp(cls, v):
@@ -2370,14 +2385,22 @@ class StrategyUpdateRequest(BaseModel):
     weight_aux: Optional[int] = None
     weight_momentum: Optional[int] = None
     entry_score: Optional[int] = None
+    # 门1 波动率
+    gate_vol_enabled: Optional[bool] = None
+    vol_atr_pct_min: Optional[float] = None
+    # 门2 CVD共振
+    gate_cvd_enabled: Optional[bool] = None
+    # 门3 鲸鱼否决
+    gate_whale_enabled: Optional[bool] = None
+    whale_usd_threshold: Optional[float] = None
+    whale_flow_pct: Optional[float] = None
+    # 门4 OBI否决
     gate_obi_enabled: Optional[bool] = None
     obi_threshold: Optional[float] = None
-    gate_whale_enabled: Optional[bool] = None
+    # 门5 期现背离
-    whale_cvd_threshold: Optional[float] = None
-    gate_vol_enabled: Optional[bool] = None
-    atr_percentile_min: Optional[int] = None
     gate_spot_perp_enabled: Optional[bool] = None
     spot_perp_threshold: Optional[float] = None
+    # 风控
     sl_atr_multiplier: Optional[float] = None
     tp1_ratio: Optional[float] = None
     tp2_ratio: Optional[float] = None
@@ -2435,12 +2458,19 @@ def _strategy_row_to_detail(row: dict) -> dict:
         "weight_aux": row["weight_aux"],
         "weight_momentum": row["weight_momentum"],
         "entry_score": row["entry_score"],
+        # 门1 波动率
+        "gate_vol_enabled": row["gate_vol_enabled"],
+        "vol_atr_pct_min": row["vol_atr_pct_min"],
+        # 门2 CVD共振
+        "gate_cvd_enabled": row["gate_cvd_enabled"],
+        # 门3 鲸鱼否决
+        "gate_whale_enabled": row["gate_whale_enabled"],
+        "whale_usd_threshold": row["whale_usd_threshold"],
+        "whale_flow_pct": row["whale_flow_pct"],
+        # 门4 OBI否决
         "gate_obi_enabled": row["gate_obi_enabled"],
         "obi_threshold": row["obi_threshold"],
-        "gate_whale_enabled": row["gate_whale_enabled"],
+        # 门5 期现背离
-        "whale_cvd_threshold": row["whale_cvd_threshold"],
-        "gate_vol_enabled": row["gate_vol_enabled"],
-        "atr_percentile_min": row["atr_percentile_min"],
         "gate_spot_perp_enabled": row["gate_spot_perp_enabled"],
         "spot_perp_threshold": row["spot_perp_threshold"],
         "sl_atr_multiplier": row["sl_atr_multiplier"],
@@ -2547,9 +2577,10 @@ async def create_strategy(body: StrategyCreateRequest, user: dict = Depends(get_
             cvd_fast_window, cvd_slow_window,
             weight_direction, weight_env, weight_aux, weight_momentum,
             entry_score,
+            gate_vol_enabled, vol_atr_pct_min,
+            gate_cvd_enabled,
+            gate_whale_enabled, whale_usd_threshold, whale_flow_pct,
             gate_obi_enabled, obi_threshold,
-            gate_whale_enabled, whale_cvd_threshold,
-            gate_vol_enabled, atr_percentile_min,
             gate_spot_perp_enabled, spot_perp_threshold,
             sl_atr_multiplier, tp1_ratio, tp2_ratio,
             timeout_minutes, flip_threshold,
@@ -2560,17 +2591,23 @@ async def create_strategy(body: StrategyCreateRequest, user: dict = Depends(get_
             $3,$4,$5,$6,
             $7,$8,$9,$10,
             $11,
-            $12,$13,$14,$15,$16,$17,$18,$19,
+            $12,$13,
