203 lines
7.9 KiB
Python
203 lines
7.9 KiB
Python
"""
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paper_trading.py — 模拟盘开仓/平仓辅助函数
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从原来的 signal_engine.py 拆分出的 paper_trades 辅助逻辑：
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- paper_open_trade(): 写入 paper_trades 开仓记录；
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- paper_has_active_position() / paper_get_active_direction()；
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- paper_close_by_signal() / paper_active_count()。
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行为保持与原实现完全一致，供 signal_engine 调用。
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"""
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from typing import Optional
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from db import get_sync_conn
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from signal_engine import PAPER_FEE_RATE # 复用全局配置
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def paper_open_trade(
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symbol: str,
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direction: str,
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price: float,
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score: int,
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tier: str,
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atr: float,
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now_ms: int,
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factors: dict = None,
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strategy: str = "v51_baseline",
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tp_sl: Optional[dict] = None,
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strategy_id: Optional[str] = None,
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strategy_name_snapshot: Optional[str] = None,
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logger=None,
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):
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"""模拟开仓：写入 paper_trades"""
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import json as _json3
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if atr <= 0:
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return
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tp_sl_cfg = tp_sl or {}
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sl_multiplier = float(tp_sl_cfg.get("sl_multiplier", 2.0))
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# 支持两种配置方式：
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# - 新版 v5.4 strategies 表：tp1_ratio / tp2_ratio = 以 R 计的目标（× risk_distance）
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# - 旧版 v5.2/v5.3 JSON 策略：tp1_multiplier / tp2_multiplier = 以 ATR 计的目标
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tp1_ratio = tp_sl_cfg.get("tp1_ratio")
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tp2_ratio = tp_sl_cfg.get("tp2_ratio")
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use_r_based = tp1_ratio is not None and tp2_ratio is not None
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if use_r_based:
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tp1_ratio = float(tp1_ratio)
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tp2_ratio = float(tp2_ratio)
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else:
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tp1_multiplier = float(tp_sl_cfg.get("tp1_multiplier", 1.5))
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tp2_multiplier = float(tp_sl_cfg.get("tp2_multiplier", 3.0))
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# 统一定义：1R = SL 距离 = sl_multiplier × ATR
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risk_distance = sl_multiplier * atr
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if direction == "LONG":
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sl = price - risk_distance
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if use_r_based:
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tp1 = price + tp1_ratio * risk_distance
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tp2 = price + tp2_ratio * risk_distance
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else:
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tp1 = price + tp1_multiplier * atr
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tp2 = price + tp2_multiplier * atr
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else:
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sl = price + risk_distance
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if use_r_based:
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tp1 = price - tp1_ratio * risk_distance
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tp2 = price - tp2_ratio * risk_distance
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else:
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tp1 = price - tp1_multiplier * atr
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tp2 = price - tp2_multiplier * atr
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# SL 合理性校验：实际距离必须在 risk_distance 的 80%~120% 范围内
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actual_sl_dist = abs(sl - price)
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if actual_sl_dist < risk_distance * 0.8 or actual_sl_dist > risk_distance * 1.2:
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if logger:
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logger.error(
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f"[{symbol}] ⚠️ SL校验失败，拒绝开仓: direction={direction} price={price:.4f} "
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f"sl={sl:.4f} actual_dist={actual_sl_dist:.4f} expected={risk_distance:.4f} atr={atr:.4f}"
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)
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return
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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 paper_trades (symbol,direction,score,tier,entry_price,entry_ts,tp1_price,tp2_price,sl_price,atr_at_entry,score_factors,strategy,risk_distance,strategy_id,strategy_name_snapshot) "
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"VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s)",
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(
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symbol,
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direction,
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score,
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tier,
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price,
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now_ms,
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tp1,
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tp2,
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sl,
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atr,
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_json3.dumps(factors) if factors else None,
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strategy,
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risk_distance,
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strategy_id,
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strategy_name_snapshot,
