feat(config, market_scanner, position_manager, strategy): 引入市场节奏自动识别与流动性检查功能
在 `config.py` 中新增市场节奏自动识别配置，支持低波动期参数切换。更新 `market_scanner.py` 以根据市场波动情况动态调整策略，并在扫描时计算中位数以判断市场状态。同时，在 `position_manager.py` 中实现时间止损逻辑，确保在低波动期内有效管理持仓。新增流动性检查功能于 `strategy.py`，在开仓前评估市场深度与价差，提升交易决策的准确性与风险控制能力。
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docs/持仓与成交量低迷期优化分析.md
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docs/持仓与成交量低迷期优化分析.md
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# 持仓与成交量低迷期优化分析
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基于 `持仓记录_2026-02-17T02-22-51.json` 与「昨天到今天稳定小亏损、成交量较低」的反馈，做原因归纳和优化方案；并对照你已有的币安接口文档，标出能直接帮助的接口。
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---
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## 一、当前持仓快照摘要（2026-02-17）
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| 项目 | 数值 |
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|------|------|
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| 持仓数 | 9 |
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| 多单 / 空单 | 2 / 7（偏空） |
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| 总浮盈(USDT) | 约 +0.75（该快照） |
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| 浮盈笔数 / 浮亏笔数 | 5 / 4 |
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| 浮亏标的 | FILUSDT, XLMUSDT, HUSDT, WLDUSDT |
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说明：若「昨天到今天」整体是稳定小亏损，多半是**已平仓单**的净亏损或**持仓从浮盈回吐**；成交量低会放大滑点、费率占比和假突破，容易加剧小亏。
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---
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## 二、成交量偏低时「稳定小亏」的常见原因
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1. **滑点与冲击成本**
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成交量小 → 盘口薄，市价/条件单成交价差大，开平仓都被「多砍一点」，积少成多。
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2. **资金费率占比变高**
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持仓过夜/过结算，费率不变但单笔盈利变小，净收益容易被费率吃掉甚至变负。
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3. **假突破增多**
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波动主要来自少量大单，技术信号（突破、金叉等）更容易假突破，开仓胜率下降。
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4. **止盈难触发、止损先到**
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波动不足时价格磨蹭，止盈距离难达到，反而先触发止损或长时间横盘后小亏出场。
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5. **多空结构不利**
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若做多时多头拥挤（费率负、多空比极端），或做空时空头拥挤，结构不利会放大「小亏」。
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---
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## 三、你已有的币安文档与可落地的优化
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下面按「文档 → 能帮上什么」对照，方便你按文档实现或扩展。
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| 文档 | 能帮助的优化 |
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|------|----------------|
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| **行情接口REST.txt** | exchangeInfo（规则/合约信息）、ticker/深度/K 线：用于**成交量/深度过滤**（如 24h 量、盘口深度）、**流动性检查**；低量标的可直接从扫描候选剔除或降权。 |
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| **行情ws接口.txt / ws行情推送.txt** | 实时 ticker、深度、K 线：可做**入场前二次确认**（如信号满足时再查一次深度或最近成交），减少在极薄盘口下单。 |
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| **订单交易更新推送.txt** | ORDER_TRADE_UPDATE（NEW/FILLED/TRADE）：已有 User Data 时可用于**成交回报、部分成交处理**；结合「条件单触发」可更快更新 DB、减少重复操作。 |
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| **条件订单交易更新推送.txt** | 条件单/ALGO 状态：**止损/止盈/跟踪止损**触发后的实时反馈，便于统计「因何平仓」、优化 SL/TP 参数。 |
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| **ws交易接口.txt** | WS 下单（order.place / algoOrder.place）：已实现「WS 条件单 + REST 回退」，**减少下单超时**，在弱网或低流动性时更稳。 |
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| **用户余额.txt** | 账户余额/可用保证金：用于**按可用保证金动态控仓**，避免在低量、高波动时过度开仓。 |
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| **账户信息流连接.txt** | 账户/持仓推送：与现有 User Data 一致，**实时保证金与强平风险**，可做风控与告警。 |
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---
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## 四、可落地的优化方案（按优先级）
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### 1. 成交量/流动性过滤（直接缓解「低量小亏」）
