af732f1438
- 用agg_trades真实成交价替换VWAP作为entry_price - 按时间戳判定事件优先级(非固定优先级) - TP1后进入半仓状态机，防重复计R - flip/价格触发tie-break：谁早用谁，同时间优先价格 - 保本价常量: BE_OFFSET_LONG=1.0005, BE_OFFSET_SHORT=0.9995 - 手续费: fee_r = 2*0.0005*entry/risk_distance - 支持--dry-run模式
315 lines
11 KiB
Python
315 lines
11 KiB
Python
#!/usr/bin/env python3
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"""
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全量重放脚本 v2：用真实成交价(agg_trades) + 原始信号重算所有paper_trades的结果
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修复点（xiaofan审阅后）：
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1. 事件判定按时间戳最先发生，不是固定优先级
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2. TP1后进入半仓状态机，pnl_r不重复计算全仓
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3. flip与价格触发冲突：谁时间早用谁，同时间优先价格触发
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4. 保本价显式常量，区分净保本/毛保本
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"""
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import psycopg2
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from datetime import datetime, timezone, timedelta
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BJ = timezone(timedelta(hours=8))
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TIMEOUT_MS = 60 * 60 * 1000 # 60分钟
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# 保本价偏移（毛保本，不含手续费，仅防止SL=entry被1tick打掉）
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BE_OFFSET_LONG = 1.0005 # LONG: SL移到entry*1.0005
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BE_OFFSET_SHORT = 0.9995 # SHORT: SL移到entry*0.9995
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STRATEGY_CONFIG = {
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'v52_8signals': {'sl': 2.1, 'tp1': 1.4, 'tp2': 3.15},
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'v51_baseline': {'sl': 1.4, 'tp1': 1.05, 'tp2': 2.1},
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}
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def ts_bj(ts_ms):
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return datetime.fromtimestamp(ts_ms / 1000, BJ).strftime('%m-%d %H:%M:%S')
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def replay_trade(cur, tid, symbol, direction, strategy, entry_ts, atr):
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cfg = STRATEGY_CONFIG.get(strategy)
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if not cfg:
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return None, f"未知策略: {strategy}"
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# 1. 真实入场价（entry_ts时刻最新成交价）
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cur.execute("""
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SELECT price FROM agg_trades
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WHERE symbol=%s AND time_ms <= %s
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ORDER BY time_ms DESC LIMIT 1
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""", (symbol, entry_ts))
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row = cur.fetchone()
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if not row:
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return None, "找不到entry时刻的agg_trade"
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entry = row[0]
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# 2. 计算原始TP/SL
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rd = cfg['sl'] * atr
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if rd <= 0:
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return None, f"risk_distance={rd}，ATR={atr}无效"
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if direction == 'LONG':
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sl_orig = entry - rd
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tp1 = entry + cfg['tp1'] * atr
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tp2 = entry + cfg['tp2'] * atr
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else:
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sl_orig = entry + rd
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tp1 = entry - cfg['tp1'] * atr
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tp2 = entry - cfg['tp2'] * atr
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timeout_ts = entry_ts + TIMEOUT_MS
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# 3. 加载该时段内所有agg_trades价格（按时间顺序）
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cur.execute("""
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SELECT time_ms, price FROM agg_trades
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WHERE symbol=%s AND time_ms > %s AND time_ms <= %s
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ORDER BY time_ms ASC
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""", (symbol, entry_ts, timeout_ts))
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price_rows = cur.fetchall()
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# 4. 加载该时段内第一个反向信号（signal_flip检测）
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cur.execute("""
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SELECT ts FROM signal_indicators
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WHERE symbol=%s AND strategy=%s AND ts > %s AND ts <= %s
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AND signal IS NOT NULL AND signal != ''
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AND signal != %s
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ORDER BY ts ASC
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LIMIT 1
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""", (symbol, strategy, entry_ts, timeout_ts, direction))
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flip_row = cur.fetchone()
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flip_ts = flip_row[0] if flip_row else None
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# 5. 状态机：按时间顺序处理事件
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sl_current = sl_orig # 当前有效SL（可能移到保本价）
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tp1_hit = False
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tp1_hit_ts = None
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tp1_r = abs(tp1 - entry) / rd # 预计算，TP1触发后固定
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result_status = None
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result_exit_ts = None
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result_exit_price = None
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result_pnl_r = None
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for time_ms, price in price_rows:
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# 关键：先检查flip_ts是否比当前tick更早（tie-break：同时间优先价格触发）
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if flip_ts and flip_ts < time_ms:
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# flip发生在这笔tick之前，flip优先
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cur.execute("""
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SELECT price FROM agg_trades
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WHERE symbol=%s AND time_ms <= %s
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ORDER BY time_ms DESC LIMIT 1
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""", (symbol, flip_ts))
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fp = cur.fetchone()
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flip_price = fp[0] if fp else price
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if direction == 'LONG':
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flip_pnl_half = (flip_price - entry) / rd
