d7ccbe38e4
在持仓管理中，新增 `_get_sltp_from_exchange` 方法以从币安获取当前的止损和止盈价格，确保在重启后不覆盖已有的保护。同时，优化了止损和止盈价格的设置逻辑，优先使用从交易所获取的值，提升风险控制能力和策略的灵活性。这一改动旨在增强系统的稳定性与用户友好性，确保交易策略的有效性。
4532 lines
279 KiB
Python
4532 lines
279 KiB
Python
"""
|
||
仓位管理模块 - 管理持仓和订单
|
||
"""
|
||
import asyncio
|
||
import json
|
||
import logging
|
||
import random
|
||
import time
|
||
import aiohttp
|
||
from pathlib import Path
|
||
from typing import Dict, List, Optional
|
||
from datetime import datetime
|
||
try:
|
||
from .binance_client import BinanceClient, AlgoOrderPositionUnavailableError
|
||
from .risk_manager import RiskManager
|
||
from . import config
|
||
except ImportError:
|
||
from binance_client import BinanceClient, AlgoOrderPositionUnavailableError
|
||
from risk_manager import RiskManager
|
||
import config
|
||
|
||
logger = logging.getLogger(__name__)
|
||
|
||
# 尝试导入数据库模型（如果可用）
|
||
DB_AVAILABLE = False
|
||
Trade = None
|
||
get_beijing_time = None
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||
try:
|
||
import sys
|
||
from pathlib import Path
|
||
project_root = Path(__file__).parent.parent
|
||
backend_path = project_root / 'backend'
|
||
if backend_path.exists():
|
||
sys.path.insert(0, str(backend_path))
|
||
from database.models import Trade, get_beijing_time
|
||
DB_AVAILABLE = True
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||
logger.info("✓ 数据库模型导入成功，交易记录将保存到数据库")
|
||
else:
|
||
logger.warning("⚠ backend目录不存在，无法使用数据库功能")
|
||
DB_AVAILABLE = False
|
||
except ImportError as e:
|
||
logger.warning(f"⚠ 无法导入数据库模型: {e}")
|
||
logger.warning(" 交易记录将不会保存到数据库")
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||
DB_AVAILABLE = False
|
||
except Exception as e:
|
||
logger.warning(f"⚠ 数据库初始化失败: {e}")
|
||
logger.warning(" 交易记录将不会保存到数据库")
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DB_AVAILABLE = False
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||
|
||
# 如果没有导入get_beijing_time，创建一个本地版本
|
||
if get_beijing_time is None:
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from datetime import datetime, timezone, timedelta
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BEIJING_TZ = timezone(timedelta(hours=8))
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def get_beijing_time():
|
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"""获取当前北京时间（UTC+8）"""
|
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return datetime.now(BEIJING_TZ).replace(tzinfo=None)
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||
|
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# 落库失败独立日志：币安已成交但未写入 DB 时写入此文件，便于排查与对账（不依赖 DB/Redis）
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_FAILURE_LOG_DIR = None
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||
_FAILURE_LOG_PATH = None
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||
def _get_db_failure_log_path():
|
||
global _FAILURE_LOG_DIR, _FAILURE_LOG_PATH
|
||
if _FAILURE_LOG_PATH is not None:
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||
return _FAILURE_LOG_PATH
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try:
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root = Path(__file__).parent.parent
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||
_FAILURE_LOG_DIR = root / "logs"
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_FAILURE_LOG_DIR.mkdir(parents=True, exist_ok=True)
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||
_FAILURE_LOG_PATH = _FAILURE_LOG_DIR / "trade_db_failures.log"
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return _FAILURE_LOG_PATH
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except Exception:
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return None
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||
|
||
def _log_trade_db_failure(symbol, entry_order_id, side, quantity, entry_price, account_id, reason, error_type=None, error_message=None):
|
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"""将「成交但落库失败」记录到独立日志文件（一行 JSON），便于 grep/脚本统计，不依赖 DB/Redis。"""
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path = _get_db_failure_log_path()
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if not path:
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return
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try:
|
||
rec = {
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"ts": datetime.utcnow().isoformat() + "Z",
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"symbol": symbol,
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"entry_order_id": entry_order_id,
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"side": side,
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"quantity": quantity,
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"entry_price": entry_price,
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||
"account_id": account_id,
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"reason": reason,
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||
}
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if error_type:
|
||
rec["error_type"] = error_type
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||
if error_message:
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rec["error_message"] = (str(error_message) or "")[:500]
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with open(path, "a", encoding="utf-8") as f:
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f.write(json.dumps(rec, ensure_ascii=False) + "\n")
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except Exception as e:
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logger.warning(f"写入落库失败日志失败: {e}")
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||
|
||
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# User Data Stream 缓存（持仓/余额优先读 WS，减少 REST）
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try:
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from .user_data_stream import get_stream_instance, get_positions_from_cache, get_balance_from_cache
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except Exception:
|
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try:
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from user_data_stream import get_stream_instance, get_positions_from_cache, get_balance_from_cache
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except Exception:
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get_stream_instance = lambda: None
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get_positions_from_cache = lambda min_notional=1.0: []
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get_balance_from_cache = lambda: None
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||
|
||
|
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class PositionManager:
|
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"""仓位管理类"""
|
||
|
||
def __init__(self, client: BinanceClient, risk_manager: RiskManager, account_id: int = None):
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"""
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初始化仓位管理器
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||
|
||
Args:
|
||
client: 币安客户端
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||
risk_manager: 风险管理器
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||
account_id: 账户ID（默认从环境变量或配置获取）
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"""
|
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self.client = client
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||
self.risk_manager = risk_manager
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||
|
||
# 确定 account_id
|
||
if account_id is not None:
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self.account_id = int(account_id)
|
||
else:
|
||
# 尝试从环境变量获取
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import os
|
||
try:
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self.account_id = int(os.getenv("ATS_ACCOUNT_ID") or os.getenv("ACCOUNT_ID") or 1)
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||
except:
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self.account_id = 1
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|
||
self.active_positions: Dict[str, Dict] = {}
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self._monitor_tasks: Dict[str, asyncio.Task] = {} # WebSocket监控任务字典
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self._monitoring_enabled = True # 是否启用实时监控
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self._pending_entry_orders: Dict[str, Dict] = {} # 未成交的入场订单（避免重复挂单）
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self._last_entry_attempt_ms: Dict[str, int] = {} # 每个symbol的最近一次尝试（冷却/去抖）
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# 自动平仓去抖/限流（避免止损触发后反复下单/刷屏）
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self._last_auto_close_attempt_ms: Dict[str, int] = {}
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||
self._last_auto_close_fail_log_ms: Dict[str, int] = {}
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||
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||
async def _get_open_positions(self, force_rest: bool = False) -> List[Dict]:
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"""优先使用 User Data Stream 持仓缓存（Redis），无缓存或未启动时走 REST。多账号时必须传 account_id 读对应缓存。"""
|
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if not force_rest and get_stream_instance() is not None:
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min_notional = float(getattr(config, "POSITION_MIN_NOTIONAL_USDT", 1.0) or 1.0)
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redis_cache = getattr(self.client, "redis_cache", None)
|
||
cached = await get_positions_from_cache(min_notional, redis_cache, account_id=self.account_id)
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if cached is not None:
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return cached
|
||
return await self.client.get_open_positions()
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async def _get_account_balance(self) -> Dict:
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"""优先使用 User Data Stream 余额缓存（Redis），无缓存时走 REST。"""
|
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if get_stream_instance() is not None:
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redis_cache = getattr(self.client, "redis_cache", None)
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bal = await get_balance_from_cache(redis_cache)
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if bal is not None:
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||
return bal
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||
return await self.client.get_account_balance()
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||
@staticmethod
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def _pct_like_to_ratio(v: float) -> float:
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"""
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将“看起来像百分比”的值转换为比例（0~1）。
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兼容两种来源：
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- 前端/后端按“比例”存储：0.006 表示 0.6%
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- 历史/默认值按“百分比数值”存储：0.6 表示 0.6%
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经验规则：
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- v > 1: 认为是 60/100 这种百分数，除以100
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- 0.05 < v <= 1: 也更可能是“0.6% 这种写法”，除以100
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- v <= 0.05: 更可能已经是比例（<=5%）
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"""
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try:
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x = float(v or 0.0)
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except Exception:
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x = 0.0
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if x <= 0:
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return 0.0
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||
if x > 1.0:
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return x / 100.0
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if x > 0.05:
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return x / 100.0
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return x
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|
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def _calc_limit_entry_price(self, current_price: float, side: str, offset_ratio: float) -> float:
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"""根据当前价与偏移比例，计算限价入场价（BUY: 下方回调；SELL: 上方回调）"""
|
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try:
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cp = float(current_price)
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except Exception:
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cp = 0.0
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try:
|
||
off = float(offset_ratio or 0.0)
|
||
except Exception:
|
||
off = 0.0
|
||
if cp <= 0:
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||
return 0.0
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||
if (side or "").upper() == "BUY":
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||
return cp * (1 - off)
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||
return cp * (1 + off)
|
||
|
||
async def _wait_for_order_filled(
|
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self,
|
||
symbol: str,
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||
order_id: int,
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timeout_sec: int = 30,
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||
poll_sec: float = 1.0,
|
||
) -> Dict:
|
||
"""
|
||
等待订单成交（FILLED），返回：
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{ ok, status, avg_price, executed_qty, raw }
|
||
"""
|
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deadline = time.time() + max(1, int(timeout_sec or 1))
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||
last_status = None
|
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while time.time() < deadline:
|
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try:
|
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info = await self.client.client.futures_get_order(symbol=symbol, orderId=order_id, recvWindow=20000)
|
||
status = info.get("status")
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||
last_status = status
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if status == "FILLED":
|
||
avg_price = float(info.get("avgPrice", 0) or 0) or float(info.get("price", 0) or 0)
|
||
executed_qty = float(info.get("executedQty", 0) or 0)
|
||
return {"ok": True, "status": status, "avg_price": avg_price, "executed_qty": executed_qty, "raw": info}
|
||
if status in ("CANCELED", "REJECTED", "EXPIRED"):
|
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return {"ok": False, "status": status, "avg_price": 0, "executed_qty": float(info.get("executedQty", 0) or 0), "raw": info}
|
||
except Exception:
|
||
# 忽略单次失败，继续轮询
|
||
pass
|
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await asyncio.sleep(max(0.2, float(poll_sec or 1.0)))
|
||
return {"ok": False, "status": last_status or "TIMEOUT", "avg_price": 0, "executed_qty": 0, "raw": None}
|
||
|
||
async def open_position(
|
||
self,
|
||
symbol: str,
|
||
change_percent: float,
|
||
leverage: int = 10,
|
||
trade_direction: Optional[str] = None,
|
||
entry_reason: str = '',
|
||
signal_strength: Optional[int] = None,
|
||
market_regime: Optional[str] = None,
|
||
trend_4h: Optional[str] = None,
|
||
atr: Optional[float] = None,
|
||
klines: Optional[List] = None,
|
||
bollinger: Optional[Dict] = None,
|
||
entry_context: Optional[Dict] = None,
|
||
) -> Optional[Dict]:
|
||
"""
|
||
开仓
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
change_percent: 涨跌幅百分比
|
||
leverage: 杠杆倍数
|
||
|
||
Returns:
|
||
订单信息，失败返回None
|
||
"""
|
||
try:
|
||
# 0) 防止同一 symbol 重复挂入场单/快速重复尝试（去抖 + 冷却）
|
||
now_ms = int(time.time() * 1000)
|
||
|
||
# ⚠️ 关键修复：检查是否已经在持仓中（防止重复开仓）
|
||
if symbol in self.active_positions:
|
||
logger.info(f"{symbol} [入场] 已在持仓中 (active_positions)，跳过重复开仓")
|
||
return None
|
||
|
||
cooldown_sec = int(config.TRADING_CONFIG.get("ENTRY_SYMBOL_COOLDOWN_SEC", 120) or 0)
|
||
last_ms = self._last_entry_attempt_ms.get(symbol)
|
||
if last_ms and cooldown_sec > 0 and now_ms - last_ms < cooldown_sec * 1000:
|
||
logger.info(f"{symbol} [入场] 冷却中（{cooldown_sec}s），跳过本次自动开仓")
|
||
return None
|
||
|
||
pending = self._pending_entry_orders.get(symbol)
|
||
if pending and pending.get("order_id"):
|
||
logger.info(f"{symbol} [入场] 已有未完成入场订单(orderId={pending.get('order_id')})，跳过重复开仓")
|
||
return None
|
||
|
||
# 标记本次尝试（无论最终是否成交，都避免短时间内反复开仓/挂单）
|
||
self._last_entry_attempt_ms[symbol] = now_ms
|
||
|
||
# 判断是否应该交易
|
||
if not await self.risk_manager.should_trade(symbol, change_percent):
|
||
return None
|
||
|
||
# 设置杠杆（确保为 int，避免动态杠杆传入 float 导致 API/range 报错）
|
||
actual_leverage = await self.client.set_leverage(symbol, int(leverage))
|
||
|
||
if actual_leverage <= 0:
|
||
logger.error(f"{symbol} 无法设置有效杠杆，跳过开仓")
|
||
return None
|
||
|
||
# 使用实际生效的杠杆（可能被降级）
|
||
if actual_leverage != int(leverage):
|
||
logger.warning(f"{symbol} 杠杆被调整: {int(leverage)}x -> {actual_leverage}x")
|
||
leverage = actual_leverage
|
||
|
||
# 计算仓位大小（传入实际使用的杠杆）
|
||
# ⚠️ 优化：先估算止损价格，用于固定风险百分比计算
|
||
logger.info(f"开始为 {symbol} 计算仓位大小...")
|
||
|
||
# 获取当前价格用于估算止损
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
if not ticker:
|
||
return None
|
||
estimated_entry_price = ticker['price']
|
||
estimated_side = trade_direction if trade_direction else ('BUY' if change_percent > 0 else 'SELL')
|
||
|
||
# ===== 趋势入场过滤（防止在趋势尾部追价）=====
|
||
try:
|
||
use_trend_filter = bool(config.TRADING_CONFIG.get("USE_TREND_ENTRY_FILTER", False))
|
||
if use_trend_filter and getattr(self.client, "redis_cache", None):
|
||
trend_state_key = f"trend_state:{symbol}"
|
||
trend_state = await self.client.redis_cache.get(trend_state_key)
|
||
|
||
if trend_state:
|
||
trend_dir = (trend_state.get("direction") or "").upper()
|
||
signal_price = float(trend_state.get("signal_price") or 0) or None
|
||
|
||
if signal_price and trend_dir in ("BUY", "SELL"):
|
||
# 使用更实时的价格（如有），否则使用估算价
|
||
realtime_price = None
|
||
try:
|
||
realtime_price = self.client.get_realtime_price(symbol)
|
||
except Exception:
|
||
realtime_price = None
|
||
current_price = float(realtime_price or estimated_entry_price)
|
||
|
||
max_move = float(config.TRADING_CONFIG.get("MAX_TREND_MOVE_BEFORE_ENTRY", 0.05) or 0.05)
|
||
|
||
too_late = False
|
||
move_pct = 0.0
|
||
|
||
if trend_dir == "BUY":
|
||
# 做多：如果当前价相比信号价已经上涨超过阈值，认为追在高位
|
||
if current_price > signal_price:
|
||
move_pct = (current_price - signal_price) / signal_price
|
||
if move_pct > max_move:
|
||
too_late = True
|
||
elif trend_dir == "SELL":
|
||
# 做空：如果当前价相比信号价已经下跌超过阈值，认为追在低位
|
||
if current_price < signal_price:
|
||
move_pct = (signal_price - current_price) / signal_price
|
||
if move_pct > max_move:
|
||
too_late = True
|
||
|
||
# 只有当当前入场方向与趋势方向一致时，才应用“太晚不追”规则
|
||
if estimated_side.upper() == trend_dir and too_late:
|
||
logger.info(
|
||
f"{symbol} [入场过滤] 趋势方向={trend_dir}, 信号价={signal_price:.6f}, "
|
||
f"当前价={current_price:.6f}, 累计趋势幅度={move_pct*100:.2f}%>允许上限={max_move*100:.2f}%，"
|
||
f"认为本轮趋势入场时机已错过，跳过自动开仓"
|
||
)
|
||
return None
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 趋势入场过滤时出错（忽略，按正常逻辑继续）: {e}")
|
||
|
||
# 估算止损价格（用于固定风险计算）
|
||
estimated_stop_loss = None
|
||
if atr and atr > 0:
|
||
atr_multiplier = config.TRADING_CONFIG.get('ATR_STOP_LOSS_MULTIPLIER', 2.5) # 默认2.5，放宽止损提升胜率
|
||
if estimated_side == 'BUY':
|
||
estimated_stop_loss = estimated_entry_price - (atr * atr_multiplier)
|
||
else: # SELL
|
||
estimated_stop_loss = estimated_entry_price + (atr * atr_multiplier)
|
||
|
||
quantity, adjusted_leverage = await self.risk_manager.calculate_position_size(
|
||
symbol, change_percent, leverage=leverage,
|
||
entry_price=estimated_entry_price,
|
||
stop_loss_price=estimated_stop_loss,
|
||
side=estimated_side,
|
||
atr=atr,
|
||
signal_strength=signal_strength
|
||
)
|
||
|
||
# 如果 RiskManager 建议了更低的安全杠杆，则应用它
|
||
if quantity is not None and adjusted_leverage is not None and adjusted_leverage != leverage:
|
||
logger.info(f"{symbol} 风险控制调整杠杆: {leverage}x -> {adjusted_leverage}x (适应宽止损)")
|
||
try:
|
||
new_lev = await self.client.set_leverage(symbol, int(adjusted_leverage))
|
||
if new_lev > 0:
|
||
leverage = new_lev
|
||
else:
|
||
logger.warning(f"{symbol} 调整杠杆失败，保持 {leverage}x")
|
||
except Exception as e:
|
||
logger.error(f"{symbol} 调整杠杆失败: {e}，将使用原杠杆 {leverage}x 继续")
|
||
|
||
if quantity is None:
|
||
logger.warning(f"❌ {symbol} 仓位计算失败，跳过交易")
|
||
logger.warning(f" 可能原因:")
|
||
logger.warning(f" 1. 账户余额不足")
|
||
logger.warning(f" 2. 单笔仓位超过限制")
|
||
logger.warning(f" 3. 总仓位超过限制")
|
||
logger.warning(f" 4. 无法获取价格数据")
|
||
logger.warning(f" 5. 保证金不足最小要求（MIN_MARGIN_USDT）")
|
||
logger.warning(f" 6. 名义价值小于0.2 USDT（避免无意义的小单子）")
|
||
return None
|
||
|
||
logger.info(f"✓ {symbol} 仓位计算成功: {quantity:.4f}")
|
||
|
||
# 确定交易方向（优先使用技术指标信号）
|
||
if trade_direction:
|
||
side = trade_direction
|
||
else:
|
||
side = 'BUY' if change_percent > 0 else 'SELL'
|
||
|
||
# 获取当前价格
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
if not ticker:
|
||
return None
|
||
|
||
entry_price = ticker['price']
|
||
|
||
# 获取K线数据用于动态止损计算（从symbol_info中获取，如果可用）
|
||
klines = None
|
||
bollinger = None
|
||
if 'klines' in locals() or 'symbol_info' in locals():
|
||
# 尝试从外部传入的symbol_info获取
|
||
pass
|
||
|
||
# 计算基于支撑/阻力的动态止损
|
||
# 优先使用技术结构（支撑/阻力位、布林带）
|
||
# 如果无法获取K线数据，回退到ATR或固定止损
|
||
if not klines:
|
||
# 如果没有传入K线数据，尝试获取
|
||
try:
|
||
primary_interval = config.TRADING_CONFIG.get('PRIMARY_INTERVAL', '1h')
|
||
klines_data = await self.client.get_klines(
|
||
symbol=symbol,
|
||
interval=primary_interval,
|
||
limit=20 # 获取最近20根K线用于计算支撑/阻力
|
||
)
|
||
klines = klines_data if len(klines_data) >= 10 else None
|
||
except Exception as e:
|
||
logger.debug(f"获取K线数据失败，使用固定止损: {e}")
|
||
klines = None
|
||
|
||
# 在开仓前从Redis重新加载配置，确保使用最新配置（包括ATR参数）
|
||
# 从Redis读取最新配置（轻量级，即时生效）
|
||
try:
|
||
if config._config_manager:
|
||
config._config_manager.reload_from_redis()
|
||
config.TRADING_CONFIG = config._get_trading_config()
|
||
logger.debug(f"{symbol} 开仓前已从Redis重新加载配置")
|
||
except Exception as e:
|
||
logger.debug(f"从Redis重新加载配置失败: {e}")
|
||
|
||
# ===== 智能入场（方案C：趋势强更少错过，震荡更保守）=====
|
||
smart_entry_enabled = bool(config.TRADING_CONFIG.get("SMART_ENTRY_ENABLED", True))
|
||
# LIMIT_ORDER_OFFSET_PCT：兼容“比例/百分比”两种存储方式
|
||
limit_offset_ratio = self._pct_like_to_ratio(float(config.TRADING_CONFIG.get("LIMIT_ORDER_OFFSET_PCT", 0.5) or 0.0))
|
||
|
||
# 规则：趋势(trending) 或 4H共振明显 + 强信号 -> 允许“超时后市价兜底（有追价上限）”
|
||
mr = (market_regime or "").strip().lower() if market_regime else ""
|
||
t4 = (trend_4h or "").strip().lower() if trend_4h else ""
|
||
ss = int(signal_strength) if signal_strength is not None else 0
|
||
|
||
allow_market_fallback = False
|
||
if mr == "trending":
|
||
allow_market_fallback = True
|
||
if ss >= int(config.TRADING_CONFIG.get("SMART_ENTRY_STRONG_SIGNAL", 8) or 8) and t4 in ("up", "down"):
|
||
allow_market_fallback = True
|
||
|
||
# 追价上限：超过就不追，宁愿错过（避免回到“无脑追价高频打损”）
|
||
drift_ratio_trending = self._pct_like_to_ratio(float(config.TRADING_CONFIG.get("ENTRY_MAX_DRIFT_PCT_TRENDING", 0.6) or 0.6))