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- **扫描阶段**：在现有 `MIN_VOLUME_24H_STRICT` 上，可再设「**最低 24h 成交额**」或「**相对前几日量比**」门槛，低量币不进 TOP_N。
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- **开仓前**：用 **行情接口REST** 的深度（如 `GET /fapi/v1/depth`）或 24h ticker，对当前 symbol 做一次**流动性检查**（例如买一卖一价差、前几档挂单量），价差过大或挂单过薄则跳过或减小仓位。
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- **文档**：`行情接口REST.txt` 中的 ticker、depth、K 线即可支持上述逻辑。
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### 2. 资金费率与多空结构（减少「结构不利」导致的磨损）
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- **开仓前**：已实现的「资金费率过滤」继续保留；可适当**收紧阈值**（如做多时 `lastFundingRate > 0.0005` 就跳过），在低波动期减少费率侵蚀。
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- **扫描阶段**：已实现的「扫描阶段资金费率过滤」可保持或略加强（如 `SCAN_FUNDING_RATE_MAX_ABS` 从 0.001 降到 0.0008），避免把「费率极端」的币选进候选。
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- 若有**大户多空比 / taker 买卖比**接口（在行情或衍生文档中），可作为**排序或过滤**：与开仓方向一致则优先，极端反向则跳过或降权。
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### 3. 出场优化（止盈难触发、亏损单拿太久）
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- **跟踪止损**：文档与策略建议里已多次提到；在浮盈达到 X% 后改为 `TRAILING_STOP_MARKET`，**锁定部分利润**，避免回吐成小亏。
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- **时间/无盈利止损**：持仓超过 N 小时且浮盈 < 某阈值（或浮亏）→ 市价平仓或收紧止损，减少在低波动里「耗着」造成的资金占用和小亏。
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- **条件单推送**：结合「条件订单交易更新推送」统计**止损/止盈/跟踪止损**的触发比例，用于调 SL/TP 距离和跟踪止损参数。
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### 4. 开仓节奏与仓位（低量期少开、小开）
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- **降低开仓频率**：低量日可适当增大 `SCAN_INTERVAL` 或提高 `MIN_SIGNAL_STRENGTH`，减少「为做而做」的次优单。
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- **单笔仓位**：在配置里略降 `MAX_POSITION_PERCENT` 或固定风险比例，**单笔亏损上限变小**，整体回撤更可控。
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- **余额与风控**：用「用户余额」或账户信息流，**按可用保证金**动态限制总敞口，避免在波动放大时超额开仓。
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### 5. 监控与统计（用现有接口即可）
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- **按平仓时间统计**：已实现「按平仓时间」筛选与统计，可看**每日/每周「平仓笔数、平仓盈亏」**，区分「开仓日」与「平仓日」表现。
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- **按标的/按方向**：统计哪些 symbol、多/空在低量期亏损集中，用于**黑名单或降权**（例如某几类币在低量期一律不开或只做一侧）。
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---
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## 五、小结与建议顺序
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- **可能原因**：成交量低 → 滑点大、费率占比高、假突破多、止盈难触发而止损/横盘小亏多；若再叠加多空结构不利，会放大「稳定小亏」。
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- **文档利用**：你已有的行情 REST/WS、订单与条件单推送、WS 交易、用户余额与账户流，**足够**支撑：流动性过滤、资金费率/多空过滤、跟踪止损与时间止损、按保证金控仓、以及统计与监控。
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- **建议实施顺序**：
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1. 加强**成交量/深度过滤**（扫描 + 开仓前检查）；
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2. 略**收紧资金费率**阈值、保持或略加强扫描阶段费率过滤；
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3. 上**跟踪止损**与**时间/无盈利止损**；
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4. 低量期**降频、降单笔仓位**，并用余额/账户流做风控；
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5. 用**按平仓时间统计**与条件单推送，持续观察「谁在亏、因何平仓」，再微调标的与参数。
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如需，我可以按上述某一条（例如「开仓前深度检查」或「时间止损参数」）写出具体实现步骤或伪代码，直接对接到你现有 `market_scanner` / `strategy` / `position_manager`。
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@ -242,6 +242,19 @@ DEFAULT_TRADING_CONFIG = {
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# 扫描阶段资金费率过滤：排除 |lastFundingRate| 过大的标的，避免进入 TOP_N
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'SCAN_FUNDING_RATE_FILTER_ENABLED': True,
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'SCAN_FUNDING_RATE_MAX_ABS': 0.001, # 绝对值超过 0.1% 则从扫描候选剔除
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# ===== 市场节奏自动识别（低波动期 vs 正常期，自动切换参数，无需手动）=====
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'MARKET_REGIME_AUTO': True, # 是否根据波动率自动识别并切换低波动期参数
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'LOW_VOLATILITY_THRESHOLD': 2.5, # 24h |changePercent| 中位数低于此值判为低波动期（%）
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'LOW_VOLATILITY_MAX_POSITION_PERCENT': 0.15, # 低波动期单币最大仓位（正常期用 MAX_POSITION_PERCENT）
