41e53755ea
在 `market_overview.py` 中新增 `get_strategy_execution_overview` 函数，生成当前策略执行方案与配置项的易读概览，供全局配置页展示。更新后端API以支持该功能，并在前端组件中展示策略执行概览，提升用户对策略执行标准与机制的理解。此改动增强了系统的可用性与用户体验。
342 lines
15 KiB
Python
342 lines
15 KiB
Python
"""
|
||
市场行情概览 - 用于全局配置页展示
|
||
拉取 Binance 公开接口（无需 API Key），与策略过滤逻辑对应的数据。
|
||
"""
|
||
import json
|
||
import logging
|
||
import ssl
|
||
import urllib.request
|
||
from typing import Any, Dict, Optional
|
||
|
||
logger = logging.getLogger(__name__)
|
||
|
||
BINANCE_FUTURES_BASE = "https://fapi.binance.com"
|
||
BINANCE_FUTURES_DATA = "https://fapi.binance.com/futures/data"
|
||
REQUEST_TIMEOUT = 10
|
||
|
||
|
||
def _http_get(url: str, params: Optional[dict] = None) -> Optional[Any]:
|
||
"""发起 GET 请求，返回 JSON 或 None。"""
|
||
if params:
|
||
qs = "&".join(f"{k}={v}" for k, v in params.items())
|
||
url = f"{url}?{qs}"
|
||
try:
|
||
req = urllib.request.Request(url, headers={"Accept": "application/json"})
|
||
ctx = ssl.create_default_context()
|
||
with urllib.request.urlopen(req, timeout=REQUEST_TIMEOUT, context=ctx) as resp:
|
||
return json.loads(resp.read().decode("utf-8"))
|
||
except Exception as e:
|
||
logger.debug("market_overview HTTP GET 失败 %s: %s", url[:80], e)
|
||
return None
|
||
|
||
|
||
def _fetch_klines(symbol: str, interval: str, limit: int) -> Optional[list]:
|
||
"""获取 K 线数据。"""
|
||
data = _http_get(
|
||
f"{BINANCE_FUTURES_BASE}/fapi/v1/klines",
|
||
{"symbol": symbol, "interval": interval, "limit": limit},
|
||
)
|
||
return data if isinstance(data, list) else None
|
||
|
||
|
||
def _compute_change_from_klines(klines: list, periods: int) -> Optional[float]:
|
||
"""根据 K 线计算最近 N 根的总涨跌幅（比例，如 -0.0167 表示 -1.67%）。"""
|
||
if not klines or len(klines) < periods + 1:
|
||
return None
|
||
first_close = float(klines[0][4])
|
||
last_close = float(klines[-1][4])
|
||
return (last_close - first_close) / first_close if first_close else None
|
||
|
||
|
||
def fetch_symbol_change_period(symbol: str, interval: str, periods: int) -> Optional[float]:
|
||
"""获取指定交易对在指定周期内的涨跌幅（比例）。"""
|
||
klines = _fetch_klines(symbol, interval, periods + 1)
|
||
return _compute_change_from_klines(klines, periods) if klines else None
|
||
|
||
|
||
def fetch_ticker_24h(symbol: str) -> Optional[Dict]:
|
||
"""获取 24h ticker。"""
|
||
data = _http_get(f"{BINANCE_FUTURES_BASE}/fapi/v1/ticker/24hr", {"symbol": symbol})
|
||
return data if isinstance(data, dict) else None
|
||
|
||
|
||
def fetch_premium_index(symbol: str) -> Optional[Dict]:
|
||
"""获取资金费率等。"""
|
||
data = _http_get(f"{BINANCE_FUTURES_BASE}/fapi/v1/premiumIndex", {"symbol": symbol})
|
||
return data if isinstance(data, dict) else None
|
||
|
||
|
||
