dekun/crypto_monitor
0
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

fix(trend): correct DCA triggers and partial-position PnL across exchanges

Browse Source 
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-06-07 17:09:22 +08:00
parent 9257a8051f
commit 84abf7e7f7
5 changed files with 122 additions and 265 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crypto_monitor_gate_bot/app.py
+10 -233
View File
@@ -4700,242 +4700,14 @@ def _trend_weighted_avg(old_avg, old_amt, fill_px, add_amt):
return float(fill_px or 0)
def _trend_plan_stop_status(result_label):
if result_label == "止盈":
return "stopped_tp"
if result_label == "止损":
return "stopped_sl"
return "stopped_manual"
def _trend_plan_trade_exists(conn, plan_id):
try:
return conn.execute(
"SELECT id FROM trade_records WHERE trend_plan_id=? LIMIT 1",
(int(plan_id),),
).fetchone() is not None
except Exception:
return False
def _trend_finalize_plan(conn, row, result_label, exit_price, closed_at=None):
"""平仓后记账、撤单、结束计划。"""
plan_id = int(row["id"])
active = conn.execute(
"SELECT * FROM trend_pullback_plans WHERE id=? AND status='active'",
(plan_id,),
).fetchone()
if not active:
return
row = active
sym = row["symbol"]
direction = row["direction"] or "long"
ex_sym = row["exchange_symbol"] or normalize_exchange_symbol(sym)
closed_at = closed_at or app_now_str()
opened_at = row["opened_at"] or app_now_str()
hold_seconds = calc_hold_seconds(opened_at, parse_dt_for_trading_day(closed_at) or app_now())
margin_cap = float(row["plan_margin_capital"] or 0)
lev = int(row["leverage"] or 1)
avg_e = float(row["avg_entry_price"] or 0)
pnl_amount = calc_pnl(direction, avg_e, float(exit_price), margin_cap, lev)
res = normalize_result_with_pnl(result_label, pnl_amount)
risk_amt = calc_risk_amount_from_plan(direction, float(row["add_upper"]), float(row["stop_loss"]), margin_cap, lev)
planned_rr = calc_rr_ratio(direction, avg_e, float(row["stop_loss"]), float(row["take_profit"]))
try:
cancel_all_open_orders_for_symbol(ex_sym)
except Exception:
try:
cancel_gate_swap_trigger_orders(ex_sym)
except Exception:
pass
st = _trend_plan_stop_status(result_label)
cur = conn.execute(
"UPDATE trend_pullback_plans SET status=?, message=? WHERE id=? AND status='active'",
(st, res, plan_id),
)
if not getattr(cur, "rowcount", 0):
return
conn.commit()
try:
from strategy_trend_register import build_trend_config
from strategy_wechat_notify import notify_trend_plan_ended
_tcfg = build_trend_config(sys.modules[__name__])
notify_trend_plan_ended(
_tcfg,
plan_id=plan_id,
symbol=sym,
direction=direction,
end_type=result_label,
result_label=res,
exit_price=float(exit_price) if exit_price is not None else None,
pnl_amount=float(pnl_amount) if pnl_amount is not None else None,
)
except Exception:
pass
try:
from strategy_trend_register import build_trend_config
def check_trend_pullback_plans():
"""轮询趋势回调：共用 strategy_trend_register（补仓触达 + 空仓连续确认）。"""
from strategy_trend_register import build_trend_config, check_trend_pullback_plans as _check
cfg = app.extensions.get("strategy_trend_cfg") or build_trend_config(
sys.modules[__name__]
)
closed = conn.execute(
"SELECT * FROM trend_pullback_plans WHERE id=?", (plan_id,)
).fetchone()
if closed:
from strategy_snapshot_lib import save_trend_plan_snapshot
