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薇薇安
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@ -966,6 +966,13 @@ class ConfigManager:
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'TREND_STATE_TTL_SEC': eff_get('TREND_STATE_TTL_SEC', 3600),
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'RECO_USE_TREND_ENTRY_FILTER': eff_get('RECO_USE_TREND_ENTRY_FILTER', True),
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'RECO_MAX_TREND_MOVE_BEFORE_ENTRY': eff_get('RECO_MAX_TREND_MOVE_BEFORE_ENTRY', 0.04),
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# 回撤/区间入场（前低前高）
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'ENTRY_PULLBACK_FILTER_ENABLED': eff_get('ENTRY_PULLBACK_FILTER_ENABLED', False),
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'ENTRY_PULLBACK_INTERVAL': eff_get('ENTRY_PULLBACK_INTERVAL', None),
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'ENTRY_PULLBACK_LOOKBACK_BARS': eff_get('ENTRY_PULLBACK_LOOKBACK_BARS', 24),
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'ENTRY_PULLBACK_MIN_BARS': eff_get('ENTRY_PULLBACK_MIN_BARS', 5),
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'ENTRY_PULLBACK_MAX_LONG_IN_RANGE': eff_get('ENTRY_PULLBACK_MAX_LONG_IN_RANGE', 0.62),
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'ENTRY_PULLBACK_MIN_SHORT_IN_RANGE': eff_get('ENTRY_PULLBACK_MIN_SHORT_IN_RANGE', 0.38),
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# 当前交易预设（让 trading_system 能知道是哪种模式）
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'TRADING_PROFILE': profile,
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@ -363,6 +363,16 @@ DEFAULT_TRADING_CONFIG = {
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# 推荐系统使用的最大允许趋势幅度（相对于趋势信号价），默认与自动交易相同或略微更严格
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'RECO_MAX_TREND_MOVE_BEFORE_ENTRY': 0.04,
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# ===== 回撤/区间入场过滤（参考近N根K线前低、前高，减少买在区间顶部、卖在区间底部）=====
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# 与 USE_TREND_ENTRY_FILTER（相对「信号价」的追价幅度）互补：本组用 K 线区间衡量是否已跑到局部极值附近。
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'ENTRY_PULLBACK_FILTER_ENABLED': False, # True 启用；建议先 True 观察日志中 [回撤过滤] 跳过比例再调阈值
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'ENTRY_PULLBACK_INTERVAL': None, # None=沿用 ENTRY_INTERVAL（默认1h）；可改为 '15m' 等更敏感周期
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'ENTRY_PULLBACK_LOOKBACK_BARS': 24, # 统计区间用的 K 线根数（需 >= MIN_BARS）
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'ENTRY_PULLBACK_MIN_BARS': 5, # 至少多少根有效 K 才启用过滤，不足则跳过本过滤
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# 现价在 [区间低,区间高] 中的相对位置 pos∈[0,1]：0=贴前低，1=贴前高
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'ENTRY_PULLBACK_MAX_LONG_IN_RANGE': 0.62, # 做多：pos 超过此值则不开（默认拒绝最上约 38% 区域）
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'ENTRY_PULLBACK_MIN_SHORT_IN_RANGE': 0.38, # 做空：pos 低于此值则不开（默认拒绝最下约 38% 区域）
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# ===== 智能入场（方案C）=====
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# 根治方案：默认关闭。关闭后回归“纯限价单模式”（不追价/不市价兜底/未成交撤单跳过）
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'SMART_ENTRY_ENABLED': True, # 开启智能入场，提高成交率
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@ -8,7 +8,7 @@ import random
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import time
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import aiohttp
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from pathlib import Path
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from typing import Dict, List, Optional
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from typing import Dict, List, Optional, Tuple
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from datetime import datetime
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try:
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from .binance_client import BinanceClient, AlgoOrderPositionUnavailableError
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@ -149,6 +149,46 @@ except Exception:
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get_balance_from_cache = lambda: None
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def _pullback_range_metrics_from_klines(
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klines: Optional[List],
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current_price: float,
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) -> Optional[Tuple[float, float, float]]:
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"""
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用近若干根 K 线的最高价/最低价构成区间，衡量当前价在区间内的相对位置。
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返回 (recent_low, recent_high, position_01)，其中 position_01∈[0,1]：
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- 0 表示贴在区间下沿（接近「前低」一侧）
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- 1 表示贴在区间上沿（接近「前高」一侧）
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多单若 position_01 过大，说明价格已跑到区间顶部，容易「一回撤就扫损」；
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空单若 position_01 过小，同理接近区间下沿追空风险大。
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"""
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if not klines or current_price is None:
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return None
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try:
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cur = float(current_price)
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except (TypeError, ValueError):
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return None
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if cur <= 0:
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return None
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highs: List[float] = []
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lows: List[float] = []
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for k in klines:
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try:
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highs.append(float(k[2]))
