feat(database): 添加交易统计模型和聚合逻辑
在数据库模型中新增了 `TradeStats` 类，包含交易统计功能，支持按交易对和日期聚合数据。实现了从 `binance_trades` 和 `trades` 表中提取交易数据的逻辑，并创建了相应的统计表 `trade_stats_daily` 和 `trade_stats_time_bucket`。此改动旨在增强交易数据分析能力，为后续的风险控制和决策提供支持。
This commit is contained in:
薇薇安
parent
30c5635570
commit
e2e7effca2
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@ -1245,6 +1245,247 @@ class Trade:
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return False, None
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return False, None
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class TradeStats:
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"""
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交易统计：按交易对+日期、按小时聚合，写入 trade_stats_daily / trade_stats_time_bucket。
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数据源优先 binance_trades（定时同步的币安成交），无表或无数据时回退到 trades。
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"""
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@staticmethod
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def _binance_trades_exists():
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try:
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db.execute_one("SELECT 1 FROM binance_trades LIMIT 1")
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return True
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except Exception:
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return False
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@staticmethod
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def _ensure_tables():
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db.execute_update(
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"""
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CREATE TABLE IF NOT EXISTS trade_stats_daily (
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id BIGINT PRIMARY KEY AUTO_INCREMENT,
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account_id INT NOT NULL,
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trade_date DATE NOT NULL,
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symbol VARCHAR(50) NOT NULL,
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trade_count INT NOT NULL,
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win_count INT NOT NULL,
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loss_count INT NOT NULL,
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gross_pnl DECIMAL(20,8) NOT NULL,
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net_pnl DECIMAL(20,8) NOT NULL,
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total_commission DECIMAL(20,8) NOT NULL,
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avg_pnl_per_trade DECIMAL(20,8) NOT NULL,
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
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updated_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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UNIQUE KEY uniq_account_date_symbol (account_id, trade_date, symbol),
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KEY idx_trade_date (trade_date),
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KEY idx_symbol (symbol)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4;
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"""
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)
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db.execute_update(
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"""
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CREATE TABLE IF NOT EXISTS trade_stats_time_bucket (
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id BIGINT PRIMARY KEY AUTO_INCREMENT,
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account_id INT NOT NULL,
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trade_date DATE NOT NULL,
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hour TINYINT NOT NULL,
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trade_count INT NOT NULL,
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win_count INT NOT NULL,
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loss_count INT NOT NULL,
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gross_pnl DECIMAL(20,8) NOT NULL,
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net_pnl DECIMAL(20,8) NOT NULL,
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total_commission DECIMAL(20,8) NOT NULL,
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
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updated_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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UNIQUE KEY uniq_account_date_hour (account_id, trade_date, hour),
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KEY idx_trade_date (trade_date)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4;
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"""
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)
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@staticmethod
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def _aggregate_from_binance_trades(aid: int, start_ts: int, end_ts: int):
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"""从 binance_trades 聚合，返回 (daily, hourly) 或 (None, None)。"""
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from datetime import datetime, timezone
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start_ms = start_ts * 1000
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end_ms = end_ts * 1000
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try:
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rows = db.execute_query(
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"""SELECT symbol, trade_time, realized_pnl, commission
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FROM binance_trades
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WHERE account_id = %s AND trade_time >= %s AND trade_time <= %s
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LIMIT 100000""",
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(aid, start_ms, end_ms),
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)
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except Exception as e:
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logger.debug(f"[TradeStats] 查询 binance_trades 失败: {e}")
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return None, None
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if not rows:
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return None, None
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def to_date_hour(ts_ms):
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try:
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dt = datetime.fromtimestamp(int(ts_ms) // 1000, timezone.utc).astimezone(BEIJING_TZ)
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return dt.date(), dt.hour
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except Exception:
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return None, None
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daily, hourly = {}, {}
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for r in rows:
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try:
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tm = r.get("trade_time")
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if tm is None:
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continue
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date, hour = to_date_hour(tm)
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if date is None:
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continue
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sym = (r.get("symbol") or "").strip()
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if not sym:
