361 lines
13 KiB
Python
361 lines
13 KiB
Python
"""
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signal_engine.py — V5 短线交易信号引擎（PostgreSQL版）
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架构：
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- 独立PM2进程，每5秒循环
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- 内存滚动窗口计算指标（CVD/ATR/VWAP/大单阈值）
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- 启动时回灌历史数据（冷启动warmup）
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- 信号评估：核心3条件+加分3条件
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- 输出：signal_indicators表 + signal_trades表 + Discord推送
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指标：
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- CVD_fast (30m滚动) / CVD_mid (4h滚动) / CVD_day (UTC日内)
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- ATR (5m, 14周期)
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- VWAP_30m
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- 大单阈值 P95/P99 (24h滚动)
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"""
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import logging
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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 db import get_sync_conn, init_schema
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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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handlers=[
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logging.StreamHandler(),
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logging.FileHandler(os.path.join(os.path.dirname(__file__), "..", "signal-engine.log")),
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],
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)
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logger = logging.getLogger("signal-engine")
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SYMBOLS = ["BTCUSDT", "ETHUSDT"]
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LOOP_INTERVAL = 15 # 秒（从5改15，CPU降60%，信号质量无影响）
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# 窗口大小（毫秒）
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WINDOW_FAST = 30 * 60 * 1000 # 30分钟
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WINDOW_MID = 4 * 3600 * 1000 # 4小时
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WINDOW_DAY = 24 * 3600 * 1000 # 24小时
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WINDOW_VWAP = 30 * 60 * 1000 # 30分钟
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# ATR参数
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ATR_PERIOD_MS = 5 * 60 * 1000
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ATR_LENGTH = 14
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# 信号冷却
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COOLDOWN_MS = 10 * 60 * 1000
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# ─── 滚动窗口 ───────────────────────────────────────────────────
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class TradeWindow:
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def __init__(self, window_ms: int):
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self.window_ms = window_ms
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self.trades: deque = deque()
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self.buy_vol = 0.0
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self.sell_vol = 0.0
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self.pq_sum = 0.0
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self.q_sum = 0.0
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def add(self, time_ms: int, qty: float, price: float, is_buyer_maker: int):
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self.trades.append((time_ms, qty, price, is_buyer_maker))
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pq = price * qty
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self.pq_sum += pq
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self.q_sum += qty
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if is_buyer_maker == 0:
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self.buy_vol += qty
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else:
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self.sell_vol += qty
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def trim(self, now_ms: int):
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cutoff = now_ms - self.window_ms
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while self.trades and self.trades[0][0] < cutoff:
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t_ms, qty, price, ibm = self.trades.popleft()
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self.pq_sum -= price * qty
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self.q_sum -= qty
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if ibm == 0:
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self.buy_vol -= qty
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else:
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self.sell_vol -= qty
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@property
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def cvd(self) -> float:
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return self.buy_vol - self.sell_vol
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@property
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def vwap(self) -> float:
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return self.pq_sum / self.q_sum if self.q_sum > 0 else 0.0
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class ATRCalculator:
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def __init__(self, period_ms: int = ATR_PERIOD_MS, length: int = ATR_LENGTH):
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self.period_ms = period_ms
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self.length = length
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self.candles: deque = deque(maxlen=length + 1)
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self.current_candle: Optional[dict] = None
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self.atr_history: deque = deque(maxlen=288)
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def update(self, time_ms: int, price: float):
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bar_ms = (time_ms // self.period_ms) * self.period_ms
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if self.current_candle is None or self.current_candle["bar"] != bar_ms:
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if self.current_candle is not None:
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self.candles.append(self.current_candle)
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self.current_candle = {"bar": bar_ms, "open": price, "high": price, "low": price, "close": price}
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else:
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c = self.current_candle
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c["high"] = max(c["high"], price)
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c["low"] = min(c["low"], price)
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c["close"] = price
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@property
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def atr(self) -> float:
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if len(self.candles) < 2:
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return 0.0
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trs = []
