feat: upgrade signal engine to V5.1 layered scoring
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@ -20,7 +20,7 @@ import os
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import time
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from collections import deque
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from datetime import datetime, timezone
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from typing import Optional
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from typing import Any, Optional
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from db import get_sync_conn, init_schema
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@ -51,6 +51,28 @@ ATR_LENGTH = 14
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COOLDOWN_MS = 10 * 60 * 1000
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def fetch_market_indicators(symbol: str) -> dict:
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"""从PG读取最新的market_indicators数据"""
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with get_sync_conn() as conn:
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with conn.cursor() as cur:
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indicators = {}
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for ind_type in ["long_short_ratio", "top_trader_position", "open_interest_hist", "coinbase_premium"]:
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cur.execute(
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"SELECT value FROM market_indicators WHERE symbol=%s AND indicator_type=%s ORDER BY timestamp_ms DESC LIMIT 1",
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(symbol, ind_type),
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)
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row = cur.fetchone()
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indicators[ind_type] = row[0] if row else None
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return indicators
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def to_float(value: Any) -> Optional[float]:
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try:
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return float(value) if value is not None else None
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except (TypeError, ValueError):
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return None
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# ─── 滚动窗口 ───────────────────────────────────────────────────
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class TradeWindow:
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@ -154,6 +176,8 @@ class SymbolState:
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self.last_processed_id = 0
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self.warmup = True
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self.prev_cvd_fast = 0.0
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self.prev_cvd_fast_slope = 0.0
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self.market_indicators = fetch_market_indicators(symbol)
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self.last_signal_ts = 0
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self.last_signal_dir = ""
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self.recent_large_trades: deque = deque()
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@ -202,13 +226,17 @@ class SymbolState:
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self.update_large_trades(now_ms, p99)
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price = vwap if vwap > 0 else 0
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cvd_fast_slope = cvd_fast - self.prev_cvd_fast
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cvd_fast_accel = cvd_fast_slope - self.prev_cvd_fast_slope
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self.prev_cvd_fast = cvd_fast
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self.prev_cvd_fast_slope = cvd_fast_slope
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result = {
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"cvd_fast": cvd_fast, "cvd_mid": cvd_mid, "cvd_day": self.win_day.cvd,
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"cvd_fast_slope": cvd_fast_slope,
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"atr": atr, "atr_pct": atr_pct, "vwap": vwap, "price": price,
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"p95": p95, "p99": p99, "signal": None, "direction": None, "score": 0,
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"tier": None,
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"factors": {},
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}
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if self.warmup or price == 0 or atr == 0:
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@ -216,26 +244,121 @@ class SymbolState:
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if now_ms - self.last_signal_ts < COOLDOWN_MS:
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return result
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long_core = cvd_fast > 0 and cvd_fast_slope > 0 and cvd_mid > 0 and price > vwap
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short_core = cvd_fast < 0 and cvd_fast_slope < 0 and cvd_mid < 0 and price < vwap
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if not long_core and not short_core:
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if cvd_fast > 0 and cvd_mid > 0:
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direction = "LONG"
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elif cvd_fast < 0 and cvd_mid < 0:
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direction = "SHORT"
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else:
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return result
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direction = "LONG" if long_core else "SHORT"
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score = 0
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if atr_pct > 60:
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score += 25
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has_adverse = any(
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# V5.1 五层评分体系（总分100，方向层可因加速额外+5）
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# 1) 方向层（45分 + 5加速分）
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direction_score = 0
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if (direction == "LONG" and cvd_fast > 0) or (direction == "SHORT" and cvd_fast < 0):
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direction_score += 15
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if (direction == "LONG" and cvd_mid > 0) or (direction == "SHORT" and cvd_mid < 0):
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direction_score += 15
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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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for lt in self.recent_large_trades
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)
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if not has_adverse:
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score += 20
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has_aligned_p99 = any(
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(direction == "LONG" and lt[2] == 0) or (direction == "SHORT" and lt[2] == 1)
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for lt in self.recent_large_trades
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)
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if has_aligned_p99:
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direction_score += 15
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elif not has_adverse_p99:
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direction_score += 10
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accel_bonus = 0
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if (direction == "LONG" and cvd_fast_accel > 0) or (direction == "SHORT" and cvd_fast_accel < 0):
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accel_bonus = 5
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result["signal"] = direction
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# 2) 拥挤层（20分）- market_indicators缺失时给中间分
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long_short_ratio = to_float(self.market_indicators.get("long_short_ratio"))
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if long_short_ratio is None:
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ls_score = 5
