fix: V3全面审阅修复 — 12项问题
P0-1: 风控Fail-Closed(状态文件缺失/过期/异常→拒绝开仓) P0-2: 1R基准跨模块统一(position_sync+risk_guard从live_config动态读) P0-3: close_all紧急全平校验返回值+二次验仓 P0-4: Coinbase Premium单位修复(premium_pct/100→比例值) P1-3: 正向funding计入净PnL(不再只扣负值) P1-4: 数据新鲜度检查落地(查signal_indicators最新ts) P1-6: live表DDL补全到SCHEMA_SQL(live_config/live_events/live_trades) P2-1: _get_risk_usd()加60秒缓存 P2-3: 模拟盘前端*200→从config动态算paper1R P2-4: XRP/SOL跳过Coinbase Premium采集(无数据源) P3-2: SQL参数化(fetch_pending_signals用ANY替代f-string) 额外: pnl_r公式修正(gross-fee+funding，funding正负都正确计入)
This commit is contained in:
dev-worker
parent
22df9152f2
commit
31e6e19ea6
@ -303,6 +303,57 @@ CREATE TABLE IF NOT EXISTS paper_trades (
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score_factors JSONB,
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created_at TIMESTAMP DEFAULT NOW()
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);
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-- Live trading tables
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CREATE TABLE IF NOT EXISTS live_config (
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key TEXT PRIMARY KEY,
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value TEXT NOT NULL,
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label TEXT,
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updated_at TIMESTAMP DEFAULT NOW()
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);
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CREATE TABLE IF NOT EXISTS live_events (
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id BIGSERIAL PRIMARY KEY,
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ts BIGINT DEFAULT (EXTRACT(EPOCH FROM NOW()) * 1000)::BIGINT,
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level TEXT,
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category TEXT,
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symbol TEXT,
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message TEXT,
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detail JSONB
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);
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CREATE TABLE IF NOT EXISTS live_trades (
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id BIGSERIAL PRIMARY KEY,
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symbol TEXT NOT NULL,
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strategy TEXT NOT NULL,
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direction TEXT NOT NULL,
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status TEXT NOT NULL DEFAULT 'active',
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entry_price DOUBLE PRECISION,
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exit_price DOUBLE PRECISION,
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entry_ts BIGINT,
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exit_ts BIGINT,
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sl_price DOUBLE PRECISION,
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tp1_price DOUBLE PRECISION,
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tp2_price DOUBLE PRECISION,
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tp1_hit BOOLEAN DEFAULT FALSE,
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score DOUBLE PRECISION,
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tier TEXT,
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pnl_r DOUBLE PRECISION,
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fee_usdt DOUBLE PRECISION DEFAULT 0,
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funding_fee_usdt DOUBLE PRECISION DEFAULT 0,
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risk_distance DOUBLE PRECISION,
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atr_at_entry DOUBLE PRECISION,
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score_factors JSONB,
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signal_id BIGINT,
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binance_order_id TEXT,
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fill_price DOUBLE PRECISION,
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slippage_bps DOUBLE PRECISION,
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protection_gap_ms BIGINT,
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signal_to_order_ms BIGINT,
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order_to_fill_ms BIGINT,
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qty DOUBLE PRECISION,
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created_at TIMESTAMP DEFAULT NOW()
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);
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"""
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@ -317,9 +317,15 @@ async def execute_entry(session: aiohttp.ClientSession, signal: dict, db_conn):
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symbol, {"signal_age_ms": round(signal_age_ms), "score": score})
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return None
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# 0.5 检查风控状态（读risk_guard写的状态文件）
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# 0.5 检查风控状态（Fail-Closed: 状态异常时拒绝开仓）
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state_path = "/tmp/risk_guard_state.json"
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try:
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with open("/tmp/risk_guard_state.json") as f:
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st = os.stat(state_path)
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if time.time() - st.st_mtime > 15:
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logger.error(f"[{symbol}] ❌ 风控状态文件超过15秒未更新，risk_guard可能失联，拒绝开仓")
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_log_event(db_conn, "critical", "risk", "风控失联(状态文件过期)，拒绝开仓", symbol)
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return None
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with open(state_path) as f:
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risk_state = json.load(f)
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if risk_state.get("block_new_entries"):
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logger.warning(f"[{symbol}] ❌ 风控禁止新开仓: {risk_state.get('circuit_break_reason', '未知原因')}")
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@ -328,9 +334,11 @@ async def execute_entry(session: aiohttp.ClientSession, signal: dict, db_conn):
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logger.warning(f"[{symbol}] ❌ 只减仓模式，拒绝开仓")
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return None
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except FileNotFoundError:
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pass # risk_guard还没启动，允许交易
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logger.error(f"[{symbol}] ❌ 风控状态文件不存在，risk_guard未运行，拒绝开仓")
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return None
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except Exception as e:
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logger.warning(f"[{symbol}] ⚠ 读取风控状态失败: {e}，继续交易")
