350 lines
14 KiB
Python
350 lines
14 KiB
Python
"""
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仓位管理模块 - 管理持仓和订单
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"""
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import logging
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from typing import Dict, List, Optional
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from binance_client import BinanceClient
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from risk_manager import RiskManager
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import config
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logger = logging.getLogger(__name__)
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class PositionManager:
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"""仓位管理类"""
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def __init__(self, client: BinanceClient, risk_manager: RiskManager):
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"""
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初始化仓位管理器
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Args:
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client: 币安客户端
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risk_manager: 风险管理器
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"""
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self.client = client
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self.risk_manager = risk_manager
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self.active_positions: Dict[str, Dict] = {}
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async def open_position(
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self,
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symbol: str,
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change_percent: float,
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leverage: int = 10,
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trade_direction: Optional[str] = None,
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entry_reason: str = '',
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atr: Optional[float] = None
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) -> Optional[Dict]:
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"""
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开仓
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Args:
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symbol: 交易对
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change_percent: 涨跌幅百分比
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leverage: 杠杆倍数
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Returns:
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订单信息，失败返回None
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"""
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try:
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# 判断是否应该交易
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if not await self.risk_manager.should_trade(symbol, change_percent):
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return None
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# 设置杠杆
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await self.client.set_leverage(symbol, leverage)
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# 计算仓位大小
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logger.info(f"开始为 {symbol} 计算仓位大小...")
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quantity = await self.risk_manager.calculate_position_size(
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symbol, change_percent
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)
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if quantity is None:
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logger.warning(f"❌ {symbol} 仓位计算失败，跳过交易")
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logger.warning(f" 可能原因:")
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logger.warning(f" 1. 账户余额不足")
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logger.warning(f" 2. 单笔仓位超过限制")
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logger.warning(f" 3. 总仓位超过限制")
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logger.warning(f" 4. 无法获取价格数据")
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return None
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logger.info(f"✓ {symbol} 仓位计算成功: {quantity:.4f}")
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# 确定交易方向（优先使用技术指标信号）
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if trade_direction:
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side = trade_direction
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else:
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side = 'BUY' if change_percent > 0 else 'SELL'
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# 获取当前价格
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ticker = await self.client.get_ticker_24h(symbol)
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if not ticker:
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return None
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entry_price = ticker['price']
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# 计算动态止损止盈（使用ATR或固定比例）
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if atr and atr > 0:
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# 使用ATR计算动态止损（2倍ATR）
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atr_stop_loss_pct = (atr * 2) / entry_price
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# 限制在合理范围内（1%-5%）
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atr_stop_loss_pct = max(0.01, min(0.05, atr_stop_loss_pct))
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stop_loss_price = self.risk_manager.get_stop_loss_price(
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entry_price, side, stop_loss_pct=atr_stop_loss_pct
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)
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# 止盈为止损的1.5-2倍
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take_profit_pct = atr_stop_loss_pct * 1.8
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take_profit_price = self.risk_manager.get_take_profit_price(
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entry_price, side, take_profit_pct=take_profit_pct
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)
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else:
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# 使用固定止损止盈
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stop_loss_price = self.risk_manager.get_stop_loss_price(entry_price, side)
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take_profit_price = self.risk_manager.get_take_profit_price(entry_price, side)
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# 下单
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order = await self.client.place_order(
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symbol=symbol,
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side=side,
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quantity=quantity,
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order_type='MARKET'
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)
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if order:
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# 记录持仓信息（包含动态止损止盈）
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position_info = {
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'symbol': symbol,
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'side': side,
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'quantity': quantity,
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'entryPrice': entry_price,
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'changePercent': change_percent,
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'orderId': order.get('orderId'),
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'stopLoss': stop_loss_price,
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'takeProfit': take_profit_price,
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'initialStopLoss': stop_loss_price, # 初始止损（用于移动止损）
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'leverage': leverage,
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'entryReason': entry_reason,
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'atr': atr,
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'maxProfit': 0.0, # 记录最大盈利（用于移动止损）
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'trailingStopActivated': False # 移动止损是否已激活
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}
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self.active_positions[symbol] = position_info
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logger.info(
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f"开仓成功: {symbol} {side} {quantity} @ {entry_price:.4f} "
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f"(涨跌幅: {change_percent:.2f}%)"
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)
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return position_info
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return None
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except Exception as e:
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logger.error(f"开仓失败 {symbol}: {e}")
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return None
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async def close_position(self, symbol: str) -> bool:
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"""
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平仓
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Args:
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symbol: 交易对
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Returns:
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是否成功
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"""
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try:
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# 获取当前持仓
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positions = await self.client.get_open_positions()
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position = next(
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(p for p in positions if p['symbol'] == symbol),
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None
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)
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if not position:
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logger.warning(f"{symbol} 没有持仓")
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return False
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# 确定平仓方向（与开仓相反）
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position_amt = position['positionAmt']
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side = 'SELL' if position_amt > 0 else 'BUY'
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quantity = abs(position_amt)
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# 平仓
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order = await self.client.place_order(
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symbol=symbol,
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side=side,
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quantity=quantity,
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order_type='MARKET'
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)
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if order:
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# 移除持仓记录
