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feat: 关键位回调/突破触价开仓拆分与穿越触发

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-06-29 10:49:43 +08:00
parent e51d7824a7
commit 5b3448b52b
20 changed files with 662 additions and 172 deletions
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trigger_entry_key_monitor_lib.py
+145 -14
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@@ -1,7 +1,7 @@
"""触价开仓关键位监控：程序盯价、触达计划入场后市价成交（四所共用逻辑）。"""
"""回调/突破触价开仓关键位监控：程序盯价、触达计划入场后市价成交（四所共用逻辑）。"""
from __future__ import annotations
from datetime import datetime, timedelta
from datetime import datetime
from typing import Any, Callable, Optional
from false_breakout_key_monitor_lib import (
@@ -11,24 +11,101 @@ from false_breakout_key_monitor_lib import (
)
from strategy_trend_lib import trend_dca_level_reached
TRIGGER_ENTRY_MONITOR_TYPE = "触价开仓"
# 回调触价（原「触价开仓」）
CALLBACK_TRIGGER_ENTRY_MONITOR_TYPE = "回调触价开仓"
LEGACY_TRIGGER_ENTRY_MONITOR_TYPE = "触价开仓"
# 突破触价：标记价穿越 E 后立即市价开仓
BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE = "突破触价开仓"
TRIGGER_ENTRY_MONITOR_TYPES = frozenset(
{
CALLBACK_TRIGGER_ENTRY_MONITOR_TYPE,
BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE,
LEGACY_TRIGGER_ENTRY_MONITOR_TYPE,
}
)
TRIGGER_ENTRY_VALIDITY_HOURS = 24
TRIGGER_ENTRY_CLOSE_FILLED = "trigger_entry_filled"
TRIGGER_ENTRY_CLOSE_TP_INVALIDATE = "trigger_tp_invalidate"
TRIGGER_ENTRY_CLOSE_SL_INVALIDATE = "trigger_sl_invalidate"
TRIGGER_ENTRY_CLOSE_EXPIRED = "trigger_entry_expired"
TRIGGER_ENTRY_CLOSE_EXCHANGE_FAILED = "trigger_exchange_failed"
KEY_ENTRY_REASON_TRIGGER = "关键位触价开仓"
KEY_ENTRY_REASON_CALLBACK = "关键位回调触价开仓"
KEY_ENTRY_REASON_BREAKOUT = "关键位突破触价开仓"
KEY_ENTRY_REASON_TRIGGER_LEGACY = "关键位触价开仓"
def normalize_trigger_entry_monitor_type(monitor_type: Optional[str]) -> str:
mt = (monitor_type or "").strip()
if mt == LEGACY_TRIGGER_ENTRY_MONITOR_TYPE:
return CALLBACK_TRIGGER_ENTRY_MONITOR_TYPE
return mt
def is_trigger_entry_key_monitor_type(monitor_type: Optional[str]) -> bool:
return (monitor_type or "").strip() == TRIGGER_ENTRY_MONITOR_TYPE
return (monitor_type or "").strip() in TRIGGER_ENTRY_MONITOR_TYPES
def is_callback_trigger_entry_key_monitor_type(monitor_type: Optional[str]) -> bool:
mt = normalize_trigger_entry_monitor_type(monitor_type)
return mt == CALLBACK_TRIGGER_ENTRY_MONITOR_TYPE
def is_breakout_trigger_entry_key_monitor_type(monitor_type: Optional[str]) -> bool:
return (monitor_type or "").strip() == BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE
def key_entry_reason_for_monitor_type(monitor_type: Optional[str]) -> str:
if is_breakout_trigger_entry_key_monitor_type(monitor_type):
return KEY_ENTRY_REASON_BREAKOUT
if is_trigger_entry_key_monitor_type(monitor_type):
return KEY_ENTRY_REASON_CALLBACK
return KEY_ENTRY_REASON_TRIGGER_LEGACY
def trigger_entry_reached(direction: str, mark_price: float, entry: float) -> bool:
"""回调触价：多=价跌至 E；空=价涨至 E。"""
return trend_dca_level_reached(direction, mark_price, entry)
def breakout_trigger_entry_crossed(
direction: str,
prev_mark: Optional[float],
mark: float,
entry: float,
) -> bool:
"""突破触价：多=向上穿越 E；空=向下穿越 E。"""
try:
m = float(mark)
e = float(entry)
pm = float(prev_mark) if prev_mark is not None else None
except (TypeError, ValueError):
return False
direction = (direction or "long").strip().lower()
if direction == "long":
if pm is None:
return m > e
return pm <= e and m > e
if pm is None:
return m < e
return pm >= e and m < e
def trigger_should_fire(
monitor_type: Optional[str],
direction: str,
mark: float,
entry: float,
prev_mark: Optional[float] = None,
) -> bool:
if is_breakout_trigger_entry_key_monitor_type(monitor_type):
return breakout_trigger_entry_crossed(direction, prev_mark, mark, entry)
return trigger_entry_reached(direction, mark, entry)
def trigger_entry_invalidate_by_tp(direction: str, mark_price: float, take_profit: float) -> bool:
"""未开仓前标记价先触达止盈侧则失效。"""
try:
@@ -42,12 +119,42 @@ def trigger_entry_invalidate_by_tp(direction: str, mark_price: float, take_profi
