feat: upgrade signal engine to V5.1 layered scoring

backend/signal_engine.py

@@ -20,7 +20,7 @@ import os
 import time
 from collections import deque
 from datetime import datetime, timezone
-from typing import Optional
+from typing import Any, Optional
 
 from db import get_sync_conn, init_schema
 
@@ -51,6 +51,28 @@ ATR_LENGTH = 14
 COOLDOWN_MS = 10 * 60 * 1000
 
 
+def fetch_market_indicators(symbol: str) -> dict:
+    """从PG读取最新的market_indicators数据"""
+    with get_sync_conn() as conn:
+        with conn.cursor() as cur:
+            indicators = {}
+            for ind_type in ["long_short_ratio", "top_trader_position", "open_interest_hist", "coinbase_premium"]:
+                cur.execute(
+                    "SELECT value FROM market_indicators WHERE symbol=%s AND indicator_type=%s ORDER BY timestamp_ms DESC LIMIT 1",
+                    (symbol, ind_type),
+                )
+                row = cur.fetchone()
+                indicators[ind_type] = row[0] if row else None
+            return indicators
+
+
+def to_float(value: Any) -> Optional[float]:
+    try:
+        return float(value) if value is not None else None
+    except (TypeError, ValueError):
+        return None
+
+
 # ─── 滚动窗口 ───────────────────────────────────────────────────
 
 class TradeWindow:
@@ -154,6 +176,8 @@ class SymbolState:
         self.last_processed_id = 0
         self.warmup = True
         self.prev_cvd_fast = 0.0
+        self.prev_cvd_fast_slope = 0.0
+        self.market_indicators = fetch_market_indicators(symbol)
         self.last_signal_ts = 0
         self.last_signal_dir = ""
         self.recent_large_trades: deque = deque()
@@ -202,13 +226,17 @@ class SymbolState:
         self.update_large_trades(now_ms, p99)
         price = vwap if vwap > 0 else 0
         cvd_fast_slope = cvd_fast - self.prev_cvd_fast
+        cvd_fast_accel = cvd_fast_slope - self.prev_cvd_fast_slope
         self.prev_cvd_fast = cvd_fast
+        self.prev_cvd_fast_slope = cvd_fast_slope
 
         result = {
             "cvd_fast": cvd_fast, "cvd_mid": cvd_mid, "cvd_day": self.win_day.cvd,
             "cvd_fast_slope": cvd_fast_slope,
             "atr": atr, "atr_pct": atr_pct, "vwap": vwap, "price": price,
             "p95": p95, "p99": p99, "signal": None, "direction": None, "score": 0,
+            "tier": None,
+            "factors": {},
         }
 
         if self.warmup or price == 0 or atr == 0:
@@ -216,28 +244,123 @@ class SymbolState:
         if now_ms - self.last_signal_ts < COOLDOWN_MS:
             return result
 
-        long_core = cvd_fast > 0 and cvd_fast_slope > 0 and cvd_mid > 0 and price > vwap
-        short_core = cvd_fast < 0 and cvd_fast_slope < 0 and cvd_mid < 0 and price < vwap
-
-        if not long_core and not short_core:
+        if cvd_fast > 0 and cvd_mid > 0:
+            direction = "LONG"
+        elif cvd_fast < 0 and cvd_mid < 0:
+            direction = "SHORT"
+        else:
             return result
 
-        direction = "LONG" if long_core else "SHORT"
-        score = 0
-        if atr_pct > 60:
-            score += 25
-        has_adverse = any(
+        # V5.1 五层评分体系（总分100，方向层可因加速额外+5）
+        # 1) 方向层（45分 + 5加速分）
+        direction_score = 0
+        if (direction == "LONG" and cvd_fast > 0) or (direction == "SHORT" and cvd_fast < 0):
+            direction_score += 15
+        if (direction == "LONG" and cvd_mid > 0) or (direction == "SHORT" and cvd_mid < 0):
+            direction_score += 15
+        has_adverse_p99 = any(
             (direction == "LONG" and lt[2] == 1) or (direction == "SHORT" and lt[2] == 0)
             for lt in self.recent_large_trades
         )
-        if not has_adverse:
-            score += 20
+        has_aligned_p99 = any(
+            (direction == "LONG" and lt[2] == 0) or (direction == "SHORT" and lt[2] == 1)
+            for lt in self.recent_large_trades
+        )
+        if has_aligned_p99:
+            direction_score += 15
+        elif not has_adverse_p99:
+            direction_score += 10
+        accel_bonus = 0
+        if (direction == "LONG" and cvd_fast_accel > 0) or (direction == "SHORT" and cvd_fast_accel < 0):
+            accel_bonus = 5
 
