fe754cf628
- 读/tmp/risk_guard_state.json: block_new_entries=true → 拒绝开仓 - 读/tmp/risk_guard_state.json: reduce_only=true → 拒绝开仓 - 读/tmp/risk_guard_emergency.json: close_all/block_new → 拒绝开仓 - risk_guard未启动(文件不存在) → 允许交易(不阻塞)
579 lines
20 KiB
Python
579 lines
20 KiB
Python
#!/usr/bin/env python3
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||
"""
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Live Executor - 实盘交易执行模块
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监听PG NOTIFY接收新信号，调币安API执行交易
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架构：
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signal_engine.py → NOTIFY new_signal → live_executor.py → Binance API
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不影响模拟盘任何进程。
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"""
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import os
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import sys
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import json
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import time
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import logging
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import asyncio
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import hashlib
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import hmac
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from urllib.parse import urlencode
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import psycopg2
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import psycopg2.extensions
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import aiohttp
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# ============ 配置 ============
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# 环境：testnet / production
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TRADE_ENV = os.getenv("TRADE_ENV", "testnet")
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# 币安API端点
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BINANCE_ENDPOINTS = {
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"testnet": "https://testnet.binancefuture.com",
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"production": "https://fapi.binance.com",
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}
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BASE_URL = BINANCE_ENDPOINTS[TRADE_ENV]
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# 数据库
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DB_CONFIG = {
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"host": os.getenv("DB_HOST", "10.106.0.3"),
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"port": int(os.getenv("DB_PORT", "5432")),
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"dbname": os.getenv("DB_NAME", "arb_engine"),
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"user": os.getenv("DB_USER", "arb"),
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"password": os.getenv("DB_PASSWORD", "arb_engine_2026"),
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}
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# 策略
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ENABLED_STRATEGIES = json.loads(os.getenv("LIVE_STRATEGIES", '["v52_8signals"]'))
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# 风险参数
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RISK_PER_TRADE_USD = float(os.getenv("RISK_PER_TRADE_USD", "2")) # 测试网$2=1R
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MAX_POSITIONS = int(os.getenv("MAX_POSITIONS", "4"))
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FEE_RATE = 0.0005 # Taker 0.05%
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# 币种精度（币安要求）
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SYMBOL_PRECISION = {
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"BTCUSDT": {"qty": 3, "price": 1, "min_notional": 100},
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"ETHUSDT": {"qty": 3, "price": 2, "min_notional": 20},
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"XRPUSDT": {"qty": 0, "price": 4, "min_notional": 5},
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"SOLUSDT": {"qty": 2, "price": 2, "min_notional": 5},
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}
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# 日志
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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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)
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logger = logging.getLogger("live-executor")
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# ============ API Key管理 ============
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_api_key = None
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_secret_key = None
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def load_api_keys():
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"""从GCP Secret Manager或环境变量加载API Key"""
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global _api_key, _secret_key
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# 优先环境变量（本地开发/测试用）
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_api_key = os.getenv("BINANCE_API_KEY")
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_secret_key = os.getenv("BINANCE_SECRET_KEY")
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if _api_key and _secret_key:
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logger.info(f"API Key loaded from env (first 10: {_api_key[:10]}...)")
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return
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# 从GCP Secret Manager读取
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try:
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from google.cloud import secretmanager
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client = secretmanager.SecretManagerServiceClient()
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project = os.getenv("GCP_PROJECT", "gen-lang-client-0835616737")
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prefix = "binance-testnet" if TRADE_ENV == "testnet" else "binance-live"
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api_key_name = f"projects/{project}/secrets/{prefix}-api-key/versions/latest"
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secret_key_name = f"projects/{project}/secrets/{prefix}-secret-key/versions/latest"
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_api_key = client.access_secret_version(name=api_key_name).payload.data.decode()
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_secret_key = client.access_secret_version(name=secret_key_name).payload.data.decode()
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logger.info(f"API Key loaded from GCP Secret Manager ({prefix}, first 10: {_api_key[:10]}...)")