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logger.error(f"[{symbol}] ❌ 读取风控状态失败: {e}，拒绝开仓")
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return None
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# 检查前端紧急操作指令
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try:
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@ -525,21 +533,20 @@ def fetch_pending_signals(conn):
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"""查询未处理的新信号"""
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cur = conn.cursor()
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# 查最近60秒内的新信号（score>=阈值、策略匹配、未被live_executor处理过）
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strategies_str = ",".join(f"'{s}'" for s in ENABLED_STRATEGIES)
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cur.execute(f"""
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cur.execute("""
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SELECT si.id, si.symbol, si.signal, si.score, si.ts, si.factors, si.strategy,
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si.price
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FROM signal_indicators si
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WHERE si.signal IS NOT NULL
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AND si.signal != ''
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AND si.strategy IN ({strategies_str})
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AND si.strategy = ANY(%s)
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AND si.ts > extract(epoch from now()) * 1000 - 60000
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AND NOT EXISTS (
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SELECT 1 FROM live_trades lt
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WHERE lt.signal_id = si.id AND lt.strategy = si.strategy
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)
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ORDER BY si.ts DESC
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""")
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""", (ENABLED_STRATEGIES,))
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rows = cur.fetchall()
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signals = []
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for row in rows:
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@ -1473,13 +1473,20 @@ async def live_risk_status(user: dict = Depends(get_current_user)):
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return {"status": "unknown", "error": "risk_guard_state.json not found"}
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_risk_usd_cache = {"v": 2.0, "ts": 0.0}
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async def _get_risk_usd() -> float:
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"""从live_config读取1R金额，缓存60秒"""
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now = time.time()
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if now - _risk_usd_cache["ts"] < 60:
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return _risk_usd_cache["v"]
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try:
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row = await async_fetchrow("SELECT value FROM live_config WHERE key = $1", "risk_per_trade_usd")
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return float(row["value"]) if row else 2.0
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v = float(row["value"]) if row else 2.0
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except Exception:
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return 2.0
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v = 2.0
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_risk_usd_cache.update({"v": v, "ts": now})
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return v
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def _require_admin(user: dict):
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@ -113,7 +113,9 @@ class MarketDataCollector:
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"BTCUSDT": "BTC-USD",
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"ETHUSDT": "ETH-USD",
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}
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coinbase_pair = pair_map[symbol]
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coinbase_pair = pair_map.get(symbol)
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if not coinbase_pair:
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return # XRP/SOL无Coinbase数据，跳过
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binance_url = "https://api.binance.com/api/v3/ticker/price"
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coinbase_url = f"https://api.coinbase.com/v2/prices/{coinbase_pair}/spot"
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@ -444,8 +444,8 @@ async def check_closed_positions(session, conn):
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if total_qty > 0:
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exit_price = sum(float(t["price"]) * float(t["qty"]) for t in close_trades) / total_qty
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elif trades_data:
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# fallback: ä¸ç²ç®åæåä¸æ¡ï¼å¯è½æ¯å¼ä»æ交ï¼ï¼å»¶åæ¬è½®ç»ç®
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logger.warning(f"[{symbol}] æªæ¾å°æ确平ä»æ交ï¼å»¶åç»ç®")
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# fallback: 未找到明确平仓成交，延后本轮结算
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logger.warning(f"[{symbol}] 未找到明确平仓成交，延后结算")
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continue
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# 汇总手续费（开仓后200ms起算，避免含其他策略成交）
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@ -464,9 +464,10 @@ async def check_closed_positions(session, conn):
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tp1_r = abs(lp["tp1_price"] - lp["entry_price"]) / rd
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gross_pnl_r = 0.5 * tp1_r + 0.5 * gross_pnl_r
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# 手续费(R) — 用实际成交手续费
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# 手续费(R) — 用实际成交手续费（动态1R）
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_risk_usd = load_live_risk_usd(conn)
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if actual_fee_usdt > 0:
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fee_r = actual_fee_usdt / (RISK_PER_TRADE_USD if RISK_PER_TRADE_USD > 0 else rd)
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fee_r = actual_fee_usdt / (_risk_usd if _risk_usd > 0 else rd)
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else:
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# fallback: 按0.1%估算(开+平各0.05%)
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fee_r = 0.001 * lp["entry_price"] / rd
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@ -477,10 +478,11 @@ async def check_closed_positions(session, conn):
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fr_row = cur.fetchone()
