48c3f946cc
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。
123 lines
4.5 KiB
Python
123 lines
4.5 KiB
Python
"""
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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 {}
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auto = cfg.get("MARKET_REGIME_AUTO")
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if not auto:
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return cfg.get(key, default)
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low_key = f"LOW_VOLATILITY_{key}"
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if low_key not in cfg:
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return cfg.get(key, default)
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# 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
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regime = _cached_regime
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if regime == REGIME_LOW:
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val = cfg.get(low_key)
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if val is not None:
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return val
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return cfg.get(key, default)
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# 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
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_cached_regime: str = REGIME_NORMAL
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def set_cached_regime(regime: str) -> None:
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global _cached_regime
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_cached_regime = regime if regime in (REGIME_LOW, REGIME_NORMAL) else REGIME_NORMAL
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def get_cached_regime() -> str:
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return _cached_regime
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