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except Exception as e:
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logger.error(f"Failed to load API keys: {e}")
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sys.exit(1)
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# ============ 币安API工具 ============
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def sign_params(params: dict) -> dict:
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"""HMAC SHA256签名"""
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params["timestamp"] = int(time.time() * 1000)
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query_string = urlencode(params)
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signature = hmac.new(
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_secret_key.encode(), query_string.encode(), hashlib.sha256
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).hexdigest()
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params["signature"] = signature
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return params
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async def binance_request(session: aiohttp.ClientSession, method: str, path: str, params: dict = None, signed: bool = True):
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"""发送币安API请求"""
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url = f"{BASE_URL}{path}"
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headers = {"X-MBX-APIKEY": _api_key}
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if params is None:
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params = {}
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if signed:
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params = sign_params(params)
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try:
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if method == "GET":
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async with session.get(url, params=params, headers=headers) as resp:
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data = await resp.json()
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if resp.status != 200:
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logger.error(f"Binance API error: {resp.status} {data}")
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return data, resp.status
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elif method == "POST":
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async with session.post(url, params=params, headers=headers) as resp:
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data = await resp.json()
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if resp.status != 200:
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logger.error(f"Binance API error: {resp.status} {data}")
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return data, resp.status
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elif method == "DELETE":
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async with session.delete(url, params=params, headers=headers) as resp:
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data = await resp.json()
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if resp.status != 200:
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logger.error(f"Binance API error: {resp.status} {data}")
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return data, resp.status
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except Exception as e:
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logger.error(f"Binance request failed: {e}")
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return {"error": str(e)}, 500
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# ============ 交易执行 ============
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async def set_leverage_and_margin(session: aiohttp.ClientSession, symbol: str, leverage: int = 20):
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"""设置杠杆和逐仓模式"""
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# 设置逐仓
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await binance_request(session, "POST", "/fapi/v1/marginType", {
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"symbol": symbol, "marginType": "ISOLATED"
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})
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# 设置杠杆
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await binance_request(session, "POST", "/fapi/v1/leverage", {
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"symbol": symbol, "leverage": leverage
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})
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logger.info(f"[{symbol}] 设置逐仓 + {leverage}x杠杆")
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async def place_market_order(session: aiohttp.ClientSession, symbol: str, side: str, quantity: float):
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"""市价开仓"""
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prec = SYMBOL_PRECISION.get(symbol, {"qty": 3})
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qty_str = f"{quantity:.{prec['qty']}f}"
