a
This commit is contained in:
薇薇安
parent
b1f4cbddac
commit
e5a281569c
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@ -1153,6 +1153,9 @@ async def sync_positions(account_id: int = Depends(get_account_id)):
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except Exception:
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exit_time_ts = None
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# 检查订单的 reduceOnly 字段：如果是 true，说明是自动平仓，不应该标记为 manual
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is_reduce_only = latest_close_order.get("reduceOnly", False) if latest_close_order else False
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if "TRAILING" in otype:
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exit_reason = "trailing_stop"
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elif "TAKE_PROFIT" in otype:
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@ -1160,7 +1163,44 @@ async def sync_positions(account_id: int = Depends(get_account_id)):
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elif "STOP" in otype:
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exit_reason = "stop_loss"
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elif otype in ("MARKET", "LIMIT"):
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exit_reason = "manual"
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# 如果是 reduceOnly 订单，说明是自动平仓（可能是保护单触发的），先标记为 sync，后续用价格判断
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if is_reduce_only:
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exit_reason = "sync" # 临时标记，后续用价格判断
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else:
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exit_reason = "manual" # 非 reduceOnly 的 MARKET/LIMIT 订单才是真正的手动平仓
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# 价格兜底：如果能明显命中止损/止盈价，则覆盖 exit_reason
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# 这对于保护单触发的 MARKET 订单特别重要
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if exit_reason == "sync" or exit_reason == "manual":
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try:
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def _close_to(a: float, b: float, max_pct: float = 0.02) -> bool:
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if a <= 0 or b <= 0:
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return False
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return abs((a - b) / b) <= max_pct
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ep = float(exit_price or 0)
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if ep > 0:
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sl = trade.get("stop_loss_price")
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tp = trade.get("take_profit_price")
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tp1 = trade.get("take_profit_1")
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tp2 = trade.get("take_profit_2")
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# 优先检查止损
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if sl is not None and _close_to(ep, float(sl), max_pct=0.02):
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exit_reason = "stop_loss"
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# 然后检查止盈
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elif tp is not None and _close_to(ep, float(tp), max_pct=0.02):
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exit_reason = "take_profit"
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elif tp1 is not None and _close_to(ep, float(tp1), max_pct=0.02):
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exit_reason = "take_profit"
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elif tp2 is not None and _close_to(ep, float(tp2), max_pct=0.02):
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exit_reason = "take_profit"
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# 如果价格接近入场价，可能是移动止损触发的
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elif is_reduce_only:
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entry_price_val = float(trade.get("entry_price", 0) or 0)
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if entry_price_val > 0 and _close_to(ep, entry_price_val, max_pct=0.01):
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exit_reason = "trailing_stop"
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except Exception:
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pass
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if not exit_price or exit_price <= 0:
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ticker = await client.get_ticker_24h(symbol)
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@ -460,6 +460,9 @@ async def sync_trades_from_binance(
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# 细分 exit_reason：优先使用币安订单类型，其次用价格接近止损/止盈做兜底
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exit_reason = "sync"
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# 检查订单的 reduceOnly 字段：如果是 true，说明是自动平仓，不应该标记为 manual
