506 lines
23 KiB
Python
506 lines
23 KiB
Python
"""
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交易策略模块 - 实现交易逻辑和优化
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"""
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import asyncio
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import logging
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from typing import List, Dict, Optional
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try:
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from .binance_client import BinanceClient
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from .market_scanner import MarketScanner
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from .risk_manager import RiskManager
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from .position_manager import PositionManager
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from . import config
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except ImportError:
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from binance_client import BinanceClient
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from market_scanner import MarketScanner
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from risk_manager import RiskManager
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from position_manager import PositionManager
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import config
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logger = logging.getLogger(__name__)
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class TradingStrategy:
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"""交易策略类"""
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def __init__(
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self,
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client: BinanceClient,
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scanner: MarketScanner,
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risk_manager: RiskManager,
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position_manager: PositionManager,
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recommender=None # 推荐器（可选）
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):
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"""
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初始化交易策略
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Args:
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client: 币安客户端
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scanner: 市场扫描器
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risk_manager: 风险管理器
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position_manager: 仓位管理器
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recommender: 推荐器（可选，如果提供则自动生成推荐）
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"""
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self.client = client
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self.scanner = scanner
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self.risk_manager = risk_manager
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self.position_manager = position_manager
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self.recommender = recommender # 推荐器
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self.running = False
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self._monitoring_started = False # 是否已启动监控
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self._sync_task = None # 定期同步任务
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async def execute_strategy(self):
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"""
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执行交易策略
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"""
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self.running = True
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logger.info("交易策略开始执行...")
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# 启动所有现有持仓的WebSocket实时监控
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if not self._monitoring_started:
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try:
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await self.position_manager.start_all_position_monitoring()
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self._monitoring_started = True
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except Exception as e:
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logger.warning(f"启动持仓监控失败: {e}，将使用定时检查模式")
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# 启动定期同步任务（独立于市场扫描）
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self._sync_task = asyncio.create_task(self._periodic_sync_positions())
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logger.info("定期持仓同步任务已启动")
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try:
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while self.running:
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# 1. 扫描市场，找出涨跌幅最大的前N个货币对
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top_symbols = await self.scanner.scan_market()
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if not top_symbols:
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logger.warning("未找到符合条件的交易对，等待下次扫描...")
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await asyncio.sleep(config.TRADING_CONFIG['SCAN_INTERVAL'])
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continue
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# 2. 对每个交易对执行交易逻辑（使用技术指标）
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for symbol_info in top_symbols:
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if not self.running:
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break
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symbol = symbol_info['symbol']
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change_percent = symbol_info['changePercent']
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direction = symbol_info['direction']
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market_regime = symbol_info.get('marketRegime', 'unknown')
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logger.info(
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f"处理交易对: {symbol} "
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f"({direction} {change_percent:.2f}%, 市场状态: {market_regime})"
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)
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# 使用技术指标判断交易信号（高胜率策略）
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trade_signal = await self._analyze_trade_signal(symbol_info)
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# 记录交易信号到数据库（只有当有明确方向时才记录）
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signal_direction = trade_signal.get('direction')
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if signal_direction: # 只有当方向不为空时才记录
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try:
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import sys
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from pathlib import Path
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project_root = Path(__file__).parent.parent
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backend_path = project_root / 'backend'
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if backend_path.exists():
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sys.path.insert(0, str(backend_path))
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from database.models import TradingSignal
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TradingSignal.create(
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symbol=symbol,
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signal_direction=signal_direction,
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signal_strength=trade_signal.get('strength', 0),
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signal_reason=trade_signal.get('reason', ''),
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rsi=symbol_info.get('rsi'),
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macd_histogram=symbol_info.get('macd', {}).get('histogram') if symbol_info.get('macd') else None,
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market_regime=symbol_info.get('marketRegime')
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)
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except Exception as e:
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logger.debug(f"记录交易信号失败: {e}")
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# 自动生成推荐（即使不满足自动交易条件，只要信号强度>=5就生成推荐）
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# 注意：推荐生成不检查是否已有持仓，因为推荐是供手动参考的
