462 lines
16 KiB
Python
462 lines
16 KiB
Python
"""
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波动回调入场（Volatility Pullback）
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即时波动模式（推荐）：
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- 大方向：4H 定多空（急跌抄底只要求 4H 向上）
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- 触发：当前进行中的 1H K 线快速下冲/上冲，或 15m 短周期波动
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- 结构位：已完成 1H K 线的前低/前高（非整段区间极值）作入场与止损参考
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"""
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from __future__ import annotations
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import logging
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from typing import Any, Awaitable, Callable, Dict, List, Optional, Tuple
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from . import config
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logger = logging.getLogger(__name__)
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BetaChecker = Callable[[], Awaitable[Dict[str, Any]]]
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def _cfg(key: str, default: Any) -> Any:
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return config.TRADING_CONFIG.get(key, default)
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def _pullback_range_metrics(
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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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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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def judge_trend_1h(
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price: Optional[float],
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ema20: Optional[float],
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ema50: Optional[float],
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) -> str:
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if price is None or ema20 is None:
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return "neutral"
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try:
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p = float(price)
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e20 = float(ema20)
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except (TypeError, ValueError):
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return "neutral"
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e50 = None
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if ema50 is not None:
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try:
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e50 = float(ema50)
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except (TypeError, ValueError):
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e50 = None
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if p >= e20 and (e50 is None or e20 >= e50):
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return "up"
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if p <= e20 and (e50 is None or e20 <= e50):
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return "down"
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return "neutral"
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def _prior_structure_levels(
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klines_1h: List,
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prior_bars: int,
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) -> Optional[Tuple[float, float]]:
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"""取已完成 1H K 线（不含当前进行中一根）的前低/前高。"""
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if not klines_1h or len(klines_1h) < 2:
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return None
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completed = klines_1h[:-1]
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if not completed:
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return None
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slice_bars = completed[-max(1, prior_bars):]
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lows: List[float] = []
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highs: List[float] = []
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for k in slice_bars:
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try:
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lows.append(float(k[3]))
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highs.append(float(k[2]))
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except (IndexError, TypeError, ValueError):
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continue
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if not lows or not highs:
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return None
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return min(lows), max(highs)
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def _forming_1h_flush_pcts(klines_1h: List, current_price: float) -> Optional[Dict[str, float]]:
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"""
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当前进行中 1H K 线内的瞬时波动幅度（相对开盘价）。
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flush_down: open -> min(low, price)
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flush_up: max(high, price) -> open
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"""
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if not klines_1h:
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return None
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forming = klines_1h[-1]
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try:
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o = float(forming[1])
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h = float(forming[2])
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lo = float(forming[3])
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cur = float(current_price)
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except (IndexError, TypeError, ValueError):
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return None
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if o <= 0:
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return None
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trough = min(lo, cur)
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peak = max(h, cur)
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flush_down = max(0.0, (o - trough) / o)
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flush_up = max(0.0, (peak - o) / o)
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return {
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"open": o,
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"high": h,
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"low": lo,
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"flush_down_pct": flush_down,
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"flush_up_pct": flush_up,
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}
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def _price_near_prior_low(price: float, prior_low: float, above_pct: float, below_pct: float) -> bool:
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if prior_low <= 0:
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return False
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upper = prior_low * (1.0 + above_pct)
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lower = prior_low * (1.0 - below_pct)
