ad60a53262
P0 issues annotated (critical, must fix before live trading):
- signal_engine.py: cooldown blocks reverse-signal position close
- paper_monitor.py + signal_engine.py: pnl_r 2x inflated for TP scenarios
- signal_engine.py: entry price uses 30min VWAP instead of real-time price
- paper_monitor.py + signal_engine.py: concurrent write race on paper_trades
P1 issues annotated (long-term stability):
- db.py: ensure_partitions uses timedelta(30d) causing missed monthly partitions
- signal_engine.py: float precision drift in buy_vol/sell_vol accumulation
- market_data_collector.py: single bare connection with no reconnect logic
- db.py: get_sync_pool initialization not thread-safe
- signal_engine.py: recent_large_trades deque has no maxlen
P2/P3 issues annotated across backend and frontend:
- coinbase_premium KeyError for XRP/SOL symbols
- liquidation_collector: redundant elif condition in aggregation logic
- auth.py: JWT secret hardcoded default, login rate-limit absent
- Frontend: concurrent refresh token race, AuthContext not synced on failure
- Frontend: universal catch{} swallows all API errors silently
- Frontend: serial API requests in LatestSignals, market-indicators over-polling
docs/REVIEW.md: comprehensive audit report with all 34 issues (P0×4, P1×5,
P2×6, P3×4 backend + FE-P1×4, FE-P2×8, FE-P3×3 frontend), fix suggestions
and prioritized remediation roadmap.
203 lines
8.7 KiB
Python
203 lines
8.7 KiB
Python
"""
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paper_monitor.py — 模拟盘实时监控（独立PM2进程）
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用币安WebSocket实时推送价格，毫秒级触发止盈止损。
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"""
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import asyncio
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import json
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import logging
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import os
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import sys
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import time
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import websockets
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import psycopg2
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sys.path.insert(0, os.path.dirname(__file__))
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from db import get_sync_conn
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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__), "..", "paper-monitor.log")),
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],
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)
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logger = logging.getLogger("paper-monitor")
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SYMBOLS = ["btcusdt", "ethusdt", "xrpusdt", "solusdt"]
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FEE_RATE = 0.0005 # Taker 0.05%
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def load_config() -> bool:
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"""读取模拟盘开关"""
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config_path = os.path.join(os.path.dirname(__file__), "paper_config.json")
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try:
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with open(config_path, "r") as f:
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cfg = json.load(f)
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return cfg.get("enabled", False)
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except FileNotFoundError:
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return False
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# [REVIEW] P0 | 双进程并发写竞态：signal_engine.paper_close_by_signal 与此函数均对
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# paper_trades 执行 UPDATE，没有任何互斥机制（SELECT ... FOR UPDATE 或应用锁）
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# 场景：paper_monitor 正在 check_and_close → signal_engine 同时 paper_close_by_signal
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# 结果：同一行被 UPDATE 两次，后者覆盖前者的 status/exit_price/pnl_r
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# 修复建议：将平仓逻辑集中在一个进程，或用 SELECT FOR UPDATE SKIP LOCKED 加行级锁
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def check_and_close(symbol_upper: str, price: float):
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"""检查该币种的活跃持仓，价格到了就平仓"""
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now_ms = int(time.time() * 1000)
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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 id, direction, entry_price, tp1_price, tp2_price, sl_price, "
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"tp1_hit, entry_ts, atr_at_entry "
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"FROM paper_trades WHERE symbol=%s AND status IN ('active','tp1_hit')",
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(symbol_upper,)
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)
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positions = cur.fetchall()
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for pos in positions:
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pid, direction, entry_price, tp1, tp2, sl, tp1_hit, entry_ts, atr_entry = pos
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closed = False
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new_status = None
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pnl_r = 0.0
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if direction == "LONG":
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if price <= sl:
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closed = True
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if tp1_hit:
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new_status = "sl_be"
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# [REVIEW] P0 | pnl_r 错误：TP1半仓已锁定的盈利计算有误
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# TP1 = entry + 1.5*risk_atr, risk_distance = 2.0*risk_atr
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# 半仓TP1的实际R = 0.5 * (1.5/2.0) = 0.375R，而非 0.5*1.5=0.75R
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# 当前写法比实际值虚高2倍，导致balance/equity统计失真
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# 修复：pnl_r = 0.5 * (tp1 - entry_price) / risk_distance
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pnl_r = 0.5 * 1.5
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else:
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new_status = "sl"
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pnl_r = -1.0
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elif not tp1_hit and price >= tp1:
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new_sl = entry_price * 1.0005
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cur.execute("UPDATE paper_trades SET tp1_hit=TRUE, sl_price=%s, status='tp1_hit' WHERE id=%s",
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(new_sl, pid))
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logger.info(f"[{symbol_upper}] ✅ TP1触发 LONG @ {price:.4f}, SL→{new_sl:.4f}")
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elif tp1_hit and price >= tp2:
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closed = True
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new_status = "tp"
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# [REVIEW] P0 | pnl_r 错误：全TP收益计算虚高2倍
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# 正确值：0.5*(1.5/2.0) + 0.5*(3.0/2.0) = 0.375+0.75 = 1.125R
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# 当前 2.25R 是正确值的2倍
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# 修复：pnl_r = 0.5*(tp1-entry)/risk_dist + 0.5*(tp2-entry)/risk_dist