save_trend_plan_snapshot(
cfg,
conn,
closed,
result_label=result_label,
exit_price=float(exit_price),
pnl_amount=float(pnl_amount) if pnl_amount is not None else None,
)
conn.commit()
except Exception:
pass
if _trend_plan_trade_exists(conn, plan_id):
return
session_date = row["session_date"] or get_trading_day()
session_capital = update_session_capital(conn, session_date, pnl_amount)
insert_trade_record(
conn,
symbol=sym,
monitor_type=MONITOR_TYPE_TREND,
direction=direction,
trigger_price=avg_e,
stop_loss=float(row["stop_loss"]),
initial_stop_loss=float(row["stop_loss"]),
take_profit=float(row["take_profit"]),
margin_capital=margin_cap,
leverage=lev,
pnl_amount=pnl_amount,
hold_seconds=hold_seconds,
trade_style="trend_pullback",
risk_amount=risk_amt,
planned_rr=planned_rr,
actual_rr=calc_actual_rr(pnl_amount, risk_amt),
result=res,
opened_at=opened_at,
closed_at=closed_at,
trend_plan_id=plan_id,
)
send_wechat_msg(
build_wechat_close_message(
symbol=sym,
direction=direction,
result=f"{res}（{MONITOR_TYPE_TREND}）",
pnl_amount=pnl_amount,
hold_seconds=hold_seconds,
trigger_price=avg_e,
current_price=float(exit_price),
stop_loss=float(row["stop_loss"]),
take_profit=float(row["take_profit"]),
close_order_id="-",
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",
session_capital_fallback=session_capital,
)
)
conn.commit()
def check_trend_pullback_plans():
ok_live, _ = ensure_exchange_live_ready()
if not ok_live:
return
conn = get_db()
rows = conn.execute("SELECT * FROM trend_pullback_plans WHERE status='active'").fetchall()
for row in rows:
try:
sym = row["symbol"]
direction = (row["direction"] or "long").lower()
ex_sym = row["exchange_symbol"] or normalize_exchange_symbol(sym)
sl = float(row["stop_loss"])
upper = float(row["add_upper"])
tp = float(row["take_profit"])
lev = int(row["leverage"] or 1)
p = get_price(sym)
if not p:
continue
pf = float(p)
last_p = row["last_mark_price"]
last_pf = float(last_p) if last_p is not None else pf
pos = get_live_position_contracts(ex_sym, direction)
if pos is None:
continue
legs_done = int(row["legs_done"] or 0)
dca_legs = int(row["dca_legs"] or 0)
leg_amounts = []
try:
leg_amounts = [float(x) for x in json.loads(row["leg_amounts_json"] or "[]")]
except Exception:
leg_amounts = []
grid = []
try:
grid = json.loads(row["grid_prices_json"] or "[]")
except Exception:
grid = []
hit_tp = (direction == "long" and pf >= tp) or (direction == "short" and pf <= tp)
if hit_tp and pos > 0:
try:
exchange.set_leverage(lev, ex_sym)
side = "sell" if direction == "long" else "buy"
params = build_gate_order_params(direction, reduce_only=True)
close_resp = exchange.create_order(ex_sym, "market", side, float(pos), None, params)
exit_p = extract_trade_price_from_order(close_resp) or pf
except Exception as e:
if not is_no_position_error(str(e)):
continue
exit_p = pf
_trend_finalize_plan(conn, row, "止盈", exit_p)
continue
if pos <= 0 and int(row["first_order_done"] or 0):
exit_p = pf
_trend_finalize_plan(conn, row, "止损", exit_p)
continue
if int(row["first_order_done"] or 0) and legs_done < len(grid) and legs_done < len(leg_amounts):
level = float(grid[legs_done])
fired = False
if direction == "long":
if last_pf > level and pf <= level:
fired = True
else:
if last_pf < level and pf >= level:
