Initial CoinOX instance: coin-margined options + USDT hedge.
Forked from crypto_monitor OKX instance (copy-only). Keeps standalone options, perp-options and options-options hedge; drops standalone perp entrypoints; forces coin margin; adds sim wallets; default port 5010. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
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"""
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关键位监控:阻力/支撑双向提醒与箱体/收敛自动门控的共享逻辑.
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"""
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from __future__ import annotations
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from datetime import datetime
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from typing import Any, Optional
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KEY_MONITOR_AUTO_TYPES = frozenset({"箱体突破", "收敛突破"})
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KEY_MONITOR_RS_TYPE = "关键支撑阻力"
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KEY_MONITOR_RS_LEGACY_TYPES = frozenset({"关键阻力位", "关键支撑位"})
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KEY_MONITOR_RS_TYPES = frozenset({KEY_MONITOR_RS_TYPE}) | KEY_MONITOR_RS_LEGACY_TYPES
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KEY_MONITOR_ALERT_ONLY_TYPES = frozenset({KEY_MONITOR_RS_TYPE}) | KEY_MONITOR_RS_LEGACY_TYPES
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KEY_DIRECTION_WATCH = "watch"
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def is_rs_key_monitor_type(monitor_type: str) -> bool:
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return (monitor_type or "").strip() in KEY_MONITOR_RS_TYPES
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def rs_monitor_type_label(monitor_type: str) -> str:
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"""展示用:旧库里的阻力/支撑合并为「关键支撑阻力」."""
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if is_rs_key_monitor_type(monitor_type):
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return KEY_MONITOR_RS_TYPE
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return (monitor_type or "").strip()
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def rs_monitor_type_for_storage(monitor_type: str) -> str:
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if is_rs_key_monitor_type(monitor_type):
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return KEY_MONITOR_RS_TYPE
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return (monitor_type or "").strip()
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def calc_breakout_breach_pct(direction: str, close: float, upper: float, lower: float) -> float:
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"""突破 K 收盘相对关键位的越过幅度(%).未越过对应边界时返回 0."""
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direction = (direction or "long").strip().lower()
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c = float(close)
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if direction == "long":
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u = float(upper)
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if u <= 0 or c <= u:
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return 0.0
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return (c - u) / u * 100.0
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lo = float(lower)
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if lo <= 0 or c >= lo:
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return 0.0
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return (lo - c) / lo * 100.0
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def auto_amp_ok(
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direction: str,
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close_b: float,
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upper: float,
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lower: float,
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min_pct: float,
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) -> tuple[bool, float]:
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breach = calc_breakout_breach_pct(direction, close_b, upper, lower)
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return breach > float(min_pct), breach
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def auto_confirm_ok(direction: str, cfm_close: float, upper: float, lower: float) -> bool:
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"""确认 K 收盘须在箱体外(不得回到 [lower, upper] 内)."""
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direction = (direction or "long").strip().lower()
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c = float(cfm_close)
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if direction == "long":
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return c > float(upper)
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return c < float(lower)
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BOX_BREAKOUT_CLOSE_OPPOSITE = "box_opposite_break"
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def box_breakout_invalidate_by_mark(
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direction: str, mark_price: float, upper: float, lower: float
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) -> bool:
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"""箱体/收敛:标记价先突破反向边界则失效.多:mark<=L;空:mark>=H."""
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try:
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m = float(mark_price)
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h = float(upper)
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lo = float(lower)
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except (TypeError, ValueError):
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return False
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direction = (direction or "long").strip().lower()
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if direction == "short":
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return m >= h
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return m <= lo
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def box_breakout_invalidate_edge_label(direction: str) -> str:
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direction = (direction or "long").strip().lower()
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return "下沿" if direction == "long" else "上沿"
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def detect_rs_box_break(close: float, upper: float, lower: float) -> Optional[dict[str, Any]]:
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"""
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阻力/支撑人工盯盘:最近 5m 收盘突破上沿或下沿(严格 > / <).
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上沿优先:同一根 K 不可能同时满足两者.
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"""
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u, lo, c = float(upper), float(lower), float(close)
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if c > u:
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return {
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"break_side": "upper",
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"direction": "long",
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"edge_price": u,
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"key_price": u,
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"break_label": "向上突破上沿",
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}
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if c < lo:
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return {
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"break_side": "lower",
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"direction": "short",
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"edge_price": lo,
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"key_price": lo,
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"break_label": "向下突破下沿",
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}
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return None
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def rs_break_from_direction(direction: str, upper: float, lower: float) -> Optional[dict[str, Any]]:
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"""已触发后根据入库方向还原突破边(long=上沿,short=下沿)."""
