diff --git a/backend/database/add_market_cache.sql b/backend/database/add_market_cache.sql new file mode 100644 index 0000000..5067330 --- /dev/null +++ b/backend/database/add_market_cache.sql @@ -0,0 +1,13 @@ +-- 市场缓存表：存放较固定的交易所数据（交易对信息、资金费率规则等），减少 API 调用 +-- 执行: mysql -u root -p auto_trade_sys < add_market_cache.sql + +USE `auto_trade_sys`; + +CREATE TABLE IF NOT EXISTS `market_cache` ( + `id` INT PRIMARY KEY AUTO_INCREMENT, + `cache_key` VARCHAR(128) NOT NULL COMMENT '如 exchange_info, funding_info', + `cache_value` LONGTEXT NOT NULL COMMENT 'JSON 内容', + `updated_at` TIMESTAMP DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP, + UNIQUE KEY `uk_cache_key` (`cache_key`), + INDEX `idx_updated_at` (`updated_at`) +) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COMMENT='市场数据缓存（交易对/费率规则等）'; diff --git a/backend/database/models.py b/backend/database/models.py index 370a623..410ae8d 100644 --- a/backend/database/models.py +++ b/backend/database/models.py @@ -360,6 +360,128 @@ class TradingConfig: return str(value) +# 缓存键常量（与 market_cache 表配合使用） +MARKET_CACHE_KEY_EXCHANGE_INFO = "exchange_info" +MARKET_CACHE_KEY_FUNDING_INFO = "funding_info" + + +class MarketCache: + """ + 市场数据缓存：交易对信息(exchange_info)、资金费率规则(funding_info) 等较固定内容入库， + 减少对币安 API 的调用。trading_system 可优先从 DB 读取，过期或缺失时再拉 API 并回写。 + """ + @staticmethod + def _table_exists(): + try: + db.execute_one("SELECT 1 FROM market_cache LIMIT 1") + return True + except Exception: + return False + + @staticmethod + def get(cache_key: str): + """获取缓存：返回 dict { cache_value: 解析后的对象, updated_at } 或 None。""" + if not MarketCache._table_exists(): + return None + try: + row = db.execute_one( + "SELECT cache_value, updated_at FROM market_cache WHERE cache_key = %s", + (cache_key,), + ) + if not row: + return None + raw = row.get("cache_value") + updated_at = row.get("updated_at") + if raw is None: + return None + try: + value = json.loads(raw) if isinstance(raw, str) else raw + except Exception: + value = raw + return {"cache_value": value, "updated_at": updated_at} + except Exception as e: + logger.debug("MarketCache.get %s: %s", cache_key, e) + return None + + @staticmethod + def set(cache_key: str, value) -> bool: + """写入缓存，value 可为 dict/list（将序列化为 JSON）。""" + if not MarketCache._table_exists(): + return False + try: + payload = json.dumps(value, ensure_ascii=False) if not isinstance(value, str) else value + db.execute_update( + """INSERT INTO market_cache (cache_key, cache_value) + VALUES (%s, %s) + ON DUPLICATE KEY UPDATE cache_value = VALUES(cache_value), updated_at = CURRENT_TIMESTAMP""", + (cache_key, payload), + ) + return True + except Exception as e: + logger.warning("MarketCache.set %s: %s", cache_key, e) + return False + + @staticmethod + def get_exchange_info(max_age_seconds: int = 86400): + """ + 获取缓存的 exchange_info（币安 GET /fapi/v1/exchangeInfo）。 + 若缓存存在且 updated_at 在 max_age_seconds 内，返回解析后的 exchange_info 字典； + 否则返回 None（调用方应拉 API 并调用 set_exchange_info 回写）。 + """ + out = MarketCache.get(MARKET_CACHE_KEY_EXCHANGE_INFO) + if not out: + return None + updated_at = out.get("updated_at") + if max_age_seconds is not None and updated_at: + try: + from datetime import datetime, timezone, timedelta + if isinstance(updated_at, (int, float)): + utc_ts = float(updated_at) + else: + # datetime 转 UTC 时间戳 + utc_ts = updated_at.timestamp() if hasattr(updated_at, "timestamp") else 0 + age = datetime.now(timezone.utc).timestamp() - utc_ts + if age > max_age_seconds: + return None + except Exception: + pass + return out.get("cache_value") + + @staticmethod + def set_exchange_info(data: dict) -> bool: + """写入 exchange_info 到 market_cache。""" + return MarketCache.set(MARKET_CACHE_KEY_EXCHANGE_INFO, data) + + @staticmethod + def get_funding_info(max_age_seconds: int = 86400): + """ + 获取缓存的 funding_info（币安 GET /fapi/v1/fundingInfo）。 + 若缓存存在且在 max_age_seconds 内，返回解析后的列表/字典；否则返回 None。 + """ + out = MarketCache.get(MARKET_CACHE_KEY_FUNDING_INFO) + if not out: + return None + updated_at = out.get("updated_at") + if max_age_seconds is not None and updated_at: + try: + from datetime import datetime, timezone + if isinstance(updated_at, (int, float)): + utc_ts = float(updated_at) + else: + utc_ts = updated_at.timestamp() if hasattr(updated_at, "timestamp") else 0 + age = datetime.now(timezone.utc).timestamp() - utc_ts + if age > max_age_seconds: + return None + except Exception: + pass + return out.get("cache_value") + + @staticmethod + def set_funding_info(data) -> bool: + """写入 funding_info 到 market_cache。""" + return MarketCache.set(MARKET_CACHE_KEY_FUNDING_INFO, data) + + class GlobalStrategyConfig: """全局策略配置模型（独立于账户，管理员专用）""" diff --git a/docs/后续方向实施说明.md b/docs/后续方向实施说明.md new file mode 100644 index 0000000..8fa8ceb --- /dev/null +++ b/docs/后续方向实施说明.md @@ -0,0 +1,58 @@ +# 后续方向实施说明 + +本文档说明「策略与信号评估及改进建议」中未实现或部分实现的方向，以及固定内容入库的用法。 + +--- + +## 一、已完成的改动 + +### 1. 固定内容入库（交易对 / 费率规则） + +- **表**：`market_cache`（见 `backend/database/add_market_cache.sql`） + - 字段：`cache_key`（如 `exchange_info`、`funding_info`）、`cache_value`（JSON）、`updated_at` +- **模型**：`backend/database/models.py` 中的 `MarketCache` + - `get_exchange_info(max_age_seconds=86400)` / `set_exchange_info(data)` + - `get_funding_info(max_age_seconds=86400)` / `set_funding_info(data)` +- **使用**：`trading_system/binance_client.py` + - `get_all_usdt_pairs()`：优先从 DB 读 `exchange_info`（24 小时内有效），命中则直接解析返回；否则请求 API 并回写 DB。 + - `get_symbol_info(symbol)`：在内存/Redis 未命中时，尝试从 DB 的 `exchange_info` 解析该 symbol；API 拉取后也会回写 DB。 + +**部署**：执行 `mysql -u root -p auto_trade_sys < backend/database/add_market_cache.sql` 创建表。无需改配置即可生效。 + +### 2. 扫描阶段资金费率过滤 + +- **配置**（`trading_system/config.py` 与 DB `trading_config`）： + - `SCAN_FUNDING_RATE_FILTER_ENABLED`：是否启用（默认 True） + - `SCAN_FUNDING_RATE_MAX_ABS`：阈值，默认 0.001（即 \|lastFundingRate\| > 0.1% 的标的从扫描候选剔除） +- **逻辑**：在 `market_scanner.scan_market()` 中，在得到「初步筛选后」的 `pre_filtered_symbols` 后，若启用则调用 `get_premium_index(None)` 取全量费率，剔除 \|lastFundingRate\| > 阈值的 symbol，再进入详细分析（K 线/技术指标）。 + +--- + +## 二、建议实现顺序（未实现部分） + +| 顺序 | 方向 | 说明 | +|------|----------------|------| +| 1 | 跟踪止损 | 浮盈达到 X% 后，用 `TRAILING_STOP_MARKET` 替代或补充固定止盈；配置：`TRAILING_STOP_ENABLED`、`TRAILING_ACTIVATION_PCT`、`TRAILING_CALLBACK_RATE`；在 position_manager 挂完固定 SL/TP 后，达标则下跟踪止损单。 | +| 2 | 时间/无盈利止损 | 持仓时长 > N 小时且浮盈 < 某阈值（或浮亏）→ 市价平仓或提高止损优先级；配置：`MAX_HOLD_HOURS`、`MIN_PNL_PCT_TO_HOLD`；在 position_manager 的检查循环里按 `entry_time` 与当前 pnl% 判断。 | +| 3 | WS 订单/成交优化 | 下单后根据 ORDER_TRADE_UPDATE/TRADE 做快速反馈、部分成交后的加仓/减仓逻辑；实现成本较高，可排在跟踪止损和时间止损之后。 | + +--- + +## 三、跟踪止损（待实现）要点 + +- **币安**：条件单类型 `TRAILING_STOP_MARKET`，需 `callbackRate`、`activationPrice`（或由系统按比例计算）。 +- **配置建议**：与现有 `USE_TRAILING_STOP`、`TRAILING_STOP_ACTIVATION`、`TRAILING_STOP_PROTECT` 对齐，或新增 `TRAILING_ACTIVATION_PCT`、`TRAILING_CALLBACK_RATE` 从 config/DB 读取。 +- **位置**：`trading_system/position_manager.py` 中，在挂完固定 SL/TP 后（或定时检查持仓时），若启用且当前浮盈% ≥ 激活比例，则下 `TRAILING_STOP_MARKET`；若已有跟踪止损单则跳过。 + +--- + +## 四、时间/无盈利止损（待实现）要点 + +- **逻辑**：在 position_manager 的持仓检查循环中，读取每仓的 `entry_time` 和当前 pnl%；若 `持仓时长 > MAX_HOLD_HOURS` 且 `pnl_percent < MIN_PNL_PCT_TO_HOLD`（或为负），则触发市价平仓或标记为「建议平仓」。 +- **配置**：`MAX_HOLD_HOURS`、`MIN_PNL_PCT_TO_HOLD`，从 config/DB 读。 + +--- + +## 五、手续费等固定费率（可选） + +若后续要做「预估盈亏」或「最小盈利目标」，可将 maker/taker 费率存入 config 或单独表（如 `symbol_fee`），在算目标价/预期收益时读取。当前未实现。 diff --git a/docs/策略与信号评估及改进建议.md b/docs/策略与信号评估及改进建议.md new file mode 100644 index 0000000..abeee75 --- /dev/null +++ b/docs/策略与信号评估及改进建议.md @@ -0,0 +1,82 @@ +# 策略与信号评估及改进建议 + +基于持仓记录（2026-02-16）、当前策略逻辑与币安接口文档，对「长时间持仓、盈利不明显」做简要诊断，并给出可落地的改进方向。 + +--- + +## 一、持仓与信号现状简要诊断 + +### 1. 持仓样本（来自 持仓记录_2026-02-16） + +- **数量**：约 12 个持仓，多空混合（BUY 少、SELL 多）。 +- **盈亏分布**：部分有 +15%、+13%、+9% 等浮盈，多数在 -5%～+2% 区间横盘，整体「拿得久、盈利不突出」。 +- **共性**： + - 入场依赖 1H/4H 技术信号（MACD + EMA + 4H 趋势），**无资金费率、多空结构、订单流等过滤**，容易在「结构不利」时开仓。 + - 止损/止盈为固定比例或 ATR，**无跟踪止损、无时间止损**，盈利单容易回吐，亏损单容易长期挂单。 + - 选币主要按 24h 涨跌幅 + 成交量 + signal_strength 排序，**未用资金费率、大户多空比、主动买卖量等** 做过滤或排序。 + +### 2. 当前信号与选单逻辑（简要） + +- **扫描**：24h 涨跌幅 ≥ 阈值 + 成交量 ≥ MIN_VOLUME_24H_STRICT → 对每个 symbol 拉 1H/4H K 线 → 算 RSI、MACD、EMA、4H 趋势 → 算 **signal_strength**（0–10），按强度排序取 TOP_N。 +- **开仓条件**：signal_strength ≥ MIN_SIGNAL_STRENGTH（8）、4H 趋势不逆势、RSI/24h 涨跌幅过滤、短周期方向过滤、大盘 Beta 过滤等。 +- **问题点**： + - 信号完全来自 K 线技术指标，**没有合约特有的「成本与结构」信息**（资金费率、多空比、主动买卖）→ 容易在费率极高或多空极度拥挤时进场。 + - 入场时机只看扫描周期（如 15 分钟一次），**没有用 WS 订单/成交推送做更细的时机优化**。 + - 出场只有固定 SL/TP，**没有跟踪止损、没有「持仓时间 + 无盈利」类时间止损**。 + +--- + +## 二、基于现有接口的改进方向（可落地） + +### 1. 资金费率过滤（已接入 REST，建议**优先上**） + +- **接口**：`GET /fapi/v1/premiumIndex`（已封装为 `get_premium_index(symbol)`），含 `lastFundingRate`。 +- **思路**： + - **做多**：若 `lastFundingRate > 某上限`（例如 0.001，即 0.1%），说明多头付费高，开多成本高、易被费率侵蚀 → **跳过开多**。 + - **做空**：若 `lastFundingRate < 某下限`（例如 -0.001），说明空头付费高 → **跳过开空**。 +- **效果**：减少在「费率极端不利于己方」时开仓，提高单笔期望收益；配合现有技术信号，不改变主逻辑，只做过滤。 +- **实现**：在策略层开仓前增加「资金费率过滤」步骤（见下节代码）。 + +### 2. 大户多空比 / 主动买卖量（已接入 REST，可选增强） + +- **接口**：`get_top_long_short_position_ratio`、`get_taker_long_short_ratio`（或账户数多空比）。 +- **思路**： + - **做多**：优先选择「近期主动买入占比高」或「大户多空比」偏多的标的（顺势）；或极端多头拥挤时做「逆势空」需谨慎、可提高信号门槛。 + - **做空**：优先选择「主动卖出占比高」或大户偏空的标的。 +- **实现**：可在扫描后、或策略决定开仓前，对候选 symbol 取最近 1 条 taker 或大户多空比，与方向一致则通过、相反则降权或跳过（可选，先上资金费率再考虑）。 + +### 3. 订单/成交推送（WS）对「下单时机」的改进 + +- **文档**：订单交易更新推送（ORDER_TRADE_UPDATE）、条件单更新（ALGO_UPDATE）、账户信息流等。 +- **思路**： + - 已有 User Data Stream 时，**订单状态、成交回报**已经实时；可在此基础上做「下单后快速反馈、部分成交/全部成交的后续动作」。 + - 若引入 **aggTrade / depth** 等行情 WS：可在「信号已满足」时，结合最近几笔大单或盘口变化再点一次火，减少「信号刚满足就追在尖顶/尖底」的情况（实现成本较高，可作为二期）。 + +### 4. 止盈/止损与持仓管理 + +- **跟踪止损**：文档支持 `TRAILING_STOP_MARKET`（激活价、回调比例）。可在「浮盈达到 X% 后」改为跟踪止损，锁定利润、让利润奔跑。 +- **时间止损**：若持仓超过 N 小时且浮盈 < 某阈值（或浮亏），可考虑平仓释放保证金，避免长期无效挂单（需在 position_manager 或策略层加「持仓时长」判断）。 +- **分批止盈**：当前有 take_profit_1/2 等设计；可结合 ATR 或固定比例，先平一部分、留一部分用跟踪止损（逻辑已有基础，可逐步细化）。 + +### 5. 扫描与选币 + +- **资金费率**：扫描阶段可排除「费率极端」的标的（例如 |lastFundingRate| > 0.001），避免进入 TOP_N 的 symbol 本身就不适合当前方向。 +- **成交量/流动性**：继续用 24h 成交量 + 深度（若有）保证可执行性；深度接口已接入，可用于大单前的冲击成本估算。 +- **多空比/主动买卖**：作为排序加分项（与方向一致则排前），而不是硬过滤，避免过度减少开仓次数。 + +--- + +## 三、建议实施顺序 + +1. **立即**：在开仓前增加**资金费率过滤**（做多/做空各一个阈值），并加配置开关与日志。 +2. **短期**：在配置中提供**跟踪止损**开关与参数（如激活盈利率、回调比例），对已有持仓在达到条件时切到跟踪止损（或先对部分新开仓做实验）。 +3. **中期**：在扫描或策略中引入**大户多空比 / taker 买卖比**，作为过滤或排序加分，并观察胜率与频率变化。 +4. **可选**：结合 WS 订单/成交与行情（aggTrade/depth）做更细的入场时机优化；以及「持仓时间 + 无盈利」的时间止损。 + +--- + +## 四、小结 + +- **现状**：信号与选单主要依赖 K 线技术指标和 4H 趋势，缺少「资金费率、多空结构、订单流」等维度，且出场方式单一，容易导致持仓时间长、盈利不明显。 +- **改进**：在**不推翻现有技术信号**的前提下，优先用**资金费率**做开仓过滤，再用**多空比/主动买卖**做过滤或排序，并逐步加上**跟踪止损**和**时间/无盈利止损**，有望在控制回撤的同时提高单笔质量与资金效率。 +- 上述改进均可基于你已接入的 REST 接口（premiumIndex、fundingRate、topLongShort、takerlongshortRatio 等）和现有 WS 文档实现；具体参数（费率阈值、跟踪止损比例等）可在实盘或回测中微调。 diff --git a/trading_system/binance_client.py b/trading_system/binance_client.py index 17b697e..8657958 100644 --- a/trading_system/binance_client.py +++ b/trading_system/binance_client.py @@ -5,7 +5,9 @@ import asyncio import json import logging import random +import sys import time +from pathlib import Path from typing import Dict, List, Optional, Any from binance import AsyncClient, BinanceSocketManager from binance.exceptions import BinanceAPIException @@ -19,6 +21,92 @@ except ImportError: logger = logging.getLogger(__name__) +# 交易对/费率等固定内容优先从 DB 读取（market_cache 表），减少 API 调用 +def _get_market_cache(): + """延迟导入 MarketCache（需 backend 在 sys.path）。失败返回 None。""" + try: + backend_path = Path(__file__).resolve().parent.parent / "backend" + if backend_path.exists() and str(backend_path) not in sys.path: + sys.path.insert(0, str(backend_path)) + from database.models import MarketCache + return MarketCache + except Exception as e: + logger.debug("MarketCache 不可用: %s", e) + return None + + +def _load_exchange_info_from_db(max_age_seconds: int = 86400): + """同步从 DB 读取 exchange_info（供 run_in_executor 调用）。""" + mc = _get_market_cache() + if not mc: + return None + return mc.get_exchange_info(max_age_seconds=max_age_seconds) + + +def _save_exchange_info_to_db(data: dict) -> bool: + """同步将 exchange_info 写入 DB。""" + mc = _get_market_cache() + if not mc: + return False + return mc.set_exchange_info(data) + + +def _parse_usdt_pairs_from_exchange_info(exchange_info: dict) -> tuple: + """从 exchange_info 解析 USDT 永续列表和 display_to_api 映射。返回 (usdt_pairs, display_to_api_symbol).""" + if not exchange_info or not isinstance(exchange_info.get("symbols"), list): + return [], {} + usdt_pairs = [] + display_to_api = {} + for s in exchange_info["symbols"]: + if not (s.get("symbol", "").endswith("USDT") and s.get("status") == "TRADING" and s.get("contractType") == "PERPETUAL"): + continue + sym = s["symbol"] + if sym.isascii(): + usdt_pairs.append(sym) + continue + api_sym = (s.get("baseAsset") or "") + (s.get("quoteAsset") or "") + if api_sym and api_sym.isascii(): + usdt_pairs.append(api_sym) + display_to_api[sym] = api_sym + else: + usdt_pairs.append(sym) + return usdt_pairs, display_to_api + + +def _parse_symbol_info_from_exchange_info(exchange_info: dict, symbol: str) -> Optional[Dict]: + """从 exchange_info 中解析单个 symbol 的精度/限制信息，与 get_symbol_info 返回格式一致。""" + if not exchange_info or not isinstance(exchange_info.get("symbols"), list): + return None + for s in exchange_info["symbols"]: + if s.get("symbol") != symbol: + continue + quantity_precision = s.get("quantityPrecision", 8) + price_precision = s.get("pricePrecision", 8) + min_qty, step_size, min_notional, tick_size = None, None, None, None + for f in s.get("filters", []): + if f.get("filterType") == "LOT_SIZE": + min_qty = float(f.get("minQty", 0)) + step_size = float(f.get("stepSize", 0)) + elif f.get("filterType") == "PRICE_FILTER": + tick_size = float(f.get("tickSize", 0) or 0) + elif f.get("filterType") == "MIN_NOTIONAL": + min_notional = float(f.get("notional", 0)) + if min_notional is None or min_notional == 0: + min_notional = 5.0 + max_leverage_supported = 125 + if s.get("leverageBracket") and len(s.get("leverageBracket", [])) > 0: + max_leverage_supported = s["leverageBracket"][0].get("maxLeverage", 125) + return { + "quantityPrecision": quantity_precision, + "pricePrecision": price_precision, + "minQty": min_qty or 0, + "stepSize": step_size or 0, + "tickSize": tick_size or 0, + "minNotional": min_notional, + "maxLeverage": int(max_leverage_supported), + } + return None + def _format_exception(e: Exception) -> str: """格式化异常用于日志，避免空 message 导致日志无内容""" @@ -458,7 +546,8 @@ class BinanceClient: async def get_all_usdt_pairs(self, max_retries: int = 3, timeout: int = 30) -> List[str]: """ 获取所有USDT交易对 - 添加超时处理和重试机制，避免推荐系统因网络超时中断 + 优先从 DB market_cache 读取 exchange_info（24 小时内有效），减少 API 调用。 + 添加超时处理和重试机制，避免推荐系统因网络超时中断。 Args: max_retries: 最大重试次数（默认3次） @@ -467,10 +556,24 @@ class BinanceClient: Returns: USDT交易对列表（失败时返回空列表） """ + loop = asyncio.get_event_loop() + # 优先从 DB 读取（同步调用放至线程池） + try: + exchange_info = await loop.run_in_executor(None, lambda: _load_exchange_info_from_db(86400)) + if exchange_info and isinstance(exchange_info.get("symbols"), list): + usdt_pairs, display_to_api = _parse_usdt_pairs_from_exchange_info(exchange_info) + if usdt_pairs: + self._display_to_api_symbol.clear() + self._display_to_api_symbol.update(display_to_api) + if display_to_api: + logger.info(f"已映射 {len(display_to_api)} 个中文/非ASCII交易对到英文 symbol") + logger.info(f"从 DB 缓存获取到 {len(usdt_pairs)} 个USDT永续合约交易对") + return usdt_pairs + except Exception as e: + logger.debug("从 DB 读取 exchange_info 失败，将请求 API: %s", e) + for attempt in range(1, max_retries + 1): try: - # 使用 _rate_limited_request 包装请求，添加速率限制 - # 同时使用 asyncio.wait_for 添加超时处理 exchange_info = await asyncio.wait_for( self._rate_limited_request( 'futures_exchange_info', @@ -478,35 +581,17 @@ class BinanceClient: ), timeout=timeout ) - - # 支持中文名交易对：若 symbol 含非 ASCII，尝试用 baseAsset+quoteAsset 作为 API 下单用 symbol - # 如果 baseAsset+quoteAsset 也是非 ASCII，则直接使用原始 symbol + usdt_pairs, display_to_api = _parse_usdt_pairs_from_exchange_info(exchange_info) self._display_to_api_symbol.clear() - usdt_pairs = [] - for s in exchange_info['symbols']: - if not (s['symbol'].endswith('USDT') and s['status'] == 'TRADING' and s.get('contractType') == 'PERPETUAL'): - continue - sym = s['symbol'] - - # 1. 如果是 ASCII，直接使用 - if sym.isascii(): - usdt_pairs.append(sym) - continue - - # 2. 如果非 ASCII，尝试构建英文 symbol (base+quote) - api_sym = (s.get('baseAsset') or '') + (s.get('quoteAsset') or '') - if api_sym and api_sym.isascii(): - usdt_pairs.append(api_sym) - self._display_to_api_symbol[sym] = api_sym - logger.debug(f"交易对显示名 -> API symbol: '{sym}' -> '{api_sym}'") - else: - # 3. 如果 base+quote 也是非 ASCII（如 '币安人生USDT'），则直接使用原始 symbol - # 用户反馈希望交易这些特殊币种 - usdt_pairs.append(sym) - logger.info(f"添加非ASCII交易对: {sym!r} (baseAsset={s.get('baseAsset')!r})") - if self._display_to_api_symbol: - logger.info(f"已映射 {len(self._display_to_api_symbol)} 个中文/非ASCII交易对到英文 symbol，均可正常下单") + self._display_to_api_symbol.update(display_to_api) + if display_to_api: + logger.info(f"已映射 {len(display_to_api)} 个中文/非ASCII交易对到英文 symbol，均可正常下单") logger.info(f"获取到 {len(usdt_pairs)} 个USDT永续合约交易对") + # 回写 DB 供下次使用 + try: + await loop.run_in_executor(None, lambda: _save_exchange_info_to_db(exchange_info)) + except Exception as e: + logger.debug("exchange_info 写入 DB 失败: %s", e) return usdt_pairs except asyncio.TimeoutError: @@ -1112,6 +1197,7 @@ class BinanceClient: 交易对信息字典，包含 quantityPrecision, minQty, stepSize 等 """ symbol = self._resolve_api_symbol(symbol) + loop = asyncio.get_event_loop() # 1. 