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params = {
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"symbol": symbol,
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"side": side,
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"type": "MARKET",
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"quantity": qty_str,
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}
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t_submit = time.time() * 1000
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data, status = await binance_request(session, "POST", "/fapi/v1/order", params)
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t_ack = time.time() * 1000
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if status == 200:
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logger.info(f"[{symbol}] ✅ 市价{side} {qty_str}个 | orderId={data.get('orderId')} | 延迟={t_ack-t_submit:.0f}ms")
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return data, status, t_submit, t_ack
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async def place_stop_order(session: aiohttp.ClientSession, symbol: str, side: str, stop_price: float, quantity: float, order_type: str = "STOP_MARKET"):
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"""挂止损/止盈单"""
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prec = SYMBOL_PRECISION.get(symbol, {"qty": 3, "price": 2})
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qty_str = f"{quantity:.{prec['qty']}f}"
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price_str = f"{stop_price:.{prec['price']}f}"
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params = {
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"symbol": symbol,
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"side": side,
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"type": order_type,
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"stopPrice": price_str,
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"quantity": qty_str,
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"reduceOnly": "true",
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}
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data, status = await binance_request(session, "POST", "/fapi/v1/order", params)
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if status == 200:
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logger.info(f"[{symbol}] 📌 挂{order_type} {side} @ {price_str} qty={qty_str} | orderId={data.get('orderId')}")
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return data, status
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async def cancel_all_orders(session: aiohttp.ClientSession, symbol: str):
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"""取消某币种所有挂单"""
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data, status = await binance_request(session, "DELETE", "/fapi/v1/allOpenOrders", {"symbol": symbol})
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if status == 200:
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logger.info(f"[{symbol}] 🗑 已取消所有挂单")
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return data, status
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async def get_position(session: aiohttp.ClientSession, symbol: str):
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"""查询当前持仓"""
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data, status = await binance_request(session, "GET", "/fapi/v2/positionRisk", {"symbol": symbol})
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if status == 200 and isinstance(data, list):
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for pos in data:
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if pos.get("symbol") == symbol and float(pos.get("positionAmt", 0)) != 0:
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return pos
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return None
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async def get_account_balance(session: aiohttp.ClientSession):
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"""查询账户余额"""
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data, status = await binance_request(session, "GET", "/fapi/v2/balance")
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if status == 200 and isinstance(data, list):
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for asset in data:
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if asset.get("asset") == "USDT":
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return float(asset.get("availableBalance", 0))
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return 0
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# ============ 核心：开仓流程 ============
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async def execute_entry(session: aiohttp.ClientSession, signal: dict, db_conn):
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"""
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完整开仓流程：
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1. 检查余额和持仓数
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2. 计算仓位大小
