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