1bf880cebb
live_executor/position_sync/risk_guard启动时自动加载backend/.env 确保TRADE_ENV/BINANCE_API_KEY/SECRET_KEY/PG_HOST等环境变量生效
635 lines
23 KiB
Python
635 lines
23 KiB
Python
#!/usr/bin/env python3
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"""
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Position Sync - 仓位同步与对账模块
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每30秒对账本地DB vs 币安实际持仓/挂单，SL缺失自动补挂
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架构：
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live_executor.py 开仓 → position_sync.py 持续对账 + 监控TP/SL状态
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"""
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import os
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import sys
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import json
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from pathlib import Path
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try:
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from dotenv import load_dotenv; load_dotenv(Path(__file__).parent / ".env")
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except ImportError:
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pass
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import time
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import logging
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import asyncio
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import hashlib
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import hmac
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from urllib.parse import urlencode
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import psycopg2
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import aiohttp
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# ============ 配置 ============
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TRADE_ENV = os.getenv("TRADE_ENV", "testnet")
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BINANCE_ENDPOINTS = {
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"testnet": "https://testnet.binancefuture.com",
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"production": "https://fapi.binance.com",
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}
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BASE_URL = BINANCE_ENDPOINTS[TRADE_ENV]
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DB_CONFIG = {
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"host": os.getenv("DB_HOST", "10.106.0.3"),
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"port": int(os.getenv("DB_PORT", "5432")),
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"dbname": os.getenv("DB_NAME", "arb_engine"),
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"user": os.getenv("DB_USER", "arb"),
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"password": os.getenv("DB_PASSWORD", "arb_engine_2026"),
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}
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CHECK_INTERVAL = 30 # 对账间隔(秒)
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SL_REHANG_DELAYS = [0, 3] # SL补挂重试延迟(秒)
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MAX_REHANG_RETRIES = 2
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MISMATCH_ESCALATION_SEC = 60 # 差异持续超过此秒数升级告警
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RISK_PER_TRADE_USD = float(os.getenv("RISK_PER_TRADE_USD", "2")) # $2=1R
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SYMBOLS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"]
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SYMBOL_PRECISION = {
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"BTCUSDT": {"qty": 3, "price": 1},
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"ETHUSDT": {"qty": 3, "price": 2},
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"XRPUSDT": {"qty": 0, "price": 4},
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"SOLUSDT": {"qty": 2, "price": 2},
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}
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logging.basicConfig(
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level=logging.INFO,
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format="%(asctime)s [%(levelname)s] %(name)s: %(message)s",
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)
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logger = logging.getLogger("position-sync")
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# ============ API Key ============
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_api_key = None
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_secret_key = None
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def load_api_keys():
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global _api_key, _secret_key
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_api_key = os.getenv("BINANCE_API_KEY")
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_secret_key = os.getenv("BINANCE_SECRET_KEY")
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if _api_key and _secret_key:
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logger.info(f"API Key loaded from env")
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return
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try:
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from google.cloud import secretmanager
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client = secretmanager.SecretManagerServiceClient()
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project = os.getenv("GCP_PROJECT", "gen-lang-client-0835616737")
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prefix = "binance-testnet" if TRADE_ENV == "testnet" else "binance-live"
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_api_key = client.access_secret_version(
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name=f"projects/{project}/secrets/{prefix}-api-key/versions/latest"
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).payload.data.decode()
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_secret_key = client.access_secret_version(
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name=f"projects/{project}/secrets/{prefix}-secret-key/versions/latest"
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).payload.data.decode()
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logger.info(f"API Key loaded from GCP Secret Manager")
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except Exception as e:
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logger.error(f"Failed to load API keys: {e}")
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sys.exit(1)
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def sign_params(params):
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params["timestamp"] = int(time.time() * 1000)
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query_string = urlencode(params)
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signature = hmac.new(_secret_key.encode(), query_string.encode(), hashlib.sha256).hexdigest()
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params["signature"] = signature
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return params
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async def binance_request(session, method, path, params=None):
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url = f"{BASE_URL}{path}"
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headers = {"X-MBX-APIKEY": _api_key}
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if params is None:
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params = {}
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params = sign_params(params)
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try:
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if method == "GET":
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async with session.get(url, params=params, headers=headers) as resp:
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return await resp.json(), resp.status
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elif method == "POST":
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async with session.post(url, params=params, headers=headers) as resp:
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return await resp.json(), resp.status
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elif method == "DELETE":
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async with session.delete(url, params=params, headers=headers) as resp:
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return await resp.json(), resp.status
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except Exception as e:
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logger.error(f"Request failed: {e}")
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return {"error": str(e)}, 500
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# ============ 对账核心 ============