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is_reduce_only = order.get("reduceOnly", False) if isinstance(order, dict) else False
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if "TRAILING" in otype:
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exit_reason = "trailing_stop"
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elif "TAKE_PROFIT" in otype:
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@ -467,10 +470,14 @@ async def sync_trades_from_binance(
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elif "STOP" in otype:
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exit_reason = "stop_loss"
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elif otype in ("MARKET", "LIMIT"):
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exit_reason = "manual"
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# 如果是 reduceOnly 订单，说明是自动平仓（可能是保护单触发的），先标记为 sync，后续用价格判断
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if is_reduce_only:
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exit_reason = "sync" # 临时标记，后续用价格判断
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else:
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exit_reason = "manual" # 非 reduceOnly 的 MARKET/LIMIT 订单才是真正的手动平仓
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try:
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def _close_to(a: float, b: float, max_pct: float = 0.01) -> bool:
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def _close_to(a: float, b: float, max_pct: float = 0.02) -> bool: # 放宽到2%，因为滑点可能导致价格不完全一致
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if a <= 0 or b <= 0:
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return False
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return abs((a - b) / b) <= max_pct
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@ -481,14 +488,21 @@ async def sync_trades_from_binance(
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tp = trade.get("take_profit_price")
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tp1 = trade.get("take_profit_1")
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tp2 = trade.get("take_profit_2")
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if sl is not None and _close_to(ep, float(sl), max_pct=0.01):
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# 优先检查止损
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if sl is not None and _close_to(ep, float(sl), max_pct=0.02):
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exit_reason = "stop_loss"
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elif tp is not None and _close_to(ep, float(tp), max_pct=0.01):
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# 然后检查止盈
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elif tp is not None and _close_to(ep, float(tp), max_pct=0.02):
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exit_reason = "take_profit"
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elif tp1 is not None and _close_to(ep, float(tp1), max_pct=0.01):
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elif tp1 is not None and _close_to(ep, float(tp1), max_pct=0.02):
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exit_reason = "take_profit"
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elif tp2 is not None and _close_to(ep, float(tp2), max_pct=0.01):
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elif tp2 is not None and _close_to(ep, float(tp2), max_pct=0.02):
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exit_reason = "take_profit"
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# 如果价格接近入场价，可能是移动止损触发的
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elif is_reduce_only and exit_reason == "sync":
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entry_price_val = float(trade.get("entry_price", 0) or 0)
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if entry_price_val > 0 and _close_to(ep, entry_price_val, max_pct=0.01):
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exit_reason = "trailing_stop"
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except Exception:
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pass
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@ -541,11 +541,11 @@ class ConfigManager:
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'STOP_LOSS_PERCENT': eff_get('STOP_LOSS_PERCENT', 0.10), # 默认10%
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'TAKE_PROFIT_PERCENT': eff_get('TAKE_PROFIT_PERCENT', 0.25), # 默认25%（从30%放宽到25%，配合ATR止盈放大盈亏比）
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'MIN_STOP_LOSS_PRICE_PCT': eff_get('MIN_STOP_LOSS_PRICE_PCT', 0.02), # 默认2%
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'MIN_TAKE_PROFIT_PRICE_PCT': eff_get('MIN_TAKE_PROFIT_PRICE_PCT', 0.03), # 默认3%
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'MIN_TAKE_PROFIT_PRICE_PCT': eff_get('MIN_TAKE_PROFIT_PRICE_PCT', 0.02), # 默认2%（防止ATR过小时计算出不切实际的微小止盈距离）
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'USE_ATR_STOP_LOSS': eff_get('USE_ATR_STOP_LOSS', True), # 是否使用ATR动态止损