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'LOW_VOLATILITY_MIN_SIGNAL_STRENGTH': 9, # 低波动期信号强度门槛（更严）
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'LOW_VOLATILITY_SCAN_FUNDING_RATE_MAX_ABS': 0.0005, # 低波动期扫描阶段资金费率更严（0.05%）
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'TIME_STOP_MAX_HOLD_HOURS': 8, # 持仓超过 N 小时且未达最小盈利则考虑平仓（低波动期更适用）
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'TIME_STOP_MIN_PNL_PCT_TO_HOLD': 0.0, # 持仓超过时间阈值时，若 pnl% 低于此值则平仓（0=允许小亏即走）
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'TIME_STOP_ENABLED': True, # 是否启用时间/无盈利止损（可与 regime 结合：仅低波动期或始终启用）
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# 开仓前流动性检查（价差/深度）：低量期可减少滑点与冲击成本
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'LIQUIDITY_CHECK_BEFORE_ENTRY': False, # 默认关闭；开启后开仓前检查盘口价差与深度，不通过则跳过
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'LIQUIDITY_MAX_SPREAD_PCT': 0.005, # 买一卖一价差超过此比例（0.5%）则跳过
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'LIQUIDITY_MIN_DEPTH_USDT': 30000, # 前 5 档买卖深度合计名义价值低于此值（USDT）则跳过
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# 主动买卖量过滤（可选）：与方向一致时通过，极端反向时跳过
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'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
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'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）
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@ -369,6 +382,20 @@ for key, value in DEFAULT_TRADING_CONFIG.items():
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if key not in TRADING_CONFIG:
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TRADING_CONFIG[key] = value
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def get_effective_config(key: str, default=None):
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"""
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按当前市场节奏返回有效配置：若 MARKET_REGIME_AUTO 且为低波动期，
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则返回 LOW_VOLATILITY_<key>（若存在），否则返回 TRADING_CONFIG[key]。
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用于仓位、信号门槛、资金费率阈值、时间止损等，实现自动把握市场节奏。
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"""
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try:
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from . import market_regime
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return market_regime.get_effective_config(key, default)
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except ImportError:
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return TRADING_CONFIG.get(key, default)
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# 提供一个函数来重新加载配置
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def reload_config():
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"""重新加载配置（供外部调用）"""
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122
trading_system/market_regime.py
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trading_system/market_regime.py
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"""
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市场节奏自动识别：根据当前波动率/成交量判断「低波动期」与「正常期」，
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并自动切换参数（仓位、信号门槛、资金费率阈值、时间止损等），无需手动切换。
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"""
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import logging
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import time
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from typing import Optional, Any
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logger = logging.getLogger(__name__)
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REDIS_KEY_REGIME = "market_regime"
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REDIS_KEY_UPDATED_AT = "market_regime_updated_at"
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REGIME_LOW = "low_volatility"
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REGIME_NORMAL = "normal"
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TTL_SEC = 3600 # 1 小时内无更新则视为过期，策略侧回退为 normal