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if symbol in self.active_positions:
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del self.active_positions[symbol]
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logger.info(f"平仓成功: {symbol} {side} {quantity}")
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return True
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return False
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except Exception as e:
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logger.error(f"平仓失败 {symbol}: {e}")
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return False
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async def check_stop_loss_take_profit(self) -> List[str]:
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"""
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检查止损止盈
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Returns:
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需要平仓的交易对列表
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"""
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closed_positions = []
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try:
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# 获取当前持仓
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positions = await self.client.get_open_positions()
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position_dict = {p['symbol']: p for p in positions}
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for symbol, position_info in list(self.active_positions.items()):
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if symbol not in position_dict:
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# 持仓已不存在，移除记录
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del self.active_positions[symbol]
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continue
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current_position = position_dict[symbol]
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entry_price = position_info['entryPrice']
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# 获取当前标记价格
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current_price = current_position.get('markPrice', 0)
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if current_price == 0:
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# 如果标记价格为0，尝试从ticker获取
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ticker = await self.client.get_ticker_24h(symbol)
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if ticker:
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current_price = ticker['price']
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else:
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current_price = entry_price
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# 计算当前盈亏
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if position_info['side'] == 'BUY':
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pnl_percent = ((current_price - entry_price) / entry_price) * 100
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else:
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pnl_percent = ((entry_price - current_price) / entry_price) * 100
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# 更新最大盈利
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if pnl_percent > position_info.get('maxProfit', 0):
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position_info['maxProfit'] = pnl_percent
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# 移动止损逻辑（盈利后保护利润）
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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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trailing_activation = config.TRADING_CONFIG.get('TRAILING_STOP_ACTIVATION', 0.01)
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trailing_protect = config.TRADING_CONFIG.get('TRAILING_STOP_PROTECT', 0.01)
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if not position_info.get('trailingStopActivated', False):
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# 盈利超过阈值后，激活移动止损
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if pnl_percent > trailing_activation * 100:
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position_info['trailingStopActivated'] = True
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# 将止损移至成本价（保本）
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position_info['stopLoss'] = entry_price
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logger.info(
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f"{symbol} 移动止损激活: 止损移至成本价 {entry_price:.4f} "
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f"(盈利: {pnl_percent:.2f}%)"
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)
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else:
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# 盈利超过2%后，止损移至保护利润位
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if pnl_percent > 2.0:
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if position_info['side'] == 'BUY':
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new_stop_loss = entry_price * (1 + trailing_protect)
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if new_stop_loss > position_info['stopLoss']:
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position_info['stopLoss'] = new_stop_loss
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logger.info(
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f"{symbol} 移动止损更新: {new_stop_loss:.4f} "
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f"(保护{trailing_protect*100:.1f}%利润)"
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)
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else:
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new_stop_loss = entry_price * (1 - trailing_protect)
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if new_stop_loss < position_info['stopLoss']:
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position_info['stopLoss'] = new_stop_loss
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logger.info(
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f"{symbol} 移动止损更新: {new_stop_loss:.4f} "
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f"(保护{trailing_protect*100:.1f}%利润)"
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)
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# 检查止损（使用更新后的止损价）
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stop_loss = position_info['stopLoss']
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if position_info['side'] == 'BUY' and current_price <= stop_loss:
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logger.warning(
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f"{symbol} 触发止损: {current_price:.4f} <= {stop_loss:.4f} "
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f"(盈亏: {pnl_percent:.2f}%)"
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)
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if await self.close_position(symbol):
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closed_positions.append(symbol)
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continue
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if position_info['side'] == 'SELL' and current_price >= stop_loss:
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logger.warning(
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f"{symbol} 触发止损: {current_price:.4f} >= {stop_loss:.4f} "
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f"(盈亏: {pnl_percent:.2f}%)"
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)
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if await self.close_position(symbol):
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closed_positions.append(symbol)
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continue
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# 检查止盈
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take_profit = position_info['takeProfit']
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if position_info['side'] == 'BUY' and current_price >= take_profit:
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logger.info(
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f"{symbol} 触发止盈: {current_price:.4f} >= {take_profit:.4f} "
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f"(盈亏: {pnl_percent:.2f}%)"
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)
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if await self.close_position(symbol):
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closed_positions.append(symbol)
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continue
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if position_info['side'] == 'SELL' and current_price <= take_profit:
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logger.info(
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f"{symbol} 触发止盈: {current_price:.4f} <= {take_profit:.4f} "
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f"(盈亏: {pnl_percent:.2f}%)"
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)
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if await self.close_position(symbol):
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closed_positions.append(symbol)
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continue
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except Exception as e:
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logger.error(f"检查止损止盈失败: {e}")
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return closed_positions
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async def get_position_summary(self) -> Dict:
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"""
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获取持仓摘要
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Returns:
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持仓摘要信息
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"""
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try:
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positions = await self.client.get_open_positions()
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balance = await self.client.get_account_balance()
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total_pnl = sum(p['unRealizedProfit'] for p in positions)
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return {
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'totalPositions': len(positions),
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'totalBalance': balance.get('total', 0),
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'availableBalance': balance.get('available', 0),
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'totalPnL': total_pnl,
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'positions': [
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{
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'symbol': p['symbol'],
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'positionAmt': p['positionAmt'],
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'entryPrice': p['entryPrice'],
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'pnl': p['unRealizedProfit']
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}
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for p in positions
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]
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}
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except Exception as e:
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logger.error(f"获取持仓摘要失败: {e}")
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return {}
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