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if fr_row:
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funding_usdt = fr_row[0]
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funding_r = abs(funding_usdt) / (RISK_PER_TRADE_USD if RISK_PER_TRADE_USD > 0 else rd) if funding_usdt < 0 else 0
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# P1-3: 正向funding也计入净PnL（正值增加收益，负值减少收益）
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funding_r = funding_usdt / (_risk_usd if _risk_usd > 0 else rd)
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# 净PnL = gross - fee - funding_cost
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pnl_r = gross_pnl_r - fee_r - funding_r
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# 净PnL = gross - fee + funding (funding正值=收入，负值=支出)
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pnl_r = gross_pnl_r - fee_r + funding_r
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# 判断状态
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if pnl_r > 0.5:
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@ -619,6 +621,17 @@ def _log_event(conn, level, category, message, symbol=None, detail=None):
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# ============ 主循环 ============
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def load_live_risk_usd(conn, default=2.0):
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"""从live_config动态读取1R金额，与live_executor保持一致"""
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try:
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cur = conn.cursor()
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cur.execute("SELECT value FROM live_config WHERE key='risk_per_trade_usd'")
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row = cur.fetchone()
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return float(row[0]) if row and row[0] else default
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except Exception:
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return default
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def ensure_db_conn(conn):
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"""检查DB连接，断线则重连"""
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try:
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@ -220,7 +220,7 @@ def check_daily_loss(conn):
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return realized_r, consecutive
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async def check_unrealized_loss(session):
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async def check_unrealized_loss(session, risk_usd_dynamic=2.0):
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"""检查未实现亏损"""
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data, status = await binance_request(session, "GET", "/fapi/v2/positionRisk")
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total_unrealized = 0
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@ -229,7 +229,7 @@ async def check_unrealized_loss(session):
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pnl = float(pos.get("unRealizedProfit", 0))
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total_unrealized += pnl
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# 转为R
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unrealized_r = total_unrealized / RISK_PER_TRADE_USD if RISK_PER_TRADE_USD > 0 else 0
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unrealized_r = total_unrealized / risk_usd_dynamic if risk_usd_dynamic > 0 else 0
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risk_state.today_unrealized_r = unrealized_r
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return unrealized_r
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@ -245,7 +245,7 @@ async def check_balance(session):
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return 0
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def check_data_freshness():
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def check_data_freshness(conn=None):
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"""检查数据新鲜度"""
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now = time.time()
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issues = []
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@ -254,6 +254,19 @@ def check_data_freshness():
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if api_gap > API_DISCONNECT_THRESHOLD_SEC:
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issues.append(f"API无响应{api_gap:.0f}秒")
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# 检查行情数据新鲜度（signal_indicators最新ts）
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if conn:
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try:
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cur = conn.cursor()
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cur.execute("SELECT MAX(ts) FROM signal_indicators")
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row = cur.fetchone()
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if row and row[0]:
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market_age = now - (row[0] / 1000)
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if market_age > MARKET_DATA_STALE_SEC:
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issues.append(f"行情数据延迟{market_age:.1f}秒")
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except Exception:
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pass
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return issues
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@ -350,11 +363,23 @@ async def trigger_circuit_break(session, conn, reason: str, action: str = "block
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close_side = "SELL" if amt > 0 else "BUY"
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qty_prec = SYMBOL_QTY_PRECISION.get(symbol, 3)
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qty_str = f"{abs(amt):.{qty_prec}f}"
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await binance_request(session, "POST", "/fapi/v1/order", {
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close_resp, close_status = await binance_request(session, "POST", "/fapi/v1/order", {
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"symbol": symbol, "side": close_side, "type": "MARKET",
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"quantity": qty_str, "reduceOnly": "true",
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})
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if close_status != 200:
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logger.error(f"[{symbol}] ❌ 紧急平仓失败: {close_resp}")
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_log_event(conn, "critical", "risk", f"紧急平仓失败 {symbol}", symbol,
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{"response": str(close_resp)})
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else:
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logger.info(f"[{symbol}] 🔴 紧急平仓 {close_side} qty={qty_str}")
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# 二次验仓
