191 lines
6.9 KiB
Python
191 lines
6.9 KiB
Python
"""
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strategy_loader.py — 从 JSON 文件 / DB 加载策略配置
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从原来的 signal_engine.py 拆分出的策略加载逻辑：
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- load_strategy_configs(): 从 backend/strategies/*.json 读取配置；
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- load_strategy_configs_from_db(): 从 strategies 表读取 running 策略并映射到 cfg dict。
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行为保持与原实现完全一致，用于给 signal_engine 等调用方复用。
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"""
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import json
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import logging
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import os
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from typing import Any
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from db import get_sync_conn
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logger = logging.getLogger("strategy-loader")
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STRATEGY_DIR = os.path.join(os.path.dirname(__file__), "strategies")
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DEFAULT_STRATEGY_FILES = [
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# 仅保留 V5.3 系列作为本地默认策略
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"v53.json",
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"v53_fast.json",
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"v53_middle.json",
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]
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def load_strategy_configs() -> list[dict]:
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"""从本地 JSON 文件加载默认策略配置"""
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configs: list[dict[str, Any]] = []
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for filename in DEFAULT_STRATEGY_FILES:
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path = os.path.join(STRATEGY_DIR, filename)
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try:
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with open(path, "r", encoding="utf-8") as f:
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cfg = json.load(f)
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if isinstance(cfg, dict) and cfg.get("name"):
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configs.append(cfg)
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except FileNotFoundError:
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logger.warning(f"策略配置缺失: {path}")
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except Exception as e:
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logger.error(f"策略配置加载失败 {path}: {e}")
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if not configs:
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logger.warning("未加载到策略配置，回退到 v53 默认配置")
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configs.append(
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{
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"name": "v53",
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"threshold": 75,
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"flip_threshold": 85,
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"tp_sl": {
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"sl_multiplier": 2.0,
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"tp1_multiplier": 1.5,
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"tp2_multiplier": 3.0,
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},
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# 默认支持四个主交易对，其他细节（gates/symbol_gates）
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# 在 evaluate_factory_strategy 内部有安全的默认值。
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"symbols": ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"],
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}
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)
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return configs
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def load_strategy_configs_from_db() -> list[dict]:
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"""
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V5.4: 从 strategies 表读取 running 状态的策略配置。
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把 DB 字段映射成现有 JSON 格式（保持与 JSON 文件完全兼容）。
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失败时返回空列表，调用方应 fallback 到 JSON。
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内存安全：每次读取只返回配置列表，无缓存，无大对象。
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"""
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try:
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with get_sync_conn() as conn:
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with conn.cursor() as cur:
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cur.execute(
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"""
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SELECT
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strategy_id::text, display_name, symbol,
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cvd_fast_window, cvd_slow_window,
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weight_direction, weight_env, weight_aux, weight_momentum,
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entry_score,
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gate_obi_enabled, obi_threshold,
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gate_whale_enabled, whale_usd_threshold, whale_flow_pct,
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gate_vol_enabled, vol_atr_pct_min,
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gate_cvd_enabled,
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gate_spot_perp_enabled, spot_perp_threshold,
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sl_atr_multiplier, tp1_ratio, tp2_ratio,
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timeout_minutes, flip_threshold, direction
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FROM strategies
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WHERE status = 'running'
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ORDER BY created_at ASC
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"""
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)
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rows = cur.fetchall()
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configs: list[dict[str, Any]] = []
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for row in rows:
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(
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sid,
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display_name,
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symbol,
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cvd_fast,
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cvd_slow,
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w_dir,
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w_env,
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w_aux,
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w_mom,
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entry_score,
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gate_obi,
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obi_thr,
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gate_whale,
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whale_usd_thr,
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whale_flow_pct_val,
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gate_vol,
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vol_atr_pct,
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gate_cvd,
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gate_spot,
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spot_thr,
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sl_mult,
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tp1_r,
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tp2_r,
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timeout_min,
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flip_thr,
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direction,
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) = row
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# 把 display_name 映射回 legacy strategy name（用于兼容评分逻辑）
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# legacy 策略用固定 UUID 识别
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LEGACY_UUID_MAP = {
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"00000000-0000-0000-0000-000000000053": "v53",
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"00000000-0000-0000-0000-000000000054": "v53_middle",
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"00000000-0000-0000-0000-000000000055": "v53_fast",
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}
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strategy_name = LEGACY_UUID_MAP.get(sid, f"custom_{sid[:8]}")
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cfg: dict[str, Any] = {
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"name": strategy_name,
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"strategy_id": sid, # V5.4 新增：用于写 strategy_id 到 DB
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"strategy_name_snapshot": display_name,
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"symbol": symbol,
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"direction": direction,
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"cvd_fast_window": cvd_fast,
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"cvd_slow_window": cvd_slow,
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"threshold": entry_score,
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"weights": {
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"direction": w_dir,
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"env": w_env,
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"aux": w_aux,
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"momentum": w_mom,
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},
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"gates": {
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"vol": {
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"enabled": gate_vol,
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"vol_atr_pct_min": float(vol_atr_pct or 0.002),
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},
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"cvd": {"enabled": gate_cvd},
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"whale": {
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"enabled": gate_whale,
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"whale_usd_threshold": float(whale_usd_thr or 50000),
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"whale_flow_pct": float(whale_flow_pct_val or 0.5),
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},
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"obi": {
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"enabled": gate_obi,
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"threshold": float(obi_thr or 0.35),
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},
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"spot_perp": {
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"enabled": gate_spot,
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"threshold": float(spot_thr or 0.005),
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},
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},
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"tp_sl": {
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# V5.4: 统一采用“以 R 计”的配置：
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# risk_distance = sl_atr_multiplier × ATR = 1R
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# TP1 = entry ± tp1_ratio × risk_distance
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# TP2 = entry ± tp2_ratio × risk_distance
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"sl_multiplier": sl_mult,
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"tp1_ratio": tp1_r,
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"tp2_ratio": tp2_r,
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},
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"timeout_minutes": timeout_min,
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"flip_threshold": flip_thr,
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}
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configs.append(cfg)
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logger.info(
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f"[DB] 已加载 {len(configs)} 个策略配置: {[c['name'] for c in configs]}"
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)
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return configs
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except Exception as e:
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logger.warning(f"[DB] load_strategy_configs_from_db 失败，将 fallback 到 JSON: {e}")
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return []
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