|
||
drift_ratio_ranging = self._pct_like_to_ratio(float(config.TRADING_CONFIG.get("ENTRY_MAX_DRIFT_PCT_RANGING", 0.3) or 0.3))
|
||
max_drift_ratio = drift_ratio_trending if allow_market_fallback else drift_ratio_ranging
|
||
|
||
# 总等待/追价参数
|
||
timeout_sec = int(config.TRADING_CONFIG.get("ENTRY_TIMEOUT_SEC", 180) or 180)
|
||
step_wait_sec = int(config.TRADING_CONFIG.get("ENTRY_STEP_WAIT_SEC", 15) or 15)
|
||
chase_steps = int(config.TRADING_CONFIG.get("ENTRY_CHASE_MAX_STEPS", 4) or 4)
|
||
market_fallback_after_sec = int(config.TRADING_CONFIG.get("ENTRY_MARKET_FALLBACK_AFTER_SEC", 45) or 45)
|
||
|
||
# 初始限价（回调入场）
|
||
current_px = float(entry_price)
|
||
initial_limit = self._calc_limit_entry_price(current_px, side, limit_offset_ratio)
|
||
if initial_limit <= 0:
|
||
return None
|
||
|
||
order = None
|
||
entry_order_id = None
|
||
order_status = None
|
||
actual_entry_price = None
|
||
filled_quantity = 0.0
|
||
entry_mode_used = "limit-only" if not smart_entry_enabled else ("limit+fallback" if allow_market_fallback else "limit-chase")
|
||
|
||
# 生成 client_order_id：先落库 pending，WS/对账 按 client_order_id 匹配完善，确保限价/条件单事后成交也能对应 DB
|
||
prefix = (config.TRADING_CONFIG.get("SYSTEM_ORDER_ID_PREFIX") or "").strip()
|
||
prefix = prefix or "ats_" # 无配置时用默认前缀，保证系统单始终有 pending 可对账
|
||
client_order_id = f"{prefix}_{int(time.time() * 1000)}_{random.randint(0, 0xFFFF):04x}"[:36]
|
||
pending_trade_id = None
|
||
if DB_AVAILABLE and Trade:
|
||
try:
|
||
pending_trade_id = Trade.create(
|
||
symbol=symbol,
|
||
side=side,
|
||
quantity=quantity,
|
||
entry_price=entry_price,
|
||
leverage=leverage,
|
||
entry_reason=entry_reason,
|
||
entry_order_id=None,
|
||
client_order_id=client_order_id,
|
||
stop_loss_price=None,
|
||
take_profit_price=None,
|
||
take_profit_1=None,
|
||
take_profit_2=None,
|
||
atr=atr,
|
||
notional_usdt=None,
|
||
margin_usdt=None,
|
||
account_id=self.account_id,
|
||
entry_context=entry_context,
|
||
status="pending",
|
||
)
|
||
logger.debug(f"{symbol} 已落库 pending 记录 (client_order_id={client_order_id!r}, id={pending_trade_id})")
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} 创建 pending 记录失败: {e}")
|
||
pending_trade_id = None
|
||
|
||
if not smart_entry_enabled:
|
||
# 根治方案：关闭智能入场后，回归“纯限价单模式”
|
||
# - 不追价
|
||
# - 不市价兜底
|
||
# - 未在确认时间内成交则撤单并跳过（属于策略未触发入场，不是系统错误）
|
||
confirm_timeout = int(config.TRADING_CONFIG.get("ENTRY_CONFIRM_TIMEOUT_SEC", 30) or 30)
|
||
logger.info(
|
||
f"{symbol} [纯限价入场] side={side} | 限价={initial_limit:.6f} (offset={limit_offset_ratio*100:.2f}%) | "
|
||
f"确认超时={confirm_timeout}s（未成交将撤单跳过）"
|
||
)
|
||
order = await self.client.place_order(
|
||
symbol=symbol, side=side, quantity=quantity, order_type="LIMIT", price=initial_limit,
|
||
new_client_order_id=client_order_id
|
||
)
|
||
if not order:
|
||
if pending_trade_id and DB_AVAILABLE and Trade:
|
||
Trade.update_status(pending_trade_id, "cancelled")
|
||
return None
|
||
entry_order_id = order.get("orderId")
|
||
if entry_order_id:
|
||
self._pending_entry_orders[symbol] = {"order_id": entry_order_id, "created_at_ms": int(time.time() * 1000)}
|
||
else:
|
||
# 1) 先挂限价单
|
||
logger.info(
|
||
f"{symbol} [智能入场] 模式={entry_mode_used} | side={side} | "
|
||
f"marketRegime={market_regime} trend_4h={trend_4h} strength={ss}/10 | "
|
||
f"初始限价={initial_limit:.6f} (offset={limit_offset_ratio*100:.2f}%) | "
|
||
f"追价上限={max_drift_ratio*100:.2f}%"
|
||
)
|
||
|
||
order = await self.client.place_order(
|
||
symbol=symbol, side=side, quantity=quantity, order_type="LIMIT", price=initial_limit,
|
||
new_client_order_id=client_order_id
|
||
)
|
||
if not order:
|
||
if pending_trade_id and DB_AVAILABLE and Trade:
|
||
Trade.update_status(pending_trade_id, "cancelled")
|
||
return None
|
||
entry_order_id = order.get("orderId")
|
||
if entry_order_id:
|
||
self._pending_entry_orders[symbol] = {"order_id": entry_order_id, "created_at_ms": int(time.time() * 1000)}
|
||
|
||
start_ts = time.time()
|
||
# 2) 分步等待 + 追价（逐步减少 offset），并在趋势强时允许市价兜底（有追价上限）
|
||
for step in range(max(1, chase_steps)):
|
||
# 先等待一段时间看是否成交
|
||
wait_res = await self._wait_for_order_filled(symbol, int(entry_order_id), timeout_sec=step_wait_sec, poll_sec=1.0)
|
||
order_status = wait_res.get("status")
|
||
if wait_res.get("ok"):
|
||
actual_entry_price = float(wait_res.get("avg_price") or 0)
|
||
filled_quantity = float(wait_res.get("executed_qty") or 0)
|
||
break
|
||
|
||
# 未成交：如果超时太久且允许市价兜底，检查追价上限后转市价
|
||
elapsed = time.time() - start_ts
|
||
ticker2 = await self.client.get_ticker_24h(symbol)
|
||
cur2 = float(ticker2.get("price")) if ticker2 else current_px
|
||
drift_ratio = 0.0
|
||
try:
|
||
base = float(initial_limit) if float(initial_limit) > 0 else cur2
|
||
drift_ratio = abs((cur2 - base) / base)
|
||
except Exception:
|
||
drift_ratio = 0.0
|
||
|
||
if allow_market_fallback and elapsed >= market_fallback_after_sec:
|
||
if drift_ratio <= max_drift_ratio:
|
||
try:
|
||
await self.client.cancel_order(symbol, int(entry_order_id))
|
||
except Exception:
|
||
pass
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
logger.info(f"{symbol} [智能入场] 限价超时，且偏离{drift_ratio*100:.2f}%≤{max_drift_ratio*100:.2f}%，转市价兜底")
|
||
order = await self.client.place_order(
|
||
symbol=symbol, side=side, quantity=quantity, order_type="MARKET",
|
||
new_client_order_id=client_order_id
|
||
)
|
||
# 关键：转市价后必须更新 entry_order_id，否则后续会继续查询“已取消的旧限价单”，导致误判 CANCELED
|
||
try:
|
||
entry_order_id = order.get("orderId") if isinstance(order, dict) else None
|
||
except Exception:
|
||
entry_order_id = None
|
||
break
|
||
else:
|
||
logger.info(f"{symbol} [智能入场] 限价超时，但偏离{drift_ratio*100:.2f}%>{max_drift_ratio*100:.2f}%，取消并放弃本次交易")
|
||
try:
|
||
await self.client.cancel_order(symbol, int(entry_order_id))
|
||
except Exception:
|
||
pass
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
return None
|
||
|
||
# 震荡/不允许市价兜底：尝试追价（减小 offset -> 更靠近当前价），但不突破追价上限
|
||
try:
|
||
await self.client.cancel_order(symbol, int(entry_order_id))
|
||
except Exception:
|
||
pass
|
||
|
||
# offset 逐步减少到 0（越追越接近当前价）
|
||
step_ratio = (step + 1) / max(1, chase_steps)
|
||
cur_offset_ratio = max(0.0, limit_offset_ratio * (1.0 - step_ratio))
|
||
desired = self._calc_limit_entry_price(cur2, side, cur_offset_ratio)
|
||
if side == "BUY":
|
||
cap = initial_limit * (1 + max_drift_ratio)
|
||
desired = min(desired, cap)
|
||
else:
|
||
cap = initial_limit * (1 - max_drift_ratio)
|
||
desired = max(desired, cap)
|
||
|
||
if desired <= 0:
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
return None
|
||
|
||
logger.info(
|
||
f"{symbol} [智能入场] 追价 step={step+1}/{chase_steps} | 当前价={cur2:.6f} | "
|
||
f"offset={cur_offset_ratio*100:.3f}% -> 限价={desired:.6f} | 偏离={drift_ratio*100:.2f}%"
|
||
)
|
||
order = await self.client.place_order(
|
||
symbol=symbol, side=side, quantity=quantity, order_type="LIMIT", price=desired,
|
||
new_client_order_id=client_order_id
|
||
)
|
||
if not order:
|
||
if pending_trade_id and DB_AVAILABLE and Trade:
|
||
Trade.update_status(pending_trade_id, "cancelled")
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
return None
|
||
entry_order_id = order.get("orderId")
|
||
if entry_order_id:
|
||
self._pending_entry_orders[symbol] = {"order_id": entry_order_id, "created_at_ms": int(time.time() * 1000)}
|
||
|
||
# 如果是市价兜底或最终限价成交，这里统一继续后续流程（下面会再查实际成交）
|
||
|
||
# ===== 统一处理：确认订单成交并获取实际成交价/数量 =====
|
||
if order:
|
||
if not entry_order_id:
|
||
entry_order_id = order.get("orderId")
|
||
if entry_order_id:
|
||
logger.info(f"{symbol} [开仓] 币安订单号: {entry_order_id}")
|
||
|
||
# 等待订单成交，检查订单状态并获取实际成交价格
|
||
# 只有在订单真正成交（FILLED）后才保存到数据库
|
||
if entry_order_id:
|
||
# 智能入场的限价订单可能需要更长等待，这里给一个总等待兜底（默认 30s）
|
||
confirm_timeout = int(config.TRADING_CONFIG.get("ENTRY_CONFIRM_TIMEOUT_SEC", 30) or 30)
|
||
res = await self._wait_for_order_filled(symbol, int(entry_order_id), timeout_sec=confirm_timeout, poll_sec=1.0)
|
||
order_status = res.get("status")
|
||
if res.get("ok"):
|
||
actual_entry_price = float(res.get("avg_price") or 0)
|
||
filled_quantity = float(res.get("executed_qty") or 0)
|
||
else:
|
||
# 未成交（NEW/超时/CANCELED 等）：撤单。撤单后校验是否已成交（竞态：撤单瞬间订单可能已成交）
|
||
logger.warning(f"{symbol} [开仓] 未成交，状态: {order_status}，撤销挂单")
|
||
try:
|
||
await self.client.cancel_order(symbol, int(entry_order_id))
|
||
except Exception:
|
||
pass
|
||
# 正向流程加固：撤单后校验，若已成交则继续流程
|
||
recheck = await self._wait_for_order_filled(symbol, int(entry_order_id), timeout_sec=5, poll_sec=0.5)
|
||
if recheck.get("ok"):
|
||
actual_entry_price = float(recheck.get("avg_price") or 0)
|
||
filled_quantity = float(recheck.get("executed_qty") or 0)
|
||
logger.info(f"{symbol} [开仓] 撤单后发现已成交，继续完善记录 (成交价={actual_entry_price:.4f} 数量={filled_quantity:.4f})")
|
||
else:
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
return None
|
||
|
||
if not actual_entry_price or actual_entry_price <= 0:
|
||
logger.error(f"{symbol} [开仓] ❌ 无法获取实际成交价格，不保存到数据库")
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
return None
|
||
|
||
if filled_quantity <= 0:
|
||
logger.error(f"{symbol} [开仓] ❌ 成交数量为0，不保存到数据库")
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
return None
|
||
|
||
# 使用实际成交价格和数量
|
||
original_entry_price = entry_price
|
||
entry_price = actual_entry_price
|
||
quantity = filled_quantity # 使用实际成交数量
|
||
logger.info(f"{symbol} [开仓] ✓ 使用实际成交价格: {entry_price:.4f} USDT (下单时价格: {original_entry_price:.4f}), 成交数量: {quantity:.4f}")
|
||
|
||
# 成交后清理 pending
|
||
self._pending_entry_orders.pop(symbol, None)
|
||
|
||
# ===== 成交后基于“实际成交价/数量”重新计算止损止盈（修复限价/滑点导致的偏差）=====
|
||
stop_loss_pct_margin = config.TRADING_CONFIG.get('STOP_LOSS_PERCENT', 0.03)
|
||
# ⚠️ 关键修复：配置值格式转换（兼容百分比形式和比例形式）
|
||
if stop_loss_pct_margin is not None and stop_loss_pct_margin > 1:
|
||
stop_loss_pct_margin = stop_loss_pct_margin / 100.0
|
||
stop_loss_price = self.risk_manager.get_stop_loss_price(
|
||
entry_price, side, quantity, leverage,
|
||
stop_loss_pct=stop_loss_pct_margin,
|
||
klines=klines,
|
||
bollinger=bollinger,
|
||
atr=atr
|
||
)
|
||
|
||
# ⚠️ 2026-01-29优化：计算止损距离用于盈亏比止盈计算（确保达到3:1目标）
|
||
# 实际止损距离（用于 TP1 最小盈亏比，必须与真实挂单一致，避免 SL 被保证金封顶后 TP 仍按 ATR 拉很远）
|
||
actual_stop_distance = (entry_price - stop_loss_price) if side == 'BUY' else (stop_loss_price - entry_price)
|
||
stop_distance_for_tp = actual_stop_distance
|
||
# 如果ATR可用，使用ATR计算更准确的止损距离（仅用于 get_take_profit_price 的盈亏比，不用于 TP1 的 MIN_RR_FOR_TP1）
|
||
if atr is not None and atr > 0 and entry_price > 0:
|
||
atr_percent = atr / entry_price
|
||
atr_multiplier = config.TRADING_CONFIG.get('ATR_STOP_LOSS_MULTIPLIER', 3.0) # 2026-02-12优化：默认3.0，避免噪音止损
|
||
stop_distance_for_tp = entry_price * atr_percent * atr_multiplier
|
||
|
||
take_profit_pct_margin = config.TRADING_CONFIG.get('TAKE_PROFIT_PERCENT', 0.30)
|
||
# ⚠️ 关键修复：配置值格式转换（兼容百分比形式和比例形式）
|
||
if take_profit_pct_margin is not None and take_profit_pct_margin > 1:
|
||
take_profit_pct_margin = take_profit_pct_margin / 100.0
|
||
if take_profit_pct_margin is None or take_profit_pct_margin == 0:
|
||
take_profit_pct_margin = float(stop_loss_pct_margin or 0) * 3.0
|
||
take_profit_price = self.risk_manager.get_take_profit_price(
|
||
entry_price, side, quantity, leverage,
|
||
take_profit_pct=take_profit_pct_margin,
|
||
atr=atr,
|
||
stop_distance=stop_distance_for_tp
|
||
)
|
||
|
||
# 分步止盈（基于“实际成交价 + 已计算的止损/止盈”）
|
||
# 交易规模：名义/保证金（用于统计总交易量与UI展示）
|
||
try:
|
||
notional_usdt = float(entry_price) * float(quantity)
|
||
except Exception:
|
||
notional_usdt = None
|
||
try:
|
||
margin_usdt = (float(notional_usdt) / float(leverage)) if notional_usdt is not None and float(leverage) > 0 else notional_usdt
|
||
except Exception:
|
||
margin_usdt = None
|
||
|
||
# 分步止盈（基于"实际成交价 + 已计算的止损/止盈"）
|
||
# ⚠️ 第一目标使用 TAKE_PROFIT_1_PERCENT（默认15%），与第二目标 TAKE_PROFIT_PERCENT 分离，提高整体盈亏比
|
||
# 第一目标和触发条件必须一致，都使用 TAKE_PROFIT_1_PERCENT
|
||
take_profit_1_pct_margin = config.TRADING_CONFIG.get('TAKE_PROFIT_1_PERCENT', 0.20)
|
||
# 兼容百分比形式和比例形式
|
||
if take_profit_1_pct_margin is not None and take_profit_1_pct_margin > 1:
|
||
take_profit_1_pct_margin = take_profit_1_pct_margin / 100.0
|
||
|
||
# 计算基于保证金的止盈距离
|
||
tp1_distance = 0.0
|
||
if margin_usdt and margin_usdt > 0 and quantity > 0:
|
||
take_profit_1_amount = margin_usdt * take_profit_1_pct_margin
|
||
tp1_distance = take_profit_1_amount / quantity
|
||
|
||
# ⚠️ 2026-02-10优化：确保TP1至少有 1.2倍 的盈亏比 (相对于【实际】止损距离)
|
||
# 使用 actual_stop_distance（真实挂单距离），避免 SL 被保证金封顶后仍用 ATR 宽距离推高 TP 导致 4% SL vs 62% TP 的畸形
|
||
if actual_stop_distance is not None and actual_stop_distance > 0:
|
||
min_rr_for_tp1 = config.TRADING_CONFIG.get('MIN_RR_FOR_TP1', 1.5)
|
||
min_tp1_distance = actual_stop_distance * min_rr_for_tp1
|
||
if min_tp1_distance > tp1_distance:
|
||
logger.info(f"{symbol} [优化] TP1距离 ({tp1_distance:.4f}) 小于 {min_rr_for_tp1}倍实际止损距离 ({min_tp1_distance:.4f})，已自动调整以保证盈亏比")
|
||
tp1_distance = min_tp1_distance
|
||
|
||
# ⚠️ 2026-02-12优化：确保TP1至少覆盖双向手续费（避免微利单实际上亏损）
|
||
# 手续费率估算：0.05% (Taker) * 2 (双向) * 1.5 (安全系数) = 0.15% 价格变动
|
||
min_fee_distance = entry_price * 0.0015
|
||
if min_fee_distance > tp1_distance:
|
||
logger.info(f"{symbol} [优化] TP1距离 ({tp1_distance:.4f}) 小于 手续费磨损距离 ({min_fee_distance:.4f})，已自动调整以覆盖成本")
|
||
tp1_distance = min_fee_distance
|
||
|
||
# ⚠️ 止盈上限：TP1 不超过配置的止盈比例，避免“4% 止损 vs 62% 止盈”的畸形（与 USE_MARGIN_CAP_FOR_TP 一致）
|
||
if margin_usdt and margin_usdt > 0 and quantity > 0:
|
||
tp1_max_pct = config.TRADING_CONFIG.get('TAKE_PROFIT_1_PERCENT', 0.20)
|
||
if tp1_max_pct is not None and tp1_max_pct > 1:
|
||
tp1_max_pct = tp1_max_pct / 100.0
|
||
tp1_max_pct = (tp1_max_pct or 0.20) * 1.5 # 允许第一目标最多约 30% 保证金
|
||
tp1_max_amount = margin_usdt * tp1_max_pct
|
||
tp1_max_distance = tp1_max_amount / quantity
|
||
if tp1_distance > tp1_max_distance:
|
||
logger.info(f"{symbol} [优化] TP1距离 ({tp1_distance:.4f}) 超过止盈上限 ({tp1_max_distance:.4f}，约{tp1_max_pct*100:.0f}% margin)，已封顶")
|
||
tp1_distance = tp1_max_distance
|
||
|
||
if tp1_distance > 0:
|
||
if side == 'BUY':
|
||
take_profit_1 = entry_price + tp1_distance
|
||
else:
|
||
take_profit_1 = entry_price - tp1_distance
|
||
else:
|
||
if side == 'BUY':
|
||
take_profit_1 = entry_price + (entry_price - stop_loss_price)
|
||
else:
|
||
take_profit_1 = entry_price - (stop_loss_price - entry_price)
|
||
take_profit_2 = take_profit_price
|
||
if take_profit_1 is not None and take_profit_2 is not None:
|
||
if side == 'BUY':
|
||
if take_profit_1 >= take_profit_2 and take_profit_2 > entry_price:
|
||
closer = min(take_profit_1, take_profit_2)
|
||
further = max(take_profit_1, take_profit_2)
|
||
if closer > entry_price:
|
||
take_profit_1 = closer
|
||
take_profit_2 = further
|
||
else:
|
||
if take_profit_1 <= take_profit_2 and take_profit_2 < entry_price:
|
||
closer = max(take_profit_1, take_profit_2)
|
||
further = min(take_profit_1, take_profit_2)
|
||
if closer < entry_price:
|
||
take_profit_1 = closer
|
||
take_profit_2 = further
|
||
|
||
# 记录到数据库：有 pending 则完善（WS 也会按 client_order_id 完善），否则新建
|
||
trade_id = None
|
||
if DB_AVAILABLE and Trade:
|
||
try:
|
||
if client_order_id:
|
||
row = Trade.get_by_client_order_id(client_order_id, self.account_id)
|
||
if row and str(row.get("status")) == "pending":
|
||
ok = Trade.update_pending_to_filled(
|
||
client_order_id, self.account_id,
|
||
entry_order_id, entry_price, quantity
|
||
)
|
||
if ok:
|
||
row = Trade.get_by_client_order_id(client_order_id, self.account_id)
|
||
trade_id = row.get("id") if row else None
|
||
if trade_id:
|
||
Trade.update_open_fields(
|
||
trade_id,
|
||
stop_loss_price=stop_loss_price,
|
||
take_profit_price=take_profit_price,
|
||
take_profit_1=take_profit_1,
|
||
take_profit_2=take_profit_2,
|
||
notional_usdt=notional_usdt,
|
||
margin_usdt=margin_usdt,
|
||
entry_context=entry_context,
|
||
atr=atr,
|
||
)
|
||
logger.info(f"✓ {symbol} 已完善 pending 记录 (ID: {trade_id}, 订单号: {entry_order_id}, 成交价: {entry_price:.4f}, 成交数量: {quantity:.4f})")
|
||
if trade_id is None:
|
||
# 无 pending 或未匹配到：走新建（兜底）
|
||
logger.info(f"正在保存 {symbol} 交易记录到数据库...")
|
||
fallback_client_order_id = (order.get("clientOrderId") if order else None) or client_order_id
|
||
# 如果 REST 已获取到 entry_order_id，直接写入；否则留空，等待 WS 推送或后续同步补全
|
||
trade_id = Trade.create(
|
||
symbol=symbol,
|
||
side=side,
|
||
quantity=quantity,
|
||
entry_price=entry_price,
|
||
leverage=leverage,
|
||
entry_reason=entry_reason,
|
||
entry_order_id=entry_order_id, # REST 已获取则直接写入
|
||
client_order_id=fallback_client_order_id,
|
||
stop_loss_price=stop_loss_price,
|
||
take_profit_price=take_profit_price,
|
||
take_profit_1=take_profit_1,
|
||
take_profit_2=take_profit_2,
|
||
atr=atr,
|
||
notional_usdt=notional_usdt,
|
||
margin_usdt=margin_usdt,
|
||
entry_context=entry_context,
|
||
account_id=self.account_id,
|
||
)
|
||
if entry_order_id:
|
||
logger.info(f"✓ {symbol} 交易记录已保存到数据库 (ID: {trade_id}, 订单号: {entry_order_id}, 成交价: {entry_price:.4f}, 成交数量: {quantity:.4f})")
|
||
else:
|
||
logger.warning(f"⚠ {symbol} 交易记录已保存但 entry_order_id 为空 (ID: {trade_id})，等待 WS 推送或后续同步补全")
|
||
# 如果有 client_order_id，尝试通过 REST 查询订单号补全
|
||
if fallback_client_order_id:
|
||
try:
|
||
# 延迟查询，确保订单已入库
|
||
await asyncio.sleep(1)
|
||
orders = await self.client.client.futures_get_all_orders(
|
||
symbol=symbol, limit=10, recvWindow=10000
|
||
)
|
||
for o in orders or []:
|
||
if str(o.get("clientOrderId", "")).strip() == fallback_client_order_id:
|
||
found_order_id = o.get("orderId")
|
||
if found_order_id:
|
||
Trade.update_entry_order_id(trade_id, found_order_id)
|
||
logger.info(f"✓ {symbol} 已通过 REST 补全 entry_order_id: {found_order_id}")
|
||
break
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} REST 补全 entry_order_id 失败: {e}")
|
||
except Exception as e:
|
||
logger.error(f"❌ 保存交易记录到数据库失败: {e}")
|
||
logger.error(f" 错误类型: {type(e).__name__}")
|
||
import traceback
|
||
logger.error(f" 错误详情:\n{traceback.format_exc()}")
|
||
_log_trade_db_failure(
|
||
symbol=symbol, entry_order_id=entry_order_id, side=side,
|
||
quantity=quantity, entry_price=entry_price, account_id=self.account_id,
|
||
reason="create_exception", error_type=type(e).__name__, error_message=str(e)
|
||
)
|
||
return None
|
||
elif not DB_AVAILABLE:
|
||
logger.debug(f"数据库不可用，跳过保存 {symbol} 交易记录")
|
||
_log_trade_db_failure(
|
||
symbol=symbol, entry_order_id=entry_order_id, side=side,
|
||
quantity=quantity, entry_price=entry_price, account_id=self.account_id,
|
||
reason="DB_AVAILABLE=False"
|
||
)
|
||
elif not Trade:
|
||
logger.warning(f"Trade模型未导入，无法保存 {symbol} 交易记录")
|
||
_log_trade_db_failure(
|
||
symbol=symbol, entry_order_id=entry_order_id, side=side,
|
||
quantity=quantity, entry_price=entry_price, account_id=self.account_id,
|
||
reason="Trade=None"
|
||
)
|
||
|
||
# 记录持仓信息（包含动态止损止盈和分步止盈）
|
||
from datetime import datetime
|
||
position_info = {
|
||
'symbol': symbol,
|
||
'side': side,
|
||
'quantity': quantity,
|
||
'entryPrice': entry_price,
|
||
'changePercent': change_percent,
|
||
'orderId': order.get('orderId'),
|
||
'tradeId': trade_id, # 数据库交易ID
|
||
'stopLoss': stop_loss_price,
|
||
'takeProfit': take_profit_price, # 保留原始止盈价（第二目标）
|
||
'takeProfit1': take_profit_1, # 第一目标（盈亏比1:1，了结50%）
|
||
'takeProfit2': take_profit_2, # 第二目标（原始止盈价，剩余50%）
|
||
'partialProfitTaken': False, # 是否已部分止盈
|
||
'remainingQuantity': quantity, # 剩余仓位数量
|
||
'initialStopLoss': stop_loss_price, # 初始止损（用于移动止损）
|
||
'leverage': leverage,
|
||
'entryReason': entry_reason,
|
||
'entryTime': get_beijing_time(), # 记录入场时间（使用北京时间，用于计算持仓持续时间）
|
||
'strategyType': 'trend_following', # 策略类型（简化后只有趋势跟踪）
|
||
'atr': atr,
|
||
'maxProfit': 0.0, # 记录最大盈利（用于移动止损）
|
||
'trailingStopActivated': False, # 移动止损是否已激活
|
||
'breakevenStopSet': False, # 是否已执行“盈利达阈值后移至保本”
|
||
'account_id': self.account_id
|
||
}
|
||
|
||
self.active_positions[symbol] = position_info
|
||
|
||
logger.info(
|
||
f"开仓成功: {symbol} {side} {quantity} @ {entry_price:.4f} "
|
||
f"(涨跌幅: {change_percent:.2f}%)"
|
||
)
|
||
|
||
# 验证持仓是否真的在币安存在
|
||
try:
|
||
await asyncio.sleep(0.5) # 等待一小段时间让币安更新持仓
|
||
positions = await self._get_open_positions()
|
||
binance_position = next(
|
||
(p for p in positions if p['symbol'] == symbol and float(p.get('positionAmt', 0)) != 0),
|
||
None
|
||
)
|
||
if binance_position:
|
||
logger.info(
|
||
f"{symbol} [开仓验证] ✓ 币安持仓确认: "
|
||
f"数量={float(binance_position.get('positionAmt', 0)):.4f}, "
|
||
f"入场价={float(binance_position.get('entryPrice', 0)):.4f}"
|
||
)
|
||
# 在币安侧挂“止损/止盈保护单”，避免仅依赖本地监控（服务重启/网络波动时更安全）
|
||
try:
|
||
current_mark = None
|
||
try:
|
||
current_mark = float(binance_position.get("markPrice", 0) or 0) or None
|
||
except Exception:
|
||
current_mark = None
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_mark)
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} 挂币安止盈止损失败（不影响持仓监控）: {e}")
|
||
else:
|
||
logger.warning(
|
||
f"{symbol} [开仓验证] ⚠️ 币安账户中没有持仓，可能订单未成交或被立即平仓"
|
||
)
|
||
# 清理本地记录
|
||
if symbol in self.active_positions:
|
||
del self.active_positions[symbol]
|
||
# 如果数据库已保存，标记为取消
|
||
if trade_id and DB_AVAILABLE and Trade:
|
||
try:
|
||
from database.connection import db
|
||
db.execute_update(
|
||
"UPDATE trades SET status = 'cancelled' WHERE id = %s",
|
||
(trade_id,)
|
||
)
|
||
logger.info(f"{symbol} [开仓验证] 已更新数据库状态为 cancelled (ID: {trade_id})")
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} [开仓验证] 更新数据库状态失败: {e}")
|
||
return None
|
||
except Exception as verify_error:
|
||
logger.warning(f"{symbol} [开仓验证] 验证持仓时出错: {verify_error}，继续使用本地记录")
|
||
|
||
# 启动WebSocket实时监控
|
||
if self._monitoring_enabled:
|
||
await self._start_position_monitoring(symbol)
|
||
|
||
# 记录“今日开仓次数”（用于用户风控旋钮 MAX_DAILY_ENTRIES）
|
||
try:
|
||
await self.risk_manager.record_entry(symbol)
|
||
except Exception:
|
||
pass
|
||
|
||
return position_info
|
||
|
||
return None
|
||
|
||
except Exception as e:
|
||
err_msg = str(e).strip() if str(e) else f"{type(e).__name__}(无详情)"
|
||
logger.error(f"开仓失败 {symbol}: {err_msg}", exc_info=True)
|
||
return None
|
||
|
||
async def close_position(self, symbol: str, reason: str = 'manual') -> bool:
|
||
"""
|
||
平仓
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
reason: 平仓原因（manual, stop_loss, take_profit, trailing_stop, sync, take_profit_partial_then_take_profit, take_profit_partial_then_stop, take_profit_partial_then_trailing_stop）
|
||
|
||
Returns:
|
||
是否成功
|
||
"""
|
||
try:
|
||
logger.info(f"{symbol} [平仓] 开始平仓操作 (原因: {reason})")
|
||
|
||
# 先取消币安侧的保护单（避免平仓后残留委托导致反向开仓/误触发）
|
||
try:
|
||
info0 = self.active_positions.get(symbol) if hasattr(self, "active_positions") else None
|
||
if info0 and isinstance(info0, dict):
|
||
for k in ("exchangeSlOrderId", "exchangeTpOrderId"):
|
||
oid = info0.get(k)
|
||
if oid:
|
||
try:
|
||
await self.client.futures_cancel_algo_order(int(oid))
|
||
except Exception:
|
||
pass
|
||
info0.pop("exchangeSlOrderId", None)
|
||
info0.pop("exchangeTpOrderId", None)
|
||
except Exception:
|
||
pass
|
||
|
||
# 获取当前持仓
|
||
positions = await self._get_open_positions()
|
||
position = next(
|
||
(p for p in positions if p['symbol'] == symbol),
|
||
None
|
||
)
|
||
|
||
if not position:
|
||
logger.warning(f"{symbol} [平仓] 币安账户中没有持仓，可能已被平仓")
|
||
# 即使币安没有持仓，也要更新数据库状态
|
||
updated = False
|
||
if DB_AVAILABLE and Trade and symbol in self.active_positions:
|
||
position_info = self.active_positions[symbol]
|
||
trade_id = position_info.get('tradeId')
|
||
if trade_id:
|
||
logger.info(f"{symbol} [平仓] 更新数据库状态为已平仓 (ID: {trade_id})...")
