lulu/arbitrage-engine
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feat: paper trading deduct taker fee 0.05% per side (0.1% round trip)

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root 2026-02-28 11:30:17 +00:00
parent 59910fe9cd
commit 47004ece8c
1 changed files with 9 additions and 3 deletions
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12
backend/signal_engine.py
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@ -47,6 +47,7 @@ PAPER_TIER_MULTIPLIER = { # 档位仓位倍数
"standard": 1.0, # 标准: 2% "standard": 1.0, # 标准: 2%
"heavy": 1.5, # 加仓: 3% "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(): def load_paper_config():
"""从配置文件加载模拟盘开关和参数""" """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 get_sync_conn() as conn:
with conn.cursor() as cur: with conn.cursor() as cur:
cur.execute( 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", "FROM paper_trades WHERE symbol=%s AND status IN ('active','tp1_hit') ORDER BY id",
(symbol,) (symbol,)
) )
positions = cur.fetchall() positions = cur.fetchall()
for pos in positions: 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 closed = False
new_status = None new_status = None
pnl_r = 0.0 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) pnl_r = max(pnl_r, 0.5 * 1.5)
if closed: 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( cur.execute(
"UPDATE paper_trades SET status=%s, exit_price=%s, exit_ts=%s, pnl_r=%s WHERE id=%s", "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) (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() conn.commit()