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async def get_binance_positions(session):
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"""获取币安所有持仓"""
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data, status = await binance_request(session, "GET", "/fapi/v2/positionRisk")
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positions = {}
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if status == 200 and isinstance(data, list):
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for pos in data:
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amt = float(pos.get("positionAmt", 0))
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if amt != 0:
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positions[pos["symbol"]] = {
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"amount": amt,
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"direction": "LONG" if amt > 0 else "SHORT",
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"entry_price": float(pos.get("entryPrice", 0)),
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"unrealized_pnl": float(pos.get("unRealizedProfit", 0)),
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"liquidation_price": float(pos.get("liquidationPrice", 0)),
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"mark_price": float(pos.get("markPrice", 0)),
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}
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return positions
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async def get_binance_open_orders(session, symbol=None):
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"""获取币安挂单"""
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params = {}
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if symbol:
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params["symbol"] = symbol
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data, status = await binance_request(session, "GET", "/fapi/v1/openOrders", params)
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if status == 200 and isinstance(data, list):
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return data
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return []
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def get_local_positions(conn):
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"""获取本地DB活跃持仓"""
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cur = conn.cursor()
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cur.execute("""
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SELECT id, symbol, strategy, direction, entry_price, sl_price, tp1_price, tp2_price,
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tp1_hit, status, risk_distance, binance_order_id, entry_ts
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FROM live_trades
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WHERE status IN ('active', 'tp1_hit')
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ORDER BY entry_ts DESC
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""")
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positions = []
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for row in cur.fetchall():
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positions.append({
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"id": row[0], "symbol": row[1], "strategy": row[2], "direction": row[3],
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"entry_price": row[4], "sl_price": row[5], "tp1_price": row[6], "tp2_price": row[7],
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"tp1_hit": row[8], "status": row[9], "risk_distance": row[10],
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"binance_order_id": row[11], "entry_ts": row[12],
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"binance_order_id": row[11],
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})
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return positions
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async def check_sl_exists(session, symbol, direction):
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"""检查是否有SL挂单"""
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orders = await get_binance_open_orders(session, symbol)
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close_side = "SELL" if direction == "LONG" else "BUY"
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for order in orders:
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if order.get("type") == "STOP_MARKET" and order.get("side") == close_side:
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return True, order
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return False, None
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async def rehang_sl(session, symbol, direction, sl_price, quantity):
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"""补挂SL保护单"""
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prec = SYMBOL_PRECISION.get(symbol, {"qty": 3, "price": 2})
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close_side = "SELL" if direction == "LONG" else "BUY"
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qty_str = f"{abs(quantity):.{prec['qty']}f}"
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price_str = f"{sl_price:.{prec['price']}f}"
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params = {
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"symbol": symbol,
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"side": close_side,
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"type": "STOP_MARKET",
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"stopPrice": price_str,
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"quantity": qty_str,
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"reduceOnly": "true",
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}
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data, status = await binance_request(session, "POST", "/fapi/v1/order", params)
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return status == 200, data
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async def reconcile(session, conn):
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"""执行一次完整对账"""
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local_positions = get_local_positions(conn)
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binance_positions = await get_binance_positions(session)
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issues = []
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cur = conn.cursor()
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# 1. 检查本地有仓但币安没有（漏单/已被清算）
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for lp in local_positions:
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symbol = lp["symbol"]
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bp = binance_positions.get(symbol)
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if not bp:
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issues.append({
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"type": "local_only",
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"severity": "critical",
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"symbol": symbol,
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"detail": f"本地有{lp['direction']}仓位(id={lp['id']})但币安无持仓",
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})
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continue
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# 方向不一致
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if bp["direction"] != lp["direction"]:
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issues.append({
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"type": "direction_mismatch",
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"severity": "critical",
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"symbol": symbol,
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"detail": f"本地={lp['direction']} vs 币安={bp['direction']}",
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})
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continue
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# 2. 检查SL保护单是否存在
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sl_exists, sl_order = await check_sl_exists(session, symbol, lp["direction"])
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if not sl_exists:
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issues.append({
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"type": "sl_missing",
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"severity": "critical",
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"symbol": symbol,
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"detail": f"SL保护单缺失! 仓位裸奔中!",
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})
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# 自动补挂SL
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logger.warning(f"[{symbol}] ⚠️ SL缺失，开始自动补挂...")