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elif (direction == "SHORT" and long_short_ratio > 2.0) or (direction == "LONG" and long_short_ratio < 0.5):
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ls_score = 10
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else:
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ls_score = 5
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top_trader_position = to_float(self.market_indicators.get("top_trader_position"))
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if top_trader_position is None:
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top_trader_score = 5
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else:
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if direction == "LONG":
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if top_trader_position >= 0.55:
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top_trader_score = 10
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elif top_trader_position <= 0.45:
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top_trader_score = 0
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else:
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top_trader_score = 5
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else:
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if top_trader_position <= 0.45:
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top_trader_score = 10
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elif top_trader_position >= 0.55:
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top_trader_score = 0
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else:
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top_trader_score = 5
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crowding_score = ls_score + top_trader_score
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# 3) 环境层（15分）
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oi_change = to_float(self.market_indicators.get("open_interest_hist"))
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if oi_change is None:
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environment_score = 10
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elif oi_change >= 0.03:
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environment_score = 15
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elif oi_change > 0:
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environment_score = 10
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else:
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environment_score = 5
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# 4) 确认层（15分）
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confirmation_score = 15 if ((direction == "LONG" and cvd_fast > 0 and cvd_mid > 0) or (direction == "SHORT" and cvd_fast < 0 and cvd_mid < 0)) else 0
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# 5) 辅助层（5分）
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coinbase_premium = to_float(self.market_indicators.get("coinbase_premium"))
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if coinbase_premium is None:
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aux_score = 2
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elif (direction == "LONG" and coinbase_premium > 0.0005) or (direction == "SHORT" and coinbase_premium < -0.0005):
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aux_score = 5
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elif abs(coinbase_premium) <= 0.0005:
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aux_score = 2
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else:
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aux_score = 0
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total_score = direction_score + accel_bonus + crowding_score + environment_score + confirmation_score + aux_score
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result["score"] = total_score
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result["direction"] = direction
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result["score"] = score
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result["factors"] = {
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"direction": {
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"score": direction_score,
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"cvd_fast": 15 if ((direction == "LONG" and cvd_fast > 0) or (direction == "SHORT" and cvd_fast < 0)) else 0,
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"cvd_mid": 15 if ((direction == "LONG" and cvd_mid > 0) or (direction == "SHORT" and cvd_mid < 0)) else 0,
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"p99_flow": 15 if has_aligned_p99 else (10 if not has_adverse_p99 else 0),
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"accel_bonus": accel_bonus,
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},
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"crowding": {"score": crowding_score, "long_short_ratio": ls_score, "top_trader_position": top_trader_score},
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"environment": {"score": environment_score, "open_interest_hist": oi_change},
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"confirmation": {"score": confirmation_score},
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"auxiliary": {"score": aux_score, "coinbase_premium": coinbase_premium},
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}
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if total_score >= 85:
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result["signal"] = direction
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result["tier"] = "heavy"
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elif total_score >= 75:
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result["signal"] = direction
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result["tier"] = "standard"
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elif total_score >= 60:
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result["signal"] = direction
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result["tier"] = "light"
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else:
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result["signal"] = None
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result["tier"] = None
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if result["signal"]:
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self.last_signal_ts = now_ms
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self.last_signal_dir = direction
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return result
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@ -333,6 +456,7 @@ def main():
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for t in new_trades:
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state.process_trade(t["agg_id"], t["time_ms"], t["price"], t["qty"], t["is_buyer_maker"])
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state.market_indicators = fetch_market_indicators(sym)
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result = state.evaluate_signal(now_ms)
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save_indicator(now_ms, sym, result)
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@ -347,8 +471,11 @@ def main():
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cycle += 1
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if cycle % 60 == 0:
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for sym, state in states.items():
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r = state.evaluate_signal(now_ms)
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logger.info(f"[{sym}] 状态: CVD_fast={r['cvd_fast']:.1f} CVD_mid={r['cvd_mid']:.1f} ATR={r['atr']:.2f}({r['atr_pct']:.0f}%) VWAP={r['vwap']:.1f}")
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logger.info(
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f"[{sym}] 状态: CVD_fast={state.win_fast.cvd:.1f} "
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f"CVD_mid={state.win_mid.cvd:.1f} ATR={state.atr_calc.atr:.2f} "
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f"({state.atr_calc.atr_percentile:.0f}%) VWAP={state.win_vwap.vwap:.1f}"
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)
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except Exception as e:
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logger.error(f"循环异常: {e}", exc_info=True)
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