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return lower <= price <= upper
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def _price_near_prior_high(price: float, prior_high: float, below_pct: float, above_pct: float) -> bool:
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if prior_high <= 0:
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return False
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lower = prior_high * (1.0 - below_pct)
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upper = prior_high * (1.0 + above_pct)
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return lower <= price <= upper
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async def _resolve_live_price(client, symbol: str, symbol_info: Dict) -> Optional[float]:
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for src in (
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lambda: client.get_realtime_price(symbol) if hasattr(client, "get_realtime_price") else None,
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):
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try:
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v = src()
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if v is not None:
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return float(v)
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except Exception:
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pass
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raw = symbol_info.get("ticker_price") or symbol_info.get("price")
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try:
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return float(raw) if raw is not None else None
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except (TypeError, ValueError):
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return None
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async def _period_change(client, symbol: str, interval: str, periods: int) -> Optional[float]:
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try:
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klines = await client.get_klines(symbol, interval, limit=max(periods + 1, 3))
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if not klines or len(klines) < 2:
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return None
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first_close = float(klines[0][4])
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last_close = float(klines[-1][4])
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if first_close <= 0:
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return None
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return (last_close - first_close) / first_close
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except Exception as e:
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logger.debug(f"{symbol} {interval} 涨跌幅获取失败: {e}")
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return None
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async def _fetch_klines(client, symbol: str, interval: str, limit: int) -> List:
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try:
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rows = await client.get_klines(symbol, interval, limit=limit)
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return rows or []
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except Exception as e:
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logger.debug(f"{symbol} 拉取 {interval} K线失败: {e}")
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return []
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def _fail(reason: str, trend_4h: Optional[str]) -> Dict[str, Any]:
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return {
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"should_trade": False,
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"direction": None,
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"reason": reason,
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"strength": 0,
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"trend_4h": trend_4h,
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"trend_1h": None,
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"strategy_type": "volatility_pullback",
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"volatility_pullback": {},
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}
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async def _evaluate_instant_flush(
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client,
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symbol: str,
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symbol_info: Dict,
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trend_4h: Optional[str],
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price_f: float,
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beta_checker: Optional[BetaChecker],
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) -> Dict[str, Any]:
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"""1H 进行中 K 线快速波动 + 前结构低/高点入场（更贴近手动抄底/摸顶）。"""
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t4 = (trend_4h or "neutral").strip().lower()
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if t4 not in ("up", "down"):
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return _fail(f"4H 趋势未明确(4H={t4})，即时模式需 up/down", trend_4h)
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direction = "BUY" if t4 == "up" else "SELL"
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lookback = max(8, int(_cfg("VP_RANGE_LOOKBACK_BARS", 24) or 24))
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prior_bars = max(3, int(_cfg("VP_PRIOR_STRUCTURE_BARS", 12) or 12))
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bars_1h = await _fetch_klines(client, symbol, "1h", lookback + 1)
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if len(bars_1h) < 4:
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return _fail(f"1H K线不足({len(bars_1h)})", trend_4h)
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structure = _prior_structure_levels(bars_1h, prior_bars)
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if structure is None:
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return _fail("无法计算前结构低/高点", trend_4h)
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prior_low, prior_high = structure
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flush = _forming_1h_flush_pcts(bars_1h, price_f)
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if flush is None:
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return _fail("无法解析进行中 1H K线", trend_4h)
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flush_min = float(_cfg("VP_1H_FLUSH_MIN_PCT", 0.005) or 0.005)
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near_above = float(_cfg("VP_NEAR_PRIOR_LOW_PCT", 0.008) or 0.008)
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near_below = float(_cfg("VP_MAX_BELOW_PRIOR_LOW_PCT", 0.004) or 0.004)
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near_high_below = float(_cfg("VP_NEAR_PRIOR_HIGH_PCT", 0.008) or 0.008)
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near_high_above = float(_cfg("VP_MAX_ABOVE_PRIOR_HIGH_PCT", 0.004) or 0.004)
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vol_iv = str(_cfg("VP_VOL_INTERVAL", "15m") or "15m")
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vol_bars = max(2, int(_cfg("VP_VOL_LOOKBACK_BARS", 3) or 3))
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long_min_drop = float(_cfg("VP_LONG_MIN_DROP_PCT", 0.006) or 0.006)