def fetch_long_short_ratio(symbol: str = "BTCUSDT", period: str = "1d", limit: int = 1) -> Optional[float]:
|
||
"""获取大户多空比。"""
|
||
data = _http_get(
|
||
f"{BINANCE_FUTURES_DATA}/topLongShortPositionRatio",
|
||
{"symbol": symbol, "period": period, "limit": limit},
|
||
)
|
||
if not isinstance(data, list) or len(data) == 0:
|
||
return None
|
||
try:
|
||
return float(data[-1].get("longShortRatio", 1))
|
||
except (TypeError, ValueError):
|
||
return None
|
||
|
||
|
||
def get_market_overview() -> Dict[str, Any]:
|
||
"""
|
||
获取市场行情概览，与策略过滤逻辑对应的数据。
|
||
供全局配置页展示，帮助用户确认当前策略方案是否匹配市场。
|
||
"""
|
||
result = {
|
||
"btc_24h_change_pct": None,
|
||
"eth_24h_change_pct": None,
|
||
"btc_15m_change_pct": None,
|
||
"btc_1h_change_pct": None,
|
||
"eth_15m_change_pct": None,
|
||
"eth_1h_change_pct": None,
|
||
"btc_funding_rate": None,
|
||
"eth_funding_rate": None,
|
||
"btc_long_short_ratio": None,
|
||
"btc_trend_4h": None,
|
||
"market_regime": None,
|
||
"beta_filter_triggered": None,
|
||
}
|
||
|
||
# 24h 涨跌幅
|
||
btc_ticker = fetch_ticker_24h("BTCUSDT")
|
||
if btc_ticker is not None:
|
||
try:
|
||
result["btc_24h_change_pct"] = round(float(btc_ticker.get("priceChangePercent", 0)), 2)
|
||
except (TypeError, ValueError):
|
||
pass
|
||
eth_ticker = fetch_ticker_24h("ETHUSDT")
|
||
if eth_ticker is not None:
|
||
try:
|
||
result["eth_24h_change_pct"] = round(float(eth_ticker.get("priceChangePercent", 0)), 2)
|
||
except (TypeError, ValueError):
|
||
pass
|
||
|
||
# 15m / 1h 涨跌幅（大盘共振过滤用）
|
||
btc_15m = fetch_symbol_change_period("BTCUSDT", "15m", 5)
|
||
btc_1h = fetch_symbol_change_period("BTCUSDT", "1h", 3)
|
||
eth_15m = fetch_symbol_change_period("ETHUSDT", "15m", 5)
|
||
eth_1h = fetch_symbol_change_period("ETHUSDT", "1h", 3)
|
||
if btc_15m is not None:
|
||
result["btc_15m_change_pct"] = round(btc_15m * 100, 2)
|
||
if btc_1h is not None:
|
||
result["btc_1h_change_pct"] = round(btc_1h * 100, 2)
|
||
if eth_15m is not None:
|
||
result["eth_15m_change_pct"] = round(eth_15m * 100, 2)
|
||
if eth_1h is not None:
|
||
result["eth_1h_change_pct"] = round(eth_1h * 100, 2)
|
||
|
||
# 资金费率
|
||
btc_prem = fetch_premium_index("BTCUSDT")
|
||
if btc_prem is not None:
|
||
try:
|
||
result["btc_funding_rate"] = round(float(btc_prem.get("lastFundingRate", 0)), 6)
|
||
except (TypeError, ValueError):
|
||
pass
|
||
eth_prem = fetch_premium_index("ETHUSDT")
|
||
if eth_prem is not None:
|
||
try:
|
||
result["eth_funding_rate"] = round(float(eth_prem.get("lastFundingRate", 0)), 6)
|
||
except (TypeError, ValueError):
|
||
pass
|
||
|
||
# 大户多空比
|
||
lsr = fetch_long_short_ratio("BTCUSDT", "1d", 1)
|
||
if lsr is not None:
|
||
result["btc_long_short_ratio"] = round(lsr, 4)
|
||