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continue
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pnl = float(r.get("realized_pnl") or 0)
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comm = float(r.get("commission") or 0)
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dkey, hkey = (date, sym), (date, hour)
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if dkey not in daily:
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daily[dkey] = {"trade_count": 0, "win_count": 0, "loss_count": 0, "gross_pnl": 0.0, "total_commission": 0.0}
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daily[dkey]["trade_count"] += 1
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if pnl > 0:
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daily[dkey]["win_count"] += 1
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elif pnl < 0:
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daily[dkey]["loss_count"] += 1
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daily[dkey]["gross_pnl"] += pnl
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daily[dkey]["total_commission"] += comm
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if hkey not in hourly:
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hourly[hkey] = {"trade_count": 0, "win_count": 0, "loss_count": 0, "gross_pnl": 0.0, "total_commission": 0.0}
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hourly[hkey]["trade_count"] += 1
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if pnl > 0:
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hourly[hkey]["win_count"] += 1
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elif pnl < 0:
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hourly[hkey]["loss_count"] += 1
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hourly[hkey]["gross_pnl"] += pnl
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hourly[hkey]["total_commission"] += comm
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except Exception as e:
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logger.debug(f"[TradeStats] 处理行失败: {e}")
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return daily, hourly
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@staticmethod
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def _aggregate_from_trades(aid: int, start_ts: int, end_ts: int):
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"""从 trades 表聚合，返回 (daily, hourly)。"""
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from datetime import datetime, timezone
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try:
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rows = Trade.get_all(
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start_timestamp=start_ts, end_timestamp=end_ts, account_id=aid,
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time_filter="exit", limit=100000, reconciled_only=False,
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)
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except Exception as e:
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logger.debug(f"[TradeStats] Trade.get_all 失败: {e}")
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return {}, {}
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if not rows:
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return {}, {}
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def to_date_hour(ts):
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try:
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dt = datetime.fromtimestamp(int(ts), timezone.utc).astimezone(BEIJING_TZ)
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return dt.date(), dt.hour
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except Exception:
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return None, None
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daily, hourly = {}, {}
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for r in rows:
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try:
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ts = r.get("exit_time") or r.get("entry_time")
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if not ts:
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continue
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date, hour = to_date_hour(ts)
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if date is None:
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continue
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sym = (r.get("symbol") or "").strip()
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if not sym:
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continue
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pnl = float(r.get("pnl") or 0)
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comm = float(r.get("commission") or 0) if "commission" in r else 0
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dkey, hkey = (date, sym), (date, hour)
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if dkey not in daily:
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daily[dkey] = {"trade_count": 0, "win_count": 0, "loss_count": 0, "gross_pnl": 0.0, "total_commission": 0.0}
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daily[dkey]["trade_count"] += 1
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if pnl > 0:
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daily[dkey]["win_count"] += 1
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elif pnl < 0:
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daily[dkey]["loss_count"] += 1
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daily[dkey]["gross_pnl"] += pnl
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daily[dkey]["total_commission"] += comm
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if hkey not in hourly:
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hourly[hkey] = {"trade_count": 0, "win_count": 0, "loss_count": 0, "gross_pnl": 0.0, "total_commission": 0.0}
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hourly[hkey]["trade_count"] += 1
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if pnl > 0:
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hourly[hkey]["win_count"] += 1
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elif pnl < 0:
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hourly[hkey]["loss_count"] += 1
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hourly[hkey]["gross_pnl"] += pnl
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hourly[hkey]["total_commission"] += comm
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except Exception as e:
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logger.debug(f"[TradeStats] 处理 trades 行失败: {e}")
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return daily, hourly
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@staticmethod
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def _upsert_stats(aid: int, daily: dict, hourly: dict):
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"""把 daily/hourly 聚合结果写入 trade_stats_daily / trade_stats_time_bucket。"""
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for (trade_date, symbol), v in daily.items():
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tc = v["trade_count"]
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net = v["gross_pnl"] - v["total_commission"]
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avg = (net / tc) if tc > 0 else 0.0
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try:
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db.execute_update(
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"""INSERT INTO trade_stats_daily (
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account_id, trade_date, symbol, trade_count, win_count, loss_count,