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def _get_redis():
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"""获取 Redis 客户端（与 binance_client 一致）。"""
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try:
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from . import config
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from .redis_cache import RedisCache
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rc = RedisCache(
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redis_url=getattr(config, "REDIS_URL", "redis://localhost:6379"),
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use_tls=getattr(config, "REDIS_USE_TLS", False),
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ssl_cert_reqs=getattr(config, "REDIS_SSL_CERT_REQS", "required"),
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ssl_ca_certs=getattr(config, "REDIS_SSL_CA_CERTS", None),
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username=getattr(config, "REDIS_USERNAME", None),
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password=getattr(config, "REDIS_PASSWORD", None),
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)
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return rc
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except Exception as e:
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logger.debug("market_regime Redis 不可用: %s", e)
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return None
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async def update_regime_from_scan(
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change_percents: list,
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redis_cache: Any = None,
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low_volatility_threshold: float = 2.5,
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) -> str:
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"""
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根据本次扫描得到的 24h 涨跌幅列表，计算中位数绝对波动，更新市场节奏并写入 Redis。
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change_percents: 各 symbol 的 24h changePercent 列表（可含正负）
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返回当前写入的 regime：low_volatility 或 normal。
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"""
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if not change_percents:
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return REGIME_NORMAL
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abs_changes = [abs(float(x)) for x in change_percents if x is not None]
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if not abs_changes:
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return REGIME_NORMAL
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abs_changes.sort()
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n = len(abs_changes)
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median_abs = abs_changes[n // 2] if n % 2 else (abs_changes[n // 2 - 1] + abs_changes[n // 2]) / 2
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regime = REGIME_LOW if median_abs < low_volatility_threshold else REGIME_NORMAL
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cache = redis_cache or _get_redis()
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if cache:
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try:
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await cache.connect()
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await cache.set(REDIS_KEY_REGIME, regime, ttl=TTL_SEC)
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await cache.set(REDIS_KEY_UPDATED_AT, str(int(time.time())), ttl=TTL_SEC)
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logger.info(f"市场节奏: median_24h_change={median_abs:.2f}% -> {regime} (阈值={low_volatility_threshold}%)")
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except Exception as e:
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logger.debug("写入 market_regime 失败: %s", e)
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return regime