|
||
# 4H 趋势
|
||
klines_4h = _fetch_klines("BTCUSDT", "4h", 60)
|
||
if klines_4h and len(klines_4h) >= 21:
|
||
try:
|
||
from trading_system.market_regime_detector import compute_trend_4h_from_klines
|
||
result["btc_trend_4h"] = compute_trend_4h_from_klines(klines_4h)
|
||
except Exception:
|
||
result["btc_trend_4h"] = _simple_trend_4h(klines_4h)
|
||
|
||
# 市场状态（bull/bear/normal）
|
||
try:
|
||
from trading_system.market_regime_detector import detect_market_regime
|
||
regime, details = detect_market_regime()
|
||
result["market_regime"] = regime
|
||
result["market_regime_details"] = details
|
||
except Exception as e:
|
||
logger.debug("market_overview 获取市场状态失败: %s", e)
|
||
|
||
return result
|
||
|
||
|
||
def _simple_trend_4h(klines: list) -> str:
|
||
"""简化 4H 趋势：价格 vs 最近一根 K 线前 20 根均价。"""
|
||
if len(klines) < 21:
|
||
return "neutral"
|
||
closes = [float(k[4]) for k in klines]
|
||
price = closes[-1]
|
||
avg20 = sum(closes[-21:-1]) / 20
|
||
if price > avg20 * 1.002:
|
||
return "up"
|
||
if price < avg20 * 0.998:
|
||
return "down"
|
||
return "neutral"
|
||
|
||
|
||
def _g(key: str, default: Any, cfg: dict) -> Any:
|
||
"""从配置字典取键，支持 bool/数字/字符串。"""
|
||
v = cfg.get(key, default)
|
||
if v is None:
|
||
return default
|
||
if isinstance(default, bool):
|
||
return str(v).lower() in ("true", "1", "yes")
|
||
return v
|
||
|
||
|
||
def get_strategy_execution_overview() -> Dict[str, Any]:
|
||
"""
|
||
生成「策略执行概览」：当前执行方案、配置项执行情况，用易读文字描述整体策略执行标准与机制。
|
||
供全局配置页「策略执行概览」展示。
|
||
返回格式：{ "sections": [ { "title": "小节标题", "content": "正文" } ] }
|
||
"""
|
||
sections = []
|
||
cfg = {}
|
||
try:
|
||
from config_manager import GlobalStrategyConfigManager
|
||
mgr = GlobalStrategyConfigManager()
|
||
mgr.reload_from_redis()
|
||
for key in (
|
||
"AUTO_TRADE_ENABLED", "AUTO_TRADE_ONLY_TRENDING", "AUTO_TRADE_ALLOW_4H_NEUTRAL",
|
||
"MIN_SIGNAL_STRENGTH", "LOW_VOLATILITY_MIN_SIGNAL_STRENGTH", "MARKET_REGIME_AUTO",
|
||
"TOP_N_SYMBOLS", "SCAN_INTERVAL", "PRIMARY_INTERVAL", "CONFIRM_INTERVAL",
|
||
"MAX_OPEN_POSITIONS", "MAX_DAILY_ENTRIES", "FIXED_RISK_PERCENT", "USE_FIXED_RISK_SIZING",
|
||
"BETA_FILTER_ENABLED", "BETA_FILTER_THRESHOLD", "MARKET_SCHEME",
|
||
"USE_ATR_STOP_LOSS", "ATR_STOP_LOSS_MULTIPLIER", "STOP_LOSS_PERCENT",
|
||
"TAKE_PROFIT_1_PERCENT", "TAKE_PROFIT_PERCENT", "USE_TRAILING_STOP",
|
||
"TRAILING_STOP_ACTIVATION", "TRAILING_STOP_PROTECT", "PROFIT_PROTECTION_ENABLED",
|
||
"SMART_ENTRY_ENABLED", "USE_TREND_ENTRY_FILTER", "MAX_TREND_MOVE_BEFORE_ENTRY",
|
||
"MAX_RSI_FOR_LONG", "MIN_RSI_FOR_SHORT", "MAX_CHANGE_PERCENT_FOR_LONG", "MAX_CHANGE_PERCENT_FOR_SHORT",
|
||
"MIN_VOLUME_24H", "MIN_VOLATILITY", "MIN_HOLD_TIME_SEC",
|
||
):
|