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
exit_price = float(ticker['price']) if ticker else float(position_info['entryPrice'])
|
||
entry_price = float(position_info['entryPrice'])
|
||
quantity = float(position_info['quantity'])
|
||
if position_info['side'] == 'BUY':
|
||
pnl = (exit_price - entry_price) * quantity
|
||
pnl_percent = ((exit_price - entry_price) / entry_price) * 100
|
||
else:
|
||
pnl = (entry_price - exit_price) * quantity
|
||
pnl_percent = ((entry_price - exit_price) / entry_price) * 100
|
||
entry_time = position_info.get('entryTime')
|
||
duration_minutes = None
|
||
if entry_time:
|
||
try:
|
||
if isinstance(entry_time, str):
|
||
entry_dt = datetime.strptime(entry_time, '%Y-%m-%d %H:%M:%S')
|
||
else:
|
||
entry_dt = entry_time
|
||
exit_dt = get_beijing_time()
|
||
duration = exit_dt - entry_dt
|
||
duration_minutes = int(duration.total_seconds() / 60)
|
||
except Exception as e:
|
||
logger.debug(f"计算持仓持续时间失败: {e}")
|
||
strategy_type = position_info.get('strategyType', 'trend_following')
|
||
db_update_retries = 3
|
||
for db_attempt in range(db_update_retries):
|
||
try:
|
||
Trade.update_exit(
|
||
trade_id=trade_id,
|
||
exit_price=exit_price,
|
||
exit_reason=reason,
|
||
pnl=pnl,
|
||
pnl_percent=pnl_percent,
|
||
exit_order_id=None,
|
||
strategy_type=strategy_type,
|
||
duration_minutes=duration_minutes
|
||
)
|
||
logger.info(f"{symbol} [平仓] ✓ 数据库状态已更新")
|
||
updated = True
|
||
break
|
||
except Exception as e:
|
||
err_msg = str(e).strip() or f"{type(e).__name__}"
|
||
if db_attempt < db_update_retries - 1:
|
||
wait_sec = 2
|
||
logger.warning(
|
||
f"{symbol} [平仓] 更新数据库失败 (第 {db_attempt + 1}/{db_update_retries} 次): {err_msg}，"
|
||
f"{wait_sec}秒后重试"
|
||
)
|
||
await asyncio.sleep(wait_sec)
|
||
else:
|
||
logger.error(f"{symbol} [平仓] ❌ 更新数据库状态失败: {err_msg}")
|
||
|
||
# 清理本地记录
|
||
await self._stop_position_monitoring(symbol)
|
||
if symbol in self.active_positions:
|
||
del self.active_positions[symbol]
|
||
|
||
# 如果更新了数据库，返回成功；否则返回失败
|
||
return updated
|
||
|
||
# 确定平仓方向（与开仓相反）
|
||
position_amt = position['positionAmt']
|
||
side = 'SELL' if position_amt > 0 else 'BUY'
|
||
quantity = abs(position_amt)
|
||
position_side = 'LONG' if position_amt > 0 else 'SHORT'
|
||
|
||
# 二次校验：用币安实时持仓数量兜底，避免 reduceOnly 被拒绝（-2022）
|
||
live_amt = await self._get_live_position_amt(symbol, position_side=position_side)
|
||
if live_amt is None or abs(live_amt) <= 0:
|
||
logger.warning(f"{symbol} [平仓] 实时查询到持仓已为0，跳过下单并按已平仓处理")
|
||
# 复用“币安无持仓”的处理逻辑：走上面的分支
|
||
position = None
|
||
# 触发上方逻辑：直接返回 updated/清理
|
||
# 这里简单调用同步函数路径
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
exit_price = float(ticker['price']) if ticker else float(position.get('entryPrice', 0) if position else 0)
|
||
await self._stop_position_monitoring(symbol)
|
||
if symbol in self.active_positions:
|
||
del self.active_positions[symbol]
|
||
logger.info(f"{symbol} [平仓] 已清理本地记录（币安无持仓）")
|
||
return True
|
||
|
||
# 以币安实时持仓数量为准（并向下截断到不超过持仓）
|
||
quantity = min(quantity, abs(live_amt))
|
||
quantity = await self._adjust_close_quantity(symbol, quantity)
|
||
if quantity <= 0:
|
||
logger.warning(f"{symbol} [平仓] 数量调整后为0，跳过下单并清理本地记录")
|
||
await self._stop_position_monitoring(symbol)
|
||
if symbol in self.active_positions:
|
||
del self.active_positions[symbol]
|
||
return True
|
||
|
||
logger.info(
|
||
f"{symbol} [平仓] 下单信息: {side} {quantity:.4f} @ MARKET "
|
||
f"(持仓数量: {position_amt:.4f})"
|
||
)
|
||
|
||
# 平仓（使用 reduceOnly=True 确保只减少持仓，不增加反向持仓）
|
||
try:
|
||
logger.debug(f"{symbol} [平仓] 调用 place_order: {side} {quantity:.4f} @ MARKET (reduceOnly=True)")
|
||
order = await self.client.place_order(
|
||
symbol=symbol,
|
||
side=side,
|
||
quantity=quantity,
|
||
order_type='MARKET',
|
||
reduce_only=True, # 平仓时使用 reduceOnly=True
|
||
position_side=position_side, # 兼容对冲模式（Hedge）：必须指定 LONG/SHORT
|
||
)
|
||
logger.debug(f"{symbol} [平仓] place_order 返回: {order}")
|
||
except Exception as order_error:
|
||
logger.error(f"{symbol} [平仓] ❌ 下单失败: {order_error}")
|
||
logger.error(f" 下单参数: symbol={symbol}, side={side}, quantity={quantity:.4f}, order_type=MARKET")
|
||
logger.error(f" 错误类型: {type(order_error).__name__}")
|
||
import traceback
|
||
logger.error(f" 完整错误堆栈:\n{traceback.format_exc()}")
|
||
raise # 重新抛出异常，让外层捕获
|
||
|
||
if order:
|
||
order_id = order.get('orderId')
|
||
logger.info(f"{symbol} [平仓] ✓ 平仓订单已提交 (订单ID: {order_id})，DB 由 WS ORDER_TRADE_UPDATE 更新")
|
||
# 支付式闭环：平仓数据仅由 WS 推送更新，此处只做本地清理
|
||
await self._stop_position_monitoring(symbol)
|
||
if symbol in self.active_positions:
|
||
del self.active_positions[symbol]
|
||
logger.info(f"{symbol} [平仓] ✓ 平仓完成: {side} {quantity:.4f} (原因: {reason})")
|
||
return True
|
||
else:
|
||
# place_order 返回 None：可能是 -2022（ReduceOnly rejected）等竞态场景
|
||
# 兜底：再查一次实时持仓，如果已经为0，则当作“已平仓”处理，避免刷屏与误判失败
|
||
try:
|
||
live2 = await self._get_live_position_amt(symbol, position_side=position_side)
|
||
except Exception:
|
||
live2 = None
|
||
if live2 is None or abs(live2) <= 0:
|
||
logger.warning(f"{symbol} [平仓] 下单返回None，但实时持仓已为0，按已平仓处理（可能竞态/手动平仓）")
|
||
await self._stop_position_monitoring(symbol)
|
||
if symbol in self.active_positions:
|
||
del self.active_positions[symbol]
|
||
return True
|
||
|
||
logger.error(f"{symbol} [平仓] ❌ 下单返回 None（实时持仓仍存在: {live2}），可能的原因：")
|
||
logger.error(f" 1. ReduceOnly 被拒绝（-2022）但持仓未同步")
|
||
logger.error(f" 2. 数量精度调整后为 0 或负数")
|
||
logger.error(f" 3. 无法获取价格信息")
|
||
logger.error(f" 4. 其他下单错误（已在 place_order 中记录）")
|
||
logger.error(f" 持仓信息: {side} {quantity:.4f} @ MARKET")
|
||
|
||
# 尝试获取更多诊断信息
|
||
try:
|
||
symbol_info = await self.client.get_symbol_info(symbol)
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
if ticker:
|
||
current_price = ticker['price']
|
||
notional_value = quantity * current_price
|
||
min_notional = symbol_info.get('minNotional', 5.0) if symbol_info else 5.0
|
||
logger.error(f" 当前价格: {current_price:.4f} USDT")
|
||
logger.error(f" 订单名义价值: {notional_value:.2f} USDT")
|
||
logger.error(f" 最小名义价值: {min_notional:.2f} USDT")
|
||
if notional_value < min_notional:
|
||
logger.error(f" ⚠ 订单名义价值不足，无法平仓")
|
||
except Exception as diag_error:
|
||
logger.warning(f" 无法获取诊断信息: {diag_error}")
|
||
|
||
return False
|
||
|
||
except Exception as e:
|
||
logger.error(f"{symbol} [平仓] ❌ 平仓失败: {e}")
|
||
logger.error(f" 错误类型: {type(e).__name__}")
|
||
import traceback
|
||
logger.error(f" 完整错误堆栈:\n{traceback.format_exc()}")
|
||
|
||
# 关键：平仓失败时不要盲目清理本地持仓/停止监控，否则会导致“仍有仓位但不再监控/不再自动止损止盈”
|
||
# 仅当确认币安已无持仓（或实时持仓为0）时，才清理本地记录。
|
||
try:
|
||
amt0 = await self._get_live_position_amt(symbol, position_side=None)
|
||
except Exception:
|
||
amt0 = None
|
||
if amt0 is not None and abs(amt0) <= 0:
|
||
try:
|
||
await self._stop_position_monitoring(symbol)
|
||
except Exception:
|
||
pass
|
||
try:
|
||
if symbol in self.active_positions:
|
||
del self.active_positions[symbol]
|
||
except Exception:
|
||
pass
|
||
logger.warning(f"{symbol} [平仓] 异常后检查：币安持仓已为0，已清理本地记录")
|
||
else:
|
||
logger.warning(
|
||
f"{symbol} [平仓] 异常后检查：币安持仓仍可能存在(amt={amt0})，保留本地记录与监控，等待下次同步/重试"
|
||
)
|
||
|
||
return False
|
||
|
||
async def _get_live_position_amt(self, symbol: str, position_side: Optional[str] = None) -> Optional[float]:
|
||
"""
|
||
从币安原始接口读取持仓数量（避免本地状态/缓存不一致导致 reduceOnly 被拒绝）。
|
||
- 单向模式：通常只有一个 net 持仓
|
||
- 对冲模式：可能同时有 LONG/SHORT，两条腿用 positionSide 区分
|
||
"""
|
||
try:
|
||
if not getattr(self.client, "client", None):
|
||
return None
|
||
res = await self.client.client.futures_position_information(symbol=symbol, recvWindow=20000)
|
||
if not isinstance(res, list):
|
||
return None
|
||
ps = (position_side or "").upper()
|
||
nonzero = []
|
||
for p in res:
|
||
if not isinstance(p, dict):
|
||
continue
|
||
try:
|
||
amt = float(p.get("positionAmt", 0))
|
||
except Exception:
|
||
continue
|
||
if abs(amt) <= 0:
|
||
continue
|
||
nonzero.append((amt, p))
|
||
if not nonzero:
|
||
return 0.0
|
||
if ps in ("LONG", "SHORT"):
|
||
for amt, p in nonzero:
|
||
pps = (p.get("positionSide") or "").upper()
|
||
if pps == ps:
|
||
return amt
|
||
# 如果没匹配到 positionSide，退化为按符号推断
|
||
if ps == "LONG":
|
||
cand = next((amt for amt, _ in nonzero if amt > 0), None)
|
||
return cand if cand is not None else 0.0
|
||
if ps == "SHORT":
|
||
cand = next((amt for amt, _ in nonzero if amt < 0), None)
|
||
return cand if cand is not None else 0.0
|
||
# 没提供 position_side：返回净持仓（单向模式）
|
||
return sum([amt for amt, _ in nonzero])
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 读取实时持仓失败: {e}")
|
||
return None
|
||
|
||
async def _adjust_close_quantity(self, symbol: str, quantity: float) -> float:
|
||
"""
|
||
平仓数量调整：只允许向下取整（避免超过持仓导致 reduceOnly 被拒绝）。
|
||
"""
|
||
try:
|
||
symbol_info = await self.client.get_symbol_info(symbol)
|
||
except Exception:
|
||
symbol_info = None
|
||
|
||
try:
|
||
q = float(quantity)
|
||
except Exception:
|
||
return 0.0
|
||
|
||
if not symbol_info:
|
||
return max(0.0, q)
|
||
|
||
try:
|
||
step_size = float(symbol_info.get("stepSize", 0) or 0)
|
||
except Exception:
|
||
step_size = 0.0
|
||
qty_precision = int(symbol_info.get("quantityPrecision", 8) or 8)
|
||
|
||
if step_size and step_size > 0:
|
||
q = float(int(q / step_size)) * step_size
|
||
else:
|
||
q = round(q, qty_precision)
|
||
q = round(q, qty_precision)
|
||
return max(0.0, q)
|
||
|
||
async def _symbol_has_sltp_orders(self, symbol: str) -> bool:
|
||
"""该交易对在交易所是否存在止损/止盈类条件单（用于识别「可能为系统单」的持仓）。"""
|
||
try:
|
||
for o in (await self.client.get_open_orders(symbol)) or []:
|
||
t = str(o.get("type") or "").upper()
|
||
if t in ("STOP_MARKET", "TAKE_PROFIT_MARKET", "STOP", "TAKE_PROFIT"):
|
||
return True
|
||
for o in (await self.client.futures_get_open_algo_orders(symbol, algo_type="CONDITIONAL")) or []:
|
||
t = str(o.get("orderType") or o.get("type") or "").upper()
|
||
if t in ("STOP_MARKET", "TAKE_PROFIT_MARKET", "STOP", "TAKE_PROFIT"):
|
||
return True
|
||
except Exception:
|
||
pass
|
||
return False
|
||
|
||
async def _get_sltp_from_exchange(self, symbol: str, side: str) -> tuple:
|
||
"""从币安条件单读取当前止损价、止盈价，便于重启后不覆盖已有保护。(stop_price, take_profit_price)，缺的为 None。"""
|
||
sl_price, tp_price = None, None
|
||
try:
|
||
for o in (await self.client.get_open_orders(symbol)) or []:
|
||
t = str(o.get("type") or "").upper()
|
||
sp = o.get("stopPrice") or o.get("triggerPrice")
|
||
try:
|
||
p = float(sp) if sp is not None else None
|
||
except (TypeError, ValueError):
|
||
p = None
|
||
if p is None:
|
||
continue
|
||
if t in ("STOP_MARKET", "STOP"):
|
||
sl_price = p
|
||
elif t in ("TAKE_PROFIT_MARKET", "TAKE_PROFIT"):
|
||
tp_price = p
|
||
# 条件单多在 CONDITIONAL 里
|
||
for o in (await self.client.futures_get_open_algo_orders(symbol, algo_type="CONDITIONAL")) or []:
|
||
t = str(o.get("orderType") or o.get("type") or "").upper()
|
||
sp = o.get("stopPrice") or o.get("triggerPrice") or o.get("tp")
|
||
try:
|
||
p = float(sp) if sp is not None else None
|
||
except (TypeError, ValueError):
|
||
p = None
|
||
if p is None:
|
||
continue
|
||
if t in ("STOP_MARKET", "STOP"):
|
||
sl_price = p
|
||
elif t in ("TAKE_PROFIT_MARKET", "TAKE_PROFIT"):
|
||
tp_price = p
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 从交易所读取止损/止盈失败: {e}")
|
||
return (sl_price, tp_price)
|
||
|
||
def _breakeven_stop_price(self, entry_price: float, side: str, fee_buffer_pct: Optional[float] = None) -> float:
|
||
"""含手续费的保本止损价：做多=入场*(1+费率)，做空=入场*(1-费率)，平仓后不亏。"""
|
||
if fee_buffer_pct is None:
|
||
fee_buffer_pct = float(config.TRADING_CONFIG.get("FEE_BUFFER_PCT", 0.0015) or 0.0015)
|
||
if fee_buffer_pct > 0.01:
|
||
fee_buffer_pct = fee_buffer_pct / 100.0
|
||
if side == "BUY":
|
||
return entry_price * (1 + fee_buffer_pct)
|
||
return entry_price * (1 - fee_buffer_pct)
|
||
|
||
def _min_protect_amount_for_fees(self, margin: float, leverage: float) -> float:
|
||
"""移动止损时至少保护的金额（覆盖开平双向手续费，避免“保护”后仍为负）。"""
|
||
lev = max(float(leverage or 10), 1)
|
||
# 双向约 0.05%*2=0.1% 名义 → 保证金上约 0.1%*leverage
|
||
return margin * (0.001 * lev)
|
||
|
||
async def _ensure_exchange_sltp_orders(self, symbol: str, position_info: Dict, current_price: Optional[float] = None) -> None:
|
||
"""
|
||
在币安侧挂止损/止盈保护单（STOP_MARKET + TAKE_PROFIT_MARKET）。
|
||
目的：
|
||
- 服务重启/网络波动时仍有交易所级别保护
|
||
- 用户在币安界面能看到止损/止盈委托
|
||
"""
|
||
try:
|
||
enabled = bool(config.TRADING_CONFIG.get("EXCHANGE_SLTP_ENABLED", True))
|
||
except Exception:
|
||
enabled = True
|
||
if not enabled:
|
||
return
|
||
|
||
if not position_info or not isinstance(position_info, dict):
|
||
return
|
||
|
||
# 用于 ALGO_UPDATE 时按 entry_order_id 精确匹配 DB 平仓记录
|
||
entry_order_id = position_info.get("orderId") or position_info.get("entry_order_id")
|
||
client_algo_id_sl = None
|
||
client_algo_id_tp = None
|
||
if entry_order_id:
|
||
eid = str(entry_order_id).strip()
|
||
if eid and len(eid) <= 30: # 留足 SL_/TP_ 前缀
|
||
client_algo_id_sl = f"SL_{eid}"[:36]
|
||
client_algo_id_tp = f"TP_{eid}"[:36]
|
||
|
||
side = (position_info.get("side") or "").upper()
|
||
if side not in {"BUY", "SELL"}:
|
||
return
|
||
|
||
stop_loss = position_info.get("stopLoss")
|
||
take_profit = position_info.get("takeProfit2") or position_info.get("takeProfit")
|
||
try:
|
||
stop_loss = float(stop_loss) if stop_loss is not None else None
|
||
except Exception:
|
||
stop_loss = None
|
||
try:
|
||
take_profit = float(take_profit) if take_profit is not None else None
|
||
except Exception:
|
||
take_profit = None
|
||
|
||
if not stop_loss or not take_profit:
|
||
logger.warning(f"{symbol} 止损或止盈价格为空，跳过挂保护单: stop_loss={stop_loss}, take_profit={take_profit}")
|
||
return
|
||
|
||
# 验证止损价格是否合理。保本/移动止损时：多单止损可≥入场价、空单止损可≤入场价，不得被改回亏损价
|
||
entry_price = position_info.get("entryPrice")
|
||
if entry_price:
|
||
try:
|
||
entry_price_val = float(entry_price)
|
||
stop_loss_val = float(stop_loss)
|
||
min_gap_pct = 0.005 # 最小 0.5% 距离，与 risk_manager 一致
|
||
# 多单止损≥入场价 = 保本/移动止损，有效；空单止损≤入场价 = 保本/移动止损，有效
|
||
if side == "BUY" and stop_loss_val >= entry_price_val:
|
||
# 保本或移动止损，保留不修正
|
||
pass
|
||
elif side == "SELL" and stop_loss_val <= entry_price_val:
|
||
pass
|
||
elif side == "BUY" and stop_loss_val < entry_price_val:
|
||
if stop_loss_val > entry_price_val * (1 - min_gap_pct):
|
||
safe_sl = entry_price_val * (1 - min_gap_pct)
|
||
logger.warning(
|
||
f"{symbol} 止损价({stop_loss_val:.8f})距入场过近(BUY)，已修正为 {safe_sl:.8f}"
|
||
)
|
||
stop_loss = safe_sl
|
||
position_info["stopLoss"] = stop_loss
|
||
elif side == "SELL" and stop_loss_val > entry_price_val:
|
||
if stop_loss_val < entry_price_val * (1 + min_gap_pct):
|
||
safe_sl = entry_price_val * (1 + min_gap_pct)
|
||
logger.warning(
|
||
f"{symbol} 止损价({stop_loss_val:.8f})距入场过近(SELL)，已修正为 {safe_sl:.8f}"
|
||
)
|
||
stop_loss = safe_sl
|
||
position_info["stopLoss"] = stop_loss
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} 验证止损价格时出错: {e}")
|
||
|
||
# ⚠️ 关键修复：挂单前先检查持仓是否真的存在，避免 -4509（没有持仓）和 -4061（positionSide 不匹配）
|
||
try:
|
||
positions = await self._get_open_positions()
|
||
live_position = next((p for p in positions if p.get('symbol') == symbol), None)
|
||
if not live_position:
|
||
logger.warning(f"{symbol} ⚠️ 持仓已不存在（可能已平仓），跳过挂止损/止盈单，避免 -4509/-4061 错误")
|
||
return
|
||
position_amt = float(live_position.get('positionAmt', 0) or 0)
|
||
if abs(position_amt) <= 0:
|
||
logger.warning(f"{symbol} ⚠️ 持仓数量为0，跳过挂止损/止盈单")
|
||
return
|
||
# 验证持仓方向是否匹配（对冲模式下需要检查 positionSide）
|
||
live_side = "BUY" if position_amt > 0 else "SELL"
|
||
if live_side != side:
|
||
logger.warning(f"{symbol} ⚠️ 持仓方向不匹配（本地记录: {side}, 实际: {live_side}），跳过挂单，避免 -4061")
|
||
return
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} 检查持仓存在性时出错，继续尝试挂单（可能误报）: {e}")
|
||
|
||
# 防重复：先取消旧的保护单（仅取消特定类型，避免误伤普通挂单）
|
||
try:
|
||
await self.client.cancel_open_algo_orders_by_order_types(
|
||
symbol, {"STOP_MARKET", "TAKE_PROFIT_MARKET", "TRAILING_STOP_MARKET"}
|
||
)
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 取消旧保护单时出错（可忽略）: {e}")
|
||
|
||
# 获取当前价格（如果未提供）：优先 WS 缓存（bookTicker/ticker24h）→ 持仓 markPrice → REST ticker
|
||
if current_price is None:
|
||
try:
|
||
# 1) 优先 Redis/WS：最优挂单中点价或 24h ticker（进程内不保留全量）
|
||
try:
|
||
try:
|
||
from .book_ticker_stream import get_book_ticker, get_book_ticker_from_redis
|
||
except ImportError:
|
||
from book_ticker_stream import get_book_ticker, get_book_ticker_from_redis
|
||
redis_cache = getattr(self.client, "redis_cache", None)
|
||
if redis_cache:
|
||
book = await get_book_ticker_from_redis(redis_cache, symbol)
|
||
else:
|
||
book = get_book_ticker(symbol)
|
||
if book and float(book.get("bidPrice", 0)) > 0 and float(book.get("askPrice", 0)) > 0:
|
||
mid = (float(book["bidPrice"]) + float(book["askPrice"])) / 2
|
||
current_price = mid
|
||
logger.debug(f"{symbol} 从 bookTicker 获取当前价格: {current_price}")
|
||
except Exception:
|
||
pass
|
||
if current_price is None:
|
||
try:
|
||
try:
|
||
from .ticker_24h_stream import (
|
||
get_tickers_24h_cache,
|
||
get_tickers_24h_from_redis,
|
||
is_ticker_24h_cache_fresh,
|
||
)
|
||
except ImportError:
|
||
from ticker_24h_stream import (
|
||
get_tickers_24h_cache,
|
||
get_tickers_24h_from_redis,
|
||
is_ticker_24h_cache_fresh,
|
||
)
|
||
if is_ticker_24h_cache_fresh(max_age_sec=120):
|
||
redis_cache = getattr(self.client, "redis_cache", None)
|
||
tickers = await get_tickers_24h_from_redis(redis_cache) if redis_cache else get_tickers_24h_cache()
|
||
t = tickers.get(symbol) if tickers else None
|
||
if t and t.get("price"):
|
||
current_price = float(t["price"])
|
||
logger.debug(f"{symbol} 从 ticker24h 获取当前价格: {current_price}")
|
||
except Exception:
|
||
pass
|
||
# 2) 持仓标记价格（MARK_PRICE，与止损单触发基准一致）
|
||
if current_price is None:
|
||
positions = await self._get_open_positions()
|
||
position = next((p for p in positions if p['symbol'] == symbol), None)
|
||
if position:
|
||
mark_price = position.get('markPrice')
|
||
if mark_price and float(mark_price) > 0:
|
||
current_price = float(mark_price)
|
||
logger.debug(f"{symbol} 从持仓获取标记价格: {current_price}")
|
||
# 3) REST：深度最优档中点（权重低）→ 24h ticker
|
||
if current_price is None:
|
||
depth = await self.client.get_depth(symbol, limit=5)
|
||
if depth:
|
||
bids = depth.get("bids") or []
|
||
asks = depth.get("asks") or []
|
||
if bids and asks and len(bids[0]) >= 1 and len(asks[0]) >= 1:
|
||
try:
|
||
mid = (float(bids[0][0]) + float(asks[0][0])) / 2
|
||
if mid > 0:
|
||
current_price = mid
|
||
logger.debug(f"{symbol} 从 depth REST 获取当前价格: {current_price}")
|
||
except (ValueError, TypeError, IndexError):
|
||
pass
|
||
if current_price is None:
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
if ticker:
|
||
current_price = ticker.get('price') and float(ticker['price']) or None
|
||
if current_price:
|
||
logger.debug(f"{symbol} 从 ticker REST 获取当前价格: {current_price}")
|
||
except Exception as e:
|
||
err_msg = getattr(e, "message", str(e)) or repr(e)
|
||
logger.warning(f"{symbol} 获取当前价格失败: {type(e).__name__}: {err_msg}")
|
||
|
||
# 如果仍然没有当前价格，记录警告
|
||
if current_price is None:
|
||
logger.warning(f"{symbol} ⚠️ 无法获取当前价格（已尝试 WS bookTicker/ticker24h、持仓、depth、REST ticker），止损单可能无法正确验证触发条件")
|
||
|
||
# 在挂止损单前，检查当前价格是否已经触发止损（避免 -2021 错误）
|
||
sl_failed_due_to_gte = False # GTE/持仓未就绪时仅打 WARNING，不刷 ERROR
|
||
if current_price and stop_loss:
|
||
try:
|
||
current_price_val = float(current_price)
|
||
stop_loss_val = float(stop_loss)
|
||
entry_price_val = float(entry_price) if entry_price else None
|
||
|
||
# 检查是否已经触发止损
|
||
if side == "BUY":
|
||
# 做多：当前价 <= 止损价，说明已触发止损
|
||
if current_price_val <= stop_loss_val:
|
||
entry_price_str = f"{entry_price_val:.8f}" if entry_price_val is not None else 'N/A'
|
||
logger.error(
|
||
f"{symbol} ⚠️ 当前价格({current_price_val:.8f})已触发止损价({stop_loss_val:.8f})，无法挂止损单，立即执行市价平仓保护！"
|
||
f" | 入场价: {entry_price_str}"
|
||
)
|
||
# 立即执行市价平仓
|
||
await self.close_position(symbol, reason='stop_loss')
|
||
return
|
||
else:
|
||
sl_order = await self.client.place_trigger_close_position_order(
|
||
symbol=symbol,
|
||
position_direction=side,
|
||
trigger_type="STOP_MARKET",
|
||
stop_price=stop_loss,
|
||
current_price=current_price,
|
||
working_type="MARK_PRICE",
|
||
client_algo_id=client_algo_id_sl,
|
||
)
|
||
elif side == "SELL":
|
||
# 做空：当前价 >= 止损价，说明已触发止损
|
||
if current_price_val >= stop_loss_val:
|
||
entry_price_str = f"{entry_price_val:.8f}" if entry_price_val is not None else 'N/A'
|
||
logger.error(
|
||
f"{symbol} ⚠️ 当前价格({current_price_val:.8f})已触发止损价({stop_loss_val:.8f})，无法挂止损单，立即执行市价平仓保护！"
|
||
f" | 入场价: {entry_price_str}"
|
||
)
|
||
# 立即执行市价平仓
|
||
await self.close_position(symbol, reason='stop_loss')
|
||
return
|
||
else:
|
||
sl_order = await self.client.place_trigger_close_position_order(
|
||
symbol=symbol,
|
||
position_direction=side,
|
||
trigger_type="STOP_MARKET",
|
||
stop_price=stop_loss,
|
||
current_price=current_price,
|
||
working_type="MARK_PRICE",
|
||
client_algo_id=client_algo_id_sl,
|
||
)
|
||
else:
|
||
sl_order = await self.client.place_trigger_close_position_order(
|
||
symbol=symbol,
|
||
position_direction=side,
|
||
trigger_type="STOP_MARKET",
|
||
stop_price=stop_loss,
|
||
current_price=current_price,
|
||
working_type="MARK_PRICE",
|
||
client_algo_id=client_algo_id_sl,
|
||
)
|
||
except AlgoOrderPositionUnavailableError:
|
||
sl_failed_due_to_gte = True
|
||
sl_order = None
|
||
except Exception as e:
|
||
# 检查是否是 -2021 (立即触发)
|
||
error_msg = str(e)
|
||
if "-2021" in error_msg or "immediately trigger" in error_msg:
|
||
logger.error(f"{symbol} ⚠️ 止损单会立即触发(-2021)，视为已触发止损，立即执行市价平仓")
|
||
await self.close_position(symbol, reason='stop_loss')
|
||
return
|
||
|
||
logger.warning(f"{symbol} 检查止损触发条件时出错: {e}，继续尝试挂单")
|
||
try:
|
||
sl_order = await self.client.place_trigger_close_position_order(
|
||
symbol=symbol,
|
||
position_direction=side,
|
||
trigger_type="STOP_MARKET",
|
||
stop_price=stop_loss,
|
||
current_price=current_price,
|
||
working_type="MARK_PRICE",
|
||
client_algo_id=client_algo_id_sl,
|
||
)
|
||
except AlgoOrderPositionUnavailableError:
|
||
sl_failed_due_to_gte = True
|
||
sl_order = None
|
||
except Exception as retry_e:
|
||
retry_msg = str(retry_e)
|
||
if "-2021" in retry_msg or "immediately trigger" in retry_msg:
|
||
logger.error(f"{symbol} ⚠️ 重试挂止损单会立即触发(-2021)，立即执行市价平仓")
|
||
await self.close_position(symbol, reason='stop_loss')
|
||
return
|
||
logger.error(f"{symbol} 重试挂止损单失败: {retry_e}")
|
||
sl_order = None
|
||
else:
|
||
try:
|
||
sl_order = await self.client.place_trigger_close_position_order(
|
||
symbol=symbol,
|
||
position_direction=side,
|
||
trigger_type="STOP_MARKET",
|
||
stop_price=stop_loss,
|
||