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if self.recommender and signal_direction and trade_signal.get('strength', 0) >= 5:
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try:
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await self.recommender._create_recommendation(symbol_info, trade_signal)
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logger.debug(f"✓ {symbol} 自动生成推荐成功 (信号强度: {trade_signal.get('strength', 0)}/10)")
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except Exception as e:
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logger.warning(f"自动生成推荐失败 {symbol}: {e}")
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# 检查是否应该自动交易（已有持仓则跳过自动交易，但推荐已生成）
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if not await self.risk_manager.should_trade(symbol, change_percent):
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continue
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# 优化：结合成交量确认
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if not await self._check_volume_confirmation(symbol_info):
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logger.info(f"{symbol} 成交量确认失败，跳过")
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continue
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if not trade_signal['should_trade']:
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logger.info(
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f"{symbol} 技术指标分析: {trade_signal['reason']}, 跳过自动交易"
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)
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continue
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# 确定交易方向（基于技术指标）
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trade_direction = trade_signal['direction']
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entry_reason = trade_signal['reason']
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signal_strength = trade_signal.get('strength', 0)
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logger.info(
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f"{symbol} 交易信号: {trade_direction} | "
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f"原因: {entry_reason} | "
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f"信号强度: {signal_strength}/10"
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)
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# 根据信号强度计算动态杠杆（高质量信号使用更高杠杆）
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# 同时检查交易对支持的最大杠杆限制
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dynamic_leverage = await self.risk_manager.calculate_dynamic_leverage(signal_strength, symbol)
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logger.info(
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f"{symbol} 使用动态杠杆: {dynamic_leverage}x "
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f"(信号强度: {signal_strength}/10)"
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)
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# 开仓（使用改进的仓位管理）
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position = await self.position_manager.open_position(
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symbol=symbol,
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change_percent=change_percent,
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leverage=dynamic_leverage,
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trade_direction=trade_direction,
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entry_reason=entry_reason,
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atr=symbol_info.get('atr'),
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klines=symbol_info.get('klines'), # 传递K线数据用于动态止损
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bollinger=symbol_info.get('bollinger') # 传递布林带数据用于动态止损
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)
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if position:
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logger.info(f"{symbol} 开仓成功: {trade_direction} ({entry_reason})")
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# 开仓成功后，WebSocket监控会在position_manager中自动启动
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else:
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logger.warning(f"{symbol} 开仓失败")
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# 避免同时处理太多交易对
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await asyncio.sleep(1)
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# 3. 同步币安实际持仓状态与数据库（定期同步，确保状态一致）
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try:
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await self.position_manager.sync_positions_with_binance()
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# 同步后，确保所有持仓都有监控（包括手动开仓的）
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await self.position_manager.start_all_position_monitoring()
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except Exception as e:
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logger.warning(f"持仓状态同步失败: {e}")
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# 4. 检查止损止盈（作为备用检查，WebSocket实时监控是主要方式）
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# 注意：如果启用了WebSocket实时监控，这里主要是作为备用检查
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closed = await self.position_manager.check_stop_loss_take_profit()
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if closed:
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logger.info(f"定时检查触发平仓: {', '.join(closed)}")
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# 5. 打印持仓摘要并记录账户快照
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summary = await self.position_manager.get_position_summary()
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if summary:
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logger.info(
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f"持仓摘要: {summary['totalPositions']} 个持仓, "
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f"总盈亏: {summary['totalPnL']:.2f} USDT, "
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f"可用余额: {summary['availableBalance']:.2f} USDT"
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)
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# 输出价格缓存统计
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cache_size = len(self.client._price_cache)
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if cache_size > 0:
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logger.info(f"价格缓存: {cache_size}个交易对")
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# 记录账户快照到数据库
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try:
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import sys
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from pathlib import Path
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project_root = Path(__file__).parent.parent
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backend_path = project_root / 'backend'
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if backend_path.exists():
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sys.path.insert(0, str(backend_path))
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from database.models import AccountSnapshot
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AccountSnapshot.create(
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total_balance=summary['totalBalance'],
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available_balance=summary['availableBalance'],
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total_position_value=sum(abs(p['positionAmt'] * p['entryPrice']) for p in summary.get('positions', [])),
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total_pnl=summary['totalPnL'],
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open_positions=summary['totalPositions']
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)
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except Exception as e:
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logger.debug(f"记录账户快照失败: {e}")
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# 重新加载配置（确保使用最新配置）
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try:
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if hasattr(config, 'reload_config'):
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config.reload_config()
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logger.info("配置已重新加载，将使用最新配置进行下次扫描")
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except Exception as e:
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logger.debug(f"重新加载配置失败: {e}")
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# 等待下次扫描
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scan_interval = config.TRADING_CONFIG.get('SCAN_INTERVAL', 3600)
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logger.info(f"等待 {scan_interval} 秒后进行下次扫描...")
