From 47004ece8c43fed58e463c99440dec4afbbd4de2 Mon Sep 17 00:00:00 2001 From: root Date: Sat, 28 Feb 2026 11:30:17 +0000 Subject: [PATCH] feat: paper trading deduct taker fee 0.05% per side (0.1% round trip) --- backend/signal_engine.py | 12 +++++++++--- 1 file changed, 9 insertions(+), 3 deletions(-) diff --git a/backend/signal_engine.py b/backend/signal_engine.py index d919479..fd53b0d 100644 --- a/backend/signal_engine.py +++ b/backend/signal_engine.py @@ -47,6 +47,7 @@ PAPER_TIER_MULTIPLIER = { # 档位仓位倍数 "standard": 1.0, # 标准: 2% "heavy": 1.5, # 加仓: 3% } +PAPER_FEE_RATE = 0.0005 # Taker手续费 0.05%（开仓+平仓各一次） def load_paper_config(): """从配置文件加载模拟盘开关和参数""" @@ -522,14 +523,14 @@ def paper_check_positions(symbol: str, current_price: float, now_ms: int): with get_sync_conn() as conn: with conn.cursor() as cur: cur.execute( - "SELECT id, direction, entry_price, tp1_price, tp2_price, sl_price, tp1_hit, entry_ts " + "SELECT id, direction, entry_price, tp1_price, tp2_price, sl_price, tp1_hit, entry_ts, atr_at_entry " "FROM paper_trades WHERE symbol=%s AND status IN ('active','tp1_hit') ORDER BY id", (symbol,) ) positions = cur.fetchall() for pos in positions: - pid, direction, entry_price, tp1, tp2, sl, tp1_hit, entry_ts = pos + pid, direction, entry_price, tp1, tp2, sl, tp1_hit, entry_ts, atr_entry = pos closed = False new_status = None pnl_r = 0.0 @@ -584,11 +585,16 @@ def paper_check_positions(symbol: str, current_price: float, now_ms: int): pnl_r = max(pnl_r, 0.5 * 1.5) if closed: + # 扣除手续费（开仓+平仓各Taker 0.05%） + risk_distance = 2.0 * 0.7 * atr_entry if atr_entry > 0 else 1 + fee_r = (2 * PAPER_FEE_RATE * entry_price) / risk_distance if risk_distance > 0 else 0 + pnl_r -= fee_r + cur.execute( "UPDATE paper_trades SET status=%s, exit_price=%s, exit_ts=%s, pnl_r=%s WHERE id=%s", (new_status, current_price, now_ms, round(pnl_r, 4), pid) ) - logger.info(f"[{symbol}] 📝 模拟平仓: {direction} @ {current_price:.2f} status={new_status} pnl={pnl_r:+.2f}R") + logger.info(f"[{symbol}] 📝 模拟平仓: {direction} @ {current_price:.2f} status={new_status} pnl={pnl_r:+.2f}R (fee={fee_r:.3f}R)") conn.commit()