-            $20,$21,$22,$23,$24,
+            $14,
-            $25,$25,$26
+            $15,$16,$17,
+            $18,$19,
+            $20,$21,
+            $22,$23,$24,
+            $25,$26,
+            $27,$27,$28
         )""",
         new_id, body.display_name,
         body.symbol, body.direction, body.cvd_fast_window, body.cvd_slow_window,
         body.weight_direction, body.weight_env, body.weight_aux, body.weight_momentum,
         body.entry_score,
+        body.gate_vol_enabled, body.vol_atr_pct_min,
+        body.gate_cvd_enabled,
+        body.gate_whale_enabled, body.whale_usd_threshold, body.whale_flow_pct,
         body.gate_obi_enabled, body.obi_threshold,
-        body.gate_whale_enabled, body.whale_cvd_threshold,
-        body.gate_vol_enabled, body.atr_percentile_min,
         body.gate_spot_perp_enabled, body.spot_perp_threshold,
         body.sl_atr_multiplier, body.tp1_ratio, body.tp2_ratio,
         body.timeout_minutes, body.flip_threshold,
@@ -2647,8 +2684,9 @@ async def update_strategy(sid: str, body: StrategyUpdateRequest, user: dict = De
         "weight_momentum": lambda v: 0 <= v <= 20,
         "entry_score": lambda v: 60 <= v <= 95,
         "obi_threshold": lambda v: 0.1 <= v <= 0.9,
-        "whale_cvd_threshold": lambda v: -1.0 <= v <= 1.0,
+        "vol_atr_pct_min": lambda v: 0.0001 <= v <= 0.02,
-        "atr_percentile_min": lambda v: 5 <= v <= 80,
+        "whale_usd_threshold": lambda v: 1000 <= v <= 1000000,
+        "whale_flow_pct": lambda v: 0.0 <= v <= 1.0,
         "spot_perp_threshold": lambda v: 0.0005 <= v <= 0.01,
         "sl_atr_multiplier": lambda v: 0.5 <= v <= 3.0,
         "tp1_ratio": lambda v: 0.3 <= v <= 2.0,

backend/migrate_v54b_gates.py

@@ -0,0 +1,155 @@
+#!/usr/bin/env python3
+"""
+V5.4b Gate Schema Migration
+将 strategies 表的 gate 字段从4门改为5门，与 signal_engine.py 实际执行逻辑完全对应。
+
+变更：
+1. 重命名 atr_percentile_min → vol_atr_pct_min（ATR%价格阈值，如0.002=0.2%）
+2. 重命名 whale_cvd_threshold → whale_flow_pct（鲸鱼CVD流量阈值，BTC专用，0-1）
+3. 新增 gate_cvd_enabled BOOLEAN DEFAULT TRUE（门2 CVD共振开关）
+4. 新增 whale_usd_threshold FLOAT DEFAULT 50000（门3 大单USD金额阈值）
+5. 用 v53.json 里的 per-symbol 默认值回填旧三条策略
+
+五门对应：
+  门1 波动率：gate_vol_enabled + vol_atr_pct_min
+  门2 CVD共振：gate_cvd_enabled（无参数，判断快慢CVD同向）
+  门3 鲸鱼否决：gate_whale_enabled + whale_usd_threshold（ALT大单USD）+ whale_flow_pct（BTC CVD流量）
+  门4 OBI否决：gate_obi_enabled + obi_threshold
+  门5 期现背离：gate_spot_perp_enabled + spot_perp_threshold
+"""
+
+import os, sys
+import psycopg2
+from psycopg2.extras import RealDictCursor
+
+PG_HOST = os.getenv("PG_HOST", "10.106.0.3")
+PG_USER = os.getenv("PG_USER", "arb")
+PG_PASS = os.getenv("PG_PASS", "arb_engine_2026")
+PG_DB   = os.getenv("PG_DB", "arb_engine")
+
+# Per-symbol 默认值（来自 v53.json symbol_gates）
+SYMBOL_DEFAULTS = {
+    "BTCUSDT":  {"vol_atr_pct_min": 0.002, "whale_usd_threshold": 100000, "whale_flow_pct": 0.5,  "obi_threshold": 0.30, "spot_perp_threshold": 0.003},
+    "ETHUSDT":  {"vol_atr_pct_min": 0.003, "whale_usd_threshold": 50000,  "whale_flow_pct": 0.5,  "obi_threshold": 0.35, "spot_perp_threshold": 0.005},