先检查内存缓存 if symbol in self._symbol_info_cache: cached_mem = self._symbol_info_cache[symbol] @@ -1133,11 +1219,23 @@ class BinanceClient: if isinstance(cached, dict) and ("tickSize" not in cached or "pricePrecision" not in cached): logger.info(f"{symbol} symbol_info 缓存缺少 tickSize/pricePrecision，自动刷新一次") else: - # 同时更新内存缓存 self._symbol_info_cache[symbol] = cached return cached - - # 3. 缓存未命中，调用 API（加超时与重试，避免网络抖动导致开仓前获取交易对信息失败） + + # 3. 尝试从 DB market_cache 读取 exchange_info 并解析本 symbol + try: + exchange_info_db = await loop.run_in_executor(None, lambda: _load_exchange_info_from_db(86400)) + info = _parse_symbol_info_from_exchange_info(exchange_info_db, symbol) if exchange_info_db else None + if info: + self._symbol_info_cache[symbol] = info + if self.redis_cache: + await self.redis_cache.set(cache_key, info, ttl=3600) + logger.debug(f"从 DB 缓存解析 {symbol} 交易对信息") + return info + except Exception as e: + logger.debug("从 DB 读取 exchange_info 解析 %s 失败: %s", symbol, e) + + # 4. 缓存未命中，调用 API（加超时与重试） read_timeout = getattr(config, 'READ_ONLY_REQUEST_TIMEOUT', 60) last_err = None for attempt in range(3): @@ -1146,6 +1244,11 @@ class BinanceClient: self.client.futures_exchange_info(), timeout=read_timeout ) + # 回写 DB 供后续请求使用 + try: + await loop.run_in_executor(None, lambda: _save_exchange_info_to_db(exchange_info)) + except Exception as e: + logger.debug("exchange_info 写入 DB 失败: %s", e) break except (asyncio.TimeoutError, BinanceAPIException, OSError) as e: last_err = e diff --git a/trading_system/config.py b/trading_system/config.py index 711a0e9..f65675b 100644 --- a/trading_system/config.py +++ b/trading_system/config.py @@ -231,6 +231,17 @@ DEFAULT_TRADING_CONFIG = { 'MIN_VOLUME_24H_STRICT': 50000000, # 严格过滤≥5000万美元 'MIN_VOLATILITY': 0.03, # 最小波动率3%，过滤死币 'MIN_SIGNAL_STRENGTH': 8, # 信号强度≥8（2026-01-29优化：从7提高到8，减少低质量信号，提升胜率） + # ===== 资金费率过滤（开仓前）===== + 'FUNDING_RATE_FILTER_ENABLED': True, # 开仓前检查资金费率，避免在费率极端不利于己方时进场 + 'MAX_FUNDING_RATE_FOR_LONG': 0.001, # 做多时 lastFundingRate 超过此值则跳过（0.1%=多头付费高） + 'MIN_FUNDING_RATE_FOR_SHORT': -0.001, # 做空时 lastFundingRate 低于此值则跳过（-0.1%=空头付费高） + # 扫描阶段资金费率过滤：排除 |lastFundingRate| 过大的标的，避免进入 TOP_N + 'SCAN_FUNDING_RATE_FILTER_ENABLED': True, + 'SCAN_FUNDING_RATE_MAX_ABS': 0.001, # 绝对值超过 0.1% 则从扫描候选剔除 + # 主动买卖量过滤（可选）：与方向一致时通过，极端反向时跳过 + 'TAKER_RATIO_FILTER_ENABLED': False, # 默认关闭，开启后做多要求 buySellRatio≥下限、做空要求≤上限 + 'MIN_TAKER_BUY_RATIO_FOR_LONG': 0.85, # 做多时最近1h buySellRatio 低于此值则跳过（主动买不足） + 'MAX_TAKER_BUY_RATIO_FOR_SHORT': 1.15, # 做空时最近1h buySellRatio 高于此值则跳过（主动卖不足） # ===== 动态过滤优化 ===== 'BETA_FILTER_ENABLED': True, # 大盘共振过滤：BTC/ETH下跌时屏蔽多单 diff --git a/trading_system/market_scanner.py b/trading_system/market_scanner.py index c8a1be6..29b1f6a 100644 --- a/trading_system/market_scanner.py +++ b/trading_system/market_scanner.py @@ -119,7 +119,35 @@ class MarketScanner: pre_filtered_symbols.append(symbol) logger.info(f"初步筛选后，需要详细分析的交易对: {len(pre_filtered_symbols)} 个") - + + # 扫描阶段资金费率过滤：排除 |lastFundingRate| 过大的标的（文档建议的后续方向） + scan_funding_enabled = cfg.get('SCAN_FUNDING_RATE_FILTER_ENABLED', False) + scan_funding_max_abs = float(cfg.get('SCAN_FUNDING_RATE_MAX_ABS', 0.001)) + if scan_funding_enabled and pre_filtered_symbols: + try: + premium_all = await self.client.get_premium_index(None) # 全量，一次请求 + rate_map = {} + if isinstance(premium_all, list): + for item in premium_all: + if isinstance(item, dict) and 'symbol' in item: + try: + rate_map[item['symbol']] = float(item.get('lastFundingRate', 0)) + except (TypeError, ValueError): + pass + elif isinstance(premium_all, dict) and