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lows.append(float(k[3]))
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except (IndexError, TypeError, ValueError):
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continue
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if len(highs) < 2:
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return None
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hi = max(highs)
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lo = min(lows)
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if hi <= lo:
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return None
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pos = (cur - lo) / (hi - lo)
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return (lo, hi, pos)
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class PositionManager:
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"""仓位管理类"""
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@ -424,6 +464,59 @@ class PositionManager:
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return None
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except Exception as e:
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logger.debug(f"{symbol} 趋势入场过滤时出错（忽略，按正常逻辑继续）: {e}")
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# ===== 回撤/区间入场过滤（参考近 N 根 K 线的前低/前高，避免买在区间顶部、卖在区间底部）=====
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try:
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pb_enabled = bool(config.TRADING_CONFIG.get("ENTRY_PULLBACK_FILTER_ENABLED", False))
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if pb_enabled:
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min_bars = max(3, int(config.TRADING_CONFIG.get("ENTRY_PULLBACK_MIN_BARS", 5) or 5))
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lookback = max(min_bars, int(config.TRADING_CONFIG.get("ENTRY_PULLBACK_LOOKBACK_BARS", 24) or 24))
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interval_pb = config.TRADING_CONFIG.get("ENTRY_PULLBACK_INTERVAL") or config.TRADING_CONFIG.get(
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"ENTRY_INTERVAL", "1h"
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)
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max_long_pos = float(config.TRADING_CONFIG.get("ENTRY_PULLBACK_MAX_LONG_IN_RANGE", 0.62) or 0.62)
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min_short_pos = float(config.TRADING_CONFIG.get("ENTRY_PULLBACK_MIN_SHORT_IN_RANGE", 0.38) or 0.38)
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max_long_pos = min(1.0, max(0.0, max_long_pos))
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min_short_pos = min(1.0, max(0.0, min_short_pos))
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if min_short_pos > max_long_pos:
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min_short_pos, max_long_pos = max_long_pos, min_short_pos
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rt = None
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try:
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rt = self.client.get_realtime_price(symbol)
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except Exception:
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rt = None
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cur_pb = float(rt or estimated_entry_price)
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bars_pb = klines if klines and len(klines) >= min_bars else None
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if not bars_pb:
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try:
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fetched = await self.client.get_klines(
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symbol=symbol, interval=str(interval_pb), limit=lookback
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)
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bars_pb = fetched if fetched and len(fetched) >= min_bars else None
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except Exception as e:
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logger.debug(f"{symbol} 回撤过滤拉取K线失败（跳过该过滤）: {e}")
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bars_pb = None
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metrics = _pullback_range_metrics_from_klines(bars_pb, cur_pb)
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if metrics is not None:
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lo_pb, hi_pb, pos_pb = metrics
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es = estimated_side.upper()
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if es == "BUY" and pos_pb > max_long_pos:
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logger.info(
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f"{symbol} [回撤过滤] 做多跳过：现价={cur_pb:.6f} 在近{len(bars_pb)}根{interval_pb}区间"
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f"[{lo_pb:.6f},{hi_pb:.6f}] 中位置={pos_pb:.2f} > 上限{max_long_pos:.2f}（接近区间上沿/前高，易回撤扫损）"
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)
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return None
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if es == "SELL" and pos_pb < min_short_pos:
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logger.info(
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f"{symbol} [回撤过滤] 做空跳过：现价={cur_pb:.6f} 在近{len(bars_pb)}根{interval_pb}区间"
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f"[{lo_pb:.6f},{hi_pb:.6f}] 中位置={pos_pb:.2f} < 下限{min_short_pos:.2f}（接近区间下沿/前低，易反弹扫损）"
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)
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return None
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except Exception as e:
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logger.debug(f"{symbol} 回撤/区间入场过滤异常（忽略，继续开仓流程）: {e}")
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# 估算止损价格（用于固定风险计算）
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estimated_stop_loss = None
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