fix(trend): correct DCA triggers and partial-position PnL across exchanges
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+12
-235
@@ -4700,242 +4700,14 @@ def _trend_weighted_avg(old_avg, old_amt, fill_px, add_amt):
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return float(fill_px or 0)
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def _trend_plan_stop_status(result_label):
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if result_label == "止盈":
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return "stopped_tp"
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if result_label == "止损":
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return "stopped_sl"
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return "stopped_manual"
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def _trend_plan_trade_exists(conn, plan_id):
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try:
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return conn.execute(
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"SELECT id FROM trade_records WHERE trend_plan_id=? LIMIT 1",
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(int(plan_id),),
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).fetchone() is not None
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except Exception:
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return False
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def _trend_finalize_plan(conn, row, result_label, exit_price, closed_at=None):
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"""平仓后记账、撤单、结束计划。"""
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plan_id = int(row["id"])
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active = conn.execute(
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"SELECT * FROM trend_pullback_plans WHERE id=? AND status='active'",
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(plan_id,),
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).fetchone()
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if not active:
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return
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row = active
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sym = row["symbol"]
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direction = row["direction"] or "long"
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ex_sym = row["exchange_symbol"] or normalize_exchange_symbol(sym)
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closed_at = closed_at or app_now_str()
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opened_at = row["opened_at"] or app_now_str()
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hold_seconds = calc_hold_seconds(opened_at, parse_dt_for_trading_day(closed_at) or app_now())
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margin_cap = float(row["plan_margin_capital"] or 0)
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lev = int(row["leverage"] or 1)
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avg_e = float(row["avg_entry_price"] or 0)
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pnl_amount = calc_pnl(direction, avg_e, float(exit_price), margin_cap, lev)
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res = normalize_result_with_pnl(result_label, pnl_amount)
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risk_amt = calc_risk_amount_from_plan(direction, float(row["add_upper"]), float(row["stop_loss"]), margin_cap, lev)
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planned_rr = calc_rr_ratio(direction, avg_e, float(row["stop_loss"]), float(row["take_profit"]))
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try:
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cancel_all_open_orders_for_symbol(ex_sym)
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except Exception:
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try:
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cancel_gate_swap_trigger_orders(ex_sym)
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except Exception:
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pass
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st = _trend_plan_stop_status(result_label)
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cur = conn.execute(
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"UPDATE trend_pullback_plans SET status=?, message=? WHERE id=? AND status='active'",
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(st, res, plan_id),
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)
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if not getattr(cur, "rowcount", 0):
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return
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conn.commit()
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try:
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from strategy_trend_register import build_trend_config
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from strategy_wechat_notify import notify_trend_plan_ended
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_tcfg = build_trend_config(sys.modules[__name__])
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notify_trend_plan_ended(
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_tcfg,
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plan_id=plan_id,
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symbol=sym,
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direction=direction,
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end_type=result_label,
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result_label=res,
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exit_price=float(exit_price) if exit_price is not None else None,
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pnl_amount=float(pnl_amount) if pnl_amount is not None else None,
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)
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except Exception:
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pass
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try:
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from strategy_trend_register import build_trend_config
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cfg = app.extensions.get("strategy_trend_cfg") or build_trend_config(
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sys.modules[__name__]
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)
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closed = conn.execute(
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"SELECT * FROM trend_pullback_plans WHERE id=?", (plan_id,)
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).fetchone()
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if closed:
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from strategy_snapshot_lib import save_trend_plan_snapshot
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save_trend_plan_snapshot(
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cfg,
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conn,
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closed,
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result_label=result_label,
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exit_price=float(exit_price),
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pnl_amount=float(pnl_amount) if pnl_amount is not None else None,
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)
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conn.commit()
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except Exception:
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pass
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if _trend_plan_trade_exists(conn, plan_id):
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return
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session_date = row["session_date"] or get_trading_day()
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session_capital = update_session_capital(conn, session_date, pnl_amount)
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insert_trade_record(
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conn,
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symbol=sym,
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monitor_type=MONITOR_TYPE_TREND,
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direction=direction,
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trigger_price=avg_e,
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stop_loss=float(row["stop_loss"]),
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initial_stop_loss=float(row["stop_loss"]),
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take_profit=float(row["take_profit"]),
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margin_capital=margin_cap,
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leverage=lev,
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pnl_amount=pnl_amount,
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hold_seconds=hold_seconds,
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trade_style="trend_pullback",
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risk_amount=risk_amt,
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planned_rr=planned_rr,
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actual_rr=calc_actual_rr(pnl_amount, risk_amt),
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result=res,
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opened_at=opened_at,
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closed_at=closed_at,
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trend_plan_id=plan_id,
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)
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send_wechat_msg(
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build_wechat_close_message(
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symbol=sym,
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direction=direction,
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result=f"{res}（{MONITOR_TYPE_TREND}）",
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pnl_amount=pnl_amount,