+    "SOLUSDT":  {"vol_atr_pct_min": 0.004, "whale_usd_threshold": 20000,  "whale_flow_pct": 0.5,  "obi_threshold": 0.45, "spot_perp_threshold": 0.008},
+    "XRPUSDT":  {"vol_atr_pct_min": 0.0025,"whale_usd_threshold": 30000,  "whale_flow_pct": 0.5,  "obi_threshold": 0.40, "spot_perp_threshold": 0.006},
+    None:       {"vol_atr_pct_min": 0.002, "whale_usd_threshold": 50000,  "whale_flow_pct": 0.5,  "obi_threshold": 0.35, "spot_perp_threshold": 0.005},
+}
+
+DRY_RUN = "--dry-run" in sys.argv
+
+def get_conn():
+    return psycopg2.connect(
+        host=PG_HOST, port=5432,
+        user=PG_USER, password=PG_PASS, dbname=PG_DB
+    )
+
+def run():
+    conn = get_conn()
+    cur = conn.cursor(cursor_factory=RealDictCursor)
+
+    print("=== V5.4b Gate Schema Migration ===")
+    print(f"DRY_RUN={DRY_RUN}")
+    print()
+
+    # Step 1: 检查字段是否已迁移
+    cur.execute("""
+        SELECT column_name FROM information_schema.columns
+        WHERE table_name='strategies' AND column_name IN
+        ('vol_atr_pct_min','whale_flow_pct','gate_cvd_enabled','whale_usd_threshold',
+         'atr_percentile_min','whale_cvd_threshold')
+    """)
+    existing = {r["column_name"] for r in cur.fetchall()}
+    print(f"现有相关字段: {existing}")
+
+    sqls = []
+
+    # Step 2: 改名 atr_percentile_min → vol_atr_pct_min
+    if "atr_percentile_min" in existing and "vol_atr_pct_min" not in existing:
+        sqls.append("ALTER TABLE strategies RENAME COLUMN atr_percentile_min TO vol_atr_pct_min")
+        print("✅ RENAME atr_percentile_min → vol_atr_pct_min")
+    elif "vol_atr_pct_min" in existing:
+        print("⏭️  vol_atr_pct_min 已存在，跳过改名")
+
+    # Step 3: 改名 whale_cvd_threshold → whale_flow_pct
+    if "whale_cvd_threshold" in existing and "whale_flow_pct" not in existing:
+        sqls.append("ALTER TABLE strategies RENAME COLUMN whale_cvd_threshold TO whale_flow_pct")
+        print("✅ RENAME whale_cvd_threshold → whale_flow_pct")
+    elif "whale_flow_pct" in existing:
+        print("⏭️  whale_flow_pct 已存在，跳过改名")
+
+    # Step 4: 新增 gate_cvd_enabled
+    if "gate_cvd_enabled" not in existing:
+        sqls.append("ALTER TABLE strategies ADD COLUMN gate_cvd_enabled BOOLEAN NOT NULL DEFAULT TRUE")
+        print("✅ ADD gate_cvd_enabled BOOLEAN DEFAULT TRUE")
+    else:
+        print("⏭️  gate_cvd_enabled 已存在，跳过")
+
+    # Step 5: 新增 whale_usd_threshold
+    if "whale_usd_threshold" not in existing:
+        sqls.append("ALTER TABLE strategies ADD COLUMN whale_usd_threshold FLOAT NOT NULL DEFAULT 50000")
+        print("✅ ADD whale_usd_threshold FLOAT DEFAULT 50000")
+    else:
+        print("⏭️  whale_usd_threshold 已存在，跳过")
+
+    print()
+    if not sqls:
+        print("无需迁移，所有字段已是最新状态。")
+        conn.close()
+        return
+
+    if DRY_RUN:
+        print("=== DRY RUN - 以下SQL不会执行 ===")
+        for sql in sqls:
+            print(f"  {sql};")
+        conn.close()
+        return
+
+    # 执行 DDL
+    for sql in sqls:
+        print(f"执行: {sql}")
+        cur.execute(sql)
+    conn.commit()
+    print()
+
+    # Step 6: 回填 per-symbol 默认值
+    cur.execute("SELECT strategy_id, symbol FROM strategies")
+    rows = cur.fetchall()
+    print(f"回填 {len(rows)} 条策略的 per-symbol 默认值...")