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async def get_regime(redis_cache: Any = None) -> str:
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"""从 Redis 读取当前市场节奏；无或过期则返回 normal。"""
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cache = redis_cache or _get_redis()
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if not cache:
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return REGIME_NORMAL
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try:
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await cache.connect()
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r = await cache.get(REDIS_KEY_REGIME)
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if r in (REGIME_LOW, REGIME_NORMAL):
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return r
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ts = await cache.get(REDIS_KEY_UPDATED_AT)
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if ts and (time.time() - int(ts)) > TTL_SEC:
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return REGIME_NORMAL
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except Exception as e:
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logger.debug("读取 market_regime 失败: %s", e)
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return REGIME_NORMAL
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def get_effective_config(key: str, default: Any = None, account_id: int = None) -> Any:
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"""
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根据当前市场节奏返回「有效配置」：若开启自动节奏且当前为低波动期，
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则优先返回 LOW_VOLATILITY_<key>，否则返回 TRADING_CONFIG[key]。
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用于仓位、信号门槛、资金费率阈值、时间止损等。
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"""
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try:
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from . import config
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except ImportError:
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import config
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||||
cfg = getattr(config, "TRADING_CONFIG", None) or {}
|
||||
auto = cfg.get("MARKET_REGIME_AUTO")
|
||||
if not auto:
|
||||
return cfg.get(key, default)
|
||||
low_key = f"LOW_VOLATILITY_{key}"
|
||||
if low_key not in cfg:
|
||||
return cfg.get(key, default)
|
||||
# 同步读 Redis 会阻塞；这里用缓存避免每次读 Redis。策略层在每轮扫描后已更新 regime，本进程内可用内存缓存
|
||||
regime = _cached_regime
|
||||
if regime == REGIME_LOW:
|
||||
val = cfg.get(low_key)
|
||||
if val is not None:
|
||||
return val
|
||||
return cfg.get(key, default)
|
||||
|
||||
|
||||
# 进程内缓存：由扫描器在每次 scan 结束后异步更新，get_effective_config 同步读
|
||||
_cached_regime: str = REGIME_NORMAL
|
||||
|
||||
|
||||
def set_cached_regime(regime: str) -> None:
|
||||
global _cached_regime
|
||||
_cached_regime = regime if regime in (REGIME_LOW, REGIME_NORMAL) else REGIME_NORMAL
|
||||
|
||||
|
||||
def get_cached_regime() -> str:
|
||||
return _cached_regime
|
||||
|
|
@ -120,9 +120,9 @@ class MarketScanner:
|
|||
|
||||
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）
|
||||
# 扫描阶段资金费率过滤：排除 |lastFundingRate| 过大的标的；低波动期使用更严阈值（有效配置）
|
||||
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))
|
||||
scan_funding_max_abs = float(config.get_effective_config('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
|
||||
|
|
@ -228,6 +228,21 @@ class MarketScanner:
|
|||
|
||||
self.top_symbols = top_n
|
||||
|
||||
# 市场节奏自动识别：用本次扫描的 24h 涨跌幅中位数判断低波动/正常，写入 Redis 并更新进程内缓存
|
||||
try:
|
||||
from . import market_regime
|
||||
except ImportError:
|
||||
market_regime = None
|
||||
if market_regime and getattr(self.client, "redis_cache", None):
|
||||
# 用过滤后的全部结果计算中位数（样本更多），无则用 top_n
|
||||
source = filtered_results if filtered_results else top_n
|
||||
change_percents = [r["changePercent"] for r in source if r.get("changePercent") is not None]
|
||||
threshold = float(cfg.get("LOW_VOLATILITY_THRESHOLD", config.TRADING_CONFIG.get("LOW_VOLATILITY_THRESHOLD", 2.5)))