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short_min_rise = float(_cfg("VP_SHORT_MIN_RISE_PCT", 0.006) or 0.006)
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vol_change = await _period_change(client, symbol, vol_iv, vol_bars)
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trend_1h = judge_trend_1h(price_f, symbol_info.get("ema20"), symbol_info.get("ema50"))
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reasons: List[str] = []
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if direction == "BUY":
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flush_ok = flush["flush_down_pct"] >= flush_min
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vol_ok = vol_change is not None and vol_change <= -long_min_drop
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if not flush_ok and not vol_ok:
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fd = flush["flush_down_pct"] * 100
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vc = (vol_change or 0) * 100
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return _fail(
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f"即时波动不足：1H下冲{fd:.2f}%<{flush_min*100:.2f}% 且 "
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f"{vol_iv}跌{vc:.2f}%不足-{long_min_drop*100:.2f}%",
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trend_4h,
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)
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if not _price_near_prior_low(price_f, prior_low, near_above, near_below):
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return _fail(
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f"未贴近前低：现价={price_f:.6f} 前低={prior_low:.6f} "
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f"(允许上方{near_above*100:.1f}%/下方{near_below*100:.1f}%)",
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trend_4h,
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)
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if beta_checker is not None:
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try:
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beta = await beta_checker()
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if beta.get("should_block_buy"):
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return _fail(f"大盘共振过滤：{beta.get('reason', '禁多')}", trend_4h)
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except Exception as e:
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logger.debug(f"{symbol} Beta 检查异常（放行）: {e}")
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if flush_ok:
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reasons.append(f"1H进行中下冲{flush['flush_down_pct']*100:.2f}%")
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if vol_ok:
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reasons.append(f"{vol_iv}跌{(vol_change or 0)*100:.2f}%")
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reasons.append(f"贴近前低{prior_low:.6f}")
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reasons.append(f"4H向上")
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struct_key, struct_val = "prior_structure_low", prior_low
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else:
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flush_ok = flush["flush_up_pct"] >= flush_min
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vol_ok = vol_change is not None and vol_change >= short_min_rise
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if not flush_ok and not vol_ok:
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fu = flush["flush_up_pct"] * 100
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vc = (vol_change or 0) * 100
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return _fail(
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f"即时波动不足：1H上冲{fu:.2f}%<{flush_min*100:.2f}% 且 "
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f"{vol_iv}涨{vc:.2f}%不足{short_min_rise*100:.2f}%",
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trend_4h,
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)
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if not _price_near_prior_high(price_f, prior_high, near_high_below, near_high_above):
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return _fail(
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f"未贴近前高：现价={price_f:.6f} 前高={prior_high:.6f} "
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f"(允许下方{near_high_below*100:.1f}%/上方{near_high_above*100:.1f}%)",
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trend_4h,
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)
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if flush_ok:
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reasons.append(f"1H进行中上冲{flush['flush_up_pct']*100:.2f}%")
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if vol_ok:
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reasons.append(f"{vol_iv}涨{(vol_change or 0)*100:.2f}%")
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reasons.append(f"贴近前高{prior_high:.6f}")
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reasons.append(f"4H向下")
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struct_key, struct_val = "prior_structure_high", prior_high
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strength = int(_cfg("VP_SIGNAL_STRENGTH", 8) or 8)
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strength = max(1, min(10, strength))
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metrics = _pullback_range_metrics(bars_1h, price_f)
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meta = {
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"entry_mode": "instant_flush",
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"trend_1h": trend_1h,
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"prior_structure_low": prior_low,
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"prior_structure_high": prior_high,
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"forming_1h_open": flush.get("open"),
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"forming_1h_flush_down_pct": round(flush["flush_down_pct"] * 100, 4),
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"forming_1h_flush_up_pct": round(flush["flush_up_pct"] * 100, 4),
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"vol_interval": vol_iv,
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"vol_change_pct": round((vol_change or 0) * 100, 4),
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struct_key: struct_val,
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"recent_low": prior_low,
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"recent_high": prior_high,
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}
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if metrics:
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meta["range_pos"] = round(metrics[2], 4)
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return {
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"should_trade": True,
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"direction": direction,
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"reason": "VP即时波动: " + ", ".join(reasons),
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"strength": strength,
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"trend_4h": t4,
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"trend_1h": trend_1h,
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"strategy_type": "volatility_pullback",
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"volatility_pullback": meta,
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}