-        result["signal"] = direction
+        # 2) 拥挤层（20分）- market_indicators缺失时给中间分
+        long_short_ratio = to_float(self.market_indicators.get("long_short_ratio"))
+        if long_short_ratio is None:
+            ls_score = 5
+        elif (direction == "SHORT" and long_short_ratio > 2.0) or (direction == "LONG" and long_short_ratio < 0.5):
+            ls_score = 10
+        else:
+            ls_score = 5
+
+        top_trader_position = to_float(self.market_indicators.get("top_trader_position"))
+        if top_trader_position is None:
+            top_trader_score = 5
+        else:
+            if direction == "LONG":
+                if top_trader_position >= 0.55:
+                    top_trader_score = 10
+                elif top_trader_position <= 0.45:
+                    top_trader_score = 0
+                else:
+                    top_trader_score = 5
+            else:
+                if top_trader_position <= 0.45:
+                    top_trader_score = 10
+                elif top_trader_position >= 0.55:
+                    top_trader_score = 0
+                else:
+                    top_trader_score = 5
+        crowding_score = ls_score + top_trader_score
+
+        # 3) 环境层（15分）
+        oi_change = to_float(self.market_indicators.get("open_interest_hist"))
+        if oi_change is None:
+            environment_score = 10
+        elif oi_change >= 0.03:
+            environment_score = 15
+        elif oi_change > 0:
+            environment_score = 10
+        else:
+            environment_score = 5
+
+        # 4) 确认层（15分）
+        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
+
+        # 5) 辅助层（5分）
+        coinbase_premium = to_float(self.market_indicators.get("coinbase_premium"))
+        if coinbase_premium is None:
+            aux_score = 2
+        elif (direction == "LONG" and coinbase_premium > 0.0005) or (direction == "SHORT" and coinbase_premium < -0.0005):
+            aux_score = 5
+        elif abs(coinbase_premium) <= 0.0005:
+            aux_score = 2
+        else:
+            aux_score = 0
+
+        total_score = direction_score + accel_bonus + crowding_score + environment_score + confirmation_score + aux_score
+        result["score"] = total_score
         result["direction"] = direction
-        result["score"] = score
-        self.last_signal_ts = now_ms
-        self.last_signal_dir = direction
+        result["factors"] = {
+            "direction": {
+                "score": direction_score,
+                "cvd_fast": 15 if ((direction == "LONG" and cvd_fast > 0) or (direction == "SHORT" and cvd_fast < 0)) else 0,
+                "cvd_mid": 15 if ((direction == "LONG" and cvd_mid > 0) or (direction == "SHORT" and cvd_mid < 0)) else 0,
+                "p99_flow": 15 if has_aligned_p99 else (10 if not has_adverse_p99 else 0),
+                "accel_bonus": accel_bonus,
+            },
+            "crowding": {"score": crowding_score, "long_short_ratio": ls_score, "top_trader_position": top_trader_score},
+            "environment": {"score": environment_score, "open_interest_hist": oi_change},
+            "confirmation": {"score": confirmation_score},
+            "auxiliary": {"score": aux_score, "coinbase_premium": coinbase_premium},
+        }
+
+        if total_score >= 85:
+            result["signal"] = direction
+            result["tier"] = "heavy"
+        elif total_score >= 75:
+            result["signal"] = direction
+            result["tier"] = "standard"
+        elif total_score >= 60:
+            result["signal"] = direction
+            result["tier"] = "light"
+        else:
+            result["signal"] = None
+            result["tier"] = None
+
+        if result["signal"]:
+            self.last_signal_ts = now_ms
+            self.last_signal_dir = direction
         return result
 
 
@@ -333,6 +456,7 @@ def main():
                 for t in new_trades:
                     state.process_trade(t["agg_id"], t["time_ms"], t["price"], t["qty"], t["is_buyer_maker"])
 
+                state.market_indicators = fetch_market_indicators(sym)
                 result = state.evaluate_signal(now_ms)
                 save_indicator(now_ms, sym, result)
 
@@ -347,8 +471,11 @@ def main():
             cycle += 1
             if cycle % 60 == 0:
                 for sym, state in states.items():
-                    r = state.evaluate_signal(now_ms)
-                    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}")
+                    logger.info(
+                        f"[{sym}] 状态: CVD_fast={state.win_fast.cvd:.1f} "
+                        f"CVD_mid={state.win_mid.cvd:.1f} ATR={state.atr_calc.atr:.2f} "
+                        f"({state.atr_calc.atr_percentile:.0f}%) VWAP={state.win_vwap.vwap:.1f}"
+                    )
 
         except Exception as e:
             logger.error(f"循环异常: {e}", exc_info=True)