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else:
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flip_pnl_half = (entry - flip_price) / rd
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if tp1_hit:
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# 已TP1：半仓已在tp1出，剩余半仓在flip_price出
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result_pnl_r = 0.5 * tp1_r + 0.5 * flip_pnl_half
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else:
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result_pnl_r = flip_pnl_half
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result_status = 'signal_flip'
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result_exit_ts = flip_ts
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result_exit_price = flip_price
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break
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if direction == 'LONG':
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if not tp1_hit:
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if price <= sl_current:
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result_status = 'sl'
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result_exit_ts = time_ms
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result_exit_price = sl_orig # 按挂单价成交
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result_pnl_r = -1.0
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break
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if price >= tp1:
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# TP1触发：半仓止盈，SL移保本
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tp1_hit = True
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tp1_hit_ts = time_ms
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sl_current = entry * BE_OFFSET_LONG
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else:
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# 半仓状态机：只剩50%仓位
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if price <= sl_current:
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# 保本SL触发
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result_status = 'sl_be'
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result_exit_ts = time_ms
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result_exit_price = sl_current
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result_pnl_r = 0.5 * tp1_r # 半仓TP1已实现
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break
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if price >= tp2:
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# TP2触发
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tp2_r = (tp2 - entry) / rd
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result_status = 'tp'
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result_exit_ts = time_ms
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result_exit_price = tp2
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result_pnl_r = 0.5 * tp1_r + 0.5 * tp2_r
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break
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else: # SHORT
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if not tp1_hit:
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if price >= sl_current:
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result_status = 'sl'
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result_exit_ts = time_ms
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result_exit_price = sl_orig
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result_pnl_r = -1.0
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break
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if price <= tp1:
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tp1_hit = True
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tp1_hit_ts = time_ms
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sl_current = entry * BE_OFFSET_SHORT
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else:
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if price >= sl_current:
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result_status = 'sl_be'
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result_exit_ts = time_ms
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result_exit_price = sl_current
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result_pnl_r = 0.5 * tp1_r
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break
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if price <= tp2:
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tp2_r = (entry - tp2) / rd
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result_status = 'tp'
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result_exit_ts = time_ms
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result_exit_price = tp2
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result_pnl_r = 0.5 * tp1_r + 0.5 * tp2_r
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break
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# Timeout或循环结束未触发
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if not result_status:
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# 检查flip_ts是否在timeout范围内但没被price_rows覆盖到
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if flip_ts and flip_ts <= timeout_ts:
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cur.execute("""
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SELECT price FROM agg_trades
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WHERE symbol=%s AND time_ms <= %s
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ORDER BY time_ms DESC LIMIT 1
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""", (symbol, flip_ts))
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fp = cur.fetchone()
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flip_price = fp[0] if fp else entry
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if direction == 'LONG':
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flip_pnl_half = (flip_price - entry) / rd
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else:
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flip_pnl_half = (entry - flip_price) / rd
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if tp1_hit:
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result_pnl_r = 0.5 * tp1_r + 0.5 * flip_pnl_half
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else:
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result_pnl_r = flip_pnl_half
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result_status = 'signal_flip'
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result_exit_ts = flip_ts
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result_exit_price = flip_price
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else:
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# 真正的timeout
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cur.execute("""
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SELECT price FROM agg_trades
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WHERE symbol=%s AND time_ms <= %s
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ORDER BY time_ms DESC LIMIT 1
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""", (symbol, timeout_ts))
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lp = cur.fetchone()
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exit_price = lp[0] if lp else entry
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if direction == 'LONG':