current_price=current_price,
|
||
working_type="MARK_PRICE",
|
||
client_algo_id=client_algo_id_sl,
|
||
)
|
||
except AlgoOrderPositionUnavailableError:
|
||
sl_failed_due_to_gte = True
|
||
sl_order = None
|
||
except Exception as e:
|
||
error_msg = str(e)
|
||
if "-2021" in error_msg or "immediately trigger" in error_msg:
|
||
logger.error(f"{symbol} ⚠️ 止损单会立即触发(-2021)，视为已触发止损，立即执行市价平仓")
|
||
await self.close_position(symbol, reason='stop_loss')
|
||
return
|
||
logger.error(f"{symbol} 挂止损单失败: {e}")
|
||
sl_order = None
|
||
|
||
if sl_order and entry_order_id:
|
||
algo_id = sl_order.get("algoId")
|
||
if algo_id is not None:
|
||
try:
|
||
rc = getattr(self.client, "redis_cache", None)
|
||
if rc:
|
||
await rc.set(
|
||
f"ats:algo2entry:{self.account_id}:{algo_id}",
|
||
str(entry_order_id),
|
||
ttl=7 * 86400,
|
||
)
|
||
except Exception:
|
||
pass
|
||
if sl_order:
|
||
logger.info(f"[账号{self.account_id}] {symbol} ✓ 止损单已成功挂到交易所: {sl_order.get('algoId', 'N/A')}")
|
||
else:
|
||
if sl_failed_due_to_gte:
|
||
logger.warning(f"{symbol} 条件单被拒（持仓未就绪或已平），跳过交易所止损单，将依赖 WebSocket 监控")
|
||
else:
|
||
logger.error(f"{symbol} ❌ 止损单挂单失败！将依赖WebSocket监控，但可能无法及时止损")
|
||
logger.error(f" 止损价格: {stop_loss:.8f}")
|
||
logger.error(f" 当前价格: {current_price if current_price else '无（已尝试 WS bookTicker/ticker24h、持仓、REST）'}")
|
||
logger.error(f" 持仓方向: {side}")
|
||
logger.error(f" ⚠️ 警告: 没有交易所级别的止损保护，如果系统崩溃或网络中断，可能无法及时止损！")
|
||
logger.error(f" 💡 建议: 检查止损价格计算是否正确，或手动在币安界面设置止损")
|
||
|
||
# ⚠️ 关键修复：止损单挂单失败后，立即检查当前价格是否已触发止损
|
||
# 如果已触发，立即执行市价平仓，避免亏损扩大
|
||
if current_price and stop_loss:
|
||
try:
|
||
current_price_val = float(current_price)
|
||
stop_loss_val = float(stop_loss)
|
||
entry_price_val = float(entry_price) if entry_price else None
|
||
|
||
# 检查是否已触发止损
|
||
should_close = False
|
||
if side == "BUY":
|
||
# 做多：当前价 <= 止损价，触发止损
|
||
if current_price_val <= stop_loss_val:
|
||
should_close = True
|
||
elif side == "SELL":
|
||
# 做空：当前价 >= 止损价，触发止损
|
||
if current_price_val >= stop_loss_val:
|
||
should_close = True
|
||
|
||
if should_close:
|
||
entry_price_str = f"{entry_price_val:.8f}" if entry_price_val is not None else 'N/A'
|
||
logger.error("=" * 80)
|
||
logger.error(f"{symbol} ⚠️ 止损单挂单失败，但当前价格已触发止损，立即执行市价平仓保护！")
|
||
logger.error(f" 当前价格: {current_price_val:.8f}")
|
||
logger.error(f" 止损价格: {stop_loss_val:.8f}")
|
||
logger.error(f" 入场价格: {entry_price_str}")
|
||
logger.error(f" 持仓方向: {side}")
|
||
logger.error(f" 价格偏离: {abs(current_price_val - stop_loss_val):.8f} ({abs(current_price_val - stop_loss_val)/stop_loss_val*100:.2f}%)")
|
||
logger.error("=" * 80)
|
||
# 立即执行市价平仓
|
||
if await self.close_position(symbol, reason='stop_loss'):
|
||
logger.info(f"{symbol} ✓ 止损平仓成功（止损单挂单失败后的保护措施）")
|
||
return
|
||
else:
|
||
# 未触发止损，但需要增强WebSocket监控
|
||
logger.warning(f"{symbol} ⚠️ 止损单挂单失败，当前价格未触发止损，将依赖WebSocket监控")
|
||
logger.warning(f" 当前价格: {current_price_val:.8f}, 止损价格: {stop_loss_val:.8f}")
|
||
logger.warning(f" 价格距离止损: {abs(current_price_val - stop_loss_val):.8f} ({abs(current_price_val - stop_loss_val)/stop_loss_val*100:.2f}%)")
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} 检查止损触发条件时出错: {e}，继续依赖WebSocket监控")
|
||
|
||
# 在挂止盈单前，检查当前价格是否已经触发止盈
|
||
if current_price and take_profit:
|
||
try:
|
||
current_price_val = float(current_price)
|
||
take_profit_val = float(take_profit)
|
||
|
||
# 检查是否已经触发止盈
|
||
# ⚠️ 关键修复：增加0.5%的缓冲，避免因价格轻微触及或市场波动导致的过早止盈
|
||
# 如果价格只是刚好碰到止盈价，不立即触发，而是尝试挂单或让WebSocket监控决定
|
||
triggered_tp = False
|
||
buffer_pct = 0.005 # 0.5% buffer
|
||
|
||
if side == "BUY":
|
||
# 做多：当前价 >= 止盈价 * (1 + buffer)
|
||
if current_price_val >= take_profit_val * (1 + buffer_pct):
|
||
triggered_tp = True
|
||
elif side == "SELL":
|
||
# 做空：当前价 <= 止盈价 * (1 - buffer)
|
||
if current_price_val <= take_profit_val * (1 - buffer_pct):
|
||
triggered_tp = True
|
||
|
||
if triggered_tp:
|
||
logger.info(f"{symbol} 🎯 当前价格({current_price_val:.8f})已显著超过止盈价({take_profit_val:.8f})，立即执行市价止盈！")
|
||
await self.close_position(symbol, reason='take_profit')
|
||
return
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 检查止盈触发条件时出错: {e}")
|
||
|
||
try:
|
||
tp_order = await self.client.place_trigger_close_position_order(
|
||
symbol=symbol,
|
||
position_direction=side,
|
||
trigger_type="TAKE_PROFIT_MARKET",
|
||
stop_price=take_profit,
|
||
current_price=current_price,
|
||
working_type="MARK_PRICE",
|
||
client_algo_id=client_algo_id_tp,
|
||
)
|
||
except Exception as e:
|
||
# 处理 -2021: Order would immediately trigger
|
||
error_msg = str(e)
|
||
if "-2021" in error_msg or "immediately trigger" in error_msg:
|
||
# ⚠️ 关键修复：如果止盈单会立即触发，不立即平仓，而是依赖WebSocket监控
|
||
# 这样可以避免因价格微小波动导致的过早止盈，让利润奔跑（WebSocket有最小盈利检查）
|
||
logger.warning(f"{symbol} ⚠️ 止盈单会立即触发(-2021)，跳过挂交易所止盈单，将依赖WebSocket监控执行止盈")
|
||
# await self.close_position(symbol, reason='take_profit') <-- 已移除立即平仓
|
||
return
|
||
else:
|
||
logger.warning(f"{symbol} 挂止盈单失败: {e}")
|
||
tp_order = None
|
||
if tp_order and entry_order_id:
|
||
algo_id = tp_order.get("algoId")
|
||
if algo_id is not None:
|
||
try:
|
||
rc = getattr(self.client, "redis_cache", None)
|
||
if rc:
|
||
await rc.set(
|
||
f"ats:algo2entry:{self.account_id}:{algo_id}",
|
||
str(entry_order_id),
|
||
ttl=7 * 86400,
|
||
)
|
||
except Exception:
|
||
pass
|
||
if tp_order:
|
||
logger.info(f"[账号{self.account_id}] {symbol} ✓ 止盈单已成功挂到交易所: {tp_order.get('algoId', 'N/A')}")
|
||
else:
|
||
logger.warning(f"{symbol} ⚠️ 止盈单挂单失败，将依赖WebSocket监控")
|
||
|
||
try:
|
||
# Algo 接口返回 algoId
|
||
position_info["exchangeSlOrderId"] = sl_order.get("algoId") if isinstance(sl_order, dict) else None
|
||
except Exception:
|
||
position_info["exchangeSlOrderId"] = None
|
||
try:
|
||
position_info["exchangeTpOrderId"] = tp_order.get("algoId") if isinstance(tp_order, dict) else None
|
||
except Exception:
|
||
position_info["exchangeTpOrderId"] = None
|
||
|
||
if position_info.get("exchangeSlOrderId") or position_info.get("exchangeTpOrderId"):
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} 已挂币安保护单: "
|
||
f"SL={position_info.get('exchangeSlOrderId') or '-'} "
|
||
f"TP={position_info.get('exchangeTpOrderId') or '-'}"
|
||
)
|
||
|
||
async def check_stop_loss_take_profit(self) -> List[str]:
|
||
"""
|
||
检查止损止盈
|
||
|
||
Returns:
|
||
需要平仓的交易对列表
|
||
"""
|
||
closed_positions = []
|
||
|
||
try:
|
||
# 获取当前持仓
|
||
positions = await self._get_open_positions()
|
||
position_dict = {p['symbol']: p for p in positions}
|
||
|
||
for symbol, position_info in list(self.active_positions.items()):
|
||
if symbol not in position_dict:
|
||
# 持仓已不存在，移除记录
|
||
del self.active_positions[symbol]
|
||
continue
|
||
|
||
current_position = position_dict[symbol]
|
||
# 统一转为 float，避免 Decimal 与 float 运算报错（DB/补建可能返回 Decimal）
|
||
entry_price = float(position_info['entryPrice'])
|
||
quantity = float(position_info['quantity'])
|
||
# 获取当前标记价格
|
||
current_price = current_position.get('markPrice', 0)
|
||
if current_price == 0:
|
||
# 如果标记价格为0，尝试从ticker获取
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
if ticker:
|
||
current_price = float(ticker.get('price', 0) or 0)
|
||
else:
|
||
current_price = entry_price
|
||
else:
|
||
current_price = float(current_price)
|
||
|
||
# 计算当前盈亏（基于保证金）
|
||
leverage = float(position_info.get('leverage', 10) or 10)
|
||
position_value = entry_price * quantity
|
||
margin = position_value / leverage if leverage > 0 else position_value
|
||
|
||
# 计算盈亏金额
|
||
if position_info['side'] == 'BUY':
|
||
pnl_amount = (current_price - entry_price) * quantity
|
||
else:
|
||
pnl_amount = (entry_price - current_price) * quantity
|
||
|
||
# 计算盈亏百分比（相对于保证金，与币安一致）
|
||
pnl_percent_margin = (pnl_amount / margin * 100) if margin > 0 else 0
|
||
|
||
# 也计算价格百分比（用于显示和移动止损）
|
||
if position_info['side'] == 'BUY':
|
||
pnl_percent_price = ((current_price - entry_price) / entry_price) * 100
|
||
else:
|
||
pnl_percent_price = ((entry_price - current_price) / entry_price) * 100
|
||
|
||
if bool(config.TRADING_CONFIG.get('POSITION_DETAILED_LOG_ENABLED', False)):
|
||
stop_loss_snapshot = position_info.get('stopLoss')
|
||
take_profit_1_snapshot = position_info.get('takeProfit1')
|
||
take_profit_2_snapshot = position_info.get('takeProfit2', position_info.get('takeProfit'))
|
||
logger.info(
|
||
f"{symbol} [持仓监控快照] side={position_info['side']} | entry={entry_price:.6f} | "
|
||
f"price={current_price:.6f} | sl={stop_loss_snapshot if stop_loss_snapshot is not None else '-'} | "
|
||
f"tp1={take_profit_1_snapshot if take_profit_1_snapshot is not None else '-'} | "
|
||
f"tp2={take_profit_2_snapshot if take_profit_2_snapshot is not None else '-'} | "
|
||
f"roe_margin={pnl_percent_margin:.2f}% | price_change={pnl_percent_price:.2f}%"
|
||
)
|
||
|
||
# 更新最大盈利（基于保证金）
|
||
max_profit = float(position_info.get('maxProfit', 0) or 0)
|
||
if pnl_percent_margin > max_profit:
|
||
position_info['maxProfit'] = pnl_percent_margin
|
||
|
||
# 移动止损逻辑（盈利后保护利润，基于保证金）
|
||
# 每次检查时从Redis重新加载配置，确保配置修改能即时生效
|
||
try:
|
||
if config._config_manager:
|
||
config._config_manager.reload_from_redis()
|
||
config.TRADING_CONFIG = config._get_trading_config()
|
||
except Exception as e:
|
||
logger.debug(f"从Redis重新加载配置失败: {e}")
|
||
|
||
# 山寨币早止盈：盈利达标且持仓满 N 小时则市价止盈，不必等挂单 TP，避免反转回吐
|
||
early_tp_enabled = config.TRADING_CONFIG.get('EARLY_TAKE_PROFIT_ENABLED', True)
|
||
if early_tp_enabled and pnl_percent_margin > 0:
|
||
min_pnl_pct = float(config.TRADING_CONFIG.get('EARLY_TAKE_PROFIT_MIN_PNL_PCT', 10) or 10)
|
||
min_hold_hours = float(config.TRADING_CONFIG.get('EARLY_TAKE_PROFIT_MIN_HOLD_HOURS', 2) or 2)
|
||
hold_hours = 0.0
|
||
entry_time = position_info.get('entryTime')
|
||
if entry_time is not None:
|
||
try:
|
||
if isinstance(entry_time, datetime):
|
||
hold_hours = (get_beijing_time() - entry_time).total_seconds() / 3600.0
|
||
elif isinstance(entry_time, str) and len(entry_time) >= 19:
|
||
entry_dt = datetime.strptime(entry_time[:19], '%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:
|
||
pass
|
||
if pnl_percent_margin >= min_pnl_pct and hold_hours >= min_hold_hours:
|
||
logger.info(
|
||
f"{symbol} [早止盈] 盈利{pnl_percent_margin:.2f}%≥{min_pnl_pct}% 且持仓{hold_hours:.1f}h≥{min_hold_hours}h，市价止盈离场（山寨币不必久拿）"
|
||
)
|
||
if await self.close_position(symbol, reason='early_take_profit'):
|
||
closed_positions.append(symbol)
|
||
continue
|
||
|
||
# 检查是否启用移动止损（默认False，需要显式启用）
|
||
profit_protection_enabled = bool(config.TRADING_CONFIG.get('PROFIT_PROTECTION_ENABLED', True))
|
||
use_trailing = profit_protection_enabled and bool(config.TRADING_CONFIG.get('USE_TRAILING_STOP', False))
|
||
if use_trailing:
|
||
logger.debug(f"{symbol} [移动止损] 已启用，将检查移动止损逻辑")
|
||
else:
|
||
if not profit_protection_enabled:
|
||
logger.debug(f"{symbol} [移动止损/保本] 已禁用（PROFIT_PROTECTION_ENABLED=False）")
|
||
else:
|
||
logger.debug(f"{symbol} [移动止损] 已禁用（USE_TRAILING_STOP=False），跳过移动止损检查")
|
||
if use_trailing:
|
||
trailing_activation = config.TRADING_CONFIG.get('TRAILING_STOP_ACTIVATION', 0.01) # 相对于保证金
|
||
trailing_protect = config.TRADING_CONFIG.get('TRAILING_STOP_PROTECT', 0.01) # 相对于保证金
|
||
|
||
# ⚠️ 关键修复：配置值格式转换（兼容百分比形式和比例形式）
|
||
# 如果值>1，认为是百分比形式，转换为比例形式
|
||
if trailing_activation > 1:
|
||
trailing_activation = trailing_activation / 100.0
|
||
if trailing_protect > 1:
|
||
trailing_protect = trailing_protect / 100.0
|
||
lock_pct = config.TRADING_CONFIG.get('LOCK_PROFIT_AT_BREAKEVEN_AFTER_PCT') or 0
|
||
if lock_pct and lock_pct > 1:
|
||
lock_pct = lock_pct / 100.0
|
||
|
||
if not position_info.get('trailingStopActivated', False):
|
||
# 盈利达一定比例时尽早将止损移至含手续费保本（与实时监控一致）
|
||
if lock_pct > 0 and not position_info.get('breakevenStopSet', False) and pnl_percent_margin >= lock_pct * 100:
|
||
breakeven = self._breakeven_stop_price(entry_price, side)
|
||
current_sl = position_info.get('stopLoss')
|
||
set_be = (side == 'BUY' and (current_sl is None or current_sl < breakeven)) or (side == 'SELL' and (current_sl is None or current_sl > breakeven))
|
||
if set_be:
|
||
position_info['stopLoss'] = breakeven
|
||
position_info['breakevenStopSet'] = True
|
||
logger.info(f"{symbol} [定时检查] 盈利{pnl_percent_margin:.2f}%≥{lock_pct*100:.0f}%，止损已移至含手续费保本价 {breakeven:.4f}")
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price)
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步保本止损至交易所失败: {sync_e}")
|
||
# 盈利超过阈值后（相对于保证金），激活移动止损
|
||
if pnl_percent_margin > trailing_activation * 100:
|
||
position_info['trailingStopActivated'] = True
|
||
breakeven = self._breakeven_stop_price(entry_price, side)
|
||
position_info['stopLoss'] = breakeven
|
||
logger.info(
|
||
f"{symbol} 移动止损激活: 止损移至含手续费保本价 {breakeven:.4f} (入场: {entry_price:.4f}) "
|
||
f"(盈利: {pnl_percent_margin:.2f}% of margin)"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price)
|
||
logger.info(f"{symbol} [定时检查] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败: {sync_e}")
|
||
else:
|
||
# 盈利超过阈值后，止损移至保护利润位（基于保证金）
|
||
# 如果已经部分止盈，使用剩余仓位计算
|
||
if position_info.get('partialProfitTaken', False):
|
||
remaining_quantity = position_info.get('remainingQuantity', quantity)
|
||
remaining_margin = (entry_price * remaining_quantity) / leverage if leverage > 0 else (entry_price * remaining_quantity)
|
||
protect_amount = max(remaining_margin * trailing_protect, self._min_protect_amount_for_fees(remaining_margin, leverage))
|
||
if position_info['side'] == 'BUY':
|
||
remaining_pnl = (current_price - entry_price) * remaining_quantity
|
||
else:
|
||
remaining_pnl = (entry_price - current_price) * remaining_quantity
|
||
if position_info['side'] == 'BUY':
|
||
new_stop_loss = entry_price + (remaining_pnl - protect_amount) / remaining_quantity
|
||
new_stop_loss = max(new_stop_loss, self._breakeven_stop_price(entry_price, 'BUY'))
|
||
current_sl = float(position_info['stopLoss']) if position_info.get('stopLoss') is not None else None
|
||
if current_sl is None or new_stop_loss > current_sl:
|
||
position_info['stopLoss'] = new_stop_loss
|
||
logger.info(
|
||
f"{symbol} 移动止损更新（剩余仓位）: {new_stop_loss:.4f} "
|
||
f"(保护{trailing_protect*100:.1f}% of remaining margin = {protect_amount:.4f} USDT, "
|
||
f"剩余数量: {remaining_quantity:.4f})"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price)
|
||
logger.info(f"{symbol} [定时检查] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败: {sync_e}")
|
||
else:
|
||
new_stop_loss = entry_price + (remaining_pnl - protect_amount) / remaining_quantity
|
||
new_stop_loss = min(new_stop_loss, self._breakeven_stop_price(entry_price, 'SELL'))
|
||
current_sl = float(position_info['stopLoss']) if position_info.get('stopLoss') is not None else None
|
||
if current_sl is not None and new_stop_loss > current_sl and remaining_pnl > 0:
|
||
position_info['stopLoss'] = new_stop_loss
|
||
logger.info(
|
||
f"{symbol} 移动止损更新（剩余仓位）: {new_stop_loss:.4f} "
|
||
f"(保护{trailing_protect*100:.1f}% of remaining margin = {protect_amount:.4f} USDT, "
|
||
f"剩余数量: {remaining_quantity:.4f})"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price)
|
||
logger.info(f"{symbol} [定时检查] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败: {sync_e}")
|
||
else:
|
||
# 未部分止盈，使用原始仓位计算；保护金额至少覆盖手续费
|
||
protect_amount = max(margin * trailing_protect, self._min_protect_amount_for_fees(margin, leverage))
|
||
if position_info['side'] == 'BUY':
|
||
new_stop_loss = entry_price + (pnl_amount - protect_amount) / quantity
|
||
new_stop_loss = max(new_stop_loss, self._breakeven_stop_price(entry_price, 'BUY'))
|
||
current_sl = float(position_info['stopLoss']) if position_info.get('stopLoss') is not None else None
|
||
if current_sl is None or new_stop_loss > current_sl:
|
||
position_info['stopLoss'] = new_stop_loss
|
||
logger.info(
|
||
f"{symbol} 移动止损更新: {new_stop_loss:.4f} "
|
||
f"(保护{trailing_protect*100:.1f}% of margin = {protect_amount:.4f} USDT)"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price)
|
||
logger.info(f"{symbol} [定时检查] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败: {sync_e}")
|
||
else:
|
||
# 做空：止损价 = 开仓价 + (当前盈亏 - 保护金额) / 数量
|
||
# 注意：对于做空，止损价应该高于开仓价，所以用加法
|
||
# 当盈利时（pnl_amount > 0），止损价应该往上移（更宽松）
|
||
# 当亏损时（pnl_amount < 0），不应该移动止损（保持初始止损）
|
||
new_stop_loss = entry_price + (pnl_amount - protect_amount) / quantity
|
||
new_stop_loss = min(new_stop_loss, self._breakeven_stop_price(entry_price, 'SELL'))
|
||
current_sl = float(position_info['stopLoss']) if position_info.get('stopLoss') is not None else None
|
||
if current_sl is not None and new_stop_loss > current_sl and pnl_amount > 0:
|
||
position_info['stopLoss'] = new_stop_loss
|
||
logger.info(
|
||
f"{symbol} 移动止损更新: {new_stop_loss:.4f} "
|
||
f"(保护{trailing_protect*100:.1f}% of margin = {protect_amount:.4f} USDT)"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price)
|
||
logger.info(f"{symbol} [定时检查] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败: {sync_e}")
|
||
|
||
# 检查止损（使用更新后的止损价，基于保证金收益比）
|
||
# ⚠️ 重要：止损检查应该在时间锁之前，止损必须立即执行
|
||
stop_loss_raw = position_info.get('stopLoss')
|
||
stop_loss = float(stop_loss_raw) if stop_loss_raw is not None else None
|
||
should_close_due_to_sl = False
|
||
exit_reason_sl = None
|
||
|
||
if stop_loss is None:
|
||
logger.warning(f"{symbol} 止损价未设置，跳过止损检查")
|
||
elif stop_loss is not None:
|
||
# 计算止损对应的保证金百分比目标
|
||
if position_info['side'] == 'BUY':
|
||
stop_loss_amount = (entry_price - stop_loss) * quantity
|
||
else: # SELL
|
||
stop_loss_amount = (stop_loss - entry_price) * quantity
|
||
|
||
stop_loss_pct_margin = (stop_loss_amount / margin * 100) if margin > 0 else 0
|
||
|
||
# 直接比较当前盈亏百分比与止损目标（基于保证金）
|
||
if pnl_percent_margin <= -stop_loss_pct_margin:
|
||
should_close_due_to_sl = True
|
||
# ⚠️ 2026-01-27优化：如果已部分止盈，细分状态
|
||
partial_profit_taken = position_info.get('partialProfitTaken', False)
|
||
if partial_profit_taken:
|
||
if position_info.get('trailingStopActivated'):
|
||
exit_reason_sl = 'take_profit_partial_then_trailing_stop'
|
||
else:
|
||
exit_reason_sl = 'take_profit_partial_then_stop'
|
||
else:
|
||
exit_reason_sl = 'trailing_stop' if position_info.get('trailingStopActivated') else 'stop_loss'
|
||
|
||
# 计算持仓时间
|
||
entry_time = position_info.get('entryTime')
|
||
hold_time_minutes = 0
|
||
if entry_time:
|
||
try:
|
||
if isinstance(entry_time, datetime):
|
||
hold_time_sec = int((get_beijing_time() - entry_time).total_seconds())
|
||
else:
|
||
hold_time_sec = int(time.time() - (float(entry_time) if isinstance(entry_time, (int, float)) else 0))
|
||
hold_time_minutes = hold_time_sec / 60.0
|
||
except Exception:
|
||
hold_time_minutes = 0
|
||
|
||
# 详细诊断日志：记录平仓时的所有关键信息
|
||
logger.warning("=" * 80)
|
||
logger.warning(f"{symbol} [平仓诊断日志] ===== 触发止损平仓 =====")
|
||
logger.warning(f" 平仓原因: {exit_reason_sl}")
|
||
logger.warning(f" 入场价格: {entry_price:.6f} USDT")
|
||
logger.warning(f" 当前价格: {current_price:.4f} USDT")
|
||
logger.warning(f" 止损价格: {stop_loss:.4f} USDT")
|
||
logger.warning(f" 持仓数量: {quantity:.4f}")
|
||
logger.warning(f" 持仓时间: {hold_time_minutes:.1f} 分钟")
|
||
logger.warning(f" 入场时间: {entry_time}")
|
||
logger.warning(f" 当前盈亏: {pnl_percent_margin:.2f}% of margin")
|
||
logger.warning(f" 止损目标: -{stop_loss_pct_margin*100:.2f}% of margin")
|
||
logger.warning(f" 亏损金额: {abs(pnl_amount):.4f} USDT")
|
||
if position_info.get('trailingStopActivated'):
|
||
logger.warning(f" 移动止损: 已激活（从初始止损 {position_info.get('initialStopLoss', 'N/A')} 调整）")
|
||
logger.warning("=" * 80)
|
||
|
||
# 止损必须立即执行，不受时间锁限制
|
||
# 更新数据库
|
||
# 更新数据库
|
||
if DB_AVAILABLE:
|
||
trade_id = position_info.get('tradeId')
|
||
if trade_id:
|
||
try:
|
||
# 计算持仓持续时间
|
||
entry_time = position_info.get('entryTime')
|
||
duration_minutes = None
|
||
if entry_time:
|
||
try:
|
||
if isinstance(entry_time, str):
|
||
entry_dt = datetime.strptime(entry_time, '%Y-%m-%d %H:%M:%S')
|
||
else:
|
||
entry_dt = entry_time
|
||
exit_dt = get_beijing_time() # 使用北京时间计算持续时间
|
||
duration = exit_dt - entry_dt
|
||
duration_minutes = int(duration.total_seconds() / 60)
|
||
except Exception as e:
|
||
logger.debug(f"计算持仓持续时间失败: {e}")
|
||
|
||
# 获取策略类型
|
||
strategy_type = position_info.get('strategyType', 'trend_following')
|
||
|
||
Trade.update_exit(
|
||
trade_id=trade_id,
|
||
exit_price=current_price,
|
||
exit_reason=exit_reason_sl,
|
||
pnl=pnl_amount,
|
||
pnl_percent=pnl_percent_margin,
|
||
strategy_type=strategy_type,
|
||
duration_minutes=duration_minutes
|
||
)
|
||
except Exception as e:
|
||
logger.warning(f"更新止损记录失败: {e}")
|
||
# ⚠️ 关键修复：止损必须立即执行，不受时间锁限制
|
||
if await self.close_position(symbol, reason=exit_reason_sl):
|
||
closed_positions.append(symbol)
|
||
continue # 止损已执行，跳过后续止盈检查
|
||
|
||
# 检查分步止盈（基于保证金收益比）
|
||
# ⚠️ 优化：已移除止盈时间锁，止盈可以立即执行（与止损一致）
|
||
# 理由：1) 止损已不受时间锁限制，止盈也应该一致
|
||
# 2) 分步止盈策略本身已提供利润保护（50%在1:1止盈，剩余保本）
|
||
# 3) 交易所级别止盈单已提供保护
|
||
# 4) 及时止盈可以保护利润，避免价格回落
|
||
take_profit_1_raw = position_info.get('takeProfit1') # 第一目标（盈亏比1:1）
|
||
take_profit_1 = float(take_profit_1_raw) if take_profit_1_raw is not None else None
|
||
take_profit_2_raw = position_info.get('takeProfit2', position_info.get('takeProfit')) # 第二目标
|
||
take_profit_2 = float(take_profit_2_raw) if take_profit_2_raw is not None else None
|
||
partial_profit_taken = position_info.get('partialProfitTaken', False)
|
||
remaining_quantity = float(position_info.get('remainingQuantity', quantity))
|
||
|
||
# 第一目标：TAKE_PROFIT_1_PERCENT 止盈（默认15%保证金），了结50%仓位
|
||
# ✅ 已移除时间锁限制，可以立即执行
|
||
if not partial_profit_taken and take_profit_1 is not None:
|
||
# 直接使用配置的 TAKE_PROFIT_1_PERCENT，与开仓时计算的第一目标一致
|
||
take_profit_1_pct_margin_config = config.TRADING_CONFIG.get('TAKE_PROFIT_1_PERCENT', 0.20)
|
||
# 兼容百分比形式和比例形式
|
||
if take_profit_1_pct_margin_config > 1:
|
||
take_profit_1_pct_margin_config = take_profit_1_pct_margin_config / 100.0
|
||
take_profit_1_pct_margin = take_profit_1_pct_margin_config * 100 # 转换为百分比
|
||
|
||
# 直接比较当前盈亏百分比与第一目标（基于保证金，使用配置值）
|
||
if pnl_percent_margin >= take_profit_1_pct_margin:
|
||
logger.info(
|
||
f"{symbol} 触发第一目标止盈（盈亏比1:1，基于保证金）: "
|
||
f"当前盈亏={pnl_percent_margin:.2f}% of margin >= 目标={take_profit_1_pct_margin:.2f}% of margin | "
|
||
f"当前价={current_price:.4f}, 目标价={take_profit_1:.4f}"
|
||
)
|
||
# 部分平仓50%
|
||
partial_quantity = quantity * 0.5
|
||
try:
|
||
# 部分平仓
|
||
close_side = 'SELL' if position_info['side'] == 'BUY' else 'BUY'
|
||
close_position_side = 'LONG' if position_info['side'] == 'BUY' else 'SHORT'
|
||
# 二次校验并截断数量，避免 reduceOnly 被拒绝（-2022）
|
||
live_amt = await self._get_live_position_amt(symbol, position_side=close_position_side)
|
||
if live_amt is None or abs(live_amt) <= 0:
|
||
logger.warning(f"{symbol} 部分止盈：实时持仓已为0，跳过部分平仓")
|
||
continue
|
||