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await asyncio.sleep(scan_interval)
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except Exception as e:
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logger.error(f"策略执行出错: {e}", exc_info=True)
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finally:
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self.running = False
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# 停止定期同步任务
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if self._sync_task:
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self._sync_task.cancel()
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try:
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await self._sync_task
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except asyncio.CancelledError:
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pass
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logger.info("定期持仓同步任务已停止")
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# 停止所有持仓的WebSocket监控
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try:
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await self.position_manager.stop_all_position_monitoring()
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except Exception as e:
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logger.warning(f"停止持仓监控时出错: {e}")
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logger.info("交易策略已停止")
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async def _check_volume_confirmation(self, symbol_info: Dict) -> bool:
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"""
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成交量确认 - 确保有足够的成交量支撑
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Args:
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symbol_info: 交易对信息
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Returns:
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是否通过确认
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"""
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volume_24h = symbol_info.get('volume24h', 0)
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min_volume = config.TRADING_CONFIG['MIN_VOLUME_24H']
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if volume_24h < min_volume:
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return False
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return True
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async def _analyze_trade_signal(self, symbol_info: Dict) -> Dict:
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"""
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使用技术指标分析交易信号（高胜率策略）
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实施多周期共振：4H定方向，1H和15min找点位
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Args:
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symbol_info: 交易对信息（包含技术指标）
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Returns:
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交易信号字典 {'should_trade': bool, 'direction': str, 'reason': str, 'strength': int}
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"""
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symbol = symbol_info['symbol']
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current_price = symbol_info['price']
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rsi = symbol_info.get('rsi')
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macd = symbol_info.get('macd')
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bollinger = symbol_info.get('bollinger')
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market_regime = symbol_info.get('marketRegime', 'unknown')
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ema20 = symbol_info.get('ema20')
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ema50 = symbol_info.get('ema50')
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# 多周期共振检查：4H定方向
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price_4h = symbol_info.get('price_4h', current_price)
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ema20_4h = symbol_info.get('ema20_4h')
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# 判断4H周期趋势方向
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trend_4h = None # 'up', 'down', 'neutral'
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if ema20_4h is not None:
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if price_4h > ema20_4h:
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trend_4h = 'up'
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elif price_4h < ema20_4h:
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trend_4h = 'down'
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else:
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trend_4h = 'neutral'
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signal_strength = 0
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reasons = []
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direction = None
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# 多周期共振检查：4H定方向，禁止逆势交易
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if trend_4h == 'up':
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# 4H趋势向上，只允许做多信号
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logger.debug(f"{symbol} 4H趋势向上，只允许做多信号")
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elif trend_4h == 'down':
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# 4H趋势向下，只允许做空信号
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logger.debug(f"{symbol} 4H趋势向下，只允许做空信号")
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elif trend_4h is None:
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# 无法判断4H趋势，记录警告
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logger.warning(f"{symbol} 无法判断4H趋势，可能影响信号质量")
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# 策略1：均值回归（震荡市场，高胜率）
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if market_regime == 'ranging':
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# RSI超卖，做多信号（需4H趋势向上或中性）
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if rsi and rsi < 30:
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if trend_4h in ('up', 'neutral', None):
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signal_strength += 4
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reasons.append(f"RSI超卖({rsi:.1f})")
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if direction is None:
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direction = 'BUY'
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else:
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reasons.append(f"RSI超卖但4H趋势向下，禁止逆势做多")
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# RSI超买，做空信号（需4H趋势向下或中性）
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elif rsi and rsi > 70:
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if trend_4h in ('down', 'neutral', None):
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signal_strength += 4
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reasons.append(f"RSI超买({rsi:.1f})")
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if direction is None:
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direction = 'SELL'
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else:
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reasons.append(f"RSI超买但4H趋势向上，禁止逆势做空")
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# 布林带下轨，做多信号（需4H趋势向上或中性）