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3. 市价开仓
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4. 挂SL + TP1 + TP2保护单
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5. 写live_trades表
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6. 记录延迟指标
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"""
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symbol = signal["symbol"]
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direction = signal["direction"]
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score = signal["score"]
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tier = signal.get("tier", "standard")
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strategy = signal["strategy"]
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risk_distance = signal["risk_distance"]
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sl_price = signal["sl_price"]
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tp1_price = signal["tp1_price"]
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tp2_price = signal["tp2_price"]
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atr = signal.get("atr", 0)
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signal_ts = signal["signal_ts"]
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signal_id = signal.get("signal_id")
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factors = signal.get("factors")
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t_signal = signal_ts # 信号时间戳(ms)
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# 0. 检查风控状态（读risk_guard写的状态文件）
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try:
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with open("/tmp/risk_guard_state.json") as f:
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risk_state = json.load(f)
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if risk_state.get("block_new_entries"):
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logger.warning(f"[{symbol}] ❌ 风控禁止新开仓: {risk_state.get('circuit_break_reason', '未知原因')}")
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return None
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if risk_state.get("reduce_only"):
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logger.warning(f"[{symbol}] ❌ 只减仓模式，拒绝开仓")
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return None
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except FileNotFoundError:
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pass # risk_guard还没启动，允许交易
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except Exception as e:
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logger.warning(f"[{symbol}] ⚠ 读取风控状态失败: {e}，继续交易")
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# 检查前端紧急操作指令
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try:
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with open("/tmp/risk_guard_emergency.json") as f:
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emergency = json.load(f)
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action = emergency.get("action")
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if action in ("close_all", "block_new"):
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logger.warning(f"[{symbol}] ❌ 紧急指令生效: {action}，拒绝开仓")
|
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return None
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except FileNotFoundError:
|
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pass
|
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except Exception:
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pass
|
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|
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# 1. 检查余额
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balance = await get_account_balance(session)
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if balance < RISK_PER_TRADE_USD * 2:
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logger.warning(f"[{symbol}] ❌ 余额不足: ${balance:.2f} < ${RISK_PER_TRADE_USD * 2}")
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return None
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|
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# 2. 检查持仓数
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cur = db_conn.cursor()
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cur.execute("SELECT count(*) FROM live_trades WHERE strategy=%s AND status='active'", (strategy,))
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active_count = cur.fetchone()[0]
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if active_count >= MAX_POSITIONS:
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logger.warning(f"[{symbol}] ❌ 已达最大持仓数 {MAX_POSITIONS}")
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return None
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# 3. 检查是否已有同币种同方向持仓
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cur.execute("SELECT id FROM live_trades WHERE symbol=%s AND strategy=%s AND status='active'", (symbol, strategy))
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if cur.fetchone():