partial_quantity = min(partial_quantity, abs(live_amt))
|
||
partial_quantity = await self._adjust_close_quantity(symbol, partial_quantity)
|
||
if partial_quantity <= 0:
|
||
logger.warning(f"{symbol} 部分止盈：数量调整后为0，跳过")
|
||
continue
|
||
partial_order = await self.client.place_order(
|
||
symbol=symbol,
|
||
side=close_side,
|
||
quantity=partial_quantity,
|
||
order_type='MARKET',
|
||
reduce_only=True, # 部分止盈必须 reduceOnly，避免反向开仓
|
||
position_side=close_position_side, # 兼容对冲模式：指定要减少的持仓方向
|
||
)
|
||
if partial_order:
|
||
position_info['partialProfitTaken'] = True
|
||
position_info['remainingQuantity'] = remaining_quantity - partial_quantity
|
||
logger.info(
|
||
f"{symbol} 部分止盈成功: 平仓{partial_quantity:.4f}，剩余{position_info['remainingQuantity']:.4f}"
|
||
)
|
||
# 分步止盈后的“保本”处理：仅在盈利保护总开关开启时移至含手续费保本价
|
||
if profit_protection_enabled:
|
||
breakeven = self._breakeven_stop_price(entry_price, side)
|
||
position_info['stopLoss'] = breakeven
|
||
logger.info(
|
||
f"{symbol} 部分止盈后：剩余仓位止损移至含手续费保本价 {breakeven:.4f}（入场: {entry_price:.4f}），"
|
||
f"剩余50%仓位追求1.5:1止盈目标"
|
||
)
|
||
else:
|
||
# 兜底：可能遇到 -2022（reduceOnly rejected）等竞态，重新查一次持仓
|
||
try:
|
||
live2 = await self._get_live_position_amt(symbol, position_side=close_position_side)
|
||
except Exception:
|
||
live2 = None
|
||
if live2 is None or abs(live2) <= 0:
|
||
logger.warning(f"{symbol} 部分止盈下单返回None，但实时持仓已为0，跳过")
|
||
continue
|
||
logger.warning(f"{symbol} 部分止盈下单返回None（实时持仓仍存在: {live2}），稍后将继续由止损/止盈逻辑处理")
|
||
except Exception as e:
|
||
logger.error(f"{symbol} 部分止盈失败: {e}")
|
||
|
||
# 第二目标：原始止盈价，平掉剩余仓位（基于保证金收益比）
|
||
# ✅ 已移除时间锁限制，可以立即执行
|
||
if partial_profit_taken and take_profit_2 is not None:
|
||
# 计算第二目标对应的保证金百分比
|
||
if position_info['side'] == 'BUY':
|
||
take_profit_2_amount = (take_profit_2 - entry_price) * remaining_quantity
|
||
else: # SELL
|
||
take_profit_2_amount = (entry_price - take_profit_2) * remaining_quantity
|
||
# 使用剩余仓位的保证金
|
||
remaining_margin = (entry_price * remaining_quantity) / leverage if leverage > 0 else (entry_price * remaining_quantity)
|
||
take_profit_2_pct_margin = (take_profit_2_amount / remaining_margin * 100) if remaining_margin > 0 else 0
|
||
# 计算剩余仓位的当前盈亏
|
||
if position_info['side'] == 'BUY':
|
||
remaining_pnl_amount = (current_price - entry_price) * remaining_quantity
|
||
else:
|
||
remaining_pnl_amount = (entry_price - current_price) * remaining_quantity
|
||
remaining_pnl_pct_margin = (remaining_pnl_amount / remaining_margin * 100) if remaining_margin > 0 else 0
|
||
|
||
# 直接比较剩余仓位盈亏百分比与第二目标（基于保证金）
|
||
if remaining_pnl_pct_margin >= take_profit_2_pct_margin:
|
||
logger.info(
|
||
f"{symbol} 触发第二目标止盈（基于保证金）: "
|
||
f"剩余仓位盈亏={remaining_pnl_pct_margin:.2f}% of margin >= 目标={take_profit_2_pct_margin:.2f}% of margin | "
|
||
f"当前价={current_price:.4f}, 目标价={take_profit_2:.4f}, "
|
||
f"剩余数量={remaining_quantity:.4f}"
|
||
)
|
||
# ⚠️ 关键修复：统一使用 'take_profit_partial_then_take_profit' 来区分"第一目标止盈后第二目标止盈"
|
||
exit_reason = 'take_profit_partial_then_take_profit'
|
||
# 计算总盈亏（原始仓位 + 部分止盈的盈亏）
|
||
# 部分止盈时的价格需要从数据库或记录中获取，这里简化处理
|
||
total_pnl_amount = remaining_pnl_amount # 简化：只计算剩余仓位盈亏
|
||
total_pnl_percent = (total_pnl_amount / margin * 100) if margin > 0 else 0
|
||
|
||
# 更新数据库
|
||
if DB_AVAILABLE:
|
||
trade_id = position_info.get('tradeId')
|
||
if trade_id:
|
||
try:
|
||
# 计算持仓持续时间
|
||
entry_time = position_info.get('entryTime')
|
||
duration_minutes = None
|
||
if entry_time:
|
||
try:
|
||
if isinstance(entry_time, str):
|
||
entry_dt = datetime.strptime(entry_time, '%Y-%m-%d %H:%M:%S')
|
||
else:
|
||
entry_dt = entry_time
|
||
exit_dt = get_beijing_time() # 使用北京时间计算持续时间
|
||
duration = exit_dt - entry_dt
|
||
duration_minutes = int(duration.total_seconds() / 60)
|
||
except Exception as e:
|
||
logger.debug(f"计算持仓持续时间失败: {e}")
|
||
|
||
# 获取策略类型
|
||
strategy_type = position_info.get('strategyType', 'trend_following')
|
||
|
||
Trade.update_exit(
|
||
trade_id=trade_id,
|
||
exit_price=current_price,
|
||
exit_reason=exit_reason,
|
||
pnl=total_pnl_amount,
|
||
pnl_percent=total_pnl_percent,
|
||
strategy_type=strategy_type,
|
||
duration_minutes=duration_minutes
|
||
)
|
||
except Exception as e:
|
||
logger.warning(f"更新止盈记录失败: {e}")
|
||
if await self.close_position(symbol, reason=exit_reason):
|
||
closed_positions.append(symbol)
|
||
continue
|
||
else:
|
||
# 如果未部分止盈，但达到【第二目标】止盈价对应的收益比时，才全部平仓
|
||
# ⚠️ 修复：不再使用 TAKE_PROFIT_PERCENT(10%) 作为全平条件，否则会“刚赚一点就整仓止盈”
|
||
# 改为使用 take_profit_2 价格对应的保证金收益%，与第一目标(20%) 取较大者，避免盈利过少
|
||
take_profit_2_full = position_info.get('takeProfit2', position_info.get('takeProfit'))
|
||
take_profit_2_full = float(take_profit_2_full) if take_profit_2_full is not None else None
|
||
if take_profit_2_full is not None and margin and margin > 0:
|
||
if position_info['side'] == 'BUY':
|
||
take_profit_2_amount = (take_profit_2_full - entry_price) * quantity
|
||
else:
|
||
take_profit_2_amount = (entry_price - take_profit_2_full) * quantity
|
||
take_profit_2_pct_margin = (take_profit_2_amount / margin * 100) if margin > 0 else 0
|
||
# 至少要求达到第一目标对应的收益%（如 20%），避免过早全平
|
||
take_profit_1_pct = (config.TRADING_CONFIG.get('TAKE_PROFIT_1_PERCENT', 0.20) or 0.20)
|
||
if take_profit_1_pct > 1:
|
||
take_profit_1_pct = take_profit_1_pct / 100.0
|
||
min_pct_for_full_tp = max(take_profit_2_pct_margin, take_profit_1_pct * 100)
|
||
|
||
if pnl_percent_margin >= min_pct_for_full_tp:
|
||
logger.info(
|
||
f"{symbol} 触发止盈（第二目标/保证金）: "
|
||
f"当前盈亏={pnl_percent_margin:.2f}% of margin >= 目标={min_pct_for_full_tp:.2f}% | "
|
||
f"当前价={current_price:.4f}, 第二目标价={take_profit_2_full:.4f}"
|
||
)
|
||
exit_reason = 'take_profit'
|
||
# 更新数据库
|
||
if DB_AVAILABLE:
|
||
trade_id = position_info.get('tradeId')
|
||
if trade_id:
|
||
try:
|
||
# 计算持仓持续时间和策略类型
|
||
entry_time = position_info.get('entryTime')
|
||
duration_minutes = None
|
||
if entry_time:
|
||
try:
|
||
from datetime import datetime
|
||
if isinstance(entry_time, str):
|
||
entry_dt = datetime.strptime(entry_time, '%Y-%m-%d %H:%M:%S')
|
||
else:
|
||
entry_dt = entry_time
|
||
exit_dt = get_beijing_time() # 使用北京时间计算持续时间
|
||
duration = exit_dt - entry_dt
|
||
duration_minutes = int(duration.total_seconds() / 60)
|
||
except Exception as e:
|
||
logger.debug(f"计算持仓持续时间失败: {e}")
|
||
|
||
strategy_type = position_info.get('strategyType', 'trend_following')
|
||
|
||
Trade.update_exit(
|
||
trade_id=trade_id,
|
||
exit_price=current_price,
|
||
exit_reason=exit_reason,
|
||
pnl=pnl_amount,
|
||
pnl_percent=pnl_percent_margin,
|
||
strategy_type=strategy_type,
|
||
duration_minutes=duration_minutes
|
||
)
|
||
except Exception as e:
|
||
logger.warning(f"更新止盈记录失败: {e}")
|
||
if await self.close_position(symbol, reason=exit_reason):
|
||
closed_positions.append(symbol)
|
||
continue
|
||
|
||
except Exception as e:
|
||
err_msg = str(e).strip() or repr(e) or type(e).__name__
|
||
logger.error(f"检查止损止盈失败: {err_msg}")
|
||
|
||
return closed_positions
|
||
|
||
async def get_position_summary(self) -> Dict:
|
||
"""
|
||
获取持仓摘要
|
||
|
||
Returns:
|
||
持仓摘要信息
|
||
"""
|
||
try:
|
||
positions = await self._get_open_positions()
|
||
balance = await self._get_account_balance()
|
||
|
||
total_pnl = sum(p['unRealizedProfit'] for p in positions)
|
||
|
||
position_list = []
|
||
for p in positions:
|
||
symbol = p['symbol']
|
||
pos_data = {
|
||
'symbol': symbol,
|
||
'positionAmt': p['positionAmt'],
|
||
'entryPrice': p['entryPrice'],
|
||
'pnl': p['unRealizedProfit'],
|
||
'leverage': p.get('leverage', 10)
|
||
}
|
||
|
||
# 尝试从内存或数据库补充详细信息
|
||
active_pos = self.active_positions.get(symbol)
|
||
if active_pos:
|
||
pos_data.update({
|
||
'entry_time': active_pos.get('entryTime'),
|
||
'stop_loss_price': active_pos.get('stopLoss'),
|
||
'take_profit_price': active_pos.get('takeProfit'),
|
||
'atr': active_pos.get('atr'),
|
||
'entry_reason': active_pos.get('entryReason')
|
||
})
|
||
elif DB_AVAILABLE and Trade:
|
||
# 从数据库查询
|
||
try:
|
||
trades = Trade.get_by_symbol(symbol, status='open', account_id=self.account_id)
|
||
if trades:
|
||
# 取最新的一个
|
||
trade = trades[0]
|
||
pos_data.update({
|
||
'entry_time': trade.get('entry_time'),
|
||
'stop_loss_price': trade.get('stop_loss_price'),
|
||
'take_profit_price': trade.get('take_profit_price'),
|
||
'atr': trade.get('atr'),
|
||
'entry_reason': trade.get('entry_reason')
|
||
})
|
||
except Exception:
|
||
pass
|
||
|
||
position_list.append(pos_data)
|
||
|
||
return {
|
||
'totalPositions': len(positions),
|
||
'totalBalance': balance.get('total', 0),
|
||
'availableBalance': balance.get('available', 0),
|
||
'totalPnL': total_pnl,
|
||
'positions': position_list
|
||
}
|
||
except Exception as e:
|
||
logger.error(f"获取持仓摘要失败: {e}")
|
||
return {}
|
||
|
||
async def _reconcile_pending_with_binance(self) -> int:
|
||
"""正向流程加固：对 status=pending 记录查币安订单，若已 FILLED 则更新为 open。"""
|
||
try:
|
||
from .pending_reconcile import reconcile_pending_with_binance
|
||
return await reconcile_pending_with_binance(self.client, self.account_id)
|
||
except ImportError:
|
||
return 0
|
||
|
||
async def sync_positions_with_binance(self):
|
||
"""
|
||
同步币安实际持仓状态与数据库状态
|
||
检查哪些持仓在数据库中还是open状态，但在币安已经不存在了
|
||
"""
|
||
if not DB_AVAILABLE or not Trade:
|
||
logger.debug("数据库不可用，跳过持仓状态同步")
|
||
return
|
||
|
||
try:
|
||
logger.info("开始同步币安持仓状态与数据库...")
|
||
|
||
# 0. 正向流程加固：pending 对账（补齐因 WS 断线/进程重启漏掉的 pending→open）
|
||
n = await self._reconcile_pending_with_binance()
|
||
if n > 0:
|
||
logger.info(f"[账号{self.account_id}] pending 对账完成，{n} 条已更新为 open")
|
||
|
||
# 1. 获取币安实际持仓
|
||
binance_positions = await self._get_open_positions()
|
||
binance_symbols = {p['symbol'] for p in binance_positions}
|
||
logger.debug(f"币安实际持仓: {len(binance_symbols)} 个 ({', '.join(binance_symbols) if binance_symbols else '无'})")
|
||
|
||
# 2. 获取数据库中状态为open的交易记录（仅当前账号，限制条数防内存暴增）
|
||
db_open_trades = Trade.get_all(status='open', account_id=self.account_id, limit=500)
|
||
db_open_symbols = {t['symbol'] for t in db_open_trades}
|
||
logger.debug(f"数据库open状态: {len(db_open_symbols)} 个 ({', '.join(db_open_symbols) if db_open_symbols else '无'})")
|
||
|
||
# 2.5 用「DB 有 open 且币安也有」的持仓填充 active_positions，确保这些持仓会被后续启动的监控覆盖
|
||
in_both = db_open_symbols & binance_symbols
|
||
for symbol in in_both:
|
||
if symbol in self.active_positions:
|
||
continue
|
||
trade = next((t for t in db_open_trades if t.get('symbol') == symbol), None)
|
||
pos = next((p for p in binance_positions if p.get('symbol') == symbol), None)
|
||
if not trade or not pos or float(pos.get('positionAmt', 0)) == 0:
|
||
continue
|
||
try:
|
||
entry_price = float(trade.get('entry_price', 0) or pos.get('entryPrice', 0))
|
||
quantity = abs(float(pos.get('positionAmt', 0)))
|
||
side = 'BUY' if float(pos.get('positionAmt', 0)) > 0 else 'SELL'
|
||
leverage = float(pos.get('leverage', 10) or trade.get('leverage', 10) or 10)
|
||
stop_loss_price = trade.get('stop_loss_price')
|
||
take_profit_price = trade.get('take_profit_price') or trade.get('take_profit_1')
|
||
take_profit_1 = trade.get('take_profit_1')
|
||
take_profit_2 = trade.get('take_profit_2')
|
||
if stop_loss_price is None or take_profit_price is None:
|
||
stop_loss_pct = config.TRADING_CONFIG.get('STOP_LOSS_PERCENT', 0.08)
|
||
if stop_loss_pct is not None and stop_loss_pct > 1:
|
||
stop_loss_pct = stop_loss_pct / 100.0
|
||
take_profit_pct = config.TRADING_CONFIG.get('TAKE_PROFIT_PERCENT', 0.15)
|
||
if take_profit_pct is not None and take_profit_pct > 1:
|
||
take_profit_pct = take_profit_pct / 100.0
|
||
if not take_profit_pct:
|
||
take_profit_pct = (stop_loss_pct or 0.08) * 2.0
|
||
stop_loss_price = self.risk_manager.get_stop_loss_price(entry_price, side, quantity, leverage, stop_loss_pct=stop_loss_pct)
|
||
take_profit_price = take_profit_price or self.risk_manager.get_take_profit_price(entry_price, side, quantity, leverage, take_profit_pct=take_profit_pct)
|
||
if take_profit_2 is None and take_profit_price is not None:
|
||
take_profit_2 = take_profit_price
|
||
if take_profit_1 is not None and take_profit_2 is not None:
|
||
if side == 'BUY':
|
||
if take_profit_1 >= take_profit_2 and take_profit_2 > entry_price:
|
||
closer = min(take_profit_1, take_profit_2)
|
||
further = max(take_profit_1, take_profit_2)
|
||
if closer > entry_price:
|
||
take_profit_1 = closer
|
||
take_profit_2 = further
|
||
else:
|
||
if take_profit_1 <= take_profit_2 and take_profit_2 < entry_price:
|
||
closer = max(take_profit_1, take_profit_2)
|
||
further = min(take_profit_1, take_profit_2)
|
||
if closer < entry_price:
|
||
take_profit_1 = closer
|
||
take_profit_2 = further
|
||
position_info = {
|
||
'symbol': symbol,
|
||
'side': side,
|
||
'quantity': quantity,
|
||
'entryPrice': entry_price,
|
||
'changePercent': 0,
|
||
'orderId': trade.get('entry_order_id'),
|
||
'tradeId': trade.get('id'),
|
||
'stopLoss': stop_loss_price,
|
||
'takeProfit': take_profit_price,
|
||
'takeProfit1': take_profit_1,
|
||
'takeProfit2': take_profit_2,
|
||
'partialProfitTaken': False,
|
||
'remainingQuantity': quantity,
|
||
'initialStopLoss': stop_loss_price,
|
||
'leverage': leverage,
|
||
'entryReason': trade.get('entry_reason') or 'db_sync',
|
||
'entryTime': trade.get('entry_time'),
|
||
'atr': trade.get('atr'),
|
||
'maxProfit': 0.0,
|
||
'trailingStopActivated': False,
|
||
'breakevenStopSet': False,
|
||
}
|
||
self.active_positions[symbol] = position_info
|
||
logger.debug(f"{symbol} 已从 DB 载入到 active_positions，便于监控")
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 载入 active_positions 失败: {e}")
|
||
|
||
# 3. 找出在数据库中open但在币安已不存在的持仓
|
||
missing_in_binance = db_open_symbols - binance_symbols
|
||
|
||
if missing_in_binance:
|
||
logger.warning(
|
||
f"发现 {len(missing_in_binance)} 个持仓在数据库中为open状态，但在币安已不存在: "
|
||
f"{', '.join(missing_in_binance)}"
|
||
)
|
||
|
||
# 4. 更新这些持仓的状态
|
||
for symbol in missing_in_binance:
|
||
try:
|
||
trades = Trade.get_by_symbol(symbol, status='open', account_id=self.account_id)
|
||
if not trades:
|
||
logger.warning(f"{symbol} [状态同步] ⚠️ 数据库中没有找到open状态的交易记录，跳过")
|
||
continue
|
||
|
||
# 过滤掉刚刚开仓的交易（给予60秒的同步缓冲期）
|
||
# 避免因API延迟导致刚开的仓位被误判为"丢失"从而被错误关闭
|
||
import time
|
||
now_ts = int(time.time())
|
||
recent_trades = []
|
||
valid_trades = []
|
||
|
||
for t in trades:
|
||
try:
|
||
entry_time = t.get('entry_time')
|
||
if entry_time:
|
||
# 处理 entry_time 可能是 datetime 对象或时间戳的情况
|
||
entry_ts = 0
|
||
if hasattr(entry_time, 'timestamp'):
|
||
entry_ts = int(entry_time.timestamp())
|
||
elif isinstance(entry_time, (int, float)):
|
||
entry_ts = int(entry_time)
|
||
# 如果是刚刚开仓（60秒内），跳过同步关闭
|
||
if now_ts - entry_ts < 60:
|
||
recent_trades.append(t)
|
||
continue
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} [状态同步] 检查开仓时间出错: {e}")
|
||
|
||
valid_trades.append(t)
|
||
|
||
if recent_trades:
|
||
logger.info(f"{symbol} [状态同步] 发现 {len(recent_trades)} 个刚刚开仓的交易（<60s），跳过同步关闭（防止误杀）")
|
||
|
||
if not valid_trades:
|
||
if not recent_trades:
|
||
logger.warning(f"{symbol} [状态同步] 没有符合条件的交易记录需要更新")
|
||
continue
|
||
|
||
logger.info(f"{symbol} [状态同步] 找到 {len(valid_trades)} 条open状态的交易记录，开始更新...")
|
||
except Exception as get_trades_error:
|
||
logger.error(
|
||
f"{symbol} [状态同步] ❌ 获取交易记录失败: "
|
||
f"错误类型={type(get_trades_error).__name__}, 错误消息={str(get_trades_error)}"
|
||
)
|
||
import traceback
|
||
logger.debug(f"{symbol} [状态同步] 错误详情:\n{traceback.format_exc()}")
|
||
continue
|
||
|
||
for trade in valid_trades:
|
||
trade_id = trade.get('id')
|
||
if not trade_id:
|
||
logger.warning(f"{symbol} [状态同步] ⚠️ 交易记录缺少ID字段，跳过: {trade}")
|
||
continue
|
||
|
||
try:
|
||
logger.info(
|
||
f"{symbol} [状态同步] 更新交易记录状态 (ID: {trade_id})... | "
|
||
f"入场价: {trade.get('entry_price', 'N/A')}, "
|
||
f"数量: {trade.get('quantity', 'N/A')}, "
|
||
f"方向: {trade.get('side', 'N/A')}"
|
||
)
|
||
|
||
# 尝试从币安历史订单获取实际平仓价格
|
||
exit_price = None
|
||
realized_pnl = None
|
||
commission = None
|
||
close_orders = []
|
||
try:
|
||
# 优先尝试从成交记录(Trade History)获取精确的 Realized PnL
|
||
# 这是最准确的方式，因为它包含了资金费率、手续费扣除后的实际盈亏
|
||
try:
|
||
recent_trades = await self.client.get_recent_trades(symbol, limit=50)
|
||
|
||
# 确定过滤时间戳
|
||
entry_ts_ms_filter = 0
|
||
et_obj = trade.get('entry_time')
|
||
if hasattr(et_obj, 'timestamp'):
|
||
entry_ts_ms_filter = int(et_obj.timestamp() * 1000)
|
||
elif isinstance(et_obj, (int, float)):
|
||
# 区分秒和毫秒
|
||
entry_ts_ms_filter = int(et_obj * 1000) if et_obj < 3000000000 else int(et_obj)
|
||
elif isinstance(et_obj, str):
|
||
try:
|
||
from datetime import datetime
|
||
dt_obj = datetime.strptime(et_obj, "%Y-%m-%d %H:%M:%S")
|
||
entry_ts_ms_filter = int(dt_obj.timestamp() * 1000)
|
||
except:
|
||
pass
|
||
|
||
if entry_ts_ms_filter > 0:
|
||
# 筛选出入场之后的成交记录
|
||
closing_trades = [
|
||
t for t in recent_trades
|
||
if t.get('time', 0) > entry_ts_ms_filter and float(t.get('realizedPnl', 0)) != 0
|
||
]
|
||
|
||
if closing_trades:
|
||
total_pnl = 0.0
|
||
total_comm = 0.0
|
||
total_qty = 0.0
|
||
total_val = 0.0
|
||
|
||
for t in closing_trades:
|
||
total_pnl += float(t.get('realizedPnl', 0))
|
||
total_comm += float(t.get('commission', 0))
|
||
qty = float(t.get('qty', 0))
|
||
price = float(t.get('price', 0))
|
||
total_qty += qty
|
||
total_val += qty * price
|
||
|
||
realized_pnl = total_pnl
|
||
commission = total_comm
|
||
if total_qty > 0:
|
||
exit_price = total_val / total_qty
|
||
|
||
logger.info(
|
||
f"{symbol} [状态同步] ✓ 从成交记录获取精确盈亏: "
|
||
f"PnL={realized_pnl} USDT, 均价={exit_price:.4f}"
|
||
)
|
||
except Exception as trade_hist_err:
|
||
err_msg = str(trade_hist_err).strip() or type(trade_hist_err).__name__
|
||
logger.warning(f"{symbol} [状态同步] 获取成交记录失败: {err_msg}")
|
||
|
||
# 获取最近的平仓订单（reduceOnly=True的订单）
|
||
import time
|
||
end_time = int(time.time() * 1000) # 当前时间（毫秒）
|
||
start_time = end_time - (7 * 24 * 60 * 60 * 1000) # 最近7天
|
||
|
||
# 获取入场时间（毫秒）用于过滤
|
||
entry_ts_ms = 0
|
||
try:
|
||
et = trade.get('entry_time')
|
||
if et:
|
||
if isinstance(et, (int, float)):
|
||
# 如果小于 3000000000，认为是秒，转毫秒
|
||
entry_ts_ms = int(et * 1000) if et < 3000000000 else int(et)
|
||
elif hasattr(et, 'timestamp'): # datetime object
|
||
entry_ts_ms = int(et.timestamp() * 1000)
|
||
elif isinstance(et, str):
|
||
# 尝试解析字符串
|
||
try:
|
||
# 先尝试作为数字解析
|
||
et_float = float(et)
|
||
entry_ts_ms = int(et_float * 1000) if et_float < 3000000000 else int(et_float)
|
||
except ValueError:
|
||
# 尝试作为日期字符串解析
|
||
try:
|
||
from datetime import datetime
|
||
dt = datetime.strptime(et, "%Y-%m-%d %H:%M:%S")
|
||
entry_ts_ms = int(dt.timestamp() * 1000)
|
||
except:
|
||
pass
|
||
except Exception:
|
||
pass
|
||
|
||
# 优化：如果已知入场时间，则仅查询入场之后的订单
|
||
if entry_ts_ms > 0:
|
||
start_time = max(start_time, entry_ts_ms)
|
||
else:
|
||
# 如果没有入场时间（如手动录入且未填时间），缩小搜索范围以防止匹配到很久以前的订单
|
||
# 限制为最近1小时，避免匹配到几天的订单导致"时间倒流"
|
||
start_time = end_time - (60 * 60 * 1000)
|
||
logger.warning(f"{symbol} [状态同步] ⚠️ 交易记录缺少入场时间，将搜索范围限制为最近1小时")
|
||
|
||
logger.debug(
|
||
f"{symbol} [状态同步] 获取历史订单: "
|
||
f"symbol={symbol}, startTime={start_time}, endTime={end_time}"
|
||
)
|
||
|
||
# 获取历史订单
|
||
orders = await self.client.client.futures_get_all_orders(
|
||
symbol=symbol,
|
||
startTime=start_time,
|
||
endTime=end_time,
|
||
recvWindow=20000
|
||
)
|
||
|
||
# 验证 orders 的类型
|
||
if not isinstance(orders, list):
|
||
logger.warning(
|
||
f"{symbol} [状态同步] ⚠️ futures_get_all_orders 返回的不是列表: "
|
||
f"类型={type(orders)}, 值={orders}"
|
||
)
|
||
orders = [] # 设置为空列表，避免后续错误
|
||
|
||
if not orders:
|
||
logger.debug(f"{symbol} [状态同步] 未找到历史订单")
|
||
else:
|
||
logger.debug(f"{symbol} [状态同步] 找到 {len(orders)} 个历史订单")
|
||
|
||
# 查找最近的平仓订单（reduceOnly=True且已成交）
|
||
close_orders = []
|
||
|
||
for o in orders:
|
||
try:
|
||
if isinstance(o, dict) and o.get('reduceOnly') == True and o.get('status') == 'FILLED':
|
||
# 再次过滤掉早于入场时间的订单（双重保险）
|
||
order_time = int(o.get('updateTime', 0))
|
||
if entry_ts_ms > 0 and order_time < entry_ts_ms:
|
||
continue
|
||
# 如果没有入场时间，且订单时间早于1小时前（虽然startTime已限制，但双重检查），则跳过
|
||
if entry_ts_ms == 0 and order_time < (end_time - 3600000):
|
||
continue
|
||
|
||
close_orders.append(o)
|
||
except (AttributeError, TypeError) as e:
|
||
logger.warning(
|
||
f"{symbol} [状态同步] ⚠️ 处理订单数据时出错: "
|
||
f"错误类型={type(e).__name__}, 错误消息={str(e)}, "
|
||
f"订单数据类型={type(o)}, 订单数据={o}"
|
||
)
|
||
continue
|
||
|
||
if close_orders:
|
||
# 按时间倒序排序，取最近的
|
||
close_orders.sort(key=lambda x: x.get('updateTime', 0), reverse=True)
|
||
latest_order = close_orders[0]
|
||
|
||
# 获取平均成交价格
|
||
exit_price = float(latest_order.get('avgPrice', 0))
|
||
if exit_price > 0:
|
||
logger.info(f"{symbol} [状态同步] 从币安历史订单获取平仓价格: {exit_price:.4f} USDT")
|
||
else:
|
||
logger.warning(
|
||
f"{symbol} [状态同步] 历史订单中没有有效的avgPrice: {latest_order}"
|
||
)
|
||
except KeyError as key_error:
|
||
# KeyError 可能是访问 orders[symbol] 或其他字典访问错误
|
||
logger.error(
|
||
f"{symbol} [状态同步] ❌ 获取历史订单时KeyError: "
|
||
f"错误key={key_error}, 错误类型={type(key_error).__name__}"
|
||
)
|
||
import traceback
|
||
logger.debug(f"{symbol} [状态同步] KeyError详情:\n{traceback.format_exc()}")
|
||
except Exception as order_error:
|
||
logger.warning(
|
||
f"{symbol} [状态同步] 获取历史订单失败: "
|
||
f"错误类型={type(order_error).__name__}, 错误消息={str(order_error)}"
|
||
)
|
||
import traceback
|
||
logger.debug(f"{symbol} [状态同步] 错误详情:\n{traceback.format_exc()}")
|
||
|
||
# 如果无法从订单获取，尝试使用当前价格；若当前价格也无法获取，则保留open状态等待下次同步
|
||
if not exit_price or exit_price <= 0:
|
||
try:
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
if ticker and ticker.get('price'):
|
||
exit_price = float(ticker['price'])
|
||
logger.warning(f"{symbol} [状态同步] 使用当前价格作为平仓价格: {exit_price:.4f} USDT")
|
||
else:
|
||
logger.warning(
|
||
f"{symbol} [状态同步] 无法获取当前价格（ticker={ticker}），"
|
||
f"保留open状态等待下次同步"
|
||
)
|
||
continue
|
||
except KeyError as key_error:
|
||
# KeyError 可能是访问 ticker['price'] 时出错
|
||
logger.error(
|
||
f"{symbol} [状态同步] ❌ 获取当前价格时KeyError: {key_error}, "
|
||
f"ticker数据: {ticker if 'ticker' in locals() else 'N/A'}"
|
||
)
|
||
continue
|
||
except Exception as ticker_error:
|
||
logger.warning(
|
||
f"{symbol} [状态同步] 获取当前价格失败: "
|
||
f"错误类型={type(ticker_error).__name__}, 错误消息={str(ticker_error)}，"
|
||
f"将保留open状态等待下次同步"
|
||
)
|
||
continue
|
||
|
||
# 计算盈亏（确保所有值都是float类型，避免Decimal类型问题）
|
||
try:
|
||
entry_price = float(trade.get('entry_price', 0))
|
||
quantity = float(trade.get('quantity', 0))
|
||
|
||
if entry_price <= 0 or quantity <= 0:
|
||
logger.error(
|
||
f"{symbol} [状态同步] ❌ 交易记录数据无效: "
|
||
f"入场价={entry_price}, 数量={quantity}, 跳过更新"
|
||
)
|
||
continue
|
||
|
||
# 如果已经获取到精确的 Realized PnL，直接使用
|
||
if realized_pnl is not None:
|
||
pnl = realized_pnl
|
||
# 根据 Realized PnL 反推百分比 (PnL / 保证金) 或者 (PnL / 名义价值)?
|
||
# 这里保持与价格差计算一致的逻辑：(PriceDiff / EntryPrice) * 100
|
||
# 如果 exit_price 是计算出来的均价，这个公式依然成立
|
||
if trade.get('side') == 'BUY':
|
||
pnl_percent = ((exit_price - entry_price) / entry_price) * 100
|
||
else:
|
||
pnl_percent = ((entry_price - exit_price) / entry_price) * 100
|
||
else:
|
||
# 降级方案：使用价格差计算
|
||
if trade.get('side') == 'BUY':
|
||
pnl = (exit_price - entry_price) * quantity
|
||
pnl_percent = ((exit_price - entry_price) / entry_price) * 100
|
||
else: # SELL
|
||
pnl = (entry_price - exit_price) * quantity
|
||
pnl_percent = ((entry_price - exit_price) / entry_price) * 100
|
||
|
||
logger.debug(
|
||
f"{symbol} [状态同步] 盈亏计算: "
|
||
f"入场价={entry_price:.4f}, 平仓价={exit_price:.4f}, "
|
||
f"数量={quantity:.4f}, 方向={trade.get('side', 'N/A')}, "
|
||
f"盈亏={pnl:.2f} USDT ({pnl_percent:.2f}%)"
|
||
)
|
||
except (ValueError, TypeError, KeyError) as calc_error:
|
||
logger.error(
|
||
f"{symbol} [状态同步] ❌ 计算盈亏失败 (ID: {trade_id}): "
|
||
f"错误类型={type(calc_error).__name__}, 错误消息={str(calc_error)}, "
|
||
f"交易记录数据: entry_price={trade.get('entry_price', 'N/A')}, "
|
||
f"quantity={trade.get('quantity', 'N/A')}, side={trade.get('side', 'N/A')}"
|
||
)
|
||
continue
|
||
|
||
# 从历史订单中获取平仓订单号
|
||
exit_order_id = None
|
||
latest_close_order = None
|
||
if close_orders:
|
||
exit_order_id = close_orders[0].get('orderId')
|
||
latest_close_order = close_orders[0]
|
||
if exit_order_id:
|
||
logger.info(f"{symbol} [状态同步] 找到平仓订单号: {exit_order_id}")
|
||
|
||
# 使用 try-except 包裹，确保异常被正确处理
|
||
try:
|
||
# 计算持仓持续时间和策略类型
|
||
# exit_reason 细分：优先用价格匹配和特征判断，其次看币安订单类型
|
||
exit_reason = "sync"
|
||
exit_time_ts = None
|
||
is_reduce_only = False
|
||
|
||
try:
|
||
if latest_close_order and isinstance(latest_close_order, dict):
|
||
otype = str(
|
||
latest_close_order.get("type")
|
||
or latest_close_order.get("origType")
|
||
or ""
|
||
).upper()
|
||
is_reduce_only = latest_close_order.get("reduceOnly", False)
|
||
|
||
ms = latest_close_order.get("updateTime") or latest_close_order.get("time")
|
||
try:
|
||
if ms:
|
||
exit_time_ts = int(int(ms) / 1000)
|
||
except Exception:
|
||
exit_time_ts = None
|
||
except Exception:
|
||
pass
|
||
|
||
# ⚠️ 关键改进：优先使用价格匹配和特征判断（提高准确性）
|
||
# 这对于保护单触发的 MARKET 订单特别重要（币安的保护单触发后会生成 MARKET 订单，但 reduceOnly 可能不准确）
|
||
try:
|
||
def _close_to(a: float, b: float, max_pct: float = 0.10) -> bool: # 从5%放宽到10%，以应对极端滑点
|
||
if a <= 0 or b <= 0:
|
||
return False
|
||
return abs((a - b) / b) <= max_pct
|
||
|
||
ep = float(exit_price or 0)
|
||
entry_price_val = float(trade.get("entry_price", 0) or 0)
|
||
sl = trade.get("stop_loss_price")
|
||
tp = trade.get("take_profit_price")
|
||
tp1 = trade.get("take_profit_1")
|
||
tp2 = trade.get("take_profit_2")
|
||
|
||
# 计算持仓时间和亏损比例（用于特征判断）
|
||
entry_time = trade.get("entry_time")
|
||
duration_minutes = None
|
||
if entry_time and exit_time_ts:
|
||
try:
|
||
duration_minutes = (exit_time_ts - int(entry_time)) / 60.0
|
||
except Exception:
|
||
pass
|
||
|
||
# ⚠️ 关键修复：使用基于保证金的盈亏百分比判断盈利/亏损，而不是价格涨跌幅
|
||
# 因为价格涨跌幅（如2.35%）和基于保证金的盈亏百分比（如18.82%）差异很大
|
||
# 对于SELL单，价格从0.119跌到0.1162，价格涨跌幅只有2.35%，但基于保证金的盈亏百分比是18.82%
|
||
pnl_percent_price = float(trade.get("pnl_percent", 0) or 0) # 价格涨跌幅（数据库可能存储的是这个）
|
||
|
||
# 重新计算基于保证金的盈亏百分比（更准确）
|
||
leverage = float(trade.get("leverage", 8) or 8)
|
||
entry_value = entry_price * quantity
|
||
margin = entry_value / leverage if leverage > 0 else entry_value
|
||
pnl_percent_margin = (pnl / margin * 100) if margin > 0 else 0
|
||
|
||
# 使用基于保证金的盈亏百分比判断（与实时监控逻辑一致）
|
||
pnl_percent_for_judge = pnl_percent_margin
|
||
|
||
# ⚠️ 2026-01-27关键修复：优先检查盈亏情况，避免盈利单被错误标记为止损
|
||
# 1. 优先检查盈亏情况（使用基于保证金的盈亏百分比）
|
||
if pnl_percent_for_judge > 0:
|
||
# 盈利单：优先检查止盈价格匹配
|
||
if tp is not None and _close_to(ep, float(tp), max_pct=0.10):
|
||
exit_reason = "take_profit"
|
||
elif tp1 is not None and _close_to(ep, float(tp1), max_pct=0.10):
|
||
exit_reason = "take_profit"
|
||
elif tp2 is not None and _close_to(ep, float(tp2), max_pct=0.10):
|
||
exit_reason = "take_profit"
|
||
# 如果盈利但没有匹配止盈价，可能是移动止损或手动平仓
|
||
elif exit_reason == "sync":
|
||
# 检查是否有移动止损标记
|
||
if is_reduce_only:
|
||
exit_reason = "trailing_stop" # 可能是移动止损
|
||
else:
|
||
exit_reason = "manual" # 可能是手动平仓
|
||
else:
|
||
# 亏损单：检查止损价格匹配
|
||
if sl is not None and entry_price_val > 0 and ep > 0:
|
||
sl_val = float(sl)
|
||
# 价格匹配：平仓价接近止损价
|
||
if _close_to(ep, sl_val, max_pct=0.10):
|
||
exit_reason = "stop_loss"
|
||
# 方向匹配：BUY时平仓价 < 止损价，SELL时平仓价 > 止损价
|
||
elif (trade.get("side") == "BUY" and ep < sl_val) or (trade.get("side") == "SELL" and ep > sl_val):
|
||
# 如果价格在止损方向，且亏损比例较大，更可能是止损触发
|
||
# ⚠️ 关键修复：使用基于保证金的盈亏百分比判断
|
||
if pnl_percent_for_judge < -5.0: # 亏损超过5%（基于保证金）
|
||
exit_reason = "stop_loss"
|
||
logger.info(f"{trade.get('symbol')} [同步] 价格方向匹配止损，且亏损{pnl_percent_for_judge:.2f}% of margin，标记为止损")
|
||
|
||
# 2. 如果仍未确定，检查止盈价格匹配（作为备选）；仅盈利单可标为止盈
|
||
if exit_reason == "sync" and ep > 0 and pnl_percent_for_judge > 0:
|
||
if tp is not None and _close_to(ep, float(tp), max_pct=0.10):
|
||
exit_reason = "take_profit"
|
||
elif tp1 is not None and _close_to(ep, float(tp1), max_pct=0.10):
|
||
exit_reason = "take_profit"
|
||
elif tp2 is not None and _close_to(ep, float(tp2), max_pct=0.10):
|
||
exit_reason = "take_profit"
|
||
|
||
# 3. 特征判断：如果价格不匹配，但满足止损特征，也标记为止损
|
||
if exit_reason == "sync" and entry_price_val > 0 and ep > 0:
|
||
# 特征1：持仓时间短（< 30分钟）且亏损
|
||
# ⚠️ 关键修复：使用基于保证金的盈亏百分比判断
|
||
if duration_minutes and duration_minutes < 30 and pnl_percent_for_judge < -5.0:
|
||
# 特征2：价格在止损方向
|
||
if sl is not None:
|
||
sl_val = float(sl)
|
||
if (trade.get("side") == "BUY" and ep < sl_val) or (trade.get("side") == "SELL" and ep > sl_val):
|
||
exit_reason = "stop_loss"
|
||
logger.info(f"{trade.get('symbol')} [同步] 特征判断：持仓{duration_minutes:.1f}分钟，亏损{pnl_percent_for_judge:.2f}% of margin，价格在止损方向，标记为止损")
|
||
|
||
# ⚠️ 2026-02-05 修复：防止亏损单被错误标记为止盈
|
||
if pnl_percent_for_judge < 0 and exit_reason == "take_profit":
|
||
logger.warning(f"{symbol} [状态同步] ⚠️ 亏损单({pnl_percent_for_judge:.2f}%)被标记为止盈，强制修正为manual/stop_loss")
|
||
# 如果亏损较大，归为止损
|
||
if pnl_percent_for_judge < -5.0:
|
||
exit_reason = "stop_loss"
|
||
else:
|
||
exit_reason = "manual"
|
||
|
||
# 4. 如果之前标记为 sync 且是 reduceOnly 订单，但价格不匹配止损/止盈，可能是其他自动平仓（如移动止损）
|
||
if exit_reason == "sync" and is_reduce_only:
|
||
# 检查是否是移动止损：如果价格接近入场价，可能是移动止损触发的
|
||
if entry_price_val > 0 and _close_to(ep, entry_price_val, max_pct=0.01):
|
||
exit_reason = "trailing_stop"
|
||
|
||
# 5. 最后才看币安订单类型（作为兜底）；亏损单不标为止盈
|
||
if exit_reason == "sync" and latest_close_order and isinstance(latest_close_order, dict):
|
||
otype = str(
|
||
latest_close_order.get("type")
|
||
or latest_close_order.get("origType")
|
||
or ""
|
||
).upper()
|
||
|
||
if "TRAILING" in otype:
|
||
exit_reason = "trailing_stop"
|
||
elif "TAKE_PROFIT" in otype and pnl_percent_for_judge > 0:
|
||
exit_reason = "take_profit"
|
||
elif "TAKE_PROFIT" in otype and pnl_percent_for_judge < 0:
|
||
exit_reason = "stop_loss" if pnl_percent_for_judge < -5.0 else "manual"
|
||
elif "STOP" in otype:
|
||
exit_reason = "stop_loss"
|
||
elif otype in ("MARKET", "LIMIT"):
|
||
# 只有在价格和特征都不匹配，且不是 reduceOnly 时，才标记为手动平仓
|
||
if not is_reduce_only:
|
||
# 再次检查：如果亏损很大，更可能是止损触发（币安API可能不准确）
|
||
# ⚠️ 关键修复：使用基于保证金的盈亏百分比判断
|
||
if pnl_percent_for_judge < -10.0:
|
||
exit_reason = "stop_loss" # 大额亏损，更可能是止损
|
||
logger.warning(f"{trade.get('symbol')} [同步] 大额亏损{pnl_percent_for_judge:.2f}% of margin，即使reduceOnly=false也标记为止损")
|
||
else:
|
||
exit_reason = "manual"
|
||
except Exception as e:
|
||
logger.warning(f"判断平仓原因失败: {e}")
|
||
pass
|
||
|
||
# 持仓持续时间（分钟）：优先用币安订单时间，否则用当前时间
|
||
entry_time = trade.get("entry_time")
|
||
duration_minutes = None
|
||
try:
|
||
et = None
|
||
if isinstance(entry_time, (int, float)):
|
||
et = int(entry_time)
|
||
elif isinstance(entry_time, str) and entry_time.strip():
|
||
# 兼容旧格式：字符串时间戳/日期字符串
|
||
s = entry_time.strip()
|
||
if s.isdigit():
|
||
et = int(s)
|
||
else:
|
||
from datetime import datetime
|
||
et = int(datetime.fromisoformat(s).timestamp())
|
||
|
||
xt = int(exit_time_ts) if exit_time_ts is not None else int(get_beijing_time().timestamp())
|
||
if et is not None and xt >= et:
|
||
duration_minutes = int((xt - et) / 60)
|
||
except Exception as e:
|
||
logger.debug(f"计算持仓持续时间失败: {e}")
|
||
|
||
strategy_type = 'trend_following' # 默认策略类型
|
||
|
||
# ⚠️ 关键修复：使用基于保证金的盈亏百分比更新数据库（与实时监控逻辑一致）
|
||
Trade.update_exit(
|
||
trade_id=trade_id,
|
||
exit_price=exit_price,
|
||
exit_reason=exit_reason,
|
||
pnl=pnl,
|
||
pnl_percent=pnl_percent_margin, # 使用基于保证金的盈亏百分比
|
||
exit_order_id=exit_order_id, # 保存币安平仓订单号
|
||
strategy_type=strategy_type,
|
||
duration_minutes=duration_minutes,
|
||
exit_time_ts=exit_time_ts,
|
||
)
|
||
except Exception as update_error:
|
||
# update_exit 内部已经有异常处理，但如果仍然失败，记录错误但不中断同步流程
|
||
error_str = str(update_error)
|
||
if "Duplicate entry" in error_str and "exit_order_id" in error_str:
|
||
logger.warning(
|
||
f"{symbol} [状态同步] ⚠️ exit_order_id {exit_order_id} 唯一约束冲突，"
|
||
f"update_exit 内部处理失败，尝试不更新 exit_order_id"
|
||
)
|
||
# 再次尝试，不更新 exit_order_id
|
||
try:
|
||
from database.connection import db
|
||
# from database.models import get_beijing_time # 移除本地导入，避免 UnboundLocalError
|
||
exit_time = int(exit_time_ts) if exit_time_ts is not None else get_beijing_time()
|
||
db.execute_update(
|
||
"""UPDATE trades
|
||
SET exit_price = %s, exit_time = %s,
|
||
exit_reason = %s, pnl = %s, pnl_percent = %s, status = 'closed'
|
||
WHERE id = %s""",
|
||
(exit_price, exit_time, exit_reason, pnl, pnl_percent, trade_id)
|
||
)
|
||
logger.info(f"{symbol} [状态同步] ✓ 已更新（跳过 exit_order_id）")
|
||
except Exception as retry_error:
|
||
logger.error(f"{symbol} [状态同步] ❌ 重试更新也失败: {retry_error}")
|
||
raise
|
||
else:
|
||
# 其他错误，重新抛出
|
||
raise
|
||
|
||
logger.info(
|
||
f"{symbol} [状态同步] ✓ 已更新 (ID: {trade_id}, "
|
||
f"盈亏: {pnl:.2f} USDT, {pnl_percent:.2f}%)"
|
||
)
|
||
|
||
# 清理本地记录
|
||
if symbol in self.active_positions:
|
||
await self._stop_position_monitoring(symbol)
|
||
del self.active_positions[symbol]
|
||
logger.debug(f"{symbol} [状态同步] 已清理本地持仓记录")
|
||
|
||
except Exception as e:
|
||
# 详细记录错误信息，包括异常类型、错误消息和堆栈跟踪
|
||
import traceback
|
||
error_type = type(e).__name__
|
||
error_msg = str(e)
|
||
error_traceback = traceback.format_exc()
|
||
|
||
logger.error(
|
||
f"{symbol} [状态同步] ❌ 更新失败 (ID: {trade_id}): "
|
||
f"错误类型={error_type}, 错误消息={error_msg}"
|
||
)
|
||
logger.debug(
|
||
f"{symbol} [状态同步] 错误详情:\n{error_traceback}"
|
||
)
|
||
|
||
# 如果是数据库相关错误，记录更多信息
|
||
if "Duplicate entry" in error_msg or "1062" in error_msg:
|
||
logger.error(
|
||
f"{symbol} [状态同步] 数据库唯一约束冲突，"
|
||
f"可能原因: exit_order_id={exit_order_id} 已被其他交易记录使用"
|
||
)
|
||
elif "database" in error_msg.lower() or "connection" in error_msg.lower():
|
||
logger.error(
|
||
f"{symbol} [状态同步] 数据库连接或执行错误，"
|
||
f"请检查数据库连接状态"
|
||
)
|
||
else:
|
||
logger.info("✓ 持仓状态同步完成，数据库与币安状态一致")
|
||
|
||
# 5. 检查币安有但数据库没有记录的持仓（可能是本策略开仓后未正确落库、或其它来源）
|
||
missing_in_db = binance_symbols - db_open_symbols
|
||
if missing_in_db:
|
||
logger.info(
|
||
f"[账号{self.account_id}] 发现 {len(missing_in_db)} 个持仓在币安存在但数据库中没有 open 记录: "
|
||
f"{', '.join(missing_in_db)}"
|
||
)
|
||
sync_create_manual = config.TRADING_CONFIG.get("SYNC_CREATE_MANUAL_ENTRY_RECORD", False)
|
||
sync_recover = config.TRADING_CONFIG.get("SYNC_RECOVER_MISSING_POSITIONS", True)
|
||
sync_recover_only_has_sltp = config.TRADING_CONFIG.get("SYNC_RECOVER_ONLY_WHEN_HAS_SLTP", True)
|
||
# 订单统一由自动下单入 DB：同步/持仓 sync 不创建新记录，仅 WS 与自动开仓写库
|
||
if config.TRADING_CONFIG.get("ONLY_AUTO_TRADE_CREATES_RECORDS", True):
|
||
sync_recover = False
|
||
sync_create_manual = False
|
||
if missing_in_db:
|
||
logger.debug(f"[账号{self.account_id}] ONLY_AUTO_TRADE_CREATES_RECORDS=True，跳过补建/手动开仓创建 ({len(missing_in_db)} 个仅币安持仓)")
|
||
|
||
if sync_recover:
|
||
system_order_prefix = (config.TRADING_CONFIG.get("SYSTEM_ORDER_ID_PREFIX") or "").strip()
|
||
if system_order_prefix:
|
||
logger.info(
|
||
f" → 补建缺失持仓：一律写入 DB、自动挂止损止盈并纳入监控（含 clientOrderId 非 {system_order_prefix!r} 前缀的来历不明仓）"
|
||
)
|
||
else:
|
||
logger.info(" → 补建缺失持仓：一律写入 DB、自动挂止损止盈并纳入监控（含无 SL/TP 的仓位）")
|
||
for symbol in missing_in_db:
|
||
try:
|
||
binance_position = next((p for p in binance_positions if p.get("symbol") == symbol), None)
|
||
if not binance_position or float(binance_position.get("positionAmt", 0)) == 0:
|
||
continue
|
||
position_amt = float(binance_position["positionAmt"])
|
||
quantity = abs(position_amt)
|
||
side = "BUY" if position_amt > 0 else "SELL"
|
||
entry_price = float(binance_position.get("entryPrice", 0))
|
||
notional = quantity * entry_price
|
||
if notional < 1.0:
|
||
continue
|
||
# 补建时尽量拿到 entry_order_id：优先按时间范围查开仓订单并用 clientOrderId 前缀锁定本系统单，避免拿错/拿不到
|
||
entry_order_id = None
|
||
client_order_id_sync = None
|
||
if system_order_prefix:
|
||
try:
|
||
end_ms = int(time.time() * 1000)
|
||
start_ms = end_ms - (24 * 3600 * 1000)
|
||
orders = await self.client.client.futures_get_all_orders(
|
||
symbol=symbol, startTime=start_ms, endTime=end_ms, recvWindow=20000
|
||
)
|
||
if isinstance(orders, list):
|
||
open_orders = [
|
||
o for o in orders
|
||
if isinstance(o, dict) and o.get("reduceOnly") is False
|
||
and str(o.get("side", "")).upper() == side and o.get("status") == "FILLED"
|
||
]
|
||
our_orders = [o for o in open_orders if (o.get("clientOrderId") or "").startswith(system_order_prefix)]
|
||
if our_orders:
|
||
our_orders.sort(key=lambda x: int(x.get("updateTime", 0)), reverse=True)
|
||
best = None
|
||
for o in our_orders:
|
||
ap = float(o.get("avgPrice") or 0)
|
||
eq = float(o.get("executedQty") or o.get("origQty") or 0)
|
||
if ap > 0 and abs(ap - entry_price) / max(entry_price, 1e-9) < 0.01 and abs(eq - quantity) < 1e-6:
|
||
best = o
|
||
break
|
||
if best is None:
|
||
best = our_orders[0]
|
||
entry_order_id = best.get("orderId")
|
||
client_order_id_sync = (best.get("clientOrderId") or "").strip() or None
|
||
logger.debug(f" {symbol} 补建从 get_all_orders 取得 orderId={entry_order_id}, clientOrderId={client_order_id_sync!r}")
|
||
except Exception as e:
|
||
logger.debug(f" {symbol} 补建 get_all_orders 取开仓订单号失败: {e}")
|
||
if entry_order_id is None:
|
||
try:
|
||
recent = await self.client.get_recent_trades(symbol, limit=100)
|
||
if not recent:
|
||
await asyncio.sleep(2)
|
||
recent = await self.client.get_recent_trades(symbol, limit=100)
|
||
if recent:
|
||
same_side = [t for t in recent if str(t.get("side", "")).upper() == side]
|
||
same_side.sort(key=lambda x: int(x.get("time", 0)), reverse=True)
|
||
if system_order_prefix and same_side:
|
||
for t in same_side[:5]:
|
||
oid = t.get("orderId")
|
||
if not oid:
|
||
continue
|
||
try:
|
||
info = await self.client.client.futures_get_order(symbol=symbol, orderId=int(oid), recvWindow=20000)
|
||
cid = (info or {}).get("clientOrderId") or ""
|
||
if cid.startswith(system_order_prefix):
|
||
entry_order_id = oid
|
||
client_order_id_sync = cid.strip() or None
|
||
break
|
||
except Exception:
|
||
continue
|
||
if entry_order_id is None and same_side:
|
||
entry_order_id = same_side[0].get("orderId")
|
||
except Exception:
|
||
pass
|
||
if entry_order_id and client_order_id_sync is None:
|
||
try:
|
||
order_info = await self.client.client.futures_get_order(symbol=symbol, orderId=int(entry_order_id), recvWindow=20000)
|
||
cid = (order_info or {}).get("clientOrderId") or ""
|
||
client_order_id_sync = cid.strip() or None
|
||
except Exception:
|
||
pass
|
||
# 标记是否「来历不明」：用于 DB entry_reason 与后续统计分析（sync_recovered_unknown_origin）
|
||
sync_unknown_origin = False
|
||
is_clearly_manual = False
|
||
if system_order_prefix and entry_order_id and client_order_id_sync and not client_order_id_sync.startswith(system_order_prefix):
|
||
is_clearly_manual = True
|
||
logger.debug(f" {symbol} 开仓订单 clientOrderId={client_order_id_sync!r} 非系统前缀，将按来历不明仓补建并挂 SL/TP")
|
||
elif system_order_prefix and entry_order_id and not client_order_id_sync:
|
||
try:
|
||
order_info = await self.client.client.futures_get_order(symbol=symbol, orderId=int(entry_order_id), recvWindow=20000)
|
||
cid = (order_info or {}).get("clientOrderId") or ""
|
||
if cid and not cid.startswith(system_order_prefix):
|
||
is_clearly_manual = True
|
||
except Exception:
|
||
pass
|
||
if system_order_prefix:
|
||
if is_clearly_manual and config.TRADING_CONFIG.get("SYNC_MONITOR_BINANCE_POSITIONS_WITH_SLTP", True):
|
||
if await self._symbol_has_sltp_orders(symbol):
|
||
is_clearly_manual = False
|
||
logger.info(f" → {symbol} 开仓订单 clientOrderId 非系统前缀，但存在止损/止盈单，按系统单补建并监控")
|
||
if is_clearly_manual:
|
||
sync_unknown_origin = True
|
||
logger.info(f" → {symbol} 来历不明（开仓订单非系统前缀），将补建记录、自动挂止损止盈并纳入监控")
|
||
else:
|
||
if sync_recover_only_has_sltp and not (await self._symbol_has_sltp_orders(symbol)):
|
||
sync_unknown_origin = True
|
||
logger.info(f" → {symbol} 无止损/止盈单，将补建记录、自动挂止损止盈并纳入监控")
|
||
# 不再因 is_clearly_manual 或 无 SL/TP 跳过，一律补建 + 挂 SL/TP + 监控
|
||
entry_reason_sync = "sync_recovered_unknown_origin" if sync_unknown_origin else "sync_recovered"
|
||
# 同一开仓订单在 DB 中已有记录（无论 open 或 closed）则跳过，避免重复建单（如 PYTHUSDT 同单多笔）
|
||
if entry_order_id and hasattr(Trade, "get_by_entry_order_id"):
|
||
try:
|
||
existing = Trade.get_by_entry_order_id(entry_order_id)
|
||
if existing and existing.get("symbol") == symbol:
|
||
logger.debug(f" {symbol} 开仓订单 {entry_order_id} 已有记录 (id={existing.get('id')}, status={existing.get('status')})，跳过补建")
|
||
continue
|
||
except Exception:
|
||
pass
|
||
# 从币安取真实开仓时间，避免补建后开仓时间全是“当前时间”
|
||
entry_time_ts = None
|
||
if entry_order_id:
|
||
try:
|
||
oi = await self.client.client.futures_get_order(symbol=symbol, orderId=int(entry_order_id), recvWindow=20000)
|
||
if oi and oi.get("time"):
|
||
entry_time_ts = int(oi["time"]) // 1000
|
||
except Exception:
|
||
pass
|
||
if entry_time_ts is None:
|
||
try:
|
||
recent = await self.client.get_recent_trades(symbol, limit=100)
|
||
same_side = [t for t in (recent or []) if str(t.get("side", "")).upper() == side]
|
||
if same_side:
|
||
same_side.sort(key=lambda x: int(x.get("time", 0)))
|
||
entry_time_ts = int(same_side[0].get("time", 0)) // 1000
|
||
except Exception:
|
||
pass
|
||
trade_id = Trade.create(
|
||
symbol=symbol,
|
||
side=side,
|
||
quantity=quantity,
|
||
entry_price=entry_price,
|
||
leverage=binance_position.get("leverage", 10),
|
||
entry_reason=entry_reason_sync,
|
||
entry_order_id=entry_order_id,
|
||
client_order_id=client_order_id_sync,
|
||
notional_usdt=notional,
|
||
margin_usdt=(notional / float(binance_position.get("leverage", 10) or 10)) if float(binance_position.get("leverage", 10) or 0) > 0 else None,
|
||
account_id=self.account_id,
|
||
entry_time=entry_time_ts,
|
||
)
|
||
logger.info(f" ✓ {symbol} [状态同步] 已补建交易记录 (ID: {trade_id}, orderId: {entry_order_id or '-'}, entry_reason={entry_reason_sync})")
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
current_price = ticker["price"] if ticker else entry_price
|
||
lev = float(binance_position.get("leverage", 10))
|
||
stop_loss_pct = config.TRADING_CONFIG.get("STOP_LOSS_PERCENT", 0.08)
|
||
if stop_loss_pct is not None and stop_loss_pct > 1:
|
||
stop_loss_pct = stop_loss_pct / 100.0
|
||
take_profit_pct = config.TRADING_CONFIG.get("TAKE_PROFIT_PERCENT", 0.15)
|
||
if take_profit_pct is not None and take_profit_pct > 1:
|
||
take_profit_pct = take_profit_pct / 100.0
|
||
if not take_profit_pct:
|
||
take_profit_pct = (stop_loss_pct or 0.08) * 2.0
|
||
stop_loss_price = self.risk_manager.get_stop_loss_price(entry_price, side, quantity, lev, stop_loss_pct=stop_loss_pct)
|
||
take_profit_price = self.risk_manager.get_take_profit_price(entry_price, side, quantity, lev, take_profit_pct=take_profit_pct)
|
||
position_info = {
|
||
"symbol": symbol, "side": side, "quantity": quantity, "entryPrice": entry_price,
|
||
"changePercent": 0, "orderId": entry_order_id, "tradeId": trade_id,
|
||
"stopLoss": stop_loss_price, "takeProfit": take_profit_price, "initialStopLoss": stop_loss_price,
|
||
"leverage": lev, "entryReason": entry_reason_sync, "atr": None, "maxProfit": 0.0, "trailingStopActivated": False,
|
||
"entryTime": entry_time_ts if entry_time_ts is not None else get_beijing_time(),
|
||
}
|
||
self.active_positions[symbol] = position_info
|
||
# 补建后立即在交易所挂/修正止损止盈（替换可能存在的异常远止损、缺止盈等）
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price)
|
||
except Exception as sltp_e:
|
||
logger.warning(f" {symbol} [补建] 补挂交易所止损止盈失败（不影响监控）: {sltp_e}")
|
||
if self._monitoring_enabled:
|
||
await self._start_position_monitoring(symbol)
|
||
except Exception as e:
|
||
logger.warning(f" ✗ {symbol} [状态同步] 补建失败: {e}")
|
||
elif not sync_create_manual:
|
||
logger.info(
|
||
f"[账号{self.account_id}] → 已跳过自动创建交易记录（SYNC_CREATE_MANUAL_ENTRY_RECORD=False, "
|
||
"SYNC_RECOVER_MISSING_POSITIONS 未开启）。"
|
||
" 若确认为本策略开仓可开启 SYNC_RECOVER_MISSING_POSITIONS=True（仅补建有止损止盈单的）。"
|
||
)
|
||
elif sync_create_manual:
|
||
# 为手动开仓的持仓创建数据库记录并启动监控（仅当显式开启且未走上面的「补建系统单」时）
|
||
for symbol in missing_in_db:
|
||
try:
|
||
# 获取币安持仓详情
|
||
binance_position = next(
|
||
(p for p in binance_positions if p['symbol'] == symbol),
|
||
None
|
||
)
|
||
if not binance_position:
|
||
continue
|
||
|
||
position_amt = binance_position['positionAmt']
|
||
entry_price = binance_position['entryPrice']
|
||
quantity = abs(position_amt)
|
||
side = 'BUY' if position_amt > 0 else 'SELL'
|
||
|
||
notional = (float(entry_price) * float(quantity)) if entry_price and quantity else 0
|
||
if notional < 1.0:
|
||
logger.debug(f"{symbol} [状态同步] 跳过灰尘持仓 (名义 {notional:.4f} USDT < 1)，不创建记录")
|
||
continue
|
||
logger.info(
|
||
f"{symbol} [状态同步] 检测到手动开仓，创建数据库记录... "
|
||
f"({side} {quantity:.4f} @ {entry_price:.4f})"
|
||
)
|
||
# 尽量从币安成交取 entry_order_id 与真实开仓时间（limit=100、空时重试一次）
|
||
entry_order_id = None
|
||
entry_time_ts = None
|
||
try:
|
||
recent = await self.client.get_recent_trades(symbol, limit=100)
|
||
if not recent:
|
||
await asyncio.sleep(2)
|
||
recent = await self.client.get_recent_trades(symbol, limit=100)
|
||
if recent:
|
||
same_side = [t for t in recent if str(t.get('side', '')).upper() == side]
|
||
if same_side:
|
||
same_side.sort(key=lambda x: int(x.get('time', 0)), reverse=True)
|
||
entry_order_id = same_side[0].get('orderId')
|
||
# 开仓时间取同方向最早一笔成交（oldest），避免显示为“当前时间”
|
||
same_side_asc = sorted(same_side, key=lambda x: int(x.get('time', 0)))
|
||
entry_time_ts = int(same_side_asc[0].get('time', 0)) // 1000
|
||
except Exception:
|
||
pass
|
||
if entry_time_ts is None and entry_order_id:
|
||
try:
|
||
oi = await self.client.client.futures_get_order(symbol=symbol, orderId=int(entry_order_id), recvWindow=20000)
|
||
if oi and oi.get('time'):
|
||
entry_time_ts = int(oi['time']) // 1000
|
||
except Exception:
|
||
pass
|
||
# 创建数据库记录（显式传入 account_id、真实开仓时间）
|
||
trade_id = Trade.create(
|
||
symbol=symbol,
|
||
side=side,
|
||
quantity=quantity,
|
||
entry_price=entry_price,
|
||
leverage=binance_position.get('leverage', 10),
|
||
entry_reason='manual_entry', # 标记为手动开仓
|
||
entry_order_id=entry_order_id,
|
||
notional_usdt=notional,
|
||
margin_usdt=(notional / float(binance_position.get('leverage', 10) or 10)) if float(binance_position.get('leverage', 10) or 0) > 0 else None,
|
||
account_id=self.account_id,
|
||
entry_time=entry_time_ts,
|
||
)
|
||
|
||
logger.info(f"{symbol} [状态同步] ✓ 数据库记录已创建 (ID: {trade_id})")
|
||
|
||
# 创建本地持仓记录（用于监控）
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
current_price = ticker['price'] if ticker else entry_price
|
||
|
||
# 计算止损止盈（基于保证金）
|
||
leverage = binance_position.get('leverage', 10)
|
||
stop_loss_pct_margin = config.TRADING_CONFIG.get('STOP_LOSS_PERCENT', 0.08)
|
||
# ⚠️ 关键修复：配置值格式转换（兼容百分比形式和比例形式）
|
||
if stop_loss_pct_margin is not None and stop_loss_pct_margin > 1:
|
||
stop_loss_pct_margin = stop_loss_pct_margin / 100.0
|
||
take_profit_pct_margin = config.TRADING_CONFIG.get('TAKE_PROFIT_PERCENT', 0.15)
|
||
# ⚠️ 关键修复：配置值格式转换（兼容百分比形式和比例形式）
|
||
if take_profit_pct_margin is not None and take_profit_pct_margin > 1:
|
||
take_profit_pct_margin = take_profit_pct_margin / 100.0
|
||
# 如果配置中没有设置止盈，则使用止损的2倍作为默认
|
||
if take_profit_pct_margin is None or take_profit_pct_margin == 0:
|
||
take_profit_pct_margin = stop_loss_pct_margin * 2.0
|
||
|
||
stop_loss_price = self.risk_manager.get_stop_loss_price(
|
||
entry_price, side, quantity, leverage,
|
||
stop_loss_pct=stop_loss_pct_margin
|
||
)
|
||
take_profit_price = self.risk_manager.get_take_profit_price(
|
||
entry_price, side, quantity, leverage,
|
||
take_profit_pct=take_profit_pct_margin
|
||
)
|
||
|
||
position_info = {
|
||
'symbol': symbol,
|
||
'side': side,
|
||
'quantity': quantity,
|
||
'entryPrice': entry_price,
|
||
'changePercent': 0, # 手动开仓，无法计算涨跌幅
|
||
'orderId': entry_order_id,
|
||
'tradeId': trade_id,
|
||
'stopLoss': stop_loss_price,
|
||
'takeProfit': take_profit_price,
|
||
'initialStopLoss': stop_loss_price,
|
||
'leverage': leverage,
|
||
'entryReason': 'manual_entry',
|
||
'entryTime': entry_time_ts if entry_time_ts is not None else get_beijing_time(), # 真实开仓时间（来自币安成交/订单）
|
||
'atr': None,
|
||
'maxProfit': 0.0,
|
||
'trailingStopActivated': False,
|
||
'breakevenStopSet': False
|
||
}
|
||
|
||
self.active_positions[symbol] = position_info
|
||
|
||
# 启动WebSocket监控
|
||
if self._monitoring_enabled:
|
||
await self._start_position_monitoring(symbol)
|
||
logger.info(f"[账号{self.account_id}] {symbol} [状态同步] ✓ 已启动实时监控")
|
||
|
||
logger.info(f"{symbol} [状态同步] ✓ 手动开仓同步完成")
|
||
|
||
except Exception as e:
|
||
logger.error(f"{symbol} [状态同步] ❌ 处理手动开仓失败: {e}")
|
||
import traceback
|
||
logger.error(f" 错误详情:\n{traceback.format_exc()}")
|
||
|
||
# 6. 同步挂单信息 (STOP_MARKET / TAKE_PROFIT_MARKET)
|
||
if self.active_positions:
|
||
logger.debug("正在同步持仓挂单信息...")