||
cfg[key] = mgr.get(key)
|
||
except Exception as e:
|
||
logger.debug("get_strategy_execution_overview 加载配置失败: %s", e)
|
||
|
||
def pct(x):
|
||
if x is None:
|
||
return "—"
|
||
try:
|
||
f = float(x)
|
||
if abs(f) < 1 and abs(f) > 0:
|
||
return f"{f * 100:.2f}%"
|
||
return f"{f}%"
|
||
except (TypeError, ValueError):
|
||
return str(x)
|
||
|
||
# ---------- 1. 总开关与自动交易条件 ----------
|
||
auto_on = _g("AUTO_TRADE_ENABLED", True, cfg)
|
||
only_trending = _g("AUTO_TRADE_ONLY_TRENDING", True, cfg)
|
||
allow_4h_neutral = _g("AUTO_TRADE_ALLOW_4H_NEUTRAL", False, cfg)
|
||
min_strength = _g("MIN_SIGNAL_STRENGTH", 8, cfg)
|
||
low_vol_strength = _g("LOW_VOLATILITY_MIN_SIGNAL_STRENGTH", 9, cfg)
|
||
regime_auto = _g("MARKET_REGIME_AUTO", True, cfg)
|
||
|
||
c1 = []
|
||
c1.append("自动交易总开关：" + ("开启" if auto_on else "关闭"))
|
||
if not auto_on:
|
||
c1.append("关闭时仅生成推荐，不会自动下单。")
|
||
else:
|
||
c1.append("自动下单条件（需同时满足）：")
|
||
c1.append("• 信号强度 ≥ " + str(min_strength) + "（技术指标综合评分）；低波动期自动提高至 " + str(low_vol_strength) + "（" + ("已开启" if regime_auto else "未开启") + "市场节奏识别）。")
|
||
c1.append("• 市场状态：仅当「仅做趋势市」开启时，要求市场状态为 trending 才下单；ranging/unknown 只生成推荐、不自动下单。当前「仅做趋势市」=" + ("是" if only_trending else "否") + "。")
|
||
c1.append("• 4H 趋势：允许 4H 中性时自动交易 = " + ("是" if allow_4h_neutral else "否") + "；为否时 4H 为中性会跳过自动下单。")
|
||
sections.append({
|
||
"title": "一、总开关与自动交易条件",
|
||
"content": "\n".join(c1),
|
||
})
|
||
|
||
# ---------- 2. 扫描与候选池 ----------
|
||
top_n = _g("TOP_N_SYMBOLS", 30, cfg)
|
||
scan_interval = _g("SCAN_INTERVAL", 900, cfg)
|
||
primary = _g("PRIMARY_INTERVAL", "4h", cfg)
|
||
confirm = _g("CONFIRM_INTERVAL", "1d", cfg)
|
||
min_vol = _g("MIN_VOLUME_24H", 30000000, cfg)
|
||
min_vol_str = f"{min_vol / 1e6:.0f} 万 USDT" if isinstance(min_vol, (int, float)) and min_vol >= 1e6 else str(min_vol)
|
||
vol_pct = _g("MIN_VOLATILITY", 0.03, cfg)
|
||
vol_pct_str = f"{float(vol_pct) * 100:.1f}%" if isinstance(vol_pct, (int, float)) else str(vol_pct)
|
||
|
||
c2 = []
|
||
c2.append("每次扫描取涨跌幅最大的前 " + str(top_n) + " 个交易对进行详细分析；扫描间隔 " + str(scan_interval) + " 秒。")
|
||
c2.append("主周期 " + str(primary) + "，确认周期 " + str(confirm) + "；24h 成交额 ≥ " + min_vol_str + "，最小波动率 " + vol_pct_str + "。")
|
||
sections.append({
|
||
"title": "二、扫描与候选池",
|
||
"content": "\n".join(c2),
|
||
})
|
||
|
||
# ---------- 3. 仓位与风控 ----------
|
||
max_pos = _g("MAX_OPEN_POSITIONS", 4, cfg)
|
||
max_daily = _g("MAX_DAILY_ENTRIES", 15, cfg)
|
||
fixed_risk = _g("USE_FIXED_RISK_SIZING", True, cfg)
|
||
risk_pct = _g("FIXED_RISK_PERCENT", 0.01, cfg)
|
||
risk_pct_str = pct(risk_pct) if isinstance(risk_pct, (int, float)) and risk_pct <= 1 else f"{float(risk_pct)}%"
|
||
|
||
c3 = []
|