premium_all.get('symbol'): + rate_map[premium_all['symbol']] = float(premium_all.get('lastFundingRate', 0)) + if rate_map: + before = len(pre_filtered_symbols) + pre_filtered_symbols = [ + s for s in pre_filtered_symbols + if abs(rate_map.get(s, 0)) <= scan_funding_max_abs + ] + excluded = before - len(pre_filtered_symbols) + if excluded > 0: + logger.info(f"扫描阶段资金费率过滤: 排除 {excluded} 个标的 (|lastFundingRate| > {scan_funding_max_abs})，剩余 {len(pre_filtered_symbols)} 个") + except Exception as e: + logger.debug("扫描阶段资金费率过滤失败，继续使用原列表: %s", e) + # 只对符合条件的交易对进行详细分析（获取K线和技术指标） # ⚠️ 并发数说明： # - 这是单个账户扫描时，同时分析多少个交易对（不是用户进程数） diff --git a/trading_system/strategy.py b/trading_system/strategy.py index d2fcbbc..ca759a5 100644 --- a/trading_system/strategy.py +++ b/trading_system/strategy.py @@ -178,6 +178,14 @@ class TradingStrategy: # 确定交易方向（基于技术指标） trade_direction = trade_signal['direction'] + # 开仓前资金费率过滤：避免在费率极端不利于己方时进场 + if not await self._check_funding_rate_filter(symbol, trade_direction): + logger.info(f"{symbol} 资金费率过滤未通过，跳过开仓") + continue + # 开仓前主动买卖量过滤（可选）：与方向一致时通过 + if not await self._check_taker_ratio_filter(symbol, trade_direction): + logger.info(f"{symbol} 主动买卖量过滤未通过，跳过开仓") + continue entry_reason = trade_signal['reason'] signal_strength = trade_signal.get('strength', 0) @@ -353,6 +361,65 @@ class TradingStrategy: await asyncio.sleep(check_interval) waited += check_interval + async def _check_funding_rate_filter(self, symbol: str, direction: str) -> bool: + """ + 开仓前资金费率过滤：避免在费率极端不利于己方时进场（做多时费率过高、做空时费率过负则跳过）。 + 依赖 REST get_premium_index(symbol) 的 lastFundingRate。 + """ + enabled = bool(config.TRADING_CONFIG.get('FUNDING_RATE_FILTER_ENABLED', True)) + if not enabled: + return True + try: + data = await self.client.get_premium_index(symbol) + if not data or not isinstance(data, dict): + return True + rate_raw = data.get('lastFundingRate') + if rate_raw is None: + return True + rate = float(rate_raw) + max_long = float(config.TRADING_CONFIG.get('MAX_FUNDING_RATE_FOR_LONG', 0.001)) + min_short = float(config.TRADING_CONFIG.get('MIN_FUNDING_RATE_FOR_SHORT', -0.001)) + if direction == 'BUY' and rate > max_long: + logger.info(f"{symbol} 资金费率过滤：做多跳过（lastFundingRate={rate:.6f} > {max_long}）") + return False + if direction == 'SELL' and rate < min_short: + logger.info(f"{symbol} 资金费率过滤：做空跳过（lastFundingRate={rate:.6f} < {min_short}）") + return False + return True + except Exception as e: + logger.debug(f"{symbol} 资金费率检查失败（放行）: {e}") + return True + + async def _check_taker_ratio_filter(self, symbol: str, direction: str) -> bool: + """ + 开仓前主动买卖量过滤（可选）：做多要求近期主动买占比不低于下限，做空要求主动卖占比不低于下限。 + 依赖 get_taker_long_short_ratio(symbol, period='1h', limit=1)，取最近一条的 buySellRatio。 + """ + enabled = bool(config.TRADING_CONFIG.get('TAKER_RATIO_FILTER_ENABLED', False)) + if not enabled: + return True + try: + arr = await self.client.get_taker_long_short_ratio(symbol, period='1h', limit=3) + if not arr or not isinstance(arr, list): + return True + latest = arr[0] if arr else {} + ratio_raw = latest.get('buySellRatio') + if ratio_raw is None: + return True + ratio = float(ratio_raw) + min_long = float(config.TRADING_CONFIG.get('MIN_TAKER_BUY_RATIO_FOR_LONG', 0.85)) + max_short = float(config.TRADING_CONFIG.get('MAX_TAKER_BUY_RATIO_FOR_SHORT', 1.15)) + if direction == 'BUY' and ratio < min_long: + logger.info(f"{symbol} 主动买卖量过滤：做多跳过（buySellRatio={ratio:.3f} < {min_long}）") + return False + if direction == 'SELL' and ratio > max_short: + logger.info(f"{symbol} 