|
||
try:
|
||
tasks = []
|
||
symbols = list(self.active_positions.keys())
|
||
for symbol in symbols:
|
||
tasks.append(self.client.get_open_orders(symbol))
|
||
|
||
results = await asyncio.gather(*tasks, return_exceptions=True)
|
||
|
||
for symbol, orders in zip(symbols, results):
|
||
if isinstance(orders, list):
|
||
# Filter for relevant orders (SL/TP)
|
||
conditional_orders = []
|
||
for o in orders:
|
||
o_type = o.get('type')
|
||
# 关注止盈止损单
|
||
if o_type in ['STOP_MARKET', 'TAKE_PROFIT_MARKET', 'STOP', 'TAKE_PROFIT']:
|
||
conditional_orders.append({
|
||
'orderId': o.get('orderId'),
|
||
'type': o_type,
|
||
'side': o.get('side'),
|
||
'stopPrice': float(o.get('stopPrice', 0)),
|
||
'price': float(o.get('price', 0)),
|
||
'origType': o.get('origType'),
|
||
'reduceOnly': o.get('reduceOnly'),
|
||
'status': o.get('status')
|
||
})
|
||
|
||
if symbol in self.active_positions:
|
||
self.active_positions[symbol]['openOrders'] = conditional_orders
|
||
logger.debug(f"{symbol} 同步挂单: {len(conditional_orders)} 个")
|
||
else:
|
||
logger.warning(f"{symbol} 获取挂单失败: {orders}")
|
||
except Exception as e:
|
||
logger.error(f"同步挂单信息失败: {e}")
|
||
|
||
logger.info("持仓状态同步完成")
|
||
|
||
except Exception as e:
|
||
logger.error(f"同步持仓状态失败: {e}")
|
||
import traceback
|
||
logger.error(f"错误详情:\n{traceback.format_exc()}")
|
||
|
||
async def start_all_position_monitoring(self):
|
||
"""
|
||
启动所有持仓的WebSocket实时监控
|
||
"""
|
||
if not self._monitoring_enabled:
|
||
logger.info("实时监控已禁用，跳过启动")
|
||
return
|
||
|
||
# WebSocket 现在直接使用 aiohttp，不需要检查 socket_manager
|
||
if not self.client:
|
||
logger.warning("客户端未初始化，无法启动实时监控")
|
||
return
|
||
|
||
# 获取当前所有持仓（与 sync 一致：仅本系统关心的持仓会进 active_positions）
|
||
# 多账号时必须用 account_id 读缓存；若缓存返回数量少于本地记录则强制 REST 一次，避免误判「持仓已不存在」
|
||
positions = await self._get_open_positions()
|
||
binance_symbols = {p['symbol'] for p in positions}
|
||
active_symbols = set(self.active_positions.keys())
|
||
if active_symbols and len(binance_symbols) < len(active_symbols):
|
||
try:
|
||
rest_positions = await self.client.get_open_positions()
|
||
if rest_positions and len(rest_positions) > len(positions):
|
||
positions = rest_positions
|
||
binance_symbols = {p['symbol'] for p in positions}
|
||
logger.info(f"[账号{self.account_id}] 缓存持仓数少于本地记录，已用 REST 拉取完整持仓: {len(binance_symbols)} 个")
|
||
except Exception as e:
|
||
logger.debug(f"[账号{self.account_id}] REST 拉取完整持仓失败: {e}")
|
||
sync_create_manual = config.TRADING_CONFIG.get("SYNC_CREATE_MANUAL_ENTRY_RECORD", False)
|
||
|
||
logger.info(f"[账号{self.account_id}] 币安持仓: {len(binance_symbols)} 个 ({', '.join(binance_symbols) if binance_symbols else '无'})")
|
||
logger.info(f"[账号{self.account_id}] 本地持仓记录: {len(active_symbols)} 个 ({', '.join(active_symbols) if active_symbols else '无'})")
|
||
|
||
# 仅为本系统已有记录的持仓启动监控；若未开启「同步创建手动开仓记录」，则不为「仅币安有仓」创建临时记录或监控
|
||
# 例外：SYNC_MONITOR_BINANCE_POSITIONS_WITH_SLTP=True 时，对「仅币安有仓且存在止损/止盈单」的视为可监管（多为系统单），补建并监控
|
||
only_binance = binance_symbols - active_symbols
|
||
monitor_binance_with_sltp = config.TRADING_CONFIG.get("SYNC_MONITOR_BINANCE_POSITIONS_WITH_SLTP", True)
|
||
if only_binance and not sync_create_manual and not monitor_binance_with_sltp:
|
||
logger.info(f"[账号{self.account_id}] 跳过 {len(only_binance)} 个仅币安持仓的监控（SYNC_CREATE_MANUAL_ENTRY_RECORD=False 且 SYNC_MONITOR_BINANCE_POSITIONS_WITH_SLTP=False）: {', '.join(only_binance)}")
|
||
|
||
for position in positions:
|
||
symbol = position['symbol']
|
||
if symbol not in self._monitor_tasks:
|
||
# 若不在 active_positions：要么开启「同步创建手动开仓」则全部接入，要么仅对「有止损/止盈单」的接入（视为系统单）
|
||
if symbol not in self.active_positions:
|
||
has_sltp = await self._symbol_has_sltp_orders(symbol) if monitor_binance_with_sltp else False
|
||
should_create = sync_create_manual or (monitor_binance_with_sltp and has_sltp)
|
||
if not should_create:
|
||
continue
|
||
if sync_create_manual:
|
||
logger.warning(f"[账号{self.account_id}] {symbol} 在币安有持仓但不在本地记录中，可能是手动开仓，尝试创建记录...")
|
||
else:
|
||
logger.info(f"[账号{self.account_id}] {symbol} 仅币安有仓且存在止损/止盈单，按系统单接入监控并补建记录")
|
||
try:
|
||
entry_price = position.get('entryPrice', 0)
|
||
position_amt = position['positionAmt']
|
||
quantity = abs(position_amt)
|
||
side = 'BUY' if position_amt > 0 else 'SELL'
|
||
|
||
# 创建临时记录用于监控
|
||
ticker = await self.client.get_ticker_24h(symbol)
|
||
current_price = ticker['price'] if ticker else entry_price
|
||
|
||
# 计算止损止盈（基于保证金）
|
||
try:
|
||
leverage = float(position.get('leverage', 10))
|
||
except (ValueError, TypeError):
|
||
leverage = 10.0
|
||
|
||
# 优先从币安读取当前止损/止盈，避免用“初始止损”覆盖已有保本/移动止损
|
||
sl_from_ex, tp_from_ex = await self._get_sltp_from_exchange(symbol, side)
|
||
if sl_from_ex is not None or tp_from_ex is not None:
|
||
stop_loss_price = float(sl_from_ex) if sl_from_ex is not None else None
|
||
take_profit_price = float(tp_from_ex) if tp_from_ex is not None else None
|
||
else:
|
||
stop_loss_price = None
|
||
take_profit_price = None
|
||
if stop_loss_price is None or take_profit_price is None:
|
||
stop_loss_pct_margin = config.TRADING_CONFIG.get('STOP_LOSS_PERCENT', 0.08)
|
||
if stop_loss_pct_margin is not None and stop_loss_pct_margin > 1:
|
||
stop_loss_pct_margin = stop_loss_pct_margin / 100.0
|
||
take_profit_pct_margin = config.TRADING_CONFIG.get('TAKE_PROFIT_PERCENT', 0.15)
|
||
if take_profit_pct_margin is not None and take_profit_pct_margin > 1:
|
||
take_profit_pct_margin = take_profit_pct_margin / 100.0
|
||
if take_profit_pct_margin is None or take_profit_pct_margin == 0:
|
||
take_profit_pct_margin = (stop_loss_pct_margin or 0.05) * 2.0
|
||
if stop_loss_price is None:
|
||
stop_loss_price = self.risk_manager.get_stop_loss_price(
|
||
entry_price, side, quantity, leverage,
|
||
stop_loss_pct=stop_loss_pct_margin or 0.05
|
||
)
|
||
if take_profit_price is None:
|
||
take_profit_price = self.risk_manager.get_take_profit_price(
|
||
entry_price, side, quantity, leverage,
|
||
take_profit_pct=take_profit_pct_margin
|
||
)
|
||
|
||
entry_reason = 'manual_entry_temp' if sync_create_manual else 'sync_recovered'
|
||
position_info = {
|
||
'symbol': symbol,
|
||
'side': side,
|
||
'quantity': quantity,
|
||
'entryPrice': entry_price,
|
||
'changePercent': 0,
|
||
'orderId': None,
|
||
'tradeId': None,
|
||
'stopLoss': stop_loss_price,
|
||
'takeProfit': take_profit_price,
|
||
'initialStopLoss': stop_loss_price,
|
||
'leverage': leverage,
|
||
'entryReason': entry_reason,
|
||
'atr': None,
|
||
'maxProfit': 0.0,
|
||
'trailingStopActivated': False,
|
||
'breakevenStopSet': False
|
||
}
|
||
# 订单统一由自动下单入 DB，此处仅做内存监控不创建 DB 记录
|
||
if not sync_create_manual and DB_AVAILABLE and Trade and not config.TRADING_CONFIG.get("ONLY_AUTO_TRADE_CREATES_RECORDS", True):
|
||
try:
|
||
notional = float(entry_price) * quantity
|
||
trade_id = Trade.create(
|
||
symbol=symbol,
|
||
side=side,
|
||
quantity=quantity,
|
||
entry_price=entry_price,
|
||
leverage=leverage,
|
||
entry_reason="sync_recovered",
|
||
entry_order_id=None,
|
||
notional_usdt=notional,
|
||
margin_usdt=(notional / leverage) if leverage else None,
|
||
account_id=self.account_id,
|
||
stop_loss_price=stop_loss_price,
|
||
take_profit_price=take_profit_price,
|
||
)
|
||
position_info['tradeId'] = trade_id
|
||
except Exception as db_e:
|
||
logger.debug(f"{symbol} 补建 DB 记录失败（不影响监控）: {db_e}")
|
||
self.active_positions[symbol] = position_info
|
||
logger.info(f"[账号{self.account_id}] {symbol} 已创建持仓记录用于监控" + (" (已写入 DB)" if position_info.get("tradeId") else ""))
|
||
# 也为“现有持仓”补挂交易所保护单（重启/掉线更安全）
|
||
try:
|
||
mp = None
|
||
try:
|
||
mp = float(position.get("markPrice", 0) or 0) or None
|
||
except Exception:
|
||
mp = None
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=mp or current_price)
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} 补挂币安止盈止损失败（不影响监控）: {e}")
|
||
# 重启后立即按当前价做一次保本/移动止损检查并同步，不依赖首条 WS 推送
|
||
try:
|
||
_px = float(position.get("markPrice", 0) or 0) or float(current_price or entry_price)
|
||
await self._check_single_position(symbol, _px)
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 启动时保本/移动止损检查失败: {e}")
|
||
except Exception as e:
|
||
err_msg = str(e) or repr(e) or type(e).__name__
|
||
logger.error(
|
||
f"[账号{self.account_id}] {symbol} 创建临时持仓记录失败: {err_msg}",
|
||
exc_info=True,
|
||
)
|
||
else:
|
||
# 已在 active_positions 的持仓：启动前统一补挂/修正交易所 SL/TP（识别缺止盈、止损过远等异常并替换）
|
||
position_info = self.active_positions.get(symbol)
|
||
if position_info and position_info.get("stopLoss") and position_info.get("takeProfit"):
|
||
try:
|
||
mp = None
|
||
try:
|
||
mp = float(position.get("markPrice", 0) or 0) or None
|
||
except Exception:
|
||
mp = None
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=mp)
|
||
except Exception as e:
|
||
logger.warning(f"{symbol} 补挂/修正交易所止损止盈失败（不影响监控）: {e}")
|
||
|
||
await self._start_position_monitoring(symbol)
|
||
|
||
logger.info(f"[账号{self.account_id}] 已启动 {len(self._monitor_tasks)} 个持仓的实时监控")
|
||
|
||
async def stop_all_position_monitoring(self):
|
||
"""
|
||
停止所有持仓的WebSocket监控
|
||
"""
|
||
symbols = list(self._monitor_tasks.keys())
|
||
for symbol in symbols:
|
||
await self._stop_position_monitoring(symbol)
|
||
logger.info(f"已停止所有持仓监控 ({len(symbols)} 个)")
|
||
|
||
async def _start_position_monitoring(self, symbol: str):
|
||
"""
|
||
启动单个持仓的WebSocket价格监控
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
"""
|
||
if symbol in self._monitor_tasks:
|
||
logger.debug(f"{symbol} 监控任务已存在，跳过")
|
||
return
|
||
|
||
# WebSocket 现在直接使用 aiohttp，不需要检查 socket_manager
|
||
if not self.client:
|
||
logger.warning(f"{symbol} 客户端未初始化，无法启动监控")
|
||
return
|
||
|
||
try:
|
||
task = asyncio.create_task(self._monitor_position_price(symbol))
|
||
self._monitor_tasks[symbol] = task
|
||
logger.info(f"[账号{self.account_id}] ✓ 启动 {symbol} WebSocket实时价格监控")
|
||
except Exception as e:
|
||
logger.error(f"启动 {symbol} 监控失败: {e}")
|
||
|
||
async def _stop_position_monitoring(self, symbol: str):
|
||
"""
|
||
停止单个持仓的WebSocket监控
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
"""
|
||
# 幂等：可能会被多处/并发调用，先 pop 再处理，避免 KeyError
|
||
task = self._monitor_tasks.pop(symbol, None)
|
||
if task is None:
|
||
return
|
||
|
||
if not task.done():
|
||
task.cancel()
|
||
try:
|
||
await task
|
||
except asyncio.CancelledError:
|
||
pass
|
||
logger.debug(f"已停止 {symbol} 的WebSocket监控")
|
||
|
||
async def _monitor_position_price(self, symbol: str):
|
||
"""
|
||
监控单个持仓的价格（WebSocket实时推送）
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
"""
|
||
retry_count = 0
|
||
max_retries = 5
|
||
|
||
while retry_count < max_retries:
|
||
try:
|
||
if symbol not in self.active_positions:
|
||
logger.info(f"[账号{self.account_id}] {symbol} 持仓已不存在，停止监控")
|
||
break
|
||
|
||
# 使用WebSocket订阅价格流
|
||
# 直接使用 aiohttp 连接 Binance 期货 WebSocket API
|
||
# 根据文档：https://developers.binance.com/docs/derivatives/usds-margined-futures/websocket-market-streams
|
||
# 端点：wss://fstream.binance.com/ws/<symbol>@ticker
|
||
ws_url = f"wss://fstream.binance.com/ws/{symbol.lower()}@ticker"
|
||
|
||
async with aiohttp.ClientSession() as session:
|
||
async with session.ws_connect(ws_url) as ws:
|
||
logger.debug(f"{symbol} WebSocket连接已建立，开始接收价格更新")
|
||
retry_count = 0 # 连接成功，重置重试计数
|
||
|
||
async for msg in ws:
|
||
if symbol not in self.active_positions:
|
||
logger.info(f"[账号{self.account_id}] {symbol} 持仓已不存在，停止监控")
|
||
break
|
||
|
||
if msg.type == aiohttp.WSMsgType.TEXT:
|
||
try:
|
||
# 解析 JSON 消息
|
||
data = json.loads(msg.data)
|
||
|
||
# WebSocket 返回的数据格式：{'e': '24hrTicker', 's': 'BTCUSDT', 'c': '50000.00', ...}
|
||
# 根据文档，ticker 流包含 'c' 字段（最后价格）
|
||
if isinstance(data, dict):
|
||
if 'c' in data: # 'c' 是当前价格
|
||
current_price = float(data['c'])
|
||
# 立即检查止损止盈
|
||
await self._check_single_position(symbol, current_price)
|
||
elif 'data' in data:
|
||
# 兼容组合流格式（如果使用 /stream 端点）
|
||
if isinstance(data['data'], dict) and 'c' in data['data']:
|
||
current_price = float(data['data']['c'])
|
||
await self._check_single_position(symbol, current_price)
|
||
except (KeyError, ValueError, TypeError, json.JSONDecodeError) as e:
|
||
logger.debug(f"{symbol} 解析价格数据失败: {e}, 消息: {msg.data[:100] if hasattr(msg, 'data') else 'N/A'}")
|
||
continue
|
||
elif msg.type == aiohttp.WSMsgType.ERROR:
|
||
logger.warning(f"{symbol} WebSocket错误: {ws.exception()}")
|
||
break
|
||
elif msg.type == aiohttp.WSMsgType.CLOSE:
|
||
logger.info(f"{symbol} WebSocket连接关闭")
|
||
break
|
||
|
||
except asyncio.CancelledError:
|
||
logger.info(f"{symbol} 监控任务已取消")
|
||
break
|
||
except Exception as e:
|
||
retry_count += 1
|
||
logger.warning(f"{symbol} WebSocket监控出错 (重试 {retry_count}/{max_retries}): {e}")
|
||
|
||
if retry_count < max_retries:
|
||
# 指数退避重试
|
||
wait_time = min(2 ** retry_count, 30)
|
||
logger.info(f"{symbol} {wait_time}秒后重试连接...")