+    for row in rows:
+        sid = row["strategy_id"]
+        sym = row["symbol"]
+        defaults = SYMBOL_DEFAULTS.get(sym, SYMBOL_DEFAULTS[None])
+        cur.execute("""
+            UPDATE strategies SET
+                vol_atr_pct_min   = %s,
+                whale_flow_pct    = %s,
+                whale_usd_threshold = %s,
+                obi_threshold     = %s,
+                spot_perp_threshold = %s
+            WHERE strategy_id = %s
+        """, (
+            defaults["vol_atr_pct_min"],
+            defaults["whale_flow_pct"],
+            defaults["whale_usd_threshold"],
+            defaults["obi_threshold"],
+            defaults["spot_perp_threshold"],
+            sid
+        ))
+        print(f"  {sid} ({sym}): vol_atr_pct={defaults['vol_atr_pct_min']} whale_usd={defaults['whale_usd_threshold']} obi={defaults['obi_threshold']}")
+    conn.commit()
+
+    print()
+    print("=== 迁移完成 ===")
+
+    # 验证
+    cur.execute("SELECT strategy_id, display_name, gate_cvd_enabled, gate_vol_enabled, vol_atr_pct_min, gate_whale_enabled, whale_usd_threshold, whale_flow_pct, gate_obi_enabled, obi_threshold, gate_spot_perp_enabled, spot_perp_threshold FROM strategies ORDER BY created_at")
+    print("\n验证结果：")
+    print(f"{'display_name':<15} {'cvd':>4} {'vol':>4} {'vol_pct':>8} {'whale':>6} {'whale_usd':>10} {'flow_pct':>9} {'obi':>4} {'obi_thr':>8} {'spd':>4} {'spd_thr':>8}")
+    for r in cur.fetchall():
+        print(f"{r['display_name']:<15} {str(r['gate_cvd_enabled']):>4} {str(r['gate_vol_enabled']):>4} {r['vol_atr_pct_min']:>8.4f} {str(r['gate_whale_enabled']):>6} {r['whale_usd_threshold']:>10.0f} {r['whale_flow_pct']:>9.3f} {str(r['gate_obi_enabled']):>4} {r['obi_threshold']:>8.3f} {str(r['gate_spot_perp_enabled']):>4} {r['spot_perp_threshold']:>8.4f}")
+
+    conn.close()
+
+if __name__ == "__main__":
+    run()

backend/signal_engine.py

@@ -88,8 +88,9 @@ def load_strategy_configs_from_db() -> list[dict]:
                         weight_direction, weight_env, weight_aux, weight_momentum,
                         entry_score,
                         gate_obi_enabled, obi_threshold,
-                        gate_whale_enabled, whale_cvd_threshold,
+                        gate_whale_enabled, whale_usd_threshold, whale_flow_pct,
-                        gate_vol_enabled, atr_percentile_min,
+                        gate_vol_enabled, vol_atr_pct_min,
+                        gate_cvd_enabled,
                         gate_spot_perp_enabled, spot_perp_threshold,
                         sl_atr_multiplier, tp1_ratio, tp2_ratio,
                         timeout_minutes, flip_threshold, direction
@@ -106,8 +107,9 @@ def load_strategy_configs_from_db() -> list[dict]:
              w_dir, w_env, w_aux, w_mom,
              entry_score,
              gate_obi, obi_thr,
-             gate_whale, whale_thr,
+             gate_whale, whale_usd_thr, whale_flow_pct_val,
-             gate_vol, atr_pct_min,
+             gate_vol, vol_atr_pct,
+             gate_cvd,
              gate_spot, spot_thr,
              sl_mult, tp1_r, tp2_r,