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gross_pnl, net_pnl, total_commission, avg_pnl_per_trade
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) VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s)
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ON DUPLICATE KEY UPDATE
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trade_count = VALUES(trade_count), win_count = VALUES(win_count),
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loss_count = VALUES(loss_count), gross_pnl = VALUES(gross_pnl),
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net_pnl = VALUES(net_pnl), total_commission = VALUES(total_commission),
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avg_pnl_per_trade = VALUES(avg_pnl_per_trade)""",
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(aid, trade_date, symbol, tc, v["win_count"], v["loss_count"],
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v["gross_pnl"], net, v["total_commission"], avg),
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)
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except Exception as e:
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logger.warning(f"[TradeStats] 写入 daily 失败 {symbol} {trade_date}: {e}")
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for (trade_date, hour), v in hourly.items():
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net = v["gross_pnl"] - v["total_commission"]
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try:
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db.execute_update(
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"""INSERT INTO trade_stats_time_bucket (
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account_id, trade_date, hour, trade_count, win_count, loss_count,
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gross_pnl, net_pnl, total_commission
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) VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s)
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ON DUPLICATE KEY UPDATE
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trade_count = VALUES(trade_count), win_count = VALUES(win_count),
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loss_count = VALUES(loss_count), gross_pnl = VALUES(gross_pnl),
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net_pnl = VALUES(net_pnl), total_commission = VALUES(total_commission)""",
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(aid, trade_date, int(hour), v["trade_count"], v["win_count"], v["loss_count"],
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v["gross_pnl"], net, v["total_commission"]),
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)
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except Exception as e:
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logger.warning(f"[TradeStats] 写入 time_bucket 失败 {trade_date} h={hour}: {e}")
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@staticmethod
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def aggregate_recent_days(days: int = 7, account_id: int = None):
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"""聚合最近 N 天到统计表。优先 binance_trades，无数据则用 trades。"""
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if days <= 0:
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return
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TradeStats._ensure_tables()
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aid = int(account_id or DEFAULT_ACCOUNT_ID)
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now_ts = get_beijing_time()
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start_ts = now_ts - int(days) * 86400
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daily, hourly = None, None
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if TradeStats._binance_trades_exists():
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daily, hourly = TradeStats._aggregate_from_binance_trades(aid, start_ts, now_ts)
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if daily is None or hourly is None:
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daily, hourly = TradeStats._aggregate_from_trades(aid, start_ts, now_ts)
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if daily or hourly:
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TradeStats._upsert_stats(aid, daily or {}, hourly or {})
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class AccountSnapshot:
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class AccountSnapshot:
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"""账户快照模型"""
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"""账户快照模型"""
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39
scripts/aggregate_trade_stats.py
Normal file
39
scripts/aggregate_trade_stats.py
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@ -0,0 +1,39 @@
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#!/usr/bin/env python3
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"""
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定时任务：将最近 N 天的交易数据聚合到 trade_stats_daily / trade_stats_time_bucket。
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优先从 binance_trades 读取（需先跑 sync_binance_orders.py），无数据时用 trades 表。
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用法:
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python scripts/aggregate_trade_stats.py # 默认 7 天、默认账号
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python scripts/aggregate_trade_stats.py -d 30 # 最近 30 天
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python scripts/aggregate_trade_stats.py -a 2 # 指定账号
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"""
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import argparse
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import sys
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from pathlib import Path
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proj = Path(__file__).resolve().parent.parent
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if (proj / "backend").exists():
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sys.path.insert(0, str(proj / "backend"))
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sys.path.insert(0, str(proj))
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def main():
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parser = argparse.ArgumentParser(description="聚合交易统计到 trade_stats_* 表")
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parser.add_argument("-a", "--account", type=int, default=None, help="账号 ID，不传则用默认")
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parser.add_argument("-d", "--days", type=int, default=7, help="聚合最近 N 天，默认 7")
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args = parser.parse_args()
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if args.days <= 0:
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print("days 须 > 0")
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sys.exit(1)
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try:
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from database.models import TradeStats
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TradeStats.aggregate_recent_days(days=args.days, account_id=args.account)
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print(f"已聚合最近 {args.days} 天统计 (account_id={args.account or 'default'})")
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except Exception as e:
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print(f"聚合失败: {e}")
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sys.exit(1)
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if __name__ == "__main__":
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main()
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Reference in New Issue
Block a user