||
c3.append("同时持仓上限 " + str(max_pos) + " 个，每日最多开仓 " + str(max_daily) + " 笔。")
|
||
c3.append("固定风险 sizing：" + ("开启" if fixed_risk else "关闭") + "；每笔最大亏损 " + risk_pct_str + " 账户资金。")
|
||
sections.append({
|
||
"title": "三、仓位与风控",
|
||
"content": "\n".join(c3),
|
||
})
|
||
|
||
# ---------- 4. 大盘与市场方案 ----------
|
||
beta_on = _g("BETA_FILTER_ENABLED", True, cfg)
|
||
beta_th = _g("BETA_FILTER_THRESHOLD", -0.005, cfg)
|
||
scheme = str(_g("MARKET_SCHEME", "normal", cfg) or "normal")
|
||
|
||
c4 = []
|
||
c4.append("大盘共振过滤：" + ("开启" if beta_on else "关闭") + "；BTC/ETH 短周期跌逾 " + pct(beta_th) + " 时屏蔽多单。")
|
||
c4.append("当前市场方案：" + scheme + "（用于参数预设）。")
|
||
sections.append({
|
||
"title": "四、大盘与市场方案",
|
||
"content": "\n".join(c4),
|
||
})
|
||
|
||
# ---------- 5. 止损止盈与保护 ----------
|
||
use_atr = _g("USE_ATR_STOP_LOSS", True, cfg)
|
||
atr_mult = _g("ATR_STOP_LOSS_MULTIPLIER", 2.0, cfg)
|
||
sl_pct = _g("STOP_LOSS_PERCENT", 0.05, cfg)
|
||
tp1 = _g("TAKE_PROFIT_1_PERCENT", 0.12, cfg)
|
||
tp2 = _g("TAKE_PROFIT_PERCENT", 0.25, cfg)
|
||
trail = _g("USE_TRAILING_STOP", True, cfg)
|
||
trail_act = _g("TRAILING_STOP_ACTIVATION", 0.10, cfg)
|
||
trail_prot = _g("TRAILING_STOP_PROTECT", 0.02, cfg)
|
||
profit_prot = _g("PROFIT_PROTECTION_ENABLED", True, cfg)
|
||
|
||
c5 = []
|
||
c5.append("止损：ATR 动态止损 " + ("开启" if use_atr else "关闭") + ("，倍数 " + str(atr_mult) if use_atr else "") + "；固定止损 " + pct(sl_pct) + "。")
|
||
c5.append("止盈：第一目标 " + pct(tp1) + "，第二目标 " + pct(tp2) + "。")
|
||
c5.append("盈利保护总开关：" + ("开启" if profit_prot else "关闭") + "；移动止损 " + ("开启" if trail else "关闭") + ("，盈利 " + pct(trail_act) + " 激活、保护 " + pct(trail_prot) + " 利润" if trail else "") + "。")
|
||
sections.append({
|
||
"title": "五、止损止盈与保护",
|
||
"content": "\n".join(c5),
|
||
})
|
||
|
||
# ---------- 6. 入场与过滤 ----------
|
||
smart = _g("SMART_ENTRY_ENABLED", True, cfg)
|
||
trend_filter = _g("USE_TREND_ENTRY_FILTER", True, cfg)
|
||
max_trend = _g("MAX_TREND_MOVE_BEFORE_ENTRY", 0.04, cfg)
|
||
max_rsi_long = _g("MAX_RSI_FOR_LONG", 65, cfg)
|
||
min_rsi_short = _g("MIN_RSI_FOR_SHORT", 30, cfg)
|
||
max_ch_long = _g("MAX_CHANGE_PERCENT_FOR_LONG", 25, cfg)
|
||
max_ch_short = _g("MAX_CHANGE_PERCENT_FOR_SHORT", 10, cfg)
|
||
|
||
c6 = []
|
||
c6.append("智能入场（限价+追价+市价兜底）：" + ("开启" if smart else "关闭") + "。")
|
||
c6.append("趋势入场过滤：" + ("开启" if trend_filter else "关闭") + "；信号方向已走超 " + pct(max_trend) + " 则不再入场。")
|
||
c6.append("做多：RSI ≤ " + str(max_rsi_long) + "，24h 涨跌幅 ≤ " + str(max_ch_long) + "%。做空：RSI ≥ " + str(min_rsi_short) + "，24h 涨跌幅 ≤ " + str(max_ch_short) + "%。")
|
||
sections.append({
|
||
"title": "六、入场与过滤",
|
||
"content": "\n".join(c6),
|
||
})
|
||
|
||
return {"sections": sections}
|