|
||||
regime = await market_regime.update_regime_from_scan(
|
||||
change_percents, self.client.redis_cache, low_volatility_threshold=threshold
|
||||
)
|
||||
market_regime.set_cached_regime(regime)
|
||||
|
||||
# ⚠️ 已禁用扫描结果缓存，确保每个账户都使用最新的市场数据
|
||||
# 虽然中间数据（K线、技术指标）已经缓存，但最终扫描结果不缓存
|
||||
# 这样可以避免使用过期的交易对，确保每个账户都基于最新市场数据扫描
|
||||
|
|
|
|||
|
|
@ -3835,6 +3835,32 @@ class PositionManager:
|
|||
except Exception as e:
|
||||
logger.debug(f"从Redis重新加载配置失败: {e}")
|
||||
|
||||
# 时间/无盈利止损：持仓超过 N 小时且盈利未达阈值则平仓（低波动期减少磨单）
|
||||
time_stop_enabled = config.TRADING_CONFIG.get('TIME_STOP_ENABLED', False)
|
||||
if time_stop_enabled:
|
||||
max_hold_hours = float(config.get_effective_config('TIME_STOP_MAX_HOLD_HOURS', 8) or 8)
|
||||
min_pnl_to_hold = float(config.TRADING_CONFIG.get('TIME_STOP_MIN_PNL_PCT_TO_HOLD', 0.0) or 0.0)
|
||||
entry_time = position_info.get('entryTime')
|
||||
hold_hours = 0.0
|
||||
if entry_time:
|
||||
try:
|
||||
if isinstance(entry_time, datetime):
|
||||
hold_hours = (get_beijing_time() - entry_time).total_seconds() / 3600.0
|
||||
elif isinstance(entry_time, str):
|
||||
entry_dt = datetime.strptime(entry_time, '%Y-%m-%d %H:%M:%S')
|
||||
hold_hours = (get_beijing_time() - entry_dt).total_seconds() / 3600.0
|
||||
else:
|
||||
hold_hours = (time.time() - (float(entry_time) if isinstance(entry_time, (int, float)) else 0)) / 3600.0
|
||||
except Exception as e:
|
||||
logger.debug(f"{symbol} 解析 entryTime 失败: {e}")
|
||||
if hold_hours >= max_hold_hours and pnl_percent_margin < min_pnl_to_hold:
|
||||
logger.info(
|
||||
f"{symbol} [时间止损] 持仓 {hold_hours:.1f}h >= {max_hold_hours}h 且盈亏 {pnl_percent_margin:.2f}% < {min_pnl_to_hold}%，平仓"
|
||||
)
|
||||
if await self.close_position(symbol, reason='time_stop'):
|
||||
logger.info(f"{symbol} [时间止损] 平仓成功")
|
||||
return
|
||||
|
||||
# ⚠️ 优化：已完全移除时间锁限制
|
||||
# 理由：1) 止损和止盈都应该立即执行，不受时间限制
|
||||
# 2) 交易所级别的止损/止盈单已提供保护
|
||||
|
|
|
|||
|
|
@ -96,9 +96,10 @@ class RiskManager:
|
|||
margin_value = notional_value / actual_leverage
|
||||
|
||||
# 重要语义：POSITION_PERCENT 均按“保证金占用比例”计算（更符合 stop_loss/take_profit 的 margin 逻辑）
|
||||
max_margin_value = available_balance * config.TRADING_CONFIG['MAX_POSITION_PERCENT']
|
||||
max_position_pct = config.get_effective_config('MAX_POSITION_PERCENT', 0.20)
|
||||
max_margin_value = available_balance * max_position_pct
|
||||
min_margin_value = available_balance * config.TRADING_CONFIG['MIN_POSITION_PERCENT']
|
||||
max_margin_pct = config.TRADING_CONFIG['MAX_POSITION_PERCENT'] * 100
|
||||
max_margin_pct = max_position_pct * 100
|
||||
min_margin_pct = config.TRADING_CONFIG['MIN_POSITION_PERCENT'] * 100
|
||||
|
||||
logger.info(f" 数量: {quantity:.4f}")
|
||||
|
|
@ -593,8 +594,8 @@ class RiskManager:
|
|||
logger.info(f" 名义价值: {notional_value:.2f} USDT")
|
||||
logger.info(f" 保证金: {margin_value:.4f} USDT ({margin_value/total_balance*100:.2f}%)")
|
||||
|
||||
# 检查是否超过最大仓位限制
|
||||
max_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT']
|
||||
# 检查是否超过最大仓位限制（低波动期自动降低单笔上限）
|
||||
max_position_percent = config.get_effective_config('MAX_POSITION_PERCENT', 0.20)
|
||||
|
||||
# ⚠️ 如果启用了固定风险模型，且计算出的仓位合理（风险可控），则放宽 MAX_POSITION_PERCENT 限制
|
||||
# 因为固定风险模型的核心是控制亏损额，而不是仓位大小
|
||||
|
|
@ -640,8 +641,9 @@ class RiskManager:
|
|||
logger.info(f" ✓ 信号强度{signal_strength}分，使用100%仓位（高质量信号）")
|
||||
|
||||
# 根据涨跌幅调整仓位大小（涨跌幅越大，保证金占比可以适当增加）
|
||||
base_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT'] * signal_multiplier
|
||||
max_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT'] * signal_multiplier
|
||||
effective_max = config.get_effective_config('MAX_POSITION_PERCENT', 0.20)
|
||||
base_position_percent = effective_max * signal_multiplier
|
||||
max_position_percent = effective_max * signal_multiplier
|
||||
min_position_percent = config.TRADING_CONFIG['MIN_POSITION_PERCENT']
|
||||
|
||||
# 涨跌幅超过5%时，可以适当增加保证金占比，但必须遵守 MAX_POSITION_PERCENT 上限
|
||||
|
|
@ -717,7 +719,7 @@ class RiskManager:
|
|||