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),
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)
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conn.commit()
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if logger:
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logger.info(
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f"[{symbol}] 📝 模拟开仓: {direction} @ {price:.2f} score={score} tier={tier} strategy={strategy} "
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f"TP1={tp1:.2f} TP2={tp2:.2f} SL={sl:.2f}"
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)
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def paper_has_active_position(symbol: str, strategy: Optional[str] = None) -> bool:
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"""检查该币种是否有活跃持仓"""
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with get_sync_conn() as conn:
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with conn.cursor() as cur:
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if strategy:
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cur.execute(
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"SELECT COUNT(*) FROM paper_trades WHERE symbol=%s AND strategy=%s AND status IN ('active','tp1_hit')",
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(symbol, strategy),
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)
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else:
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cur.execute(
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"SELECT COUNT(*) FROM paper_trades WHERE symbol=%s AND status IN ('active','tp1_hit')",
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(symbol,),
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)
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return cur.fetchone()[0] > 0
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def paper_get_active_direction(symbol: str, strategy: Optional[str] = None) -> str | None:
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"""获取该币种活跃持仓的方向，无持仓返回 None"""
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with get_sync_conn() as conn:
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with conn.cursor() as cur:
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if strategy:
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cur.execute(
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"SELECT direction FROM paper_trades WHERE symbol=%s AND strategy=%s AND status IN ('active','tp1_hit') LIMIT 1",
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(symbol, strategy),
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)
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else:
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cur.execute(
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"SELECT direction FROM paper_trades WHERE symbol=%s AND status IN ('active','tp1_hit') LIMIT 1",
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(symbol,),
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)
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row = cur.fetchone()
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return row[0] if row else None
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def paper_close_by_signal(symbol: str, current_price: float, now_ms: int, strategy: Optional[str] = None, logger=None):
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"""反向信号平仓：按当前价平掉该币种所有活跃仓位"""
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with get_sync_conn() as conn:
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with conn.cursor() as cur:
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if strategy:
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cur.execute(
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"SELECT id, direction, entry_price, tp1_hit, atr_at_entry, risk_distance "
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"FROM paper_trades WHERE symbol=%s AND strategy=%s AND status IN ('active','tp1_hit')",
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(symbol, strategy),
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)
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else:
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cur.execute(
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"SELECT id, direction, entry_price, tp1_hit, atr_at_entry, risk_distance "
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"FROM paper_trades WHERE symbol=%s AND status IN ('active','tp1_hit')",
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(symbol,),
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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_hit, atr_entry, rd_db = pos
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risk_distance = rd_db if rd_db and rd_db > 0 else abs(entry_price * 0.01)
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if direction == "LONG":
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pnl_r = (current_price - entry_price) / risk_distance if risk_distance > 0 else 0
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else:
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pnl_r = (entry_price - current_price) / risk_distance if risk_distance > 0 else 0
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# 扣手续费
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fee_r = (2 * PAPER_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='signal_flip', exit_price=%s, exit_ts=%s, pnl_r=%s WHERE id=%s",
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(current_price, now_ms, round(pnl_r, 4), pid),
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)
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if logger:
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logger.info(
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f"[{symbol}] 📝 反向信号平仓: {direction} @ {current_price:.2f} pnl={pnl_r:+.2f}R"
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f"{f' strategy={strategy}' if strategy else ''}"
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)
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conn.commit()
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def paper_active_count(strategy: Optional[str] = None) -> int:
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"""当前活跃持仓总数（按策略独立计数）"""
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with get_sync_conn() as conn:
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with conn.cursor() as cur:
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if strategy:
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cur.execute(
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"SELECT COUNT(*) FROM paper_trades WHERE strategy=%s AND status IN ('active','tp1_hit')",
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(strategy,),
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)
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else:
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cur.execute(
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"SELECT COUNT(*) FROM paper_trades WHERE status IN ('active','tp1_hit')"
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)
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return cur.fetchone()[0]
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