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success = False
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for attempt, delay in enumerate(SL_REHANG_DELAYS):
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if delay > 0:
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await asyncio.sleep(delay)
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ok, data = await rehang_sl(session, symbol, lp["direction"], lp["sl_price"], bp["amount"])
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if ok:
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logger.info(f"[{symbol}] ✅ SL补挂成功 (attempt={attempt+1})")
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success = True
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break
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else:
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logger.error(f"[{symbol}] ❌ SL补挂失败 (attempt={attempt+1}): {data}")
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if not success:
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issues.append({
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"type": "sl_rehang_failed",
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"severity": "emergency",
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"symbol": symbol,
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"detail": f"SL补挂{MAX_REHANG_RETRIES}次全部失败! 建议进入只减仓模式!",
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})
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# 3. 检查清算距离
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if bp.get("liquidation_price") and bp.get("mark_price"):
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liq = bp["liquidation_price"]
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mark = bp["mark_price"]
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if liq > 0 and mark > 0:
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if lp["direction"] == "LONG":
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dist_pct = (mark - liq) / mark * 100
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else:
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dist_pct = (liq - mark) / mark * 100
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if dist_pct < 8:
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issues.append({
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"type": "liquidation_near",
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"severity": "emergency",
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"symbol": symbol,
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"detail": f"距清算仅{dist_pct:.1f}%! 建议立即减仓!",
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})
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elif dist_pct < 12:
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issues.append({
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"type": "liquidation_warning",
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"severity": "high",
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"symbol": symbol,
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"detail": f"距清算{dist_pct:.1f}%",
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})
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elif dist_pct < 20:
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issues.append({
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"type": "liquidation_caution",
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"severity": "medium",
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"symbol": symbol,
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"detail": f"距清算{dist_pct:.1f}%",
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})
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# 4. 检查币安有仓但本地没有（幽灵仓位）
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local_symbols = {lp["symbol"] for lp in local_positions}
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for symbol, bp in binance_positions.items():
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if symbol not in local_symbols and symbol in [s for s in SYMBOLS]:
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issues.append({
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"type": "exchange_only",
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"severity": "high",
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"symbol": symbol,
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"detail": f"币安有{bp['direction']}仓位但本地无记录",
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})
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# 记录对账结果
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now_ms = int(time.time() * 1000)
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result = {
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"timestamp_ms": now_ms,
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"local_count": len(local_positions),
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"exchange_count": len(binance_positions),
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"issues_count": len(issues),
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"issues": issues,
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"status": "ok" if len(issues) == 0 else "mismatch",
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}
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# 写对账结果到DB（可选：创建reconciliation_log表）
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if issues:
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for issue in issues:
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level = "🔴" if issue["severity"] in ("critical", "emergency") else "🟡"
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logger.warning(f"{level} [{issue['symbol']}] {issue['type']}: {issue['detail']}")
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else:
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logger.info(f"✅ 对账正常 | 本地={len(local_positions)}仓 | 币安={len(binance_positions)}仓")
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return result
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# ============ TP1触发监控 ============
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async def check_tp1_triggers(session, conn):
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"""检查TP1是否触发，触发后移SL到保本价"""
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local_positions = get_local_positions(conn)
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cur = conn.cursor()
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for lp in local_positions:
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if lp["tp1_hit"]:
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continue # 已处理
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symbol = lp["symbol"]
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# 查币安挂单，看TP1是否已成交（不在挂单列表里了）
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orders = await get_binance_open_orders(session, symbol)
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close_side = "SELL" if lp["direction"] == "LONG" else "BUY"
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tp1_found = False
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for order in orders:
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if (order.get("type") == "TAKE_PROFIT_MARKET"
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and order.get("side") == close_side
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and abs(float(order.get("stopPrice", 0)) - lp["tp1_price"]) < lp["tp1_price"] * 0.001):
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tp1_found = True
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break
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if not tp1_found and lp["status"] == "active":
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# TP1可能已触发，验证仓位是否减半
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bp = (await get_binance_positions(session)).get(symbol)
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if bp and abs(bp["amount"]) < abs(float(lp.get("binance_order_id", "0") or "0")):
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# 确认TP1触发
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logger.info(f"[{symbol}] ✅ TP1触发! 移SL到保本价")
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# 取消旧SL
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await binance_request(session, "DELETE", "/fapi/v1/allOpenOrders", {"symbol": symbol})
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# 计算保本SL
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if lp["direction"] == "LONG":
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new_sl = lp["entry_price"] * 1.0005
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else:
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new_sl = lp["entry_price"] * 0.9995
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# 挂新SL（半仓）
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prec = SYMBOL_PRECISION.get(symbol, {"qty": 3, "price": 2})
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ok, _ = await rehang_sl(session, symbol, lp["direction"], new_sl, bp["amount"])
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# 重新挂TP2（半仓）
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tp2_price = lp["tp2_price"]
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qty_str = f"{abs(bp['amount']):.{prec['qty']}f}"
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price_str = f"{tp2_price:.{prec['price']}f}"
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await binance_request(session, "POST", "/fapi/v1/order", {
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"symbol": symbol, "side": close_side, "type": "TAKE_PROFIT_MARKET",
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"stopPrice": price_str, "quantity": qty_str, "reduceOnly": "true",
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})
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# 更新DB
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cur.execute("""
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UPDATE live_trades SET tp1_hit=TRUE, sl_price=%s, status='tp1_hit'
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WHERE id=%s
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""", (new_sl, lp["id"]))
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conn.commit()
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logger.info(f"[{symbol}] 🛡 SL移至保本 {new_sl:.4f}, TP2={tp2_price:.4f}")
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# ============ 平仓检测 ============
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async def check_closed_positions(session, conn):
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"""检测已平仓的交易，更新DB"""
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local_positions = get_local_positions(conn)
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binance_positions = await get_binance_positions(session)
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cur = conn.cursor()
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for lp in local_positions:
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symbol = lp["symbol"]