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if bollinger and current_price <= bollinger['lower']:
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if trend_4h in ('up', 'neutral', None):
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signal_strength += 3
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reasons.append("触及布林带下轨")
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if direction is None:
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direction = 'BUY'
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else:
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reasons.append("触及布林带下轨但4H趋势向下，禁止逆势做多")
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# 布林带上轨，做空信号（需4H趋势向下或中性）
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elif bollinger and current_price >= bollinger['upper']:
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if trend_4h in ('down', 'neutral', None):
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signal_strength += 3
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reasons.append("触及布林带上轨")
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if direction is None:
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direction = 'SELL'
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else:
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reasons.append("触及布林带上轨但4H趋势向上，禁止逆势做空")
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# 策略2：趋势跟踪（趋势市场）
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elif market_regime == 'trending':
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# MACD金叉，做多信号（需4H趋势向上或中性）
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if macd and macd['macd'] > macd['signal'] and macd['histogram'] > 0:
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if trend_4h in ('up', 'neutral', None):
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signal_strength += 3
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reasons.append("MACD金叉")
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if direction is None:
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direction = 'BUY'
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else:
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reasons.append("MACD金叉但4H趋势向下，禁止逆势做多")
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# MACD死叉，做空信号（需4H趋势向下或中性）
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elif macd and macd['macd'] < macd['signal'] and macd['histogram'] < 0:
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if trend_4h in ('down', 'neutral', None):
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signal_strength += 3
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reasons.append("MACD死叉")
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if direction is None:
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direction = 'SELL'
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else:
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reasons.append("MACD死叉但4H趋势向上，禁止逆势做空")
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# 均线系统
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if ema20 and ema50:
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if current_price > ema20 > ema50: # 上升趋势
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if trend_4h in ('up', 'neutral', None):
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signal_strength += 2
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reasons.append("价格在均线之上")
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if direction is None:
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direction = 'BUY'
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else:
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reasons.append("1H均线向上但4H趋势向下，禁止逆势做多")
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elif current_price < ema20 < ema50: # 下降趋势
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if trend_4h in ('down', 'neutral', None):
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signal_strength += 2
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reasons.append("价格在均线之下")
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if direction is None:
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direction = 'SELL'
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else:
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reasons.append("1H均线向下但4H趋势向上，禁止逆势做空")
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# 策略3：综合信号（提高胜率）
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# 多个指标同时确认时，信号更强
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confirmations = 0
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# RSI确认
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if rsi:
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if direction == 'BUY' and rsi < 50:
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confirmations += 1
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elif direction == 'SELL' and rsi > 50:
|
||
confirmations += 1
|
||
|
||
# MACD确认
|
||
if macd:
|
||
if direction == 'BUY' and macd['histogram'] > 0:
|
||
confirmations += 1
|
||
elif direction == 'SELL' and macd['histogram'] < 0:
|
||
confirmations += 1
|
||
|
||
# 布林带确认
|
||
if bollinger:
|
||
if direction == 'BUY' and current_price < bollinger['middle']:
|
||
confirmations += 1
|
||
elif direction == 'SELL' and current_price > bollinger['middle']:
|
||
confirmations += 1
|
||
|
||
# 多个指标确认时，增加信号强度
|
||
if confirmations >= 2:
|
||
signal_strength += 2
|
||
reasons.append(f"{confirmations}个指标确认")
|
||
|
||
# 多周期共振加分：如果4H趋势与信号方向一致，增加信号强度
|
||
if direction and trend_4h:
|
||
if (direction == 'BUY' and trend_4h == 'up') or (direction == 'SELL' and trend_4h == 'down'):
|
||
signal_strength += 2
|
||
reasons.append("4H周期共振确认")
|
||
elif (direction == 'BUY' and trend_4h == 'down') or (direction == 'SELL' and trend_4h == 'up'):
|
||
# 逆势信号，降低信号强度或直接拒绝
|
||
signal_strength -= 3
|
||
reasons.append("⚠️ 逆4H趋势，信号强度降低")
|
||
|
||
# 判断是否应该交易（信号强度 >= 7 才交易，提高胜率）
|
||
min_signal_strength = config.TRADING_CONFIG.get('MIN_SIGNAL_STRENGTH', 7)
|
||
should_trade = signal_strength >= min_signal_strength
|
||
|
||
# 如果信号方向与4H趋势相反，直接拒绝交易
|
||
if direction and trend_4h:
|
||
if (direction == 'BUY' and trend_4h == 'down') or (direction == 'SELL' and trend_4h == 'up'):
|
||
should_trade = False
|
||
reasons.append("❌ 禁止逆4H趋势交易")
|
||
|
||
if not should_trade and direction:
|
||
reasons.append(f"信号强度不足({signal_strength}/10)")
|
||
|
||
return {
|
||
'should_trade': should_trade,
|
||
'direction': direction,
|
||
'reason': ', '.join(reasons) if reasons else '无明确信号',
|
||
'strength': signal_strength,
|
||
'trend_4h': trend_4h # 添加4H趋势信息，供推荐器使用
|
||
}
|
||
|
||
async def _periodic_sync_positions(self):
|
||
"""
|
||
定期同步币安持仓状态（独立任务，不依赖市场扫描）
|
||
"""
|
||
sync_interval = config.TRADING_CONFIG.get('POSITION_SYNC_INTERVAL', 300) # 默认5分钟
|
||
logger.info(f"定期持仓同步任务启动，同步间隔: {sync_interval}秒")
|
||
|
||
while self.running:
|
||
try:
|
||
await asyncio.sleep(sync_interval)
|
||
|
||
if not self.running:
|
||
break
|
||
|
||
logger.debug("执行定期持仓状态同步...")
|
||
await self.position_manager.sync_positions_with_binance()
|
||
|
||
except asyncio.CancelledError:
|
||
logger.info("定期持仓同步任务已取消")
|
||
break
|
||
except Exception as e:
|
||
logger.error(f"定期持仓同步任务出错: {e}")
|
||
# 出错后等待一段时间再继续
|
||
await asyncio.sleep(60)
|
||
|
||
def stop(self):
|
||
"""停止策略"""
|
||
self.running = False
|
||
logger.info("正在停止交易策略...")
|