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d = (direction or "").strip().lower()
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if d == "long":
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return {
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"break_side": "upper",
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"direction": "long",
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"edge_price": float(upper),
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"key_price": float(upper),
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"break_label": "向上突破上沿",
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}
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if d == "short":
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return {
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"break_side": "lower",
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"direction": "short",
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"edge_price": float(lower),
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"key_price": float(lower),
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"break_label": "向下突破下沿",
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}
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return None
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def rs_break_infer_from_close(close: float, upper: float, lower: float) -> dict[str, Any]:
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"""
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续发提醒时价格已回到箱体内:按收盘价相对箱体中线推断首次突破边,
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保证第 2/3 次企业微信提醒仍能发出.
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"""
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mid = (float(upper) + float(lower)) / 2.0
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if float(close) >= mid:
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br = rs_break_from_direction("long", upper, lower)
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else:
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br = rs_break_from_direction("short", upper, lower)
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if br:
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return br
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return {
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"break_side": "upper",
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"direction": "long",
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"edge_price": float(upper),
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"key_price": float(upper),
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"break_label": "向上突破上沿",
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}
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def _parse_notify_datetime(raw: Optional[str]) -> Optional[datetime]:
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s = str(raw or "").strip()
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if not s:
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return None
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try:
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dt = datetime.fromisoformat(s.replace("Z", "+00:00"))
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if dt.tzinfo is not None:
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dt = dt.replace(tzinfo=None)
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return dt
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except Exception:
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pass
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for fmt in ("%Y-%m-%d %H:%M:%S", "%Y-%m-%dT%H:%M:%S"):
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try:
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return datetime.strptime(s[:19], fmt)
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except Exception:
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continue
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return None
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def claim_rs_level_notify(
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conn: Any,
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monitor_id: int,
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notify_index: int,
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direction: str,
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notified_at: str,
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bar_ts: Optional[int],
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*,
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prior_count: Optional[int] = None,
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) -> bool:
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"""
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原子占位:仅在 notification_count 仍为 prior_count 时推进到 notify_index.
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须在发送企业微信之前调用并 commit,避免 (2/3) 重复刷屏.
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"""
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prior = int(prior_count if prior_count is not None else notify_index - 1)
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if prior < 0 or notify_index != prior + 1:
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return False
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bar_val: Optional[int] = None
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if bar_ts is not None:
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try:
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bar_val = int(bar_ts)
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except (TypeError, ValueError):
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bar_val = None
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cur = conn.execute(
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"UPDATE key_monitors SET notification_count=?, direction=?, last_notified_at=?, last_rs_bar_ts=? "
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"WHERE id=? AND COALESCE(notification_count,0)=?",
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(notify_index, direction, notified_at, bar_val, int(monitor_id), prior),
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)
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return int(cur.rowcount or 0) > 0
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def parse_last_rs_bar_ts(row: Any) -> Optional[int]:
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if row is None:
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return None
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try:
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keys = row.keys() if hasattr(row, "keys") else []
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except Exception:
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keys = []
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raw = row["last_rs_bar_ts"] if "last_rs_bar_ts" in keys else None
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if raw is None:
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return None
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try:
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return int(raw)
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except (TypeError, ValueError):
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return None
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def run_rs_level_alert_tick(
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row: Any,
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close: float,
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bar_ts: Optional[int],
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now_dt: datetime,
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*,
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default_max_notify: int,
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default_interval_min: int,
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) -> Optional[dict[str, Any]]:
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"""
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判定本轮回合是否应推送阻力/支撑提醒.
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首条:仅在新闭合 K 越线时触发;发送前须 claim_rs_level_notify 占位防轮询/多进程重复.
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"""
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up, lo = float(row["upper"]), float(row["lower"])
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if up <= lo:
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return None
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count = int(row["notification_count"] or 0)
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max_n = max(1, int(row["max_notify"] or default_max_notify))
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interval = max(1, int(row["notify_interval_min"] or default_interval_min))
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if count >= max_n:
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return None
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bar_ts_i: Optional[int] = None
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if bar_ts is not None:
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try:
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bar_ts_i = int(bar_ts)
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except (TypeError, ValueError):
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bar_ts_i = None
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last_bar_i = parse_last_rs_bar_ts(row)
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if count == 0:
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br = detect_rs_box_break(close, up, lo)
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if not br:
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return None
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if bar_ts_i is not None and last_bar_i is not None and bar_ts_i == last_bar_i:
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return None
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return {
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"break_info": br,
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"notify_index": 1,
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"prior_count": 0,
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"notify_max": max_n,
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"interval_min": interval,
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"bar_ts": bar_ts_i,
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}
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if not notify_interval_elapsed(row["last_notified_at"], interval, now_dt):
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return None
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br = resolve_rs_break_for_alert(count, row["direction"], close, up, lo)
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if not br:
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return None
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return {
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"break_info": br,
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"notify_index": count + 1,
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"prior_count": count,
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"notify_max": max_n,
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"interval_min": interval,
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"bar_ts": bar_ts_i,
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}
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def resolve_rs_break_for_alert(
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notification_count: int,
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direction: Optional[str],
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close: float,
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upper: float,
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lower: float,
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) -> Optional[dict[str, Any]]:
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"""
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阻力/支撑提醒:首次用 5m 收盘越线判定;后续用已存方向,兼容 direction=watch.