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logger.info(f"[{symbol}] ⏭ 已有活跃持仓，跳过")
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return None
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# 4. 设置杠杆和逐仓
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await set_leverage_and_margin(session, symbol)
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# 5. 计算仓位
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# position_size(个) = risk_usd / risk_distance
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qty = RISK_PER_TRADE_USD / risk_distance
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prec = SYMBOL_PRECISION.get(symbol, {"qty": 3})
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qty = round(qty, prec["qty"])
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# 检查最小名义值
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# 需要当前价来估算
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entry_side = "BUY" if direction == "LONG" else "SELL"
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# 6. 市价开仓
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t_before_order = time.time() * 1000
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order_data, order_status, t_submit, t_ack = await place_market_order(session, symbol, entry_side, qty)
|
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|
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if order_status != 200:
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logger.error(f"[{symbol}] ❌ 开仓失败: {order_data}")
|
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return None
|
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# 解析成交信息
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order_id = str(order_data.get("orderId", ""))
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fill_price = float(order_data.get("avgPrice", 0))
|
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if fill_price == 0:
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fill_price = float(order_data.get("price", 0))
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t_fill = time.time() * 1000
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|
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signal_to_order_ms = int(t_submit - t_signal)
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order_to_fill_ms = int(t_fill - t_submit)
|
||
|
||
# 计算滑点
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signal_price = signal.get("signal_price", fill_price)
|
||
if signal_price > 0:
|
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if direction == "LONG":
|
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slippage_bps = (fill_price - signal_price) / signal_price * 10000
|
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else:
|
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slippage_bps = (signal_price - fill_price) / signal_price * 10000
|
||
else:
|
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slippage_bps = 0
|
||
|
||
logger.info(f"[{symbol}] 📊 成交价={fill_price} | 信号价={signal_price} | 滑点={slippage_bps:.1f}bps | 信号→下单={signal_to_order_ms}ms | 下单→成交={order_to_fill_ms}ms")
|
||
|
||
# 7. 挂保护单（SL + TP1半仓 + TP2半仓）
|
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close_side = "SELL" if direction == "LONG" else "BUY"
|
||
half_qty = round(qty / 2, prec["qty"])
|
||
other_half = round(qty - half_qty, prec["qty"])
|
||
|
||
# SL - 全仓
|
||
t_before_sl = time.time() * 1000
|
||
sl_data, sl_status = await place_stop_order(session, symbol, close_side, sl_price, qty, "STOP_MARKET")
|
||
t_after_sl = time.time() * 1000
|
||
protection_gap_ms = int(t_after_sl - t_fill)
|
||
|
||
if sl_status != 200:
|
||
logger.error(f"[{symbol}] ⚠️ SL挂单失败! 裸奔中! data={sl_data}")
|
||
# TODO: 自动补挂逻辑
|
||
|
||
# TP1 - 半仓
|
||
tp1_type = "TAKE_PROFIT_MARKET"
|
||
await place_stop_order(session, symbol, close_side, tp1_price, half_qty, tp1_type)
|
||
|
||
# TP2 - 半仓
|
||
await place_stop_order(session, symbol, close_side, tp2_price, other_half, tp1_type)
|
||
|
||
logger.info(f"[{symbol}] 🛡 保护单已挂 | SL={sl_price} TP1={tp1_price}(半仓) TP2={tp2_price}(半仓) | 裸奔={protection_gap_ms}ms")
|
||
|
||
# 8. 写DB
|
||
cur.execute("""
|
||
INSERT INTO live_trades (
|
||
symbol, strategy, direction, entry_price, entry_ts,
|
||
sl_price, tp1_price, tp2_price, score, tier, status,
|
||
risk_distance, atr_at_entry, score_factors, signal_id,
|
||
binance_order_id, fill_price, slippage_bps,
|
||
protection_gap_ms, signal_to_order_ms, order_to_fill_ms
|
||
) VALUES (
|
||
%s, %s, %s, %s, %s,
|
||
%s, %s, %s, %s, %s, 'active',
|
||
%s, %s, %s, %s,
|
||
%s, %s, %s,
|
||
%s, %s, %s
|
||
) RETURNING id
|
||
""", (
|
||
symbol, strategy, direction, fill_price, int(t_fill),
|
||
sl_price, tp1_price, tp2_price, score, tier,
|
||
risk_distance, atr, json.dumps(factors) if factors else None, signal_id,
|
||
order_id, fill_price, round(slippage_bps, 2),
|
||
protection_gap_ms, signal_to_order_ms, order_to_fill_ms,
|
||
))
|
||
trade_id = cur.fetchone()[0]
|
||
db_conn.commit()
|
||
|
||
logger.info(f"[{symbol}] ✅ 实盘开仓完成 | trade_id={trade_id} | {direction} @ {fill_price} | score={score} | 策略={strategy}")