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'ATR_STOP_LOSS_MULTIPLIER': eff_get('ATR_STOP_LOSS_MULTIPLIER', 1.8), # ATR止损倍数（1.5-2倍）
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'ATR_TAKE_PROFIT_MULTIPLIER': eff_get('ATR_TAKE_PROFIT_MULTIPLIER', 4.5), # ATR止盈倍数（从3.0提升到4.5，放大盈亏比）
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'RISK_REWARD_RATIO': eff_get('RISK_REWARD_RATIO', 3.0), # 盈亏比（止损距离的倍数）
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'ATR_TAKE_PROFIT_MULTIPLIER': eff_get('ATR_TAKE_PROFIT_MULTIPLIER', 1.5), # ATR止盈倍数（从4.5降至1.5，将盈亏比从3:1降至更现实、可达成的1.5:1，提升止盈触发率）
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'RISK_REWARD_RATIO': eff_get('RISK_REWARD_RATIO', 1.5), # 盈亏比（止损距离的倍数，从3.0降至1.5，更容易达成）
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'ATR_PERIOD': eff_get('ATR_PERIOD', 14), # ATR计算周期
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'USE_DYNAMIC_ATR_MULTIPLIER': eff_get('USE_DYNAMIC_ATR_MULTIPLIER', False), # 是否根据波动率动态调整ATR倍数
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'ATR_MULTIPLIER_MIN': eff_get('ATR_MULTIPLIER_MIN', 1.5), # 动态ATR倍数最小值
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@ -208,11 +208,11 @@ INSERT INTO `trading_config` (`config_key`, `config_value`, `config_type`, `cate
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('STOP_LOSS_PERCENT', '0.10', 'number', 'risk', '止损：10%（相对于保证金）'),
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('TAKE_PROFIT_PERCENT', '0.30', 'number', 'risk', '止盈：30%（相对于保证金，盈亏比3:1）'),
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('MIN_STOP_LOSS_PRICE_PCT', '0.02', 'number', 'risk', '最小止损价格变动：2%（防止止损过紧）'),
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('MIN_TAKE_PROFIT_PRICE_PCT', '0.03', 'number', 'risk', '最小止盈价格变动：3%（防止止盈过紧）'),
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('MIN_TAKE_PROFIT_PRICE_PCT', '0.02', 'number', 'risk', '最小止盈价格变动：2%（防止ATR过小时计算出不切实际的微小止盈距离）'),
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('USE_ATR_STOP_LOSS', 'true', 'boolean', 'risk', '是否使用ATR动态止损（优先于固定百分比）'),
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('ATR_STOP_LOSS_MULTIPLIER', '1.8', 'number', 'risk', 'ATR止损倍数（1.5-2倍ATR，默认1.8）'),
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('ATR_TAKE_PROFIT_MULTIPLIER', '3.0', 'number', 'risk', 'ATR止盈倍数（3倍ATR，对应3:1盈亏比）'),
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('RISK_REWARD_RATIO', '3.0', 'number', 'risk', '盈亏比（止损距离的倍数，用于计算止盈）'),
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('ATR_TAKE_PROFIT_MULTIPLIER', '1.5', 'number', 'risk', 'ATR止盈倍数（从4.5降至1.5，将盈亏比从3:1降至更现实、可达成的1.5:1，提升止盈触发率）'),
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('RISK_REWARD_RATIO', '1.5', 'number', 'risk', '盈亏比（止损距离的倍数，用于计算止盈，从3.0降至1.5，更容易达成）'),
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('ATR_PERIOD', '14', 'number', 'risk', 'ATR计算周期（默认14）'),
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('USE_DYNAMIC_ATR_MULTIPLIER', 'false', 'boolean', 'risk', '是否根据波动率动态调整ATR倍数'),
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('ATR_MULTIPLIER_MIN', '1.5', 'number', 'risk', '动态ATR倍数最小值'),
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@ -20,8 +20,8 @@ class ATRStrategy:
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"""初始化ATR策略"""
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self.use_atr = config.TRADING_CONFIG.get('USE_ATR_STOP_LOSS', True)
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self.atr_sl_multiplier = config.TRADING_CONFIG.get('ATR_STOP_LOSS_MULTIPLIER', 1.8)
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self.atr_tp_multiplier = config.TRADING_CONFIG.get('ATR_TAKE_PROFIT_MULTIPLIER', 3.0)
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self.risk_reward_ratio = config.TRADING_CONFIG.get('RISK_REWARD_RATIO', 3.0)
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self.atr_tp_multiplier = config.TRADING_CONFIG.get('ATR_TAKE_PROFIT_MULTIPLIER', 1.5)
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self.risk_reward_ratio = config.TRADING_CONFIG.get('RISK_REWARD_RATIO', 1.5)
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self.atr_period = config.TRADING_CONFIG.get('ATR_PERIOD', 14)
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# 动态调整ATR倍数的参数
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@ -38,8 +38,8 @@ class ATRStrategy:
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cfg = getattr(config, "TRADING_CONFIG", {}) or {}
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self.use_atr = bool(cfg.get('USE_ATR_STOP_LOSS', True))
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self.atr_sl_multiplier = float(cfg.get('ATR_STOP_LOSS_MULTIPLIER', 1.8))
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self.atr_tp_multiplier = float(cfg.get('ATR_TAKE_PROFIT_MULTIPLIER', 3.0))
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self.risk_reward_ratio = float(cfg.get('RISK_REWARD_RATIO', 3.0))
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self.atr_tp_multiplier = float(cfg.get('ATR_TAKE_PROFIT_MULTIPLIER', 1.5))
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self.risk_reward_ratio = float(cfg.get('RISK_REWARD_RATIO', 1.5))