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"""
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count = int(notification_count or 0)
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up, lo, c = float(upper), float(lower), float(close)
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if count <= 0:
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return detect_rs_box_break(c, up, lo)
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br = rs_break_from_direction(direction, up, lo)
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if br:
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return br
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d = (direction or "").strip().lower()
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if d not in ("", KEY_DIRECTION_WATCH):
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return None
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br = detect_rs_box_break(c, up, lo)
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if br:
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return br
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return rs_break_infer_from_close(c, up, lo)
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def notify_interval_elapsed(
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last_notified_at: Optional[str],
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interval_min: int,
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now_dt: datetime,
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) -> bool:
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if not last_notified_at:
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return False
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last_dt = _parse_notify_datetime(last_notified_at)
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if last_dt is None:
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return False
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return (now_dt - last_dt).total_seconds() >= max(1, int(interval_min)) * 60
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def format_auto_amp_line(amp_ok: bool, amp_pct: float, min_pct: float) -> str:
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return (
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f"突破越过幅度:{'通过' if amp_ok else '不通过'}"
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f"({round(float(amp_pct), 4)}%,要求 > {min_pct}%)"
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)
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def format_auto_confirm_line(confirm_ok: bool, cfm_close, edge_price, direction: str) -> str:
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side = "箱外上方" if (direction or "").lower() == "long" else "箱外下方"
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return (
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f"第二根确认:{'通过' if confirm_ok else '不通过'}"
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f"(确认收盘 {cfm_close},须收于{side},关键位 {edge_price})"
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)
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def key_monitor_rule_template_context(
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*,
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kline_timeframe: str,
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key_breakout_amp_min_pct: float,
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key_volume_ma_bars: int,
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key_volume_ratio_min: float,
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key_auto_min_planned_rr: float,
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key_daily_volume_rank_max: int,
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key_confirm_breakout_bar: int,
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key_confirm_bar: int,
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key_alert_max_times: int,
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key_alert_interval_minutes: int,
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key_stop_outside_breakout_pct: float,
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key_trend_stop_outside_pct: float,
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false_breakout_validity_hours: int,
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trigger_entry_validity_hours: int | None = None,
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) -> dict[str, Any]:
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"""关键位监控页规则说明表格(Jinja key_rule_ctx)."""
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from lib.key_monitor.false_breakout_key_monitor_lib import (
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FALSE_BREAKOUT_OFFSET_PCT,
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FALSE_BREAKOUT_RR,
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FALSE_BREAKOUT_SL_PCT,
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)
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from lib.key_monitor.trigger_entry_key_monitor_lib import TRIGGER_ENTRY_VALIDITY_HOURS
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te_hours = (
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int(trigger_entry_validity_hours)
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if trigger_entry_validity_hours is not None
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else TRIGGER_ENTRY_VALIDITY_HOURS
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)
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return {
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"tf": (kline_timeframe or "5m").strip(),
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"amp_min_pct": key_breakout_amp_min_pct,
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"vol_ma_bars": key_volume_ma_bars,
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"vol_ratio_min": key_volume_ratio_min,
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"min_rr": key_auto_min_planned_rr,
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"vol_rank_max": key_daily_volume_rank_max,
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"breakout_bar": key_confirm_breakout_bar,
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"confirm_bar": key_confirm_bar,
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"alert_max": key_alert_max_times,
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"alert_interval_min": key_alert_interval_minutes,
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"stop_outside_pct": key_stop_outside_breakout_pct,
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"trend_stop_outside_pct": key_trend_stop_outside_pct,
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"fb_offset_pct": FALSE_BREAKOUT_OFFSET_PCT,
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"fb_sl_pct": FALSE_BREAKOUT_SL_PCT,
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"fb_rr": FALSE_BREAKOUT_RR,
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"fb_valid_hours": false_breakout_validity_hours,
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"trigger_entry_validity_hours": te_hours,
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}
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Reference in New Issue
Block a user