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薇薇安
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@ -253,6 +253,17 @@ def _get_trading_config():
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# 是否允许 4H 趋势为 neutral 时自动交易；默认不允许（震荡最易扫损）
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# 是否允许 4H 趋势为 neutral 时自动交易；默认不允许（震荡最易扫损）
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'AUTO_TRADE_ALLOW_4H_NEUTRAL': False,
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'AUTO_TRADE_ALLOW_4H_NEUTRAL': False,
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# ===== 趋势入场过滤（防止追在半山腰）=====
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# 是否启用基于趋势状态的入场过滤：
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# - 扫描阶段会为每个强信号交易对写入一份“趋势状态”到缓存（Redis）
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# - 开仓时根据当前价格相对于信号价格的偏移，过滤“过晚追价”的入场
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'USE_TREND_ENTRY_FILTER': True,
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# 在信号方向上允许的最大累计趋势幅度（相对于信号价），超过则认为“时机太晚”，不再入场
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# 例如：0.05 表示价格沿趋势方向已经走了 5% 以上还没上车，则跳过本轮机会
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'MAX_TREND_MOVE_BEFORE_ENTRY': 0.05,
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# 趋势状态缓存的 TTL（秒），用于控制一轮趋势的“有效期”
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'TREND_STATE_TTL_SEC': 3600,
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# ===== 智能入场（方案C）=====
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# ===== 智能入场（方案C）=====
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# 根治方案：默认关闭。关闭后回归“纯限价单模式”（不追价/不市价兜底/未成交撤单跳过）
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# 根治方案：默认关闭。关闭后回归“纯限价单模式”（不追价/不市价兜底/未成交撤单跳过）
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'SMART_ENTRY_ENABLED': True, # 开启智能入场，提高成交率
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'SMART_ENTRY_ENABLED': True, # 开启智能入场，提高成交率
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@ -451,6 +451,39 @@ class MarketScanner:
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# 强度上限归一到 0-10
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# 强度上限归一到 0-10
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signal_strength = max(0, min(int(signal_strength), 10))
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signal_strength = max(0, min(int(signal_strength), 10))
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# ===== 趋势状态缓存（用于后续“入场时机过滤”）=====
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try:
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# 只有在方向明确且信号强度达到最小门槛时，才记录趋势状态
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min_strength = int(config.TRADING_CONFIG.get('MIN_SIGNAL_STRENGTH', 7) or 7)
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use_trend_filter = bool(config.TRADING_CONFIG.get('USE_TREND_ENTRY_FILTER', False))
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if use_trend_filter and direction and signal_strength >= min_strength:
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trend_state_key = f"trend_state:{symbol}"
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trend_state_value = {
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'symbol': symbol,
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'direction': direction, # BUY / SELL
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'signal_strength': int(signal_strength),
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'marketRegime': market_regime,
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'trend_4h': trend_4h,
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# 使用技术分析用的收盘价作为“信号价格”，同时附带 24h ticker 价格
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'signal_price': float(current_price),
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'ticker_price': float(ticker_price) if ticker_price is not None else None,
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'ema20': float(ema20) if ema20 is not None else None,
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'ema50': float(ema50) if ema50 is not None else None,
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'ema20_4h': float(ema20_4h) if ema20_4h is not None else None,
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'price_4h': float(price_4h) if price_4h is not None else None,
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'last_kline_time': last_kline_time,
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'created_at_ts': int(ticker_ts or 0),
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}
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ttl_sec = int(config.TRADING_CONFIG.get('TREND_STATE_TTL_SEC', 3600) or 3600)
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if self.client and getattr(self.client, "redis_cache", None):
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try:
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await self.client.redis_cache.set(trend_state_key, trend_state_value, ttl=ttl_sec)
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logger.debug(f"{symbol} 趋势状态已缓存: dir={direction}, strength={signal_strength}, price={current_price:.6f}")
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except Exception as e:
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logger.debug(f"{symbol} 缓存趋势状态失败: {e}")
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except Exception as e:
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logger.debug(f"{symbol} 处理趋势状态缓存时出错: {e}")
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return {
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return {
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'symbol': symbol,
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'symbol': symbol,
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# 技术分析使用的价格（K线收盘价）
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# 技术分析使用的价格（K线收盘价）
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@ -208,6 +208,55 @@ class PositionManager:
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estimated_entry_price = ticker['price']
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estimated_entry_price = ticker['price']
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estimated_side = trade_direction if trade_direction else ('BUY' if change_percent > 0 else 'SELL')
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estimated_side = trade_direction if trade_direction else ('BUY' if change_percent > 0 else 'SELL')
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# ===== 趋势入场过滤（防止在趋势尾部追价）=====
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try:
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use_trend_filter = bool(config.TRADING_CONFIG.get("USE_TREND_ENTRY_FILTER", False))
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if use_trend_filter and getattr(self.client, "redis_cache", None):
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trend_state_key = f"trend_state:{symbol}"
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trend_state = await self.client.redis_cache.get(trend_state_key)
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if trend_state:
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trend_dir = (trend_state.get("direction") or "").upper()
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signal_price = float(trend_state.get("signal_price") or 0) or None
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if signal_price and trend_dir in ("BUY", "SELL"):
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# 使用更实时的价格（如有），否则使用估算价
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realtime_price = None
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try:
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realtime_price = self.client.get_realtime_price(symbol)
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except Exception:
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realtime_price = None
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current_price = float(realtime_price or estimated_entry_price)
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max_move = float(config.TRADING_CONFIG.get("MAX_TREND_MOVE_BEFORE_ENTRY", 0.05) or 0.05)
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too_late = False
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move_pct = 0.0
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if trend_dir == "BUY":
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# 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
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if current_price > signal_price:
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move_pct = (current_price - signal_price) / signal_price
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if move_pct > max_move:
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too_late = True
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elif trend_dir == "SELL":
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# 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
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if current_price < signal_price:
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move_pct = (signal_price - current_price) / signal_price
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if move_pct > max_move:
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too_late = True
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# 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
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if estimated_side.upper() == trend_dir and too_late:
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logger.info(
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f"{symbol} [入场过滤] 趋势方向={trend_dir}, 信号价={signal_price:.6f}, "
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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}%，"
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f"认为本轮趋势入场时机已错过，跳过自动开仓"
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)
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return None
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except Exception as e:
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logger.debug(f"{symbol} 趋势入场过滤时出错（忽略，按正常逻辑继续）: {e}")
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# 估算止损价格（用于固定风险计算）
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# 估算止损价格（用于固定风险计算）
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estimated_stop_loss = None
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estimated_stop_loss = None
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if atr and atr > 0:
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if atr and atr > 0:
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