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bp = binance_positions.get(symbol)
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# 币安无持仓但本地还active → 已平仓
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if not bp:
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logger.info(f"[{symbol}] 📝 检测到平仓，查询成交记录...")
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# 查最近成交确定平仓价
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# 简化：用当前标记价做近似
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now_ms = int(time.time() * 1000)
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rd = lp["risk_distance"] or 1
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# 判断平仓类型（通过挂单是否还在来推断）
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# 如果SL/TP都不在了，说明触发了其中一个
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status = "unknown"
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exit_price = lp["entry_price"] # fallback
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# 尝试从最近交易记录获取成交价和手续费
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trades_data, trades_status = await binance_request(session, "GET", "/fapi/v1/userTrades", {
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"symbol": symbol, "limit": 20
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})
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actual_fee_usdt = 0
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if trades_status == 200 and isinstance(trades_data, list) and trades_data:
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# 取最近的平仓成交（reduceOnly或最后几笔）
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last_trade = trades_data[-1]
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exit_price = float(last_trade.get("price", exit_price))
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# 汇总最近相关成交的手续费（开仓+平仓）
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entry_ts = lp.get("entry_ts", 0)
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for t in trades_data:
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t_time = int(t.get("time", 0))
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if t_time >= entry_ts - 5000: # 开仓前5秒到现在的所有成交
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actual_fee_usdt += abs(float(t.get("commission", 0)))
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# 计算pnl — gross(不含费)
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if lp["direction"] == "LONG":
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gross_pnl_r = (exit_price - lp["entry_price"]) / rd
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else:
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gross_pnl_r = (lp["entry_price"] - exit_price) / rd
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if lp["tp1_hit"]:
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tp1_r = abs(lp["tp1_price"] - lp["entry_price"]) / rd
|
||
gross_pnl_r = 0.5 * tp1_r + 0.5 * gross_pnl_r
|
||
|
||
# 手续费(R) — 用实际成交手续费
|
||
if actual_fee_usdt > 0:
|
||
fee_r = actual_fee_usdt / (RISK_PER_TRADE_USD if RISK_PER_TRADE_USD > 0 else rd)
|
||
else:
|
||
# fallback: 按0.1%估算(开+平各0.05%)
|
||
fee_r = 0.001 * lp["entry_price"] / rd
|
||
|
||
# funding费(R)
|
||
funding_usdt = 0
|
||
cur.execute("SELECT COALESCE(funding_fee_usdt, 0) FROM live_trades WHERE id = %s", (lp["id"],))
|
||
fr_row = cur.fetchone()
|
||
if fr_row:
|
||
funding_usdt = fr_row[0]
|
||
funding_r = abs(funding_usdt) / (RISK_PER_TRADE_USD if RISK_PER_TRADE_USD > 0 else rd) if funding_usdt < 0 else 0
|
||
|
||
# 净PnL = gross - fee - funding_cost
|
||
pnl_r = gross_pnl_r - fee_r - funding_r
|
||
|
||
# 判断状态
|
||
if pnl_r > 0.5:
|
||
status = "tp"
|
||
elif pnl_r < -0.5:
|
||
status = "sl"
|
||
elif lp["tp1_hit"] and pnl_r >= -0.1:
|
||
status = "sl_be"
|
||
else:
|
||
status = "closed"
|
||
|
||
cur.execute("""
|
||
UPDATE live_trades SET status=%s, exit_price=%s, exit_ts=%s, pnl_r=%s, fee_usdt=%s
|
||
WHERE id=%s
|
||
""", (status, exit_price, now_ms, round(pnl_r, 4), round(actual_fee_usdt, 4), lp["id"]))
|
||
conn.commit()
|
||
|
||
logger.info(
|
||
f"[{symbol}] 📝 平仓: {status} | exit={exit_price:.4f} | "
|
||
f"gross={gross_pnl_r:+.3f}R fee={fee_r:.3f}R({actual_fee_usdt:.4f}$) "
|
||
f"funding={funding_usdt:+.4f}$ | net={pnl_r:+.3f}R"
|
||
)
|
||
|
||
# 写event
|
||
evt_level = "info" if pnl_r >= 0 else "warn"
|
||
_log_event(conn, evt_level, "trade",
|
||
f"平仓 {lp['direction']} {symbol} | {status} | net={pnl_r:+.3f}R (gross={gross_pnl_r:+.3f} fee=-{fee_r:.3f} fr={funding_usdt:+.4f}$)",
|
||
symbol, {"trade_id": lp["id"], "status": status, "pnl_r": round(pnl_r, 4), "exit_price": exit_price})
|
||
|
||
|
||
# ============ 资金费率结算追踪 ============
|
||
|
||
# 币安结算时间：UTC 00:00, 08:00, 16:00
|
||
FUNDING_SETTLEMENT_HOURS = [0, 8, 16]
|
||
_last_funding_check_ts = 0 # 上次查funding的时间戳
|
||
|
||
|
||
async def track_funding_fees(session, conn):
|
||
"""
|
||
查询币安资金费率收支，更新到live_trades的funding_fee_usdt字段。
|
||
只在结算时间点附近查询（每8小时一次，±5分钟窗口内查一次）。
|
||
"""
|
||
global _last_funding_check_ts
|
||
import datetime as _dt
|
||
|
||
now = _dt.datetime.now(_dt.timezone.utc)
|
||
now_ts = time.time()
|
||
|
||
# 判断是否在结算窗口内（结算时间后0-5分钟）
|
||
in_settlement_window = False
|
||
for h in FUNDING_SETTLEMENT_HOURS:
|
||
settlement_time = now.replace(hour=h, minute=0, second=0, microsecond=0)
|
||
diff_sec = (now - settlement_time).total_seconds()
|
||
if 0 <= diff_sec <= 300: # 结算后5分钟内
|
||
in_settlement_window = True
|
||
break
|
||
|
||
# 不在窗口内，或者5分钟内已经查过了
|
||
if not in_settlement_window:
|
||
return
|
||
if now_ts - _last_funding_check_ts < 300:
|
||
return
|
||
|
||
_last_funding_check_ts = now_ts
|
||
logger.info("💰 资金费率结算窗口，查询funding收支...")