fired = True
if fired:
amt = float(exchange.amount_to_precision(ex_sym, leg_amounts[legs_done]))
if amt > 0:
add_resp = _trend_market_add_contracts(ex_sym, direction, amt, lev)
fill_px = extract_trade_price_from_order(add_resp) or pf
old_avg = float(row["avg_entry_price"] or fill_px)
old_open = float(row["order_amount_open"] or 0)
new_open = old_open + amt
new_avg = _trend_weighted_avg(old_avg, old_open, fill_px, amt)
conn.execute(
"UPDATE trend_pullback_plans SET legs_done=?, avg_entry_price=?, order_amount_open=?, last_mark_price=? WHERE id=?",
(legs_done + 1, new_avg, new_open, pf, row["id"]),
)
row = conn.execute("SELECT * FROM trend_pullback_plans WHERE id=?", (row["id"],)).fetchone()
try:
_trend_refresh_stop_only(ex_sym, direction, sl)
except Exception:
pass
conn.execute(
"UPDATE trend_pullback_plans SET last_mark_price=? WHERE id=?",
(pf, row["id"]),
)
except Exception:
continue
conn.commit()
conn.close()
_check(cfg)
# 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）
@@ -7192,7 +6964,12 @@ def stop_trend_pullback(pid):
except Exception:
pass
try:
_trend_finalize_plan(conn, row, "手动平仓", exit_p)
from strategy_trend_register import _finalize_plan, build_trend_config
cfg = app.extensions.get("strategy_trend_cfg") or build_trend_config(
sys.modules[__name__]
)
_finalize_plan(cfg, conn, row, "手动平仓", exit_p)
except Exception as e:
conn.execute(
"UPDATE trend_pullback_plans SET status='stopped_manual', message=? "
scripts/backfill_trend_strategy_snapshots.py
+3 -3
View File
@@ -4,10 +4,10 @@
适用：gate_bot 等在计划结束（止盈/止损/手动）时因 strategy_trend_cfg 未注册而漏写快照的历史数据。
保本移交路径通常已有快照，本脚本默认跳过「已有任意快照」的计划。
用法（在仓库根目录）：
python scripts/backfill_trend_strategy_snapshots.py \\
用法（在仓库根目录，Linux 请用 python3）：
python3 scripts/backfill_trend_strategy_snapshots.py \\
--db crypto_monitor_gate_bot/crypto.db --dry-run
python scripts/backfill_trend_strategy_snapshots.py \\
python3 scripts/backfill_trend_strategy_snapshots.py \\
--db crypto_monitor_gate_bot/crypto.db --apply
"""
from __future__ import annotations
strategy_trend_lib.py
+34
View File
@@ -24,6 +24,40 @@ def calc_risk_fraction(direction: str, entry_price: float, stop_loss: float) ->
return None
def trend_effective_margin_capital(plan: dict) -> float:
"""按已开仓张数占计划总张数比例折算保证金（首仓/部分补仓时的盈亏估算）。"""
try:
plan_margin = float(plan.get("plan_margin_capital") or 0)
target = float(plan.get("target_order_amount") or 0)
open_amt = float(plan.get("order_amount_open") or 0)
except (TypeError, ValueError):
return float((plan or {}).get("plan_margin_capital") or 0)
if plan_margin <= 0:
return 0.0
if target > 0 and open_amt > 0:
return round(plan_margin * min(1.0, open_amt / target), 8)
try:
first = float(plan.get("first_order_amount") or 0)
except (TypeError, ValueError):
first = 0.0
if target > 0 and first > 0:
return round(plan_margin * min(1.0, first / target), 8)
return plan_margin
def trend_dca_level_reached(direction: str, mark_price: float, level: float) -> bool:
"""做空：价升触达/越过档位即应补仓；做多：价跌触达/越过档位。"""
d = (direction or "long").strip().lower()
try:
pf = float(mark_price)
lv = float(level)
except (TypeError, ValueError):
return False
if d == "long":
return pf <= lv
return pf >= lv
def validate_trend_bounds(direction: str, stop_loss: float, add_upper: float) -> Optional[str]:
direction = (direction or "long").strip().lower()
if direction == "long":
strategy_trend_register.py
+19 -10
View File
@@ -24,6 +24,8 @@ from strategy_trend_lib import (
build_grid_prices,
build_leg_amounts_json,
calc_risk_fraction,
trend_dca_level_reached,
trend_effective_margin_capital,
validate_trend_bounds,
)
from strategy_trade_labels import (
@@ -548,14 +550,22 @@ def _finalize_plan(cfg: dict, conn, row, result_label: str, exit_price: float) -
closed_at = m.app_now_str()
opened_at = row["opened_at"] or closed_at
hold_seconds = m.calc_hold_seconds(opened_at, m.parse_dt_for_trading_day(closed_at) or m.app_now())
margin_cap = float(row["plan_margin_capital"] or 0)
plan_margin = float(row["plan_margin_capital"] or 0)
margin_cap = trend_effective_margin_capital(_row(cfg, row))
lev = int(row["leverage"] or 1)
avg_e = float(row["avg_entry_price"] or 0)
pnl_amount = m.calc_pnl(direction, avg_e, float(exit_price), margin_cap, lev)
res = m.normalize_result_with_pnl(result_label, pnl_amount)
risk_amt = m.calc_risk_amount_from_plan(
direction, float(row["add_upper"]), float(row["stop_loss"]), margin_cap, lev
direction, float(row["add_upper"]), float(row["stop_loss"]), plan_margin, lev
)
try:
target = float(row["target_order_amount"] or 0)
open_amt = float(row["order_amount_open"] or 0)
if risk_amt is not None and target > 0 and open_amt > 0:
risk_amt = round(float(risk_amt) * min(1.0, open_amt / target), 6)
except (TypeError, ValueError):
pass
planned_rr = m.calc_rr_ratio(direction, avg_e, float(row["stop_loss"]), float(row["take_profit"]))
try:
cancel_symbol_orders(cfg, ex_sym)
@@ -785,24 +795,23 @@ def check_trend_pullback_plans(cfg: dict) -> None:
_TREND_FLAT_STREAK.pop(plan_id, None)
continue
if int(row["first_order_done"] or 0) and legs_done < len(grid) and legs_done < len(leg_amounts):
while legs_done < len(grid) and legs_done < len(leg_amounts):
level = float(grid[legs_done])
fired = False
if direction == "long":
fired = last_pf > level and pf <= level
else:
fired = last_pf < level and pf >= level
if fired:
if not trend_dca_level_reached(direction, pf, level):
break
amt = float(m.exchange.amount_to_precision(ex_sym, leg_amounts[legs_done]))
if amt > 0:
if amt <= 0:
break
add_resp = trend_market_add(cfg, ex_sym, direction, amt, lev)
fill_px = m.extract_trade_price_from_order(add_resp) or pf
old_avg = float(row["avg_entry_price"] or fill_px)
old_open = float(row["order_amount_open"] or 0)
new_avg = _weighted_avg(old_avg, old_open, fill_px, amt)
legs_done += 1
conn.execute(
"UPDATE trend_pullback_plans SET legs_done=?, avg_entry_price=?, "
"order_amount_open=?, last_mark_price=? WHERE id=?",
(legs_done + 1, new_avg, old_open + amt, pf, row["id"]),
(legs_done, new_avg, old_open + amt, pf, row["id"]),
)
row = conn.execute(
"SELECT * FROM trend_pullback_plans WHERE id=?", (row["id"],)
tests/test_trend_dca_pnl.py
+37
View File
@@ -0,0 +1,37 @@
"""趋势回调：补仓触达与有效保证金估算。"""
from strategy_trend_lib import trend_dca_level_reached, trend_effective_margin_capital
def test_trend_dca_short_monotonic_up_fills_missed_legs():
"""做空价升：旧逻辑需 last<level，价越过 0.3437 后 last 已高于该档则永不补仓。"""
direction = "short"
levels = [0.3413, 0.3437, 0.346, 0.3483, 0.3507]
pf = 0.353
filled = [lv for lv in levels if trend_dca_level_reached(direction, pf, lv)]