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async def _evaluate_classic_align(
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client,
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symbol: str,
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symbol_info: Dict,
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trend_4h: Optional[str],
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price_f: float,
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beta_checker: Optional[BetaChecker],
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) -> Dict[str, Any]:
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"""原 4H+1H 同向 + 区间位置 + 15m 波动模式。"""
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trend_1h = judge_trend_1h(price_f, symbol_info.get("ema20"), symbol_info.get("ema50"))
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t4 = (trend_4h or "neutral").strip().lower()
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t1 = trend_1h
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require_align = bool(_cfg("VP_REQUIRE_1H_4H_ALIGN", True))
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if require_align:
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if t4 not in ("up", "down") or t1 not in ("up", "down"):
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return _fail(f"4H/1H 趋势未明确(4H={t4}, 1H={t1})", trend_4h)
|
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if t4 != t1:
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return _fail(f"4H与1H方向不一致(4H={t4}, 1H={t1})", trend_4h)
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direction = "BUY" if t4 == "up" else "SELL"
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else:
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if t4 == "up":
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direction = "BUY"
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elif t4 == "down":
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direction = "SELL"
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else:
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return _fail(f"4H 趋势中性，跳过(4H={t4})", trend_4h)
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|
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range_iv = str(_cfg("VP_RANGE_INTERVAL", "1h") or "1h")
|
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lookback = max(5, int(_cfg("VP_RANGE_LOOKBACK_BARS", 24) or 24))
|
||
min_bars = max(3, int(_cfg("VP_RANGE_MIN_BARS", 5) or 5))
|
||
max_long_pos = float(_cfg("VP_MAX_LONG_IN_RANGE", 0.42) or 0.42)
|
||
min_short_pos = float(_cfg("VP_MIN_SHORT_IN_RANGE", 0.58) or 0.58)
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||
|
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bars_1h = await _fetch_klines(client, symbol, range_iv, lookback)
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metrics = _pullback_range_metrics(bars_1h, price_f)
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if metrics is None or len(bars_1h) < min_bars:
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return _fail(f"1H 区间数据不足({len(bars_1h)}<{min_bars})", trend_4h)
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||
recent_low, recent_high, pos = metrics
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||
|
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vol_iv = str(_cfg("VP_VOL_INTERVAL", "15m") or "15m")
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vol_bars = max(2, int(_cfg("VP_VOL_LOOKBACK_BARS", 5) or 5))
|
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long_min_drop = float(_cfg("VP_LONG_MIN_DROP_PCT", 0.008) or 0.008)
|
||
short_min_rise = float(_cfg("VP_SHORT_MIN_RISE_PCT", 0.008) or 0.008)
|
||
|
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vol_change = await _period_change(client, symbol, vol_iv, vol_bars)
|
||
if vol_change is None:
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return _fail(f"{vol_iv} 波动数据不可用", trend_4h)
|
||
|
||
reasons: List[str] = []
|
||
if direction == "BUY":
|
||
if pos > max_long_pos:
|
||
return _fail(
|
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f"1H 区间位置={pos:.2f} > 做多上限{max_long_pos:.2f}",
|
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trend_4h,
|
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)
|
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if vol_change > -long_min_drop:
|
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return _fail(
|
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f"{vol_iv}×{vol_bars} 跌幅不足：{vol_change*100:.2f}%",
|
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trend_4h,
|
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)
|
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if beta_checker is not None:
|
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try:
|
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beta = await beta_checker()
|
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if beta.get("should_block_buy"):
|
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return _fail(f"大盘共振过滤：{beta.get('reason', '禁多')}", trend_4h)
|
||
except Exception as e:
|
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logger.debug(f"{symbol} Beta 检查异常（放行）: {e}")
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reasons.extend([f"4H/1H同向多", f"1H区间pos={pos:.2f}", f"{vol_iv}跌{vol_change*100:.2f}%"])
|
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struct_key, struct_val = "recent_low", recent_low
|
||
else:
|
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if pos < min_short_pos:
|
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return _fail(f"1H 区间位置={pos:.2f} < 做空下限{min_short_pos:.2f}", trend_4h)
|
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if vol_change < short_min_rise:
|
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return _fail(f"{vol_iv}×{vol_bars} 涨幅不足：{vol_change*100:.2f}%", trend_4h)
|
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reasons.extend([f"4H/1H同向空", f"1H区间pos={pos:.2f}", f"{vol_iv}涨{vol_change*100:.2f}%"])
|
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struct_key, struct_val = "recent_high", recent_high
|
||
|
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strength = max(1, min(10, int(_cfg("VP_SIGNAL_STRENGTH", 8) or 8)))
|
||
meta = {
|
||
"entry_mode": "classic_align",
|
||
"trend_1h": t1,
|
||
"range_interval": range_iv,
|
||
"range_pos": round(pos, 4),
|
||
"recent_low": recent_low,
|
||
"recent_high": recent_high,
|
||
"vol_interval": vol_iv,
|
||
"vol_change_pct": round(vol_change * 100, 4),
|
||
struct_key: struct_val,
|
||
}
|
||
|
||
return {
|
||
"should_trade": True,
|
||
"direction": direction,
|
||
"reason": "VP波动回调: " + ", ".join(reasons),
|
||
"strength": strength,
|
||
"trend_4h": t4,
|
||
"trend_1h": t1,
|
||
"strategy_type": "volatility_pullback",
|
||
"volatility_pullback": meta,
|
||
}
|
||
|
||
|
||
async def evaluate_volatility_pullback(
|
||
client,
|
||
symbol: str,
|
||
symbol_info: Dict,
|
||
trend_4h: Optional[str],
|
||
beta_checker: Optional[BetaChecker] = None,
|
||
) -> Dict[str, Any]:
|
||
if not bool(_cfg("VOLATILITY_PULLBACK_ENABLED", False)):
|
||
return _fail("波动回调策略未启用", trend_4h)
|
||
|
||
price_f = await _resolve_live_price(client, symbol, symbol_info)
|
||
if not price_f or price_f <= 0:
|
||
return _fail("无法获取有效价格", trend_4h)
|
||
|
||
if bool(_cfg("VP_INSTANT_FLUSH_ENABLED", True)):
|
||
return await _evaluate_instant_flush(
|
||
client, symbol, symbol_info, trend_4h, price_f, beta_checker
|
||
)
|
||
return await _evaluate_classic_align(
|
||
client, symbol, symbol_info, trend_4h, price_f, beta_checker
|
||
)
|