|
||
|
||
# 获取当前活跃持仓
|
||
cur = conn.cursor()
|
||
cur.execute("""
|
||
SELECT id, symbol, direction, entry_ts, COALESCE(funding_fee_usdt, 0) as current_funding
|
||
FROM live_trades WHERE status IN ('active', 'tp1_hit')
|
||
""")
|
||
active = cur.fetchall()
|
||
|
||
if not active:
|
||
logger.info("💰 无活跃持仓，跳过funding查询")
|
||
return
|
||
|
||
# 查币安最近的funding收入记录
|
||
# GET /fapi/v1/income?incomeType=FUNDING_FEE&limit=100
|
||
start_ts = int((now_ts - 3600) * 1000) # 最近1小时
|
||
data, status = await binance_request(session, "GET", "/fapi/v1/income", {
|
||
"incomeType": "FUNDING_FEE",
|
||
"startTime": start_ts,
|
||
"limit": 100,
|
||
})
|
||
|
||
if status != 200 or not isinstance(data, list):
|
||
logger.warning(f"💰 查询funding income失败: {status}")
|
||
return
|
||
|
||
# 按symbol汇总本次结算的funding
|
||
funding_by_symbol = {}
|
||
for item in data:
|
||
sym = item.get("symbol", "")
|
||
income = float(item.get("income", 0))
|
||
ts = int(item.get("time", 0))
|
||
# 只取最近30分钟内的（本次结算的）
|
||
if now_ts * 1000 - ts < 1800000:
|
||
funding_by_symbol[sym] = funding_by_symbol.get(sym, 0) + income
|
||
|
||
if not funding_by_symbol:
|
||
logger.info("💰 本次结算无funding记录")
|
||
return
|
||
|
||
# 更新到live_trades
|
||
for trade_id, symbol, direction, entry_ts, current_funding in active:
|
||
fr_income = funding_by_symbol.get(symbol, 0)
|
||
if fr_income != 0:
|
||
new_total = current_funding + fr_income
|
||
cur.execute("UPDATE live_trades SET funding_fee_usdt = %s WHERE id = %s", (new_total, trade_id))
|
||
logger.info(f"[{symbol}] 💰 Funding: {fr_income:+.4f} USDT (累计: {new_total:+.4f})")
|
||
|
||
conn.commit()
|
||
logger.info(f"💰 Funding更新完成: {funding_by_symbol}")
|
||
|
||
|
||
def _log_event(conn, level, category, message, symbol=None, detail=None):
|
||
"""写live_events表"""
|
||
try:
|
||
cur = conn.cursor()
|
||
cur.execute(
|
||
"INSERT INTO live_events (level, category, symbol, message, detail) VALUES (%s, %s, %s, %s, %s)",
|
||
(level, category, symbol, message, json.dumps(detail) if detail else None)
|
||
)
|
||
conn.commit()
|
||
except Exception:
|
||
pass
|
||
|
||
|
||
# ============ 主循环 ============
|
||
|
||
async def main():
|
||
logger.info("=" * 60)
|
||
logger.info(f"🔄 Position Sync 启动 | 环境={TRADE_ENV} | 间隔={CHECK_INTERVAL}秒")
|
||
logger.info("=" * 60)
|
||
|
||
load_api_keys()
|
||
conn = psycopg2.connect(**DB_CONFIG)
|
||
|
||
async with aiohttp.ClientSession() as session:
|
||
while True:
|
||
try:
|
||
# 1. 对账
|
||
result = await reconcile(session, conn)
|
||
|
||
# 2. 检查TP1触发
|
||
await check_tp1_triggers(session, conn)
|
||
|
||
# 3. 检查已平仓
|
||
await check_closed_positions(session, conn)
|
||
|
||
# 4. 资金费率结算追踪
|
||
await track_funding_fees(session, conn)
|
||
|
||
await asyncio.sleep(CHECK_INTERVAL)
|
||
|
||
except KeyboardInterrupt:
|
||
break
|
||
except Exception as e:
|
||
logger.error(f"❌ 对账异常: {e}", exc_info=True)
|
||
await asyncio.sleep(10)
|
||
|
||
conn.close()
|
||
logger.info("Position Sync 已停止")
|
||
|
||
|
||
if __name__ == "__main__":
|
||
asyncio.run(main())
|