              timeout_min, flip_thr, direction) = row
@@ -138,10 +140,16 @@ def load_strategy_configs_from_db() -> list[dict]:
                     "momentum": w_mom,
                 },
                 "gates": {
-                    "obi": {"enabled": gate_obi, "threshold": obi_thr},
+                    # 门1 波动率
-                    "whale": {"enabled": gate_whale, "threshold": whale_thr},
+                    "vol": {"enabled": gate_vol, "vol_atr_pct_min": float(vol_atr_pct or 0.002)},
-                    "vol": {"enabled": gate_vol, "atr_percentile_min": atr_pct_min},
+                    # 门2 CVD共振
-                    "spot_perp": {"enabled": gate_spot, "threshold": spot_thr},
+                    "cvd": {"enabled": gate_cvd},
+                    # 门3 鲸鱼否决
+                    "whale": {"enabled": gate_whale, "whale_usd_threshold": float(whale_usd_thr or 50000), "whale_flow_pct": float(whale_flow_pct_val or 0.5)},
+                    # 门4 OBI否决
+                    "obi": {"enabled": gate_obi, "threshold": float(obi_thr or 0.35)},
+                    # 门5 期现背离
+                    "spot_perp": {"enabled": gate_spot, "threshold": float(spot_thr or 0.005)},
                 },
                 "tp_sl": {
                     "sl_multiplier": sl_mult,
@@ -859,21 +867,44 @@ class SymbolState:
         last_signal_ts = self.last_signal_ts.get(strategy_name, 0)
         in_cooldown = now_ms - last_signal_ts < COOLDOWN_MS
 
-        # ── Per-symbol 四门参数 ────────────────────────────────────
+        # ── 五门参数：优先读 DB config（V5.4），fallback 到 JSON symbol_gates ────
+        # DB config 来自 load_strategy_configs_from_db()，已映射到 strategy_cfg["gates"]
+        db_gates = strategy_cfg.get("gates") or {}
         symbol_gates = (strategy_cfg.get("symbol_gates") or {}).get(self.symbol, {})
-        min_vol   = float(symbol_gates.get("min_vol_threshold", 0.002))
+
-        whale_usd = float(symbol_gates.get("whale_threshold_usd", 50000))
+        # 门1 波动率：vol_atr_pct_min（ATR%价格，如0.002=价格的0.2%）
-        obi_veto  = float(symbol_gates.get("obi_veto_threshold", 0.35))
+        gate_vol_enabled = db_gates.get("vol", {}).get("enabled", True)
-        spd_veto  = float(symbol_gates.get("spot_perp_divergence_veto", 0.005))
+        min_vol = float(db_gates.get("vol", {}).get("vol_atr_pct_min") or
+                        symbol_gates.get("min_vol_threshold", 0.002))
+
+        # 门2 CVD共振：gate_cvd_enabled（快慢CVD必须同向）
+        gate_cvd_enabled = db_gates.get("cvd", {}).get("enabled", True)
+
+        # 门3 鲸鱼否决：whale_usd_threshold + whale_flow_pct（BTC）
+        gate_whale_enabled = db_gates.get("whale", {}).get("enabled", True)
+        whale_usd = float(db_gates.get("whale", {}).get("whale_usd_threshold") or
+                          symbol_gates.get("whale_threshold_usd", 50000))
+        whale_flow_pct = float(db_gates.get("whale", {}).get("whale_flow_pct") or
+                               symbol_gates.get("whale_flow_threshold_pct", 0.5)) / 100
+
+        # 门4 OBI否决：obi_threshold
+        gate_obi_enabled = db_gates.get("obi", {}).get("enabled", True)