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candles_list = list(self.candles)
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for i in range(1, len(candles_list)):
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prev_close = candles_list[i-1]["close"]
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c = candles_list[i]
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tr = max(c["high"] - c["low"], abs(c["high"] - prev_close), abs(c["low"] - prev_close))
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trs.append(tr)
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if not trs:
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return 0.0
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atr_val = trs[0]
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for tr in trs[1:]:
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atr_val = (atr_val * (self.length - 1) + tr) / self.length
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return atr_val
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@property
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def atr_percentile(self) -> float:
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current = self.atr
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if current == 0:
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return 50.0
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self.atr_history.append(current)
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if len(self.atr_history) < 10:
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return 50.0
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sorted_hist = sorted(self.atr_history)
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rank = sum(1 for x in sorted_hist if x <= current)
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return (rank / len(sorted_hist)) * 100
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class SymbolState:
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def __init__(self, symbol: str):
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self.symbol = symbol
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self.win_fast = TradeWindow(WINDOW_FAST)
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self.win_mid = TradeWindow(WINDOW_MID)
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self.win_day = TradeWindow(WINDOW_DAY)
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self.win_vwap = TradeWindow(WINDOW_VWAP)
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self.atr_calc = ATRCalculator()
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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.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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def process_trade(self, agg_id: int, time_ms: int, price: float, qty: float, is_buyer_maker: int):
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now_ms = time_ms
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self.win_fast.add(time_ms, qty, price, is_buyer_maker)
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self.win_mid.add(time_ms, qty, price, is_buyer_maker)
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self.win_day.add(time_ms, qty, price, is_buyer_maker)
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self.win_vwap.add(time_ms, qty, price, is_buyer_maker)
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self.atr_calc.update(time_ms, price)
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self.win_fast.trim(now_ms)
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self.win_mid.trim(now_ms)
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self.win_day.trim(now_ms)
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self.win_vwap.trim(now_ms)
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self.last_processed_id = agg_id
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def compute_p95_p99(self) -> tuple:
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if len(self.win_day.trades) < 100:
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return 5.0, 10.0
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qtys = sorted([t[1] for t in self.win_day.trades])
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n = len(qtys)
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p95 = qtys[int(n * 0.95)]
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p99 = qtys[int(n * 0.99)]
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if "BTC" in self.symbol:
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p95 = max(p95, 5.0); p99 = max(p99, 10.0)
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else:
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p95 = max(p95, 50.0); p99 = max(p99, 100.0)
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return p95, p99
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def update_large_trades(self, now_ms: int, p99: float):
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cutoff = now_ms - 15 * 60 * 1000
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while self.recent_large_trades and self.recent_large_trades[0][0] < cutoff:
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self.recent_large_trades.popleft()
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for t in self.win_fast.trades:
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if t[1] >= p99 and t[0] > cutoff:
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self.recent_large_trades.append((t[0], t[1], t[3]))
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def evaluate_signal(self, now_ms: int) -> dict:
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cvd_fast = self.win_fast.cvd
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cvd_mid = self.win_mid.cvd
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vwap = self.win_vwap.vwap
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atr = self.atr_calc.atr
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atr_pct = self.atr_calc.atr_percentile
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p95, p99 = self.compute_p95_p99()
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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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self.prev_cvd_fast = cvd_fast
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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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}
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if self.warmup or price == 0 or atr == 0:
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return result
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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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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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(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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result["signal"] = direction
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result["direction"] = direction
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result["score"] = score
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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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# ─── PG DB操作 ───────────────────────────────────────────────────
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def load_historical(state: SymbolState, window_ms: int):
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now_ms = int(time.time() * 1000)