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hold_seconds=hold_seconds,
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trigger_price=avg_e,
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current_price=float(exit_price),
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stop_loss=float(row["stop_loss"]),
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take_profit=float(row["take_profit"]),
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close_order_id="-",
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extra_note="计划本金口径：启动时合约可用余额快照；止盈由程序监控",
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session_capital_fallback=session_capital,
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)
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)
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conn.commit()
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def check_trend_pullback_plans():
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ok_live, _ = ensure_exchange_live_ready()
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if not ok_live:
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return
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conn = get_db()
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rows = conn.execute("SELECT * FROM trend_pullback_plans WHERE status='active'").fetchall()
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for row in rows:
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try:
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sym = row["symbol"]
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direction = (row["direction"] or "long").lower()
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ex_sym = row["exchange_symbol"] or normalize_exchange_symbol(sym)
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sl = float(row["stop_loss"])
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upper = float(row["add_upper"])
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tp = float(row["take_profit"])
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lev = int(row["leverage"] or 1)
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p = get_price(sym)
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if not p:
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continue
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pf = float(p)
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last_p = row["last_mark_price"]
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last_pf = float(last_p) if last_p is not None else pf
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"""轮询趋势回调：共用 strategy_trend_register（补仓触达 + 空仓连续确认）。"""
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from strategy_trend_register import build_trend_config, check_trend_pullback_plans as _check
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pos = get_live_position_contracts(ex_sym, direction)
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if pos is None:
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continue
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legs_done = int(row["legs_done"] or 0)
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dca_legs = int(row["dca_legs"] or 0)
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leg_amounts = []
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try:
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leg_amounts = [float(x) for x in json.loads(row["leg_amounts_json"] or "[]")]
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except Exception:
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leg_amounts = []
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grid = []
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try:
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grid = json.loads(row["grid_prices_json"] or "[]")
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except Exception:
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grid = []
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hit_tp = (direction == "long" and pf >= tp) or (direction == "short" and pf <= tp)
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if hit_tp and pos > 0:
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try:
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exchange.set_leverage(lev, ex_sym)
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side = "sell" if direction == "long" else "buy"
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params = build_gate_order_params(direction, reduce_only=True)
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close_resp = exchange.create_order(ex_sym, "market", side, float(pos), None, params)
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exit_p = extract_trade_price_from_order(close_resp) or pf
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except Exception as e:
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if not is_no_position_error(str(e)):
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continue
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exit_p = pf
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_trend_finalize_plan(conn, row, "止盈", exit_p)
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continue
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if pos <= 0 and int(row["first_order_done"] or 0):
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exit_p = pf
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_trend_finalize_plan(conn, row, "止损", exit_p)
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continue
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if int(row["first_order_done"] or 0) and legs_done < len(grid) and legs_done < len(leg_amounts):
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level = float(grid[legs_done])
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fired = False
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if direction == "long":
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if last_pf > level and pf <= level:
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fired = True
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else:
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if last_pf < level and pf >= level:
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fired = True
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if fired:
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amt = float(exchange.amount_to_precision(ex_sym, leg_amounts[legs_done]))
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if amt > 0:
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add_resp = _trend_market_add_contracts(ex_sym, direction, amt, lev)
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fill_px = extract_trade_price_from_order(add_resp) or pf
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old_avg = float(row["avg_entry_price"] or fill_px)
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old_open = float(row["order_amount_open"] or 0)
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new_open = old_open + amt
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new_avg = _trend_weighted_avg(old_avg, old_open, fill_px, amt)
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conn.execute(
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"UPDATE trend_pullback_plans SET legs_done=?, avg_entry_price=?, order_amount_open=?, last_mark_price=? WHERE id=?",
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(legs_done + 1, new_avg, new_open, pf, row["id"]),
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)
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row = conn.execute("SELECT * FROM trend_pullback_plans WHERE id=?", (row["id"],)).fetchone()
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try:
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_trend_refresh_stop_only(ex_sym, direction, sl)
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except Exception:
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pass
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conn.execute(
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"UPDATE trend_pullback_plans SET last_mark_price=? WHERE id=?",
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(pf, row["id"]),
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)
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except Exception:
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continue
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conn.commit()
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conn.close()
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cfg = app.extensions.get("strategy_trend_cfg") or build_trend_config(
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sys.modules[__name__]
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)
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_check(cfg)
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# 关键位监控（前端已下线时仍保留函数体，后台默认不再调用）
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@@ -7192,7 +6964,12 @@ def stop_trend_pullback(pid):
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except Exception:
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pass
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try:
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_trend_finalize_plan(conn, row, "手动平仓", exit_p)
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from strategy_trend_register import _finalize_plan, build_trend_config
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cfg = app.extensions.get("strategy_trend_cfg") or build_trend_config(
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sys.modules[__name__]
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)
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_finalize_plan(cfg, conn, row, "手动平仓", exit_p)
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except Exception as e:
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conn.execute(
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"UPDATE trend_pullback_plans SET status='stopped_manual', message=? "
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