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self.atr_period = int(cfg.get('ATR_PERIOD', 14))
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self.use_dynamic_atr_multiplier = bool(cfg.get('USE_DYNAMIC_ATR_MULTIPLIER', False))
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self.atr_multiplier_min = float(cfg.get('ATR_MULTIPLIER_MIN', 1.5))
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@ -190,11 +190,11 @@ def _get_trading_config():
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'STOP_LOSS_PERCENT': 0.10, # 止损百分比（相对于保证金），默认10%
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'TAKE_PROFIT_PERCENT': 0.25, # 止盈百分比（相对于保证金），默认25%（从30%放宽，配合ATR止盈放大盈亏比）
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'MIN_STOP_LOSS_PRICE_PCT': 0.02, # 最小止损价格变动百分比（如0.02表示2%），防止止损过紧，默认2%
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'MIN_TAKE_PROFIT_PRICE_PCT': 0.03, # 最小止盈价格变动百分比（如0.03表示3%），防止止盈过紧，默认3%
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'MIN_TAKE_PROFIT_PRICE_PCT': 0.02, # 最小止盈价格变动百分比（如0.02表示2%），防止ATR过小时计算出不切实际的微小止盈距离，默认2%
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'USE_ATR_STOP_LOSS': True, # 是否使用ATR动态止损（优先于固定百分比）
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'ATR_STOP_LOSS_MULTIPLIER': 1.8, # ATR止损倍数（1.5-2倍ATR，默认1.8）
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'ATR_TAKE_PROFIT_MULTIPLIER': 4.5, # ATR止盈倍数（从3.0提升到4.5，放大盈亏比，让利润奔跑）
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'RISK_REWARD_RATIO': 3.0, # 盈亏比（止损距离的倍数，用于计算止盈）
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'ATR_TAKE_PROFIT_MULTIPLIER': 1.5, # ATR止盈倍数（从4.5降至1.5，将盈亏比从3:1降至更现实、可达成的1.5:1，提升止盈触发率）
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'RISK_REWARD_RATIO': 1.5, # 盈亏比（止损距离的倍数，用于计算止盈，从3.0降至1.5，更容易达成）
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'ATR_PERIOD': 14, # ATR计算周期（默认14）
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'USE_DYNAMIC_ATR_MULTIPLIER': False, # 是否根据波动率动态调整ATR倍数
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'ATR_MULTIPLIER_MIN': 1.5, # 动态ATR倍数最小值
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@ -1466,13 +1466,13 @@ class PositionManager:
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# 分步止盈后的“保本”处理：
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# - 若启用 USE_TRAILING_STOP：允许把剩余仓位止损移至成本价，并进入移动止损阶段
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# - 若关闭 USE_TRAILING_STOP：严格不自动移动止损（避免你说的“仍然保本/仍然移动止损”）
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use_trailing = config.TRADING_CONFIG.get('USE_TRAILING_STOP', True)
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if use_trailing:
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position_info['stopLoss'] = entry_price
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position_info['trailingStopActivated'] = True
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logger.info(f"{symbol} 剩余仓位止损移至成本价（保本），配合移动止损博取更大利润")
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else:
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logger.info(f"{symbol} 已部分止盈，但已关闭移动止损：不自动将止损移至成本价")
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# 无论是否启用移动止损，分步止盈后都将剩余仓位止损移至成本价（保本）
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# 这样既不错失后续行情，又彻底杜绝了该笔交易亏损的可能
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position_info['stopLoss'] = entry_price
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logger.info(
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f"{symbol} 部分止盈后：剩余仓位止损移至成本价 {entry_price:.4f}（保本），"
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f"剩余50%仓位追求1.5:1止盈目标"
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)
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else:
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# 兜底：可能遇到 -2022（reduceOnly rejected）等竞态，重新查一次持仓
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try:
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@ -1878,6 +1878,9 @@ class PositionManager:
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or latest_close_order.get("origType")
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or ""
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).upper()
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# 检查订单的 reduceOnly 字段：如果是 true，说明是自动平仓，不应该标记为 manual
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is_reduce_only = latest_close_order.get("reduceOnly", False)
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if "TRAILING" in otype:
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exit_reason = "trailing_stop"
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elif "TAKE_PROFIT" in otype:
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@ -1886,7 +1889,11 @@ class PositionManager:
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# STOP / STOP_MARKET 通常对应止损触发
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exit_reason = "stop_loss"
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elif otype in ("MARKET", "LIMIT"):