return m >= tp
def trigger_entry_invalidate_by_sl(direction: str, mark_price: float, stop_loss: float) -> bool:
"""突破触价：未到 E 先触达止损侧则失效。"""
try:
m = float(mark_price)
sl = float(stop_loss)
except (TypeError, ValueError):
return False
d = (direction or "long").strip().lower()
if d == "long":
return m <= sl
return m >= sl
def trigger_entry_invalidate(
monitor_type: Optional[str],
direction: str,
mark: float,
stop_loss: float,
take_profit: float,
) -> Optional[str]:
if trigger_entry_invalidate_by_tp(direction, mark, take_profit):
return "tp"
if is_breakout_trigger_entry_key_monitor_type(monitor_type):
if trigger_entry_invalidate_by_sl(direction, mark, stop_loss):
return "sl"
return None
def validate_trigger_entry_geometry(
direction: str,
entry: float,
stop_loss: float,
take_profit: float,
mark_at_add: Optional[float] = None,
*,
monitor_type: Optional[str] = None,
) -> Optional[str]:
"""返回错误文案；合法则 None。"""
try:
@@ -59,16 +166,26 @@ def validate_trigger_entry_geometry(
if e <= 0 or sl <= 0 or tp <= 0:
return "入场价、止损、止盈须大于 0"
d = (direction or "long").strip().lower()
mt = normalize_trigger_entry_monitor_type(monitor_type)
label = "突破触价开仓" if mt == BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE else "回调触价开仓"
if d == "long":
if not (sl < e < tp):
return "做多：须满足 止损 < 入场价 < 止盈"
if mark_at_add is not None and float(mark_at_add) >= tp:
return "做多：当前价已不低于止盈，无法添加触价开仓"
if mark_at_add is not None:
m = float(mark_at_add)
if m >= tp:
return f"做多：当前价已不低于止盈，无法添加{label}"
if mt == BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE and m >= e:
return "做多：当前价须低于入场价（等待向上突破）"
elif d == "short":
if not (tp < e < sl):
return "做空：须满足 止盈 < 入场价 < 止损"
if mark_at_add is not None and float(mark_at_add) <= tp:
return "做空：当前价已不高于止盈，无法添加触价开仓"
if mark_at_add is not None:
m = float(mark_at_add)
if m <= tp:
return f"做空：当前价已不高于止盈，无法添加{label}"
if mt == BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE and m <= e:
return "做空：当前价须高于入场价（等待向下跌破）"
else:
return "方向须为 long 或 short"
return None
@@ -110,9 +227,10 @@ def count_pending_trigger_entries(conn: Any, trading_day: str) -> int:
td = (trading_day or "").strip()
if not td:
return 0
placeholders = ",".join("?" * len(TRIGGER_ENTRY_MONITOR_TYPES))
row = conn.execute(
"SELECT COUNT(*) FROM key_monitors WHERE monitor_type=? AND session_date=?",
(TRIGGER_ENTRY_MONITOR_TYPE, td),
f"SELECT COUNT(*) FROM key_monitors WHERE monitor_type IN ({placeholders}) AND session_date=?",
(*TRIGGER_ENTRY_MONITOR_TYPES, td),
).fetchone()
return int(row[0] if row else 0)
@@ -138,28 +256,41 @@ def check_trigger_entry_intent_limit(
def trigger_entry_gate_preview(
*,
monitor_type: Optional[str] = None,
entry_display: str,
take_profit_display: str,
created_at: Any = None,
now: Optional[datetime] = None,
expired: bool = False,
tp_invalidated: bool = False,
sl_invalidated: bool = False,
hours: int = TRIGGER_ENTRY_VALIDITY_HOURS,
) -> dict[str, Any]:
now_dt = now or datetime.now()
is_exp = expired or is_trigger_entry_expired(created_at, now_dt, hours=hours)
exp_txt = trigger_entry_expires_at_text(created_at, hours=hours)
mt = normalize_trigger_entry_monitor_type(monitor_type)
if tp_invalidated:
status = "止盈侧失效"
elif sl_invalidated:
status = "止损侧失效"
elif is_exp:
status = "已过期"
elif mt == BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE:
status = "突破待触发"
else:
status = "触价待触发"
status = "回调待触发"
mode = "突破" if mt == BREAKOUT_TRIGGER_ENTRY_MONITOR_TYPE else "回调"
metrics_parts: list[str] = [f"TP:{take_profit_display}"]
if exp_txt != "—":
metrics_parts.append(f"截至:{exp_txt}")
return {
"summary": f"触价 E={entry_display} {status}",
"summary": f"{mode}触价 E={entry_display} {status}",
"metrics": " ".join(metrics_parts),
"gate_ok": not is_exp and not tp_invalidated,
"gate_ok": not is_exp and not tp_invalidated and not sl_invalidated,
}
# 兼容旧 import
TRIGGER_ENTRY_MONITOR_TYPE = CALLBACK_TRIGGER_ENTRY_MONITOR_TYPE
KEY_ENTRY_REASON_TRIGGER = KEY_ENTRY_REASON_CALLBACK