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pnl_r = 2.25
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else: # SHORT
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if price >= sl:
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closed = True
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if tp1_hit:
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new_status = "sl_be"
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# [REVIEW] P0 | 同LONG的sl_be：pnl_r 虚高2倍（应为0.375R）
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pnl_r = 0.5 * 1.5
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else:
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new_status = "sl"
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pnl_r = -1.0
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elif not tp1_hit and price <= tp1:
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new_sl = entry_price * 0.9995
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cur.execute("UPDATE paper_trades SET tp1_hit=TRUE, sl_price=%s, status='tp1_hit' WHERE id=%s",
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(new_sl, pid))
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logger.info(f"[{symbol_upper}] ✅ TP1触发 SHORT @ {price:.4f}, SL→{new_sl:.4f}")
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elif tp1_hit and price <= tp2:
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closed = True
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new_status = "tp"
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# [REVIEW] P0 | 同LONG的tp：pnl_r 虚高2倍（应为1.125R）
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pnl_r = 2.25
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# 时间止损：60分钟
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if not closed and (now_ms - entry_ts > 60 * 60 * 1000):
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closed = True
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new_status = "timeout"
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risk_distance = 2.0 * 0.7 * atr_entry if atr_entry > 0 else 1
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if direction == "LONG":
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move = price - entry_price
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else:
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move = entry_price - price
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pnl_r = move / risk_distance if risk_distance > 0 else 0
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if tp1_hit:
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pnl_r = max(pnl_r, 0.5 * 1.5)
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if closed:
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# 扣手续费
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risk_distance = 2.0 * 0.7 * atr_entry if atr_entry > 0 else 1
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fee_r = (2 * FEE_RATE * entry_price) / risk_distance if risk_distance > 0 else 0
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pnl_r -= fee_r
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cur.execute(
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"UPDATE paper_trades SET status=%s, exit_price=%s, exit_ts=%s, pnl_r=%s WHERE id=%s",
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(new_status, price, now_ms, round(pnl_r, 4), pid)
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)
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logger.info(
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f"[{symbol_upper}] 📝 平仓: {direction} @ {price:.4f} "
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f"status={new_status} pnl={pnl_r:+.2f}R (fee={fee_r:.3f}R)"
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)
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conn.commit()
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async def ws_monitor():
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"""连接币安WebSocket，实时监控价格"""
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# 组合流：所有币种的markPrice@1s
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# [REVIEW] P1 | 使用 markPrice（标记价格）而非 aggTrade 成交价监控TP/SL
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# markPrice 与实际成交价存在偏差（尤其极端行情），可能导致TP/SL触发时机不准
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# 且 markPrice@1s 最多1秒一次推送，aggTrade 是毫秒级实时推送
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# 建议：改用 aggTrade stream（如 btcusdt@aggTrade）以获取真实成交价格和更高频率
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streams = "/".join([f"{s}@markPrice@1s" for s in SYMBOLS])
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url = f"wss://fstream.binance.com/stream?streams={streams}"
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logger.info(f"=== Paper Monitor 启动 ===")
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logger.info(f"监控币种: {[s.upper() for s in SYMBOLS]}")
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config_check_counter = 0
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while True:
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enabled = load_config()
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if not enabled:
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logger.info("模拟盘未启用，等待30秒后重试...")
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await asyncio.sleep(30)
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continue
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try:
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async with websockets.connect(url, ping_interval=20) as ws:
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logger.info(f"WebSocket连接成功: {url[:80]}...")
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while True:
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msg = await asyncio.wait_for(ws.recv(), timeout=30)
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data = json.loads(msg)
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if "data" in data:
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d = data["data"]
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symbol = d.get("s", "") # e.g. "BTCUSDT"
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mark_price = float(d.get("p", 0))
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if mark_price > 0:
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check_and_close(symbol, mark_price)
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# 每60秒检查一次开关
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config_check_counter += 1
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if config_check_counter >= 60:
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config_check_counter = 0
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if not load_config():
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logger.info("模拟盘已关闭，断开WebSocket")
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break
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except Exception as e:
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logger.error(f"WebSocket异常: {e}, 5秒后重连...")
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# [REVIEW] P1 | 重连延迟固定5秒，无指数退避，也无最大重试次数限制
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# 若Binance服务长时间不可用，会产生大量频繁重连日志
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# 建议：实现指数退避，最大延迟如 min(delay*2, 60) 秒
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await asyncio.sleep(5)
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if __name__ == "__main__":
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asyncio.run(ws_monitor())
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