主动买卖量过滤：做空跳过（buySellRatio={ratio:.3f} > {max_short}）") + return False + return True + except Exception as e: + logger.debug(f"{symbol} 主动买卖量检查失败（放行）: {e}") + return True + async def _check_volume_confirmation(self, symbol_info: Dict) -> bool: """ 成交量确认 - 确保有足够的成交量支撑 diff --git a/持仓记录_2026-02-16T09-45-37.json b/持仓记录_2026-02-16T09-45-37.json new file mode 100644 index 0000000..ce15456 --- /dev/null +++ b/持仓记录_2026-02-16T09-45-37.json @@ -0,0 +1,870 @@ +[ + { + "id": 5110, + "symbol": "1000BONKUSDT", + "side": "BUY", + "quantity": 3531, + "entry_price": 0.006565, + "entry_value_usdt": 23.181015, + "notional_usdt": 23.459964, + "margin_usdt": 5.864991, + "original_notional_usdt": 23.181015, + "original_margin_usdt": 5.79525375, + "mark_price": 0.006644, + "pnl": 0.278949, + "pnl_percent": 4.7561709813365445, + "leverage": 4, + "entry_time": 1771214454, + "stop_loss_price": 0.00636805, + "take_profit_price": 0.00697531, + "take_profit_1": null, + "take_profit_2": null, + "atr": null, + "entry_order_id": null, + "entry_order_type": null, + "open_orders": [ + { + "orderId": 2000000460584754, + "type": "TAKE_PROFIT_MARKET", + "side": "SELL", + "stopPrice": 0.006975, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + "status": "NEW" + }, + { + "orderId": 2000000460584735, + "type": "STOP_MARKET", + "side": "SELL", + "stopPrice": 0.006369, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + "status": "NEW" + } + ], + "active_sl_orders": "STOP_MARKET @ 0.006369 (NEW)", + "active_tp_orders": "TAKE_PROFIT_MARKET @ 0.006975 (NEW)", + "binance_open_orders_raw": [ + { + "orderId": 2000000460584754, + "type": "TAKE_PROFIT_MARKET", + "side": "SELL", + "stopPrice": 0.006975, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + "status": "NEW" + }, + { + "orderId": 2000000460584735, + "type": "STOP_MARKET", + "side": "SELL", + "stopPrice": 0.006369, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + "status": "NEW" + } + ] + }, + { + "id": 5157, + "symbol": "ZECUSDT", + "side": "SELL", + "quantity": 0.077, + "entry_price": 284.54, + "entry_value_usdt": 21.909580000000002, + "notional_usdt": 22.23683, + "margin_usdt": 5.5592075, + "original_notional_usdt": 21.92881912, + "original_margin_usdt": 5.48220478, + "mark_price": 288.79, + "pnl": -0.32725, + "pnl_percent": -5.886630423491117, + "leverage": 4, + "entry_time": 1771226616, + "stop_loss_price": null, + "take_profit_price": null, + "take_profit_1": null, + "take_profit_2": null, + "atr": 14.62428571, + "entry_order_id": 797717260491, + "entry_order_type": "LIMIT", + "open_orders": [ + { + "orderId": 2000000460584806, + "type": "TAKE_PROFIT_MARKET", + "side": "BUY", + "stopPrice": 266.76, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + "status": "NEW" + }, + { + "orderId": 2000000460584795, + "type": "STOP_MARKET", + "side": "BUY", + "stopPrice": 293.07, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + "status": "NEW" + } + ], + "active_sl_orders": "STOP_MARKET @ 293.07 (NEW)", + "active_tp_orders": "TAKE_PROFIT_MARKET @ 266.76 (NEW)", + "binance_open_orders_raw": [ + { + "orderId": 2000000460584806, + "type": "TAKE_PROFIT_MARKET", + "side": "BUY", + "stopPrice": 266.76, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + "status": "NEW" + }, + { + "orderId": 2000000460584795, + "type": "STOP_MARKET", + "side": "BUY", + "stopPrice": 293.07, + "price": 0, + "origType": "CONDITIONAL", + "reduceOnly": true, + 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