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verify, v_status = await binance_request(session, "GET", "/fapi/v2/positionRisk", {"symbol": symbol})
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if v_status == 200 and isinstance(verify, list):
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still_open = any(abs(float(p.get("positionAmt", 0))) > 0 and p.get("symbol") == symbol for p in verify)
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if still_open:
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logger.error(f"[{symbol}] ❌ 紧急平仓后仍有仓位! 需人工介入")
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_log_event(conn, "critical", "risk", f"紧急平仓后仍有仓位 {symbol}", symbol)
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# 记录历史
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risk_state.breaker_history.append({
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@ -478,6 +503,17 @@ async def check_emergency_commands(session, conn):
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# ============ 主循环 ============
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def load_live_risk_usd(conn, default=2.0):
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"""从live_config动态读取1R金额，与live_executor保持一致"""
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try:
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cur = conn.cursor()
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cur.execute("SELECT value FROM live_config WHERE key='risk_per_trade_usd'")
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row = cur.fetchone()
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return float(row[0]) if row and row[0] else default
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except Exception:
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return default
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def ensure_db_conn(conn):
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"""检查DB连接，断线则重连"""
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try:
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@ -517,7 +553,8 @@ async def main():
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# 1. 今日亏损检查
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realized_r, consecutive = check_daily_loss(conn)
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unrealized_r = await check_unrealized_loss(session)
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_live_risk_usd = load_live_risk_usd(conn)
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unrealized_r = await check_unrealized_loss(session, _live_risk_usd)
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total_r = realized_r + min(unrealized_r, 0) # 已实现 + 未实现亏损
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if total_r <= DAILY_LOSS_LIMIT_R and risk_state.status != "circuit_break":
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@ -538,7 +575,7 @@ async def main():
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risk_state.auto_resume_time = time.time() + CONSECUTIVE_LOSS_COOLDOWN_MIN * 60
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# 3. API连接检查
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freshness_issues = check_data_freshness()
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freshness_issues = check_data_freshness(conn)
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if freshness_issues and risk_state.status != "circuit_break":
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await trigger_circuit_break(
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session, conn,
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@ -151,7 +151,8 @@ def fetch_market_indicators(symbol: str) -> dict:
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elif ind_type == "open_interest_hist":
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indicators[ind_type] = float(val.get("sumOpenInterestValue", 0))
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elif ind_type == "coinbase_premium":
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indicators[ind_type] = float(val.get("premium_pct", 0))
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# premium_pct存的是百分比(如0.05=0.05%)，转成比例(0.0005)
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indicators[ind_type] = float(val.get("premium_pct", 0)) / 100.0
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elif ind_type == "funding_rate":
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indicators[ind_type] = float(val.get("fundingRate", val.get("lastFundingRate", 0)))
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return indicators
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@ -294,7 +294,8 @@ function ActivePositions({ strategy }: { strategy: StrategyFilter }) {
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const fullR = riskDist > 0 ? (p.direction === "LONG" ? (currentPrice - entry) / riskDist : (entry - currentPrice) / riskDist) : 0;
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const tp1R = riskDist > 0 ? (p.direction === "LONG" ? ((p.tp1_price || 0) - entry) / riskDist : (entry - (p.tp1_price || 0)) / riskDist) : 0;
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const unrealR = p.tp1_hit ? 0.5 * tp1R + 0.5 * fullR : fullR;
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const unrealUsdt = unrealR * 200;
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const paper1R = (config?.initial_balance || 10000) * (config?.risk_per_trade || 0.02);
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const unrealUsdt = unrealR * paper1R;
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return (
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<div key={p.id} className="px-3 py-2 bg-emerald-50/60">
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<div className="flex items-center justify-between gap-2">
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@ -231,7 +231,8 @@ function ActivePositions() {
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const fullR = riskDist > 0 ? (p.direction === "LONG" ? (currentPrice - entry) / riskDist : (entry - currentPrice) / riskDist) : 0;
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const tp1R = riskDist > 0 ? (p.direction === "LONG" ? ((p.tp1_price || 0) - entry) / riskDist : (entry - (p.tp1_price || 0)) / riskDist) : 0;
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const unrealR = p.tp1_hit ? 0.5 * tp1R + 0.5 * fullR : fullR;
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const unrealUsdt = unrealR * 200;
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const paper1R = (config?.initial_balance || 10000) * (config?.risk_per_trade || 0.02);
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const unrealUsdt = unrealR * paper1R;
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return (
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<div key={p.id} className="px-3 py-2">
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<div className="flex items-center justify-between">
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||||
|
||||
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Reference in New Issue
Block a user