+        obi_veto = float(db_gates.get("obi", {}).get("threshold") or
+                         symbol_gates.get("obi_veto_threshold", 0.35))
+
+        # 门5 期现背离：spot_perp_threshold
+        gate_spd_enabled = db_gates.get("spot_perp", {}).get("enabled", False)
+        spd_veto = float(db_gates.get("spot_perp", {}).get("threshold") or
+                         symbol_gates.get("spot_perp_divergence_veto", 0.005))
 
         gate_block = None
 
-        # 门1：波动率下限
+        # 门1：波动率下限（可关闭）
         atr_pct_price = atr / price if price > 0 else 0
-        if atr_pct_price < min_vol:
+        if gate_vol_enabled and atr_pct_price < min_vol:
             gate_block = f"low_vol({atr_pct_price:.4f}<{min_vol})"
 
-        # 门2：CVD共振（方向门）
+        # 门2：CVD共振（方向门，可关闭）
         if cvd_fast > 0 and cvd_mid > 0:
             direction = "LONG"
             cvd_resonance = 30
@@ -885,18 +916,20 @@ class SymbolState:
         else:
             direction = "LONG" if cvd_fast > 0 else "SHORT"
             cvd_resonance = 0
-            no_direction = True
+            if gate_cvd_enabled:
-            if not gate_block:
+                no_direction = True
-                gate_block = "no_direction_consensus"
+                if not gate_block:
+                    gate_block = "no_direction_consensus"
+            else:
+                no_direction = False  # 门2关闭时，允许单线CVD方向
 
-        # 门3：鲸鱼否决（BTC用whale_cvd_ratio，ALT用大单对立）
+        # 门3：鲸鱼否决（BTC用whale_cvd_ratio，ALT用大单对立，可关闭）
-        if not gate_block and not no_direction:
+        if gate_whale_enabled and not gate_block and not no_direction:
             if self.symbol == "BTCUSDT":
                 # BTC：巨鲸CVD净方向与信号方向冲突时否决
                 whale_cvd = self.whale_cvd_ratio if self._whale_trades else to_float(self.market_indicators.get("tiered_cvd_whale")) or 0.0
-                whale_threshold_pct = float(symbol_gates.get("whale_flow_threshold_pct", 0.5)) / 100
+                if (direction == "LONG" and whale_cvd < -whale_flow_pct) or \
-                if (direction == "LONG" and whale_cvd < -whale_threshold_pct) or \
+                   (direction == "SHORT" and whale_cvd > whale_flow_pct):
-                   (direction == "SHORT" and whale_cvd > whale_threshold_pct):
                     gate_block = f"whale_cvd_veto({whale_cvd:.3f})"
             else:
                 # ALT：recent_large_trades 里有对立大单则否决
@@ -913,17 +946,17 @@ class SymbolState:
                 if whale_adverse and not whale_aligned:
                     gate_block = f"whale_adverse(>${whale_usd/1000:.0f}k)"
 
-        # 门4：OBI否决（实时WS优先，fallback DB）
+        # 门4：OBI否决（实时WS优先，fallback DB，可关闭）
         obi_raw = self.rt_obi if self.rt_obi != 0.0 else to_float(self.market_indicators.get("obi_depth_10"))
-        if not gate_block and not no_direction and obi_raw is not None:
+        if gate_obi_enabled and not gate_block and not no_direction and obi_raw is not None:
             if direction == "LONG" and obi_raw < -obi_veto:
                 gate_block = f"obi_veto({obi_raw:.3f}<-{obi_veto})"