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start_ms = now_ms - window_ms
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count = 0
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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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"SELECT agg_id, price, qty, time_ms, is_buyer_maker FROM agg_trades "
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"WHERE symbol = %s AND time_ms >= %s ORDER BY agg_id ASC",
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(state.symbol, start_ms)
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)
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while True:
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rows = cur.fetchmany(5000)
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if not rows:
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break
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for r in rows:
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state.process_trade(r[0], r[3], r[1], r[2], r[4])
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count += 1
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logger.info(f"[{state.symbol}] 冷启动完成: 加载{count:,}条历史数据 (窗口={window_ms//3600000}h)")
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state.warmup = False
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def fetch_new_trades(symbol: str, last_id: int) -> list:
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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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"SELECT agg_id, price, qty, time_ms, is_buyer_maker FROM agg_trades "
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"WHERE symbol = %s AND agg_id > %s ORDER BY agg_id ASC LIMIT 10000",
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(symbol, last_id)
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)
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return [{"agg_id": r[0], "price": r[1], "qty": r[2], "time_ms": r[3], "is_buyer_maker": r[4]}
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for r in cur.fetchall()]
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def save_indicator(ts: int, symbol: str, result: dict):
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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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"INSERT INTO signal_indicators "
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"(ts,symbol,cvd_fast,cvd_mid,cvd_day,cvd_fast_slope,atr_5m,atr_percentile,vwap_30m,price,p95_qty,p99_qty,score,signal) "
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"VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s)",
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(ts, symbol, result["cvd_fast"], result["cvd_mid"], result["cvd_day"], result["cvd_fast_slope"],
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result["atr"], result["atr_pct"], result["vwap"], result["price"],
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result["p95"], result["p99"], result["score"], result.get("signal"))
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)
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conn.commit()
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def save_indicator_1m(ts: int, symbol: str, result: dict):
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bar_ts = (ts // 60000) * 60000
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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("SELECT id FROM signal_indicators_1m WHERE ts=%s AND symbol=%s", (bar_ts, symbol))
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if cur.fetchone():
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cur.execute(
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"UPDATE signal_indicators_1m SET cvd_fast=%s,cvd_mid=%s,cvd_day=%s,atr_5m=%s,vwap_30m=%s,price=%s,score=%s,signal=%s WHERE ts=%s AND symbol=%s",
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(result["cvd_fast"], result["cvd_mid"], result["cvd_day"], result["atr"], result["vwap"],
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result["price"], result["score"], result.get("signal"), bar_ts, symbol)
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)
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else:
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cur.execute(
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"INSERT INTO signal_indicators_1m (ts,symbol,cvd_fast,cvd_mid,cvd_day,atr_5m,vwap_30m,price,score,signal) VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s)",
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(bar_ts, symbol, result["cvd_fast"], result["cvd_mid"], result["cvd_day"], result["atr"],
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result["vwap"], result["price"], result["score"], result.get("signal"))
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)
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conn.commit()
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# ─── 主循环 ──────────────────────────────────────────────────────
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def main():
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init_schema()
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states = {sym: SymbolState(sym) for sym in SYMBOLS}
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for sym, state in states.items():
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load_historical(state, WINDOW_MID)
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logger.info("=== Signal Engine (PG) 启动完成 ===")
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last_1m_save = {}
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cycle = 0
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while True:
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try:
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now_ms = int(time.time() * 1000)
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for sym, state in states.items():
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new_trades = fetch_new_trades(sym, state.last_processed_id)
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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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result = state.evaluate_signal(now_ms)
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save_indicator(now_ms, sym, result)
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bar_1m = (now_ms // 60000) * 60000
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if last_1m_save.get(sym) != bar_1m:
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save_indicator_1m(now_ms, sym, result)
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last_1m_save[sym] = bar_1m
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if result.get("signal"):
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logger.info(f"[{sym}] 🚨 信号: {result['signal']} score={result['score']} price={result['price']:.1f}")
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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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except Exception as e:
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logger.error(f"循环异常: {e}", exc_info=True)
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time.sleep(LOOP_INTERVAL)
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if __name__ == "__main__":
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main()
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