max_position_percent = 0.95
|
||||
max_margin_value = available_balance * 0.95
|
||||
else:
|
||||
max_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT']
|
||||
max_position_percent = config.get_effective_config('MAX_POSITION_PERCENT', 0.20)
|
||||
max_margin_value = available_balance * max_position_percent
|
||||
|
||||
if min_margin_usdt <= max_margin_value:
|
||||
|
|
@ -761,7 +763,7 @@ class RiskManager:
|
|||
quantity = quantity * position_scale
|
||||
final_notional_value = quantity * current_price
|
||||
final_margin = final_notional_value / actual_leverage if actual_leverage > 0 else final_notional_value
|
||||
max_margin_cap = available_balance * config.TRADING_CONFIG.get('MAX_POSITION_PERCENT', 0.08)
|
||||
max_margin_cap = available_balance * config.get_effective_config('MAX_POSITION_PERCENT', 0.20)
|
||||
if final_margin > max_margin_cap:
|
||||
final_margin = max_margin_cap
|
||||
final_notional_value = final_margin * actual_leverage
|
||||
|
|
|
|||
|
|
@ -196,6 +196,10 @@ class TradingStrategy:
|
|||
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
|
||||
# 开仓前流动性检查（可选）：价差/深度不达标则跳过，低量期减少滑点
|
||||
if not await self._check_liquidity_before_entry(symbol, symbol_info.get('price')):
|
||||
logger.info(f"{symbol} 流动性检查未通过，跳过开仓")
|
||||
continue
|
||||
entry_reason = trade_signal['reason']
|
||||
|
||||
signal_strength = trade_signal.get('strength', 0)
|
||||
|
|
@ -430,6 +434,48 @@ class TradingStrategy:
|
|||
logger.debug(f"{symbol} 主动买卖量检查失败（放行）: {e}")
|
||||
return True
|
||||
|
||||
async def _check_liquidity_before_entry(self, symbol: str, current_price: Optional[float] = None) -> bool:
|
||||
"""
|
||||
开仓前流动性检查：盘口价差过大或深度过薄则跳过，减少低量期滑点与冲击成本。
|
||||
依赖 get_depth(symbol, limit=10)，检查买一卖一价差与前 5 档深度（USDT）。
|
||||
"""
|
||||
enabled = bool(config.TRADING_CONFIG.get('LIQUIDITY_CHECK_BEFORE_ENTRY', False))
|
||||
if not enabled:
|
||||
return True
|
||||
try:
|
||||
depth = await self.client.get_depth(symbol, limit=10)
|
||||
if not depth or not isinstance(depth, dict):
|
||||
return True
|
||||
bids = depth.get('bids') or []
|
||||
asks = depth.get('asks') or []
|
||||
if not bids or not asks:
|
||||
logger.info(f"{symbol} 流动性检查：深度为空，跳过开仓")
|
||||
return False
|
||||
bid1_p = float(bids[0][0])
|
||||
ask1_p = float(asks[0][0])
|
||||
mid = (bid1_p + ask1_p) / 2.0
|
||||
if mid <= 0:
|
||||
return True
|
||||
spread_pct = (ask1_p - bid1_p) / mid
|
||||
max_spread = float(config.TRADING_CONFIG.get('LIQUIDITY_MAX_SPREAD_PCT', 0.005))
|
||||
if spread_pct > max_spread:
|
||||
logger.info(f"{symbol} 流动性检查：价差 {spread_pct*100:.3f}% > {max_spread*100:.2f}%，跳过开仓")
|
||||
return False
|
||||
# 前 5 档深度名义价值（USDT）
|
||||
depth_usdt = 0.0
|
||||
for i, (p, q) in enumerate(bids[:5]):
|
||||
depth_usdt += float(p) * float(q)
|
||||
for i, (p, q) in enumerate(asks[:5]):
|
||||
depth_usdt += float(p) * float(q)
|
||||
min_depth = float(config.TRADING_CONFIG.get('LIQUIDITY_MIN_DEPTH_USDT', 30000))
|
||||
if depth_usdt < min_depth:
|
||||
logger.info(f"{symbol} 流动性检查：前5档深度 {depth_usdt:.0f} USDT < {min_depth:.0f}，跳过开仓")
|
||||
return False
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.debug(f"{symbol} 流动性检查失败（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
|
||||
|
|
@ -595,8 +641,8 @@ class TradingStrategy:
|
|||
signal_strength = 0
|
||||
reasons.append("❌ 逆4H趋势，拒绝交易")
|
||||
|
||||
# 判断是否应该交易（信号强度 >= MIN_SIGNAL_STRENGTH 才交易，提高胜率）
|
||||
min_signal_strength = config.TRADING_CONFIG.get('MIN_SIGNAL_STRENGTH', 7)
|
||||
# 判断是否应该交易（信号强度 >= 有效 MIN_SIGNAL_STRENGTH 才交易；低波动期自动提高门槛）
|
||||
min_signal_strength = config.get_effective_config('MIN_SIGNAL_STRENGTH', 7)
|
||||
# 强度上限归一到 0-10，避免出现 12/10 这种误导显示
|
||||
try:
|
||||
signal_strength = max(0, min(int(signal_strength), 10))
|
||||
|
|
|
|||
|
|
@ -1,870 +0,0 @@
|
|||
[
|
||||
{
|
||||
"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,
|
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]
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||||
}
|
||||
]
|
||||
Loading…
Reference in New Issue
Block a user