|
||
return trade_id
|
||
|
||
|
||
# ============ 信号监听 ============
|
||
|
||
def get_db_connection():
|
||
"""获取DB连接"""
|
||
conn = psycopg2.connect(**DB_CONFIG)
|
||
conn.set_isolation_level(psycopg2.extensions.ISOLATION_LEVEL_AUTOCOMMIT)
|
||
return conn
|
||
|
||
|
||
def fetch_pending_signals(conn):
|
||
"""查询未处理的新信号"""
|
||
cur = conn.cursor()
|
||
# 查最近60秒内的新信号（score>=阈值、策略匹配、未被live_executor处理过）
|
||
strategies_str = ",".join(f"'{s}'" for s in ENABLED_STRATEGIES)
|
||
cur.execute(f"""
|
||
SELECT si.id, si.symbol, si.signal, si.score, si.ts, si.factors, si.strategy,
|
||
si.price
|
||
FROM signal_indicators si
|
||
WHERE si.signal IS NOT NULL
|
||
AND si.signal != ''
|
||
AND si.strategy IN ({strategies_str})
|
||
AND si.ts > extract(epoch from now()) * 1000 - 60000
|
||
AND NOT EXISTS (
|
||
SELECT 1 FROM live_trades lt
|
||
WHERE lt.signal_id = si.id AND lt.strategy = si.strategy
|
||
)
|
||
ORDER BY si.ts DESC
|
||
""")
|
||
rows = cur.fetchall()
|
||
signals = []
|
||
for row in rows:
|
||
factors = row[5]
|
||
if isinstance(factors, str):
|
||
try:
|
||
factors = json.loads(factors)
|
||
except:
|
||
factors = None
|
||
|
||
signals.append({
|
||
"signal_id": row[0],
|
||
"symbol": row[1],
|
||
"direction": row[2],
|
||
"score": row[3],
|
||
"signal_ts": row[4],
|
||
"factors": factors,
|
||
"strategy": row[6],
|
||
"signal_price": float(row[7]) if row[7] else 0,
|
||
})
|
||
return signals
|
||
|
||
|
||
def enrich_signal_with_trade_params(signal: dict, conn):
|
||
"""从策略配置计算TP/SL参数"""
|
||
symbol = signal["symbol"]
|
||
strategy = signal["strategy"]
|
||
direction = signal["direction"]
|
||
|
||
# 读策略配置JSON
|
||
config_map = {
|
||
"v51_baseline": {"sl_multiplier": 1.4, "tp1_multiplier": 1.05, "tp2_multiplier": 2.1},
|
||
"v52_8signals": {"sl_multiplier": 2.1, "tp1_multiplier": 1.4, "tp2_multiplier": 3.15},
|
||
}
|
||
cfg = config_map.get(strategy)
|
||
if not cfg:
|
||
logger.warning(f"[{symbol}] 未知策略: {strategy}")
|
||
return False
|
||
|
||
# 从signal_indicators读ATR和价格
|
||
cur = conn.cursor()
|
||
cur.execute("""
|
||
SELECT atr_5m, price FROM signal_indicators
|
||
WHERE id = %s
|
||
""", (signal["signal_id"],))
|
||
row = cur.fetchone()
|
||
if not row or not row[0]:
|
||
logger.warning(f"[{symbol}] signal_id={signal['signal_id']} 无ATR数据")
|
||
return False
|
||
|
||
atr = float(row[0])
|
||
price = float(row[1])
|
||
signal["atr"] = atr
|
||
signal["signal_price"] = price
|
||
|
||
# 计算SL/TP（直接用ATR，不乘0.7）
|
||
risk_distance = cfg["sl_multiplier"] * atr
|
||
signal["risk_distance"] = risk_distance
|
||
|
||
if direction == "LONG":
|
||
signal["sl_price"] = price - cfg["sl_multiplier"] * atr
|
||
signal["tp1_price"] = price + cfg["tp1_multiplier"] * atr
|
||
signal["tp2_price"] = price + cfg["tp2_multiplier"] * atr
|
||
else: # SHORT
|
||
signal["sl_price"] = price + cfg["sl_multiplier"] * atr
|
||
signal["tp1_price"] = price - cfg["tp1_multiplier"] * atr
|
||
signal["tp2_price"] = price - cfg["tp2_multiplier"] * atr
|
||
|
||
return True
|
||
|
||
|
||
# ============ 主循环 ============
|
||
|
||
async def main():
|
||
"""主循环：监听PG NOTIFY + 定时轮询fallback"""
|
||
logger.info("=" * 60)
|
||
logger.info(f"🚀 Live Executor 启动 | 环境={TRADE_ENV} | 策略={ENABLED_STRATEGIES}")
|
||
logger.info(f" 风险/笔=${RISK_PER_TRADE_USD} | 最大持仓={MAX_POSITIONS}")
|
||
logger.info(f" API端点={BASE_URL}")
|
||
logger.info("=" * 60)
|
||
|
||
load_api_keys()
|
||
|
||
# 测试API连通性
|
||
async with aiohttp.ClientSession() as http_session:
|
||
balance = await get_account_balance(http_session)
|
||
logger.info(f"💰 账户余额: ${balance:.2f} USDT")
|
||
|
||
if balance <= 0:
|
||
logger.error("❌ 无法获取余额或余额为0，请检查API Key")
|
||
return
|
||
|
||
# DB连接（用于LISTEN）
|
||
listen_conn = get_db_connection()
|
||
cur = listen_conn.cursor()
|
||
cur.execute("LISTEN new_signal;")
|
||
logger.info("👂 已注册PG LISTEN new_signal")
|
||
|
||
# 工作DB连接
|
||
work_conn = psycopg2.connect(**DB_CONFIG)
|
||
|
||
async with aiohttp.ClientSession() as http_session:
|
||
while True:
|
||
try:
|
||
# 检查PG NOTIFY（非阻塞，超时1秒）
|
||
if listen_conn.poll() == psycopg2.extensions.POLL_OK:
|
||
while listen_conn.notifies:
|
||
notify = listen_conn.notifies.pop(0)
|
||
logger.info(f"📡 收到NOTIFY: {notify.payload}")
|
||
|
||
# 获取待处理信号（NOTIFY + 轮询双保险）
|
||
signals = fetch_pending_signals(work_conn)
|
||
|
||
for sig in signals:
|
||
# 补充TP/SL参数
|
||
if not enrich_signal_with_trade_params(sig, work_conn):
|
||
continue
|
||
|
||
logger.info(f"[{sig['symbol']}] 🎯 新信号: {sig['direction']} score={sig['score']} strategy={sig['strategy']}")
|
||
|
||
# 执行开仓
|
||
trade_id = await execute_entry(http_session, sig, work_conn)
|
||
if trade_id:
|
||
logger.info(f"[{sig['symbol']}] ✅ trade_id={trade_id} 开仓成功")
|
||
|
||
await asyncio.sleep(1) # 1秒轮询作为fallback
|
||
|
||
except KeyboardInterrupt:
|
||
logger.info("🛑 收到退出信号")
|
||
break
|
||
except Exception as e:
|
||
logger.error(f"❌ 主循环异常: {e}", exc_info=True)
|
||
await asyncio.sleep(5)
|
||
|
||
listen_conn.close()
|
||
work_conn.close()
|
||
logger.info("Live Executor 已停止")
|
||
|
||
|
||
if __name__ == "__main__":
|
||
asyncio.run(main())
|