             elif direction == "SHORT" and obi_raw > obi_veto:
                 gate_block = f"obi_veto({obi_raw:.3f}>{obi_veto})"
 
-        # 门5：期现背离否决（实时WS优先，fallback DB）
+        # 门5：期现背离否决（实时WS优先，fallback DB，可关闭）
         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"))
-        if not gate_block and not no_direction and spot_perp_div is not None:
+        if gate_spd_enabled and not gate_block and not no_direction and spot_perp_div is not None:
             if (direction == "LONG" and spot_perp_div < -spd_veto) or \
                (direction == "SHORT" and spot_perp_div > spd_veto):
                 gate_block = f"spd_veto({spot_perp_div:.4f})"

frontend/components/StrategyForm.tsx

@@ -20,12 +20,19 @@ export interface StrategyFormData {
   weight_aux: number;
   weight_momentum: number;
   entry_score: number;
+  // 门1 波动率
+  gate_vol_enabled: boolean;
+  vol_atr_pct_min: number;
+  // 门2 CVD共振
+  gate_cvd_enabled: boolean;
+  // 门3 鲸鱼否决
+  gate_whale_enabled: boolean;
+  whale_usd_threshold: number;
+  whale_flow_pct: number;
+  // 门4 OBI否决
   gate_obi_enabled: boolean;
   obi_threshold: number;
-  gate_whale_enabled: boolean;
+  // 门5 期现背离
-  whale_cvd_threshold: number;
-  gate_vol_enabled: boolean;
-  atr_percentile_min: number;
   gate_spot_perp_enabled: boolean;
   spot_perp_threshold: number;
   sl_atr_multiplier: number;
@@ -48,14 +55,16 @@ export const DEFAULT_FORM: StrategyFormData = {
   weight_aux: 15,
   weight_momentum: 5,
   entry_score: 75,
-  gate_obi_enabled: true,
-  obi_threshold: 0.3,
-  gate_whale_enabled: true,
-  whale_cvd_threshold: 0.0,
   gate_vol_enabled: true,
-  atr_percentile_min: 20,
+  vol_atr_pct_min: 0.002,
+  gate_cvd_enabled: true,
+  gate_whale_enabled: true,
+  whale_usd_threshold: 50000,
+  whale_flow_pct: 0.5,
+  gate_obi_enabled: true,
+  obi_threshold: 0.35,
   gate_spot_perp_enabled: false,
-  spot_perp_threshold: 0.002,
+  spot_perp_threshold: 0.005,
   sl_atr_multiplier: 1.5,
   tp1_ratio: 0.75,
   tp2_ratio: 1.5,
@@ -363,44 +372,52 @@ export default function StrategyForm({ mode, initialData, strategyId, onSuccess,
         </div>
       </div>
 
-      {/* ── 四道 Gate ── */}
+      {/* ── 五道 Gate ── */}
       <div className="bg-white border border-slate-200 rounded-xl p-4">
         <h3 className="text-sm font-semibold text-slate-700 mb-3">过滤门控（Gate）</h3>
         <div className="space-y-3">
           <GateRow
-            label="Gate 1：订单簿失衡 (OBI)"
+            label="门1：波动率门 (ATR%价格)"
-            hint="要求订单簿方向与信号一致，OBI越高越严格"
+            hint="ATR占价格比例低于阈值时不开仓，过滤低波动时段"
-            enabled={form.gate_obi_enabled}
-            onToggle={() => set("gate_obi_enabled", !form.gate_obi_enabled)}
-          >
-            <FieldLabel label="OBI 最低阈值" hint="0.1(宽松) ~ 0.9(严格)，默认0.3" />
-            <NumberInput value={form.obi_threshold} onChange={(v) => set("obi_threshold", v)} min={0.1} max={0.9} step={0.05} />
-          </GateRow>
-          <GateRow
-            label="Gate 2：大单 CVD 门"
-            hint="要求大单累积净买入方向与信号一致"
-            enabled={form.gate_whale_enabled}