|
||
await asyncio.sleep(wait_time)
|
||
else:
|
||
logger.error(f"{symbol} WebSocket监控失败，已达到最大重试次数")
|
||
# 回退到定时检查模式
|
||
logger.info(f"{symbol} 将使用定时检查模式（非实时）")
|
||
break
|
||
|
||
# 清理任务
|
||
if symbol in self._monitor_tasks:
|
||
del self._monitor_tasks[symbol]
|
||
|
||
async def _check_single_position(self, symbol: str, current_price: float):
|
||
"""
|
||
检查单个持仓的止损止盈（实时检查）
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
current_price: 当前价格
|
||
"""
|
||
position_info = self.active_positions.get(symbol)
|
||
if not position_info:
|
||
return
|
||
|
||
# 确保所有值都是float类型
|
||
entry_price = float(position_info['entryPrice'])
|
||
quantity = float(position_info['quantity'])
|
||
current_price_float = float(current_price)
|
||
|
||
# 获取杠杆（确保为float）
|
||
try:
|
||
leverage = float(position_info.get('leverage', 10))
|
||
except (ValueError, TypeError):
|
||
leverage = 10.0
|
||
|
||
# 计算持仓价值和保证金
|
||
position_value = entry_price * quantity
|
||
margin = position_value / leverage if leverage > 0 else position_value
|
||
|
||
# 计算盈亏金额
|
||
if position_info['side'] == 'BUY':
|
||
pnl_amount = (current_price_float - entry_price) * quantity
|
||
else: # SELL
|
||
pnl_amount = (entry_price - current_price_float) * quantity
|
||
|
||
# 计算盈亏百分比（ROE - Return on Equity，即相对于保证金的盈亏）
|
||
# 这是用户最关心的“盈亏比”
|
||
pnl_percent_margin = (pnl_amount / margin * 100) if margin > 0 else 0
|
||
|
||
# 也计算价格百分比（不带杠杆的原始涨跌幅）
|
||
if position_info['side'] == 'BUY':
|
||
pnl_percent_price = ((current_price_float - entry_price) / entry_price) * 100
|
||
else: # SELL
|
||
pnl_percent_price = ((entry_price - current_price_float) / entry_price) * 100
|
||
|
||
# 更新最大盈利（基于保证金）
|
||
if pnl_percent_margin > position_info.get('maxProfit', 0):
|
||
position_info['maxProfit'] = pnl_percent_margin
|
||
|
||
# ⚠️ 2026-01-27修复：提前初始化partial_profit_taken，避免在止损检查时未定义
|
||
partial_profit_taken = position_info.get('partialProfitTaken', False)
|
||
remaining_quantity = position_info.get('remainingQuantity', quantity)
|
||
|
||
# 移动止损逻辑（盈利后保护利润，基于保证金）
|
||
# 每次检查时从Redis重新加载配置，确保配置修改能即时生效
|
||
try:
|
||
if config._config_manager:
|
||
config._config_manager.reload_from_redis()
|
||
config.TRADING_CONFIG = config._get_trading_config()
|
||
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
|
||
# 3) 分步止盈策略本身已提供利润保护
|
||
# 4) 及时执行止损/止盈可以保护资金和利润
|
||
# 注意：如果需要防止秒级平仓，可以通过提高入场信号质量（MIN_SIGNAL_STRENGTH）来实现
|
||
|
||
# 检查是否启用移动止损（默认False，需要显式启用）
|
||
profit_protection_enabled = bool(config.TRADING_CONFIG.get('PROFIT_PROTECTION_ENABLED', True))
|
||
use_trailing = profit_protection_enabled and bool(config.TRADING_CONFIG.get('USE_TRAILING_STOP', False))
|
||
if use_trailing:
|
||
logger.debug(f"[账号{self.account_id}] {symbol} [实时监控-移动止损] 已启用，将检查移动止损逻辑")
|
||
else:
|
||
if not profit_protection_enabled:
|
||
logger.debug(f"[账号{self.account_id}] {symbol} [实时监控-移动止损/保本] 已禁用（PROFIT_PROTECTION_ENABLED=False）")
|
||
else:
|
||
logger.debug(f"[账号{self.account_id}] {symbol} [实时监控-移动止损] 已禁用（USE_TRAILING_STOP=False），跳过移动止损检查")
|
||
if use_trailing:
|
||
trailing_activation = config.TRADING_CONFIG.get('TRAILING_STOP_ACTIVATION', 0.01) # 相对于保证金
|
||
trailing_protect = config.TRADING_CONFIG.get('TRAILING_STOP_PROTECT', 0.01) # 相对于保证金
|
||
lock_pct = config.TRADING_CONFIG.get('LOCK_PROFIT_AT_BREAKEVEN_AFTER_PCT') or 0
|
||
if lock_pct and lock_pct > 1:
|
||
lock_pct = lock_pct / 100.0
|
||
|
||
if not position_info.get('trailingStopActivated', False):
|
||
# 盈利达一定比例时尽早将止损移至含手续费保本，避免先盈后亏
|
||
if lock_pct > 0 and not position_info.get('breakevenStopSet', False) and pnl_percent_margin >= lock_pct * 100:
|
||
breakeven = self._breakeven_stop_price(entry_price, position_info['side'])
|
||
current_sl = position_info.get('stopLoss')
|
||
side_here = position_info['side']
|
||
set_breakeven = False
|
||
if side_here == 'BUY' and (current_sl is None or current_sl < breakeven):
|
||
set_breakeven = True
|
||
elif side_here == 'SELL' and (current_sl is None or current_sl > breakeven):
|
||
set_breakeven = True
|
||
if set_breakeven:
|
||
position_info['stopLoss'] = breakeven
|
||
position_info['breakevenStopSet'] = True
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 盈利{pnl_percent_margin:.2f}%≥{lock_pct*100:.0f}%，止损已移至含手续费保本价 {breakeven:.4f}（留住盈利）"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price_float)
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步保本止损至交易所失败: {sync_e}")
|
||
# 盈利超过阈值后（相对于保证金），激活移动止损
|
||
if pnl_percent_margin > trailing_activation * 100:
|
||
position_info['trailingStopActivated'] = True
|
||
# 保护利润金额至少覆盖双向手续费，避免“保护”后仍为负
|
||
protect_amount = max(margin * trailing_protect, self._min_protect_amount_for_fees(margin, leverage))
|
||
if position_info['side'] == 'BUY':
|
||
new_stop_loss = entry_price + (pnl_amount - protect_amount) / quantity
|
||
breakeven = self._breakeven_stop_price(entry_price, 'BUY')
|
||
new_stop_loss = max(new_stop_loss, breakeven)
|
||
else: # SELL
|
||
new_stop_loss = entry_price + (pnl_amount - protect_amount) / quantity
|
||
breakeven = self._breakeven_stop_price(entry_price, 'SELL')
|
||
new_stop_loss = min(new_stop_loss, breakeven)
|
||
|
||
position_info['stopLoss'] = new_stop_loss
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 移动止损激活: 止损移至保护利润位 {new_stop_loss:.4f} "
|
||
f"(盈利: {pnl_percent_margin:.2f}% of margin, 保护: {trailing_protect*100:.1f}% of margin)"
|
||
)
|
||
# 同步至交易所：取消原止损单并按新止损价重挂，使移动止损也有交易所保护
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price_float)
|
||
logger.info(f"[账号{self.account_id}] {symbol} [实时监控] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败（不影响本地监控）: {sync_e}")
|
||
else:
|
||
# ⚠️ 优化：如果分步止盈第一目标已触发，移动止损不再更新剩余仓位的止损价
|
||
# 原因：分步止盈第一目标触发后，剩余50%仓位止损已移至成本价（保本），等待第二目标
|
||
# 移动止损不应该覆盖分步止盈设置的止损价
|
||
if position_info.get('partialProfitTaken', False):
|
||
# 分步止盈第一目标已触发，移动止损不再更新
|
||
logger.debug(f"[账号{self.account_id}] {symbol} [实时监控-移动止损] 分步止盈第一目标已触发，移动止损不再更新剩余仓位止损价")
|
||
else:
|
||
# 盈利超过阈值后，止损移至保护利润位（基于保证金）；保护金额至少覆盖手续费
|
||
protect_amount = max(margin * trailing_protect, self._min_protect_amount_for_fees(margin, leverage))
|
||
if position_info['side'] == 'BUY':
|
||
new_stop_loss = entry_price + (pnl_amount - protect_amount) / quantity
|
||
new_stop_loss = max(new_stop_loss, self._breakeven_stop_price(entry_price, 'BUY'))
|
||
if new_stop_loss > position_info['stopLoss']:
|
||
position_info['stopLoss'] = new_stop_loss
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 移动止损更新: {new_stop_loss:.4f} "
|
||
f"(保护{trailing_protect*100:.1f}% of margin = {protect_amount:.4f} USDT)"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price_float)
|
||
logger.info(f"[账号{self.account_id}] {symbol} [实时监控] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败（不影响本地监控）: {sync_e}")
|
||
else: # SELL
|
||
new_stop_loss = entry_price + (pnl_amount - protect_amount) / quantity
|
||
new_stop_loss = min(new_stop_loss, self._breakeven_stop_price(entry_price, 'SELL'))
|
||
if new_stop_loss > position_info['stopLoss'] and pnl_amount > 0:
|
||
position_info['stopLoss'] = new_stop_loss
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 移动止损更新: {new_stop_loss:.4f} "
|
||
f"(保护{trailing_protect*100:.1f}% of margin = {protect_amount:.4f} USDT)"
|
||
)
|
||
try:
|
||
await self._ensure_exchange_sltp_orders(symbol, position_info, current_price=current_price_float)
|
||
logger.info(f"[账号{self.account_id}] {symbol} [实时监控] 已同步移动止损至交易所")
|
||
except Exception as sync_e:
|
||
logger.warning(f"{symbol} 同步移动止损至交易所失败（不影响本地监控）: {sync_e}")
|
||
|
||
# 检查止损（基于保证金收益比）
|
||
# ⚠️ 重要：止损检查应该在时间锁之前，止损必须立即执行
|
||
stop_loss = position_info.get('stopLoss')
|
||
should_close_due_to_sl = False
|
||
exit_reason_sl = None
|
||
|
||
if stop_loss is not None:
|
||
# 计算止损对应的保证金百分比目标
|
||
# 止损金额 = (开仓价 - 止损价) × 数量 或 (止损价 - 开仓价) × 数量
|
||
if position_info['side'] == 'BUY':
|
||
stop_loss_amount = (entry_price - stop_loss) * quantity
|
||
else: # SELL
|
||
stop_loss_amount = (stop_loss - entry_price) * quantity
|
||
|
||
stop_loss_pct_margin = (stop_loss_amount / margin * 100) if margin > 0 else 0
|
||
|
||
# 每5%亏损记录一次诊断日志（帮助排查问题）
|
||
if pnl_percent_margin <= -5.0:
|
||
should_log = (int(abs(pnl_percent_margin)) % 5 == 0) or (pnl_percent_margin <= -10.0 and pnl_percent_margin > -10.5)
|
||
if should_log:
|
||
trigger_condition = pnl_percent_margin <= -stop_loss_pct_margin
|
||
# 计算当前价格相对于入场价的变动百分比（不带杠杆）
|
||
price_change_pct = 0.0
|
||
if entry_price > 0:
|
||
if position_info['side'] == 'BUY':
|
||
price_change_pct = (current_price_float - entry_price) / entry_price * 100
|
||
else:
|
||
price_change_pct = (entry_price - current_price_float) / entry_price * 100
|
||
|
||
logger.warning(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 诊断: \n"
|
||
f" • ROE(保证金盈亏): {pnl_percent_margin:.2f}% (用户关注)\n"
|
||
f" • 价格变动: {price_change_pct:.2f}% (实际币价涨跌)\n"
|
||
f" • 杠杆倍数: {leverage}x (放大倍数)\n"
|
||
f" • 当前价: {current_price_float:.4f} | 入场价: {entry_price:.4f}\n"
|
||
f" • 止损价: {stop_loss:.4f} (目标ROE: -{stop_loss_pct_margin:.2f}%)\n"
|
||
f" • 触发止损: {'YES' if trigger_condition else 'NO'}"
|
||
)
|
||
|
||
# ⚠️ 2026-01-27关键修复：止损检查前，先检查是否盈利
|
||
# 如果盈利，不应该触发止损（除非是移动止损或分步止盈后的剩余仓位）
|
||
# 直接比较当前盈亏百分比与止损目标（基于保证金）
|
||
if pnl_percent_margin <= -stop_loss_pct_margin:
|
||
# ⚠️ 额外检查：如果盈利，可能是移动止损触发，应该标记为trailing_stop
|
||
if pnl_percent_margin > 0:
|
||
# 盈利单触发止损，应该是移动止损
|
||
if position_info.get('trailingStopActivated'):
|
||
exit_reason_sl = 'trailing_stop'
|
||
logger.warning(f"[账号{self.account_id}] {symbol} [实时监控] ⚠️ 盈利单触发止损，标记为移动止损（盈利: {pnl_percent_margin:.2f}% of margin）")
|
||
else:
|
||
# 盈利单但未激活移动止损，可能是分步止盈后的剩余仓位止损
|
||
if partial_profit_taken:
|
||
exit_reason_sl = 'take_profit_partial_then_stop'
|
||
logger.info(f"[账号{self.account_id}] {symbol} [实时监控] 第一目标止盈后，剩余仓位触发止损（保本）")
|
||
else:
|
||
# 异常情况：盈利单触发止损但未激活移动止损
|
||
exit_reason_sl = 'trailing_stop' # 默认标记为移动止损
|
||
logger.warning(f"[账号{self.account_id}] {symbol} [实时监控] ⚠️ 异常：盈利单触发止损但未激活移动止损，标记为移动止损")
|
||
else:
|
||
# 正常止损逻辑
|
||
should_close_due_to_sl = True
|
||
# ⚠️ 2026-01-27优化：如果已部分止盈，细分状态
|
||
if partial_profit_taken:
|
||
if position_info.get('trailingStopActivated'):
|
||
exit_reason_sl = 'take_profit_partial_then_trailing_stop'
|
||
else:
|
||
exit_reason_sl = 'take_profit_partial_then_stop'
|
||
else:
|
||
exit_reason_sl = 'trailing_stop' if position_info.get('trailingStopActivated') else 'stop_loss'
|
||
|
||
# 计算持仓时间
|
||
entry_time = position_info.get('entryTime')
|
||
hold_time_minutes = 0
|
||
if entry_time:
|
||
try:
|
||
if isinstance(entry_time, datetime):
|
||
hold_time_sec = int((get_beijing_time() - entry_time).total_seconds())
|
||
else:
|
||
hold_time_sec = int(time.time() - (float(entry_time) if isinstance(entry_time, (int, float)) else 0))
|
||
hold_time_minutes = hold_time_sec / 60.0
|
||
except Exception:
|
||
hold_time_minutes = 0
|
||
|
||
# 详细诊断日志：记录平仓时的所有关键信息
|
||
logger.warning("=" * 80)
|
||
logger.warning(f"[账号{self.account_id}] {symbol} [实时监控-平仓诊断日志] ===== 触发止损平仓 =====")
|
||
logger.warning(f" 平仓原因: {exit_reason_sl}")
|
||
logger.warning(f" 入场价格: {entry_price:.6f} USDT")
|
||
logger.warning(f" 当前价格: {current_price_float:.6f} USDT")
|
||
logger.warning(f" 止损价格: {stop_loss:.4f} USDT")
|
||
logger.warning(f" 持仓数量: {quantity:.4f}")
|
||
logger.warning(f" 持仓时间: {hold_time_minutes:.1f} 分钟")
|
||
logger.warning(f" 入场时间: {entry_time}")
|
||
logger.warning(f" 当前盈亏: {pnl_percent_margin:.2f}% of margin")
|
||
logger.warning(f" 止损目标: -{stop_loss_pct_margin:.2f}% of margin")
|
||
logger.warning(f" 亏损金额: {abs(pnl_amount):.4f} USDT")
|
||
if position_info.get('trailingStopActivated'):
|
||
logger.warning(f" 移动止损: 已激活（从初始止损 {position_info.get('initialStopLoss', 'N/A')} 调整）")
|
||
logger.warning("=" * 80)
|
||
|
||
# ⚠️ 2026-01-27优化：如果已部分止盈，细分状态为"第一目标止盈后剩余仓位止损"
|
||
if partial_profit_taken:
|
||
exit_reason_sl = 'take_profit_partial_then_stop'
|
||
logger.info(f"[账号{self.account_id}] {symbol} [实时监控] 第一目标止盈后，剩余仓位触发止损（保本）")
|
||
|
||
# ⚠️ 关键修复：止损必须立即执行，不受时间锁限制
|
||
if await self.close_position(symbol, reason=exit_reason_sl):
|
||
logger.info(f"[账号{self.account_id}] {symbol} [实时监控] 止损平仓成功（不受时间锁限制）")
|
||
return # 止损已执行，跳过后续止盈检查
|
||
|
||
# 检查分步止盈（实时监控）
|
||
# ⚠️ 优化：已移除止盈时间锁，止盈可以立即执行（与止损一致）
|
||
# 理由：1) 止损已不受时间锁限制，止盈也应该一致
|
||
# 2) 分步止盈策略本身已提供利润保护（50%在1:1止盈，剩余保本）
|
||
# 3) 交易所级别止盈单已提供保护
|
||
# 4) 及时止盈可以保护利润，避免价格回落
|
||
should_close = False
|
||
take_profit_1 = position_info.get('takeProfit1') # 第一目标（盈亏比1:1）
|
||
take_profit_2 = position_info.get('takeProfit2', position_info.get('takeProfit')) # 第二目标（1.5:1）
|
||
# ⚠️ 注意：partial_profit_taken和remaining_quantity已在方法开头初始化，这里不需要重复定义
|
||
|
||
# 第一目标：TAKE_PROFIT_1_PERCENT 止盈（默认15%保证金），了结50%仓位
|
||
if not partial_profit_taken and take_profit_1 is not None:
|
||
# 直接使用配置的 TAKE_PROFIT_1_PERCENT，与开仓时计算的第一目标一致
|
||
take_profit_1_pct_margin_config = config.TRADING_CONFIG.get('TAKE_PROFIT_1_PERCENT', 0.20)
|
||
# 兼容百分比形式和比例形式
|
||
if take_profit_1_pct_margin_config > 1:
|
||
take_profit_1_pct_margin_config = take_profit_1_pct_margin_config / 100.0
|
||
take_profit_1_pct_margin = take_profit_1_pct_margin_config * 100 # 转换为百分比
|
||
|
||
# 直接比较当前盈亏百分比与第一目标（基于保证金，使用配置值）
|
||
# ⚠️ 2026-02-04 修复：增加最小盈利检查，防止因配置过低或滑点导致负盈利
|
||
# 手续费估算：0.05% * 2 = 0.1% 价格变动。10x杠杆下约1%保证金。保留2%作为安全边际。
|
||
min_profit_margin = 2.0
|
||
|
||
if pnl_percent_margin >= take_profit_1_pct_margin and pnl_percent_margin > min_profit_margin:
|
||
take_profit_pct_config = config.TRADING_CONFIG.get('TAKE_PROFIT_1_PERCENT', 0.20)
|
||
if take_profit_pct_config > 1:
|
||
take_profit_pct_config = take_profit_pct_config / 100.0
|
||
take_profit_pct_display = take_profit_pct_config * 100
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 触发第一目标止盈（{take_profit_pct_display:.1f}%固定止盈，基于保证金）: "
|
||
f"当前盈亏={pnl_percent_margin:.2f}% of margin >= 目标={take_profit_1_pct_margin:.2f}% of margin | "
|
||
f"当前价={current_price_float:.4f}, 目标价={take_profit_1:.4f} | "
|
||
f"将平掉50%仓位，锁定{take_profit_pct_display:.1f}%盈利，剩余50%追求更高收益"
|
||
)
|
||
# 部分平仓50%
|
||
partial_quantity = quantity * 0.5
|
||
try:
|
||
close_side = 'SELL' if position_info['side'] == 'BUY' else 'BUY'
|
||
close_position_side = 'LONG' if position_info['side'] == 'BUY' else 'SHORT'
|
||
live_amt = await self._get_live_position_amt(symbol, position_side=close_position_side)
|
||
if live_amt is None or abs(live_amt) <= 0:
|
||
logger.warning(f"[账号{self.account_id}] {symbol} [实时监控] 部分止盈：实时持仓已为0，跳过部分平仓")
|
||
else:
|
||
partial_quantity = min(partial_quantity, abs(live_amt))
|
||
partial_quantity = await self._adjust_close_quantity(symbol, partial_quantity)
|
||
if partial_quantity > 0:
|
||
partial_order = await self.client.place_order(
|
||
symbol=symbol,
|
||
side=close_side,
|
||
quantity=partial_quantity,
|
||
order_type='MARKET',
|
||
reduce_only=True,
|
||
position_side=close_position_side,
|
||
)
|
||
if partial_order:
|
||
position_info['partialProfitTaken'] = True
|
||
position_info['remainingQuantity'] = remaining_quantity - partial_quantity
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 部分止盈成功: 平仓{partial_quantity:.4f}，剩余{position_info['remainingQuantity']:.4f}"
|
||
)
|
||
# 分步止盈后的"保本"处理：仅在盈利保护总开关开启时移至含手续费保本价
|
||
if profit_protection_enabled:
|
||
breakeven = self._breakeven_stop_price(entry_price, position_info['side'])
|
||
position_info['stopLoss'] = breakeven
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 部分止盈后：剩余仓位止损移至含手续费保本价 {breakeven:.4f}（入场: {entry_price:.4f}），"
|
||
f"剩余50%仓位追求更高收益（第二目标：4.0:1盈亏比或更高）"
|
||
)
|
||
except Exception as e:
|
||
logger.error(f"[账号{self.account_id}] {symbol} [实时监控] 部分止盈失败: {e}")
|
||
|
||
# 第二目标：4.0:1止盈，平掉剩余仓位（山寨币策略）
|
||
if partial_profit_taken and take_profit_2 is not None and not should_close:
|
||
# 计算第二目标对应的保证金百分比（基于剩余仓位）
|
||
if position_info['side'] == 'BUY':
|
||
take_profit_2_amount = (take_profit_2 - entry_price) * remaining_quantity
|
||
else: # SELL
|
||
take_profit_2_amount = (entry_price - take_profit_2) * remaining_quantity
|
||
remaining_margin = (entry_price * remaining_quantity) / leverage if leverage > 0 else (entry_price * remaining_quantity)
|
||
take_profit_2_pct_margin = (take_profit_2_amount / remaining_margin * 100) if remaining_margin > 0 else 0
|
||
# 计算剩余仓位的当前盈亏
|
||
if position_info['side'] == 'BUY':
|
||
remaining_pnl_amount = (current_price_float - entry_price) * remaining_quantity
|
||
else:
|
||
remaining_pnl_amount = (entry_price - current_price_float) * remaining_quantity
|
||
remaining_pnl_pct_margin = (remaining_pnl_amount / remaining_margin * 100) if remaining_margin > 0 else 0
|
||
|
||
# 直接比较剩余仓位盈亏百分比与第二目标（基于保证金）
|
||
# ⚠️ 2026-02-04 修复：增加最小盈利检查
|
||
if remaining_pnl_pct_margin >= take_profit_2_pct_margin and remaining_pnl_pct_margin > 2.0:
|
||
should_close = True
|
||
# ⚠️ 2026-01-27优化：细分状态，区分"第一目标止盈后第二目标止盈"
|
||
exit_reason = 'take_profit_partial_then_take_profit'
|
||
logger.info(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 触发第二目标止盈（4.0:1，山寨币策略）: "
|
||
f"剩余仓位盈亏={remaining_pnl_pct_margin:.2f}% of margin >= 目标={take_profit_2_pct_margin:.2f}% of margin | "
|
||
f"当前价={current_price_float:.4f}, 目标价={take_profit_2:.4f}, "
|
||
f"剩余数量={remaining_quantity:.4f}"
|
||
)
|
||
|
||
# 检查止盈（基于保证金收益比）- 用于未启用分步止盈的情况
|
||
if not should_close:
|
||
take_profit = position_info.get('takeProfit')
|
||
if take_profit is not None:
|
||
# 计算止盈对应的保证金百分比目标
|
||
# ⚠️ 关键修复：直接使用配置的 TAKE_PROFIT_PERCENT，而不是从止盈价格反推
|
||
# 因为止盈价格可能使用了ATR（更远），反推会导致阈值过大，难以触发
|
||
take_profit_pct_margin_config = config.TRADING_CONFIG.get('TAKE_PROFIT_PERCENT', 0.10)
|
||
# 兼容百分比形式和比例形式
|
||
if take_profit_pct_margin_config > 1:
|
||
take_profit_pct_margin_config = take_profit_pct_margin_config / 100.0
|
||
take_profit_pct_margin = take_profit_pct_margin_config * 100 # 转换为百分比
|
||
|
||
# 计算止盈金额（用于日志显示，但不用于触发判断）
|
||
if position_info['side'] == 'BUY':
|
||
take_profit_amount = (take_profit - entry_price) * quantity
|
||
else: # SELL
|
||
take_profit_amount = (entry_price - take_profit) * quantity
|
||
take_profit_pct_margin_from_price = (take_profit_amount / margin * 100) if margin > 0 else 0
|
||
|
||
# 每5%盈利记录一次诊断日志（帮助排查问题）
|
||
if pnl_percent_margin >= 5.0:
|
||
should_log = (int(pnl_percent_margin) % 5 == 0) or (pnl_percent_margin >= 10.0 and pnl_percent_margin < 10.5)
|
||
if should_log:
|
||
trigger_condition = pnl_percent_margin >= take_profit_pct_margin
|
||
logger.warning(
|
||
f"[账号{self.account_id}] {symbol} [实时监控] 诊断: 盈利{pnl_percent_margin:.2f}% of margin | "
|
||
f"当前价: {current_price_float:.4f} | "
|
||
f"入场价: {entry_price:.4f} | "
|
||
f"止盈价: {take_profit:.4f} (配置目标: {take_profit_pct_margin:.2f}% of margin, 价格对应: {take_profit_pct_margin_from_price:.2f}%) | "
|
||
f"方向: {position_info['side']} | "
|
||
f"是否触发: {trigger_condition} | "
|
||
f"监控状态: {'运行中' if symbol in self._monitor_tasks else '未启动'}"
|
||
)
|
||
|
||
# 直接比较当前盈亏百分比与止盈目标（基于保证金，使用配置值）
|
||
# ⚠️ 2026-02-04 修复：增加最小盈利检查
|
||
if pnl_percent_margin >= take_profit_pct_margin and pnl_percent_margin > 2.0:
|
||
should_close = True
|
||
exit_reason = 'take_profit'
|
||
|
||
# 计算持仓时间（用于日志）
|
||
entry_time = position_info.get('entryTime')
|
||
hold_time_minutes = 0
|
||
if entry_time:
|
||
try:
|
||
if isinstance(entry_time, datetime):
|
||
hold_time_sec = int((get_beijing_time() - entry_time).total_seconds())
|
||
else:
|
||
hold_time_sec = int(time.time() - (float(entry_time) if isinstance(entry_time, (int, float)) else 0))
|
||
hold_time_minutes = hold_time_sec / 60.0
|
||
except Exception:
|
||
hold_time_minutes = 0
|
||
|
||
# 详细诊断日志：记录平仓时的所有关键信息
|
||
logger.info("=" * 80)
|
||
logger.info(f"[账号{self.account_id}] {symbol} [实时监控-平仓诊断日志] ===== 触发止盈平仓 =====")
|
||
logger.info(f" 平仓原因: {exit_reason}")
|
||
logger.info(f" 入场价格: {entry_price:.6f} USDT")
|
||
logger.info(f" 当前价格: {current_price_float:.6f} USDT")
|
||
logger.info(f" 止盈价格: {take_profit:.4f} USDT")
|
||
logger.info(f" 持仓数量: {quantity:.4f}")
|
||
logger.info(f" 持仓时间: {hold_time_minutes:.1f} 分钟")
|
||
logger.info(f" 入场时间: {entry_time}")
|
||
logger.info(f" 当前盈亏: {pnl_percent_margin:.2f}% of margin")
|
||
logger.info(f" 止盈目标: {take_profit_pct_margin:.2f}% of margin")
|
||
logger.info(f" 盈利金额: {pnl_amount:.4f} USDT")
|
||
logger.info("=" * 80)
|
||
|
||
# 如果触发止损止盈，执行平仓
|
||
if should_close:
|
||
# 自动平仓限流：避免同一 symbol 短时间内反复触发平仓请求（WebSocket 高频推送下很常见）
|
||
try:
|
||
now_ms = int(time.time() * 1000)
|
||
except Exception:
|
||
now_ms = None
|
||
if now_ms is not None:
|
||
cooldown_sec = int(config.TRADING_CONFIG.get("AUTO_CLOSE_COOLDOWN_SEC", 20) or 0)
|
||
last_ms = self._last_auto_close_attempt_ms.get(symbol)
|
||
if last_ms and cooldown_sec > 0 and now_ms - last_ms < cooldown_sec * 1000:
|
||
# 不重复刷屏：仅 debug
|
||
logger.debug(f"{symbol} [自动平仓] 冷却中（{cooldown_sec}s），跳过重复平仓尝试")
|
||
return
|
||
self._last_auto_close_attempt_ms[symbol] = now_ms
|
||
|
||
logger.info(
|
||
f"{symbol} [自动平仓] 开始执行平仓操作 | "
|
||
f"原因: {exit_reason} | "
|
||
f"入场价: {entry_price:.4f} | "
|
||
f"当前价: {current_price_float:.4f} | "
|
||
f"盈亏: {pnl_percent_margin:.2f}% of margin ({pnl_amount:.4f} USDT) | "
|
||
f"数量: {quantity:.4f}"
|
||
)
|
||
|
||
# 执行平仓（让 close_position 统一处理数据库更新，避免重复更新和状态不一致）
|
||
logger.info(f"{symbol} [自动平仓] 正在执行平仓订单...")
|
||
success = await self.close_position(symbol, reason=exit_reason)
|
||
if success:
|
||
logger.info(f"{symbol} [自动平仓] ✓ 平仓成功完成")
|
||
# 平仓成功后，立即触发一次状态同步，确保数据库状态与币安一致
|
||
try:
|
||
await asyncio.sleep(2) # 等待2秒让币安订单完全成交
|
||
await self.sync_positions_with_binance()
|
||
logger.debug(f"{symbol} [自动平仓] 已触发状态同步")
|
||
except Exception as sync_error:
|
||
logger.warning(f"{symbol} [自动平仓] 状态同步失败: {sync_error}")
|
||
else:
|
||
# 平仓失败：先二次核对币安是否已无仓位（常见于竞态/网络抖动/幂等场景）
|
||
live_amt = None
|
||
try:
|
||
live_amt = await self._get_live_position_amt(symbol, position_side=None)
|
||
except Exception:
|
||
live_amt = None
|
||
|
||
if live_amt is not None and abs(live_amt) <= 0:
|
||
logger.warning(f"{symbol} [自动平仓] 平仓返回失败，但币安持仓已为0，按已平仓处理（避免误报）")
|
||
# 尝试同步一次，让DB与界面尽快一致（失败也不刷屏）
|
||
try:
|
||
await self.sync_positions_with_binance()
|
||
except Exception:
|
||
pass
|
||
return
|
||
|
||
# 仍有仓位：减少刷屏（按时间窗口合并/限流）
|
||
should_log = True
|
||
if now_ms is not None:
|
||
log_cd = int(config.TRADING_CONFIG.get("AUTO_CLOSE_FAIL_LOG_COOLDOWN_SEC", 600) or 0)
|
||
last_log = self._last_auto_close_fail_log_ms.get(symbol)
|
||
if last_log and log_cd > 0 and now_ms - last_log < log_cd * 1000:
|
||
should_log = False
|
||
else:
|
||
self._last_auto_close_fail_log_ms[symbol] = now_ms
|
||
|
||
if should_log:
|
||
logger.error(f"{symbol} [自动平仓] ❌ 平仓失败（币安持仓仍存在: {live_amt}）")
|
||
else:
|
||
logger.warning(f"{symbol} [自动平仓] 平仓仍失败（已在短时间内记录，暂不重复输出）")
|
||
|
||
# 即使平仓失败，也尝试同步状态（可能币安已经平仓了）
|
||
try:
|
||
await self.sync_positions_with_binance()
|
||
except Exception as sync_error:
|
||
logger.warning(f"{symbol} [自动平仓] 状态同步失败: {sync_error}")
|
||
|
||
async def diagnose_position(self, symbol: str):
|
||
"""
|
||
诊断持仓状态（用于排查为什么没有自动平仓）
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
"""
|
||
try:
|
||
logger.info(f"{symbol} [诊断] 开始诊断持仓状态...")
|
||
|
||
# 1. 检查是否在active_positions中
|
||
if symbol not in self.active_positions:
|
||
logger.warning(f"{symbol} [诊断] ❌ 不在本地持仓记录中 (active_positions)")
|
||
logger.warning(f" 可能原因: 手动开仓或系统重启后未同步")
|
||
logger.warning(f" 解决方案: 等待下次状态同步或手动触发同步")
|
||
else:
|
||
position_info = self.active_positions[symbol]
|
||
logger.info(f"{symbol} [诊断] ✓ 在本地持仓记录中")
|
||
logger.info(f" 入场价: {position_info['entryPrice']:.4f}")
|
||
logger.info(f" 方向: {position_info['side']}")
|
||
logger.info(f" 数量: {position_info['quantity']:.4f}")
|
||
logger.info(f" 止损价: {position_info['stopLoss']:.4f}")
|
||
logger.info(f" 止盈价: {position_info['takeProfit']:.4f}")
|
||
|
||
# 2. 检查WebSocket监控状态
|
||
if symbol in self._monitor_tasks:
|
||
task = self._monitor_tasks[symbol]
|
||
if task.done():
|
||
logger.warning(f"{symbol} [诊断] ⚠ WebSocket监控任务已结束")
|
||
try:
|
||
await task # 获取异常信息
|
||
except Exception as e:
|
||
logger.warning(f" 任务异常: {e}")
|
||
else:
|
||
logger.info(f"{symbol} [诊断] ✓ WebSocket监控任务运行中")
|
||
else:
|
||
logger.warning(f"{symbol} [诊断] ❌ 没有WebSocket监控任务")
|
||
logger.warning(f" 可能原因: 监控未启动或已停止")
|
||
|
||
# 3. 获取币安实际持仓
|
||
positions = await self._get_open_positions()
|
||
binance_position = next((p for p in positions if p['symbol'] == symbol), None)
|
||
|
||
if not binance_position:
|
||
logger.warning(f"{symbol} [诊断] ❌ 币安账户中没有持仓")
|
||
return
|
||
|
||
logger.info(f"{symbol} [诊断] ✓ 币安账户中有持仓")
|
||
entry_price_binance = binance_position.get('entryPrice', 0)
|
||
mark_price = binance_position.get('markPrice', 0)
|
||
unrealized_pnl = binance_position.get('unRealizedProfit', 0)
|
||
|
||
logger.info(f" 币安入场价: {entry_price_binance:.4f}")
|
||
logger.info(f" 标记价格: {mark_price:.4f}")
|
||
logger.info(f" 未实现盈亏: {unrealized_pnl:.2f} USDT")
|
||
|
||
# 4. 计算实际盈亏
|
||
if symbol in self.active_positions:
|
||
position_info = self.active_positions[symbol]
|
||
entry_price = float(position_info['entryPrice'])
|
||
take_profit = float(position_info['takeProfit'])
|
||
|
||
if position_info['side'] == 'BUY':
|
||
pnl_percent = ((mark_price - entry_price) / entry_price) * 100
|
||
take_profit_pct = ((take_profit - entry_price) / entry_price) * 100
|
||
should_trigger = mark_price >= take_profit
|
||
else: # SELL
|
||
pnl_percent = ((entry_price - mark_price) / entry_price) * 100
|
||
take_profit_pct = ((entry_price - take_profit) / entry_price) * 100
|
||
should_trigger = mark_price <= take_profit
|
||
|
||
logger.info(f"{symbol} [诊断] 盈亏分析:")
|
||
logger.info(f" 当前盈亏: {pnl_percent:.2f}%")
|
||
logger.info(f" 止盈目标: {take_profit_pct:.2f}%")
|
||
logger.info(f" 当前价: {mark_price:.4f}")
|
||
logger.info(f" 止盈价: {take_profit:.4f}")
|
||
logger.info(f" 价格差: {abs(mark_price - take_profit):.4f}")
|
||
logger.info(f" 应该触发: {should_trigger}")
|
||
|
||
if pnl_percent > take_profit_pct and not should_trigger:
|
||
logger.error(f"{symbol} [诊断] ❌ 异常: 盈亏{pnl_percent:.2f}% > 止盈目标{take_profit_pct:.2f}%，但未触发平仓！")
|
||
logger.error(f" 可能原因: 浮点数精度问题或止盈价格计算错误")
|
||
|
||
logger.info(f"{symbol} [诊断] 诊断完成")
|
||
|
||
except Exception as e:
|
||
logger.error(f"{symbol} [诊断] 诊断失败: {e}")
|
||
import traceback
|
||
logger.error(f" 错误详情:\n{traceback.format_exc()}")
|