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timeout_half_pnl = (exit_price - entry) / rd
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else:
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timeout_half_pnl = (entry - exit_price) / rd
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if tp1_hit:
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result_pnl_r = 0.5 * tp1_r + 0.5 * timeout_half_pnl
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else:
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result_pnl_r = timeout_half_pnl
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result_status = 'timeout'
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result_exit_ts = timeout_ts
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result_exit_price = exit_price
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return {
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'id': tid,
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'entry': entry,
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'rd': rd,
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'tp1': tp1,
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'tp2': tp2,
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'sl_orig': sl_orig,
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'tp1_hit': tp1_hit,
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'tp1_hit_ts': tp1_hit_ts,
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'status': result_status,
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'exit_ts': result_exit_ts,
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'exit_price': result_exit_price,
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'pnl_r': round(result_pnl_r, 4),
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}, None
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def main(dry_run=False):
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conn = psycopg2.connect(host='10.106.0.3', dbname='arb_engine', user='arb', password='arb_engine_2026')
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cur = conn.cursor()
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cur.execute("""
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SELECT id, symbol, direction, strategy, entry_ts, atr_at_entry
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FROM paper_trades
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WHERE atr_at_entry > 0
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ORDER BY id ASC
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""")
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trades = cur.fetchall()
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print(f"总计 {len(trades)} 笔待重放")
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results = []
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errors = []
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for tid, symbol, direction, strategy, entry_ts, atr in trades:
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res, err = replay_trade(cur, tid, symbol, direction, strategy, entry_ts, atr)
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if err:
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errors.append((tid, err))
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else:
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results.append((res, strategy))
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print(f"成功重放: {len(results)}, 错误: {len(errors)}")
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for e in errors[:5]:
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print(f" 错误: {e}")
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if not dry_run and results:
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for res, _ in results:
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r = res
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cur.execute("""
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UPDATE paper_trades SET
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entry_price = %s,
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tp1_price = %s,
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tp2_price = %s,
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sl_price = %s,
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tp1_hit = %s,
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status = %s,
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exit_price = %s,
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exit_ts = %s,
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pnl_r = %s,
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risk_distance = %s,
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price_source = 'last_trade',
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calc_version = 2
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WHERE id = %s
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""", (
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r['entry'], r['tp1'], r['tp2'], r['sl_orig'],
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r['tp1_hit'], r['status'], r['exit_price'], r['exit_ts'],
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r['pnl_r'], r['rd'], r['id']
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))
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conn.commit()
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print(f"已写入 {len(results)} 笔")
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# 统计
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by_strategy = {}
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for res, strat in results:
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if strat not in by_strategy:
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by_strategy[strat] = {'n': 0, 'wins': 0, 'total_r': 0.0, 'status': {}}
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by_strategy[strat]['n'] += 1
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by_strategy[strat]['total_r'] += res['pnl_r']
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if res['pnl_r'] > 0:
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by_strategy[strat]['wins'] += 1
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s = res['status']
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by_strategy[strat]['status'][s] = by_strategy[strat]['status'].get(s, 0) + 1
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print("\n===== 重放统计（真实价口径）=====")
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for strat, s in sorted(by_strategy.items()):
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win_pct = s['wins'] / s['n'] * 100 if s['n'] > 0 else 0
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print(f" {strat}: {s['n']}笔, 胜率{win_pct:.1f}%, 总R={s['total_r']:+.2f}")
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for st, c in sorted(s['status'].items()):
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print(f" {st}: {c}")
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conn.close()
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if __name__ == '__main__':
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import sys
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dry = '--dry-run' in sys.argv
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print(f"模式: {'DRY RUN（不写入）' if dry else '正式写入'}")
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main(dry_run=dry)
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