-            onToggle={() => set("gate_whale_enabled", !form.gate_whale_enabled)}
-          >
-            <FieldLabel label="Whale CVD 阈值" hint="-1到1，多头信号时大单CVD需>此值，默认0" />
-            <NumberInput value={form.whale_cvd_threshold} onChange={(v) => set("whale_cvd_threshold", v)} min={-1} max={1} step={0.1} />
-          </GateRow>
-          <GateRow
-            label="Gate 3：波动率门 (ATR%)"
-            hint="要求当前ATR百分位高于最低值，过滤低波动时段"
             enabled={form.gate_vol_enabled}
             onToggle={() => set("gate_vol_enabled", !form.gate_vol_enabled)}
           >
-            <FieldLabel label="ATR 最低百分位" hint="0-80，默认20，低于此值不开仓" />
+            <FieldLabel label="ATR% 最低阈值" hint="如0.002=价格0.2%，BTC默认0.002，ETH默认0.003" />
-            <NumberInput value={form.atr_percentile_min} onChange={(v) => set("atr_percentile_min", v)} min={5} max={80} />
+            <NumberInput value={form.vol_atr_pct_min} onChange={(v) => set("vol_atr_pct_min", v)} min={0.0001} max={0.02} step={0.0005} />
           </GateRow>
           <GateRow
-            label="Gate 4：现货/永续溢价门"
+            label="门2：CVD共振方向门"
-            hint="要求现货与永续价格溢价低于阈值，过滤套利异常时段"
+            hint="要求快慢两条CVD同向（双线共振），否则视为无方向不开仓"
+            enabled={form.gate_cvd_enabled}
+            onToggle={() => set("gate_cvd_enabled", !form.gate_cvd_enabled)}
+          />
+          <GateRow
+            label="门3：鲸鱼否决门"
+            hint="检测大单方向：ALT用USD金额阈值，BTC用鲸鱼CVD流量比例"
+            enabled={form.gate_whale_enabled}
+            onToggle={() => set("gate_whale_enabled", !form.gate_whale_enabled)}
+          >
+            <FieldLabel label="大单USD阈值 (ALT)" hint="超过此USD金额视为鲸鱼单，ETH默认5万，BTC默认10万" />
+            <NumberInput value={form.whale_usd_threshold} onChange={(v) => set("whale_usd_threshold", v)} min={1000} max={1000000} step={5000} />
+            <FieldLabel label="鲸鱼CVD流量阈值 (BTC)" hint="0~1，BTC鲸鱼净方向比例超过此值才否决，默认0.5" />
+            <NumberInput value={form.whale_flow_pct} onChange={(v) => set("whale_flow_pct", v)} min={0} max={1} step={0.05} />
+          </GateRow>
+          <GateRow
+            label="门4：订单簿失衡门 (OBI)"
+            hint="要求订单簿方向与信号一致，OBI绝对值超过阈值才否决反向信号"
+            enabled={form.gate_obi_enabled}
+            onToggle={() => set("gate_obi_enabled", !form.gate_obi_enabled)}
+          >
+            <FieldLabel label="OBI 否决阈值" hint="0.1(宽松) ~ 0.9(严格)，默认0.35" />
+            <NumberInput value={form.obi_threshold} onChange={(v) => set("obi_threshold", v)} min={0.1} max={0.9} step={0.05} />
+          </GateRow>
+          <GateRow
+            label="门5：期现背离门"
+            hint="要求现货与永续溢价低于阈值，过滤套利异常时段（默认关闭）"
             enabled={form.gate_spot_perp_enabled}
             onToggle={() => set("gate_spot_perp_enabled", !form.gate_spot_perp_enabled)}
           >
-            <FieldLabel label="溢价率阈值" hint="0.0005~0.01，溢价超过此值不开仓" />
+            <FieldLabel label="溢价率阈值" hint="0.0005~0.01，溢价超过此值不开仓，默认0.005" />
             <NumberInput value={form.spot_perp_threshold} onChange={(v) => set("spot_perp_threshold", v)} min={0.0005} max={0.01} step={0.0005} />
           </GateRow>
         </div>