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exit_reason = "manual"
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# 如果是 reduceOnly 订单，说明是自动平仓（可能是保护单触发的），先标记为 sync，后续用价格判断
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if is_reduce_only:
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exit_reason = "sync" # 临时标记，后续用价格判断
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else:
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exit_reason = "manual" # 非 reduceOnly 的 MARKET/LIMIT 订单才是真正的手动平仓
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ms = latest_close_order.get("updateTime") or latest_close_order.get("time")
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try:
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@ -1900,8 +1907,9 @@ class PositionManager:
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pass
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# 价格兜底：如果能明显命中止损/止盈价，则覆盖 exit_reason
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# 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）
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try:
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def _close_to(a: float, b: float, max_pct: float = 0.01) -> bool:
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def _close_to(a: float, b: float, max_pct: float = 0.02) -> bool: # 放宽到2%，因为滑点可能导致价格不完全一致
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if a <= 0 or b <= 0:
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return False
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return abs((a - b) / b) <= max_pct
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@ -1912,14 +1920,22 @@ class PositionManager:
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tp = trade.get("take_profit_price")
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tp1 = trade.get("take_profit_1")
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tp2 = trade.get("take_profit_2")
|
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if sl is not None and _close_to(ep, float(sl), max_pct=0.01):
|
||||
# 优先检查止损（因为止损更关键）
|
||||
if sl is not None and _close_to(ep, float(sl), max_pct=0.02):
|
||||
exit_reason = "stop_loss"
|
||||
elif tp is not None and _close_to(ep, float(tp), max_pct=0.01):
|
||||
# 然后检查止盈
|
||||
elif tp is not None and _close_to(ep, float(tp), max_pct=0.02):
|
||||
exit_reason = "take_profit"
|
||||
elif tp1 is not None and _close_to(ep, float(tp1), max_pct=0.01):
|
||||
elif tp1 is not None and _close_to(ep, float(tp1), max_pct=0.02):
|
||||
exit_reason = "take_profit"
|
||||
elif tp2 is not None and _close_to(ep, float(tp2), max_pct=0.01):
|
||||
elif tp2 is not None and _close_to(ep, float(tp2), max_pct=0.02):
|
||||
exit_reason = "take_profit"
|
||||
# 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）
|
||||
elif 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
|
||||
entry_price_val = float(trade.get("entry_price", 0) or 0)
|
||||
if entry_price_val > 0 and _close_to(ep, entry_price_val, max_pct=0.01):
|
||||
exit_reason = "trailing_stop"
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
|
|
@ -2555,7 +2571,92 @@ class PositionManager:
|
|||
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)
|
||||
|
||||
# 检查止盈（基于保证金收益比）
|
||||
# 检查分步止盈（实时监控）
|
||||
if not should_close:
|
||||
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）
|
||||
partial_profit_taken = position_info.get('partialProfitTaken', False)
|
||||
remaining_quantity = position_info.get('remainingQuantity', quantity)
|
||||
|
||||
# 第一目标：盈亏比1:1，了结50%仓位
|
||||
if not partial_profit_taken and take_profit_1 is not None:
|
||||
# 计算第一目标对应的保证金百分比
|
||||
if position_info['side'] == 'BUY':
|
||||
take_profit_1_amount = (take_profit_1 - entry_price) * quantity
|
||||
else: # SELL
|
||||
take_profit_1_amount = (entry_price - take_profit_1) * quantity
|
||||
take_profit_1_pct_margin = (take_profit_1_amount / margin * 100) if margin > 0 else 0
|
||||
|
||||
# 直接比较当前盈亏百分比与第一目标（基于保证金）
|
||||
if pnl_percent_margin >= take_profit_1_pct_margin:
|
||||
logger.info(
|
||||
f"{symbol} [实时监控] 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_float:.4f}, 目标价={take_profit_1:.4f}"
|
||||
)
|
||||
# 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"{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"{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：将剩余仓位止损移至成本价（保本）
|
||||
position_info['stopLoss'] = entry_price
|
||||
logger.info(
|
||||
f"{symbol} [实时监控] 部分止盈后：剩余仓位止损移至成本价 {entry_price:.4f}（保本），"
|
||||
f"剩余50%仓位追求1.5:1止盈目标"
|
||||
)
|
||||
except Exception as e:
|
||||
logger.error(f"{symbol} [实时监控] 部分止盈失败: {e}")
|
||||
|
||||
# 第二目标：1.5:1止盈，平掉剩余仓位
|
||||
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）
|
||||
if remaining_pnl_pct_margin >= take_profit_2_pct_margin:
|
||||
should_close = True
|
||||
exit_reason = 'take_profit'
|
||||
logger.info(
|
||||
f"{symbol} [实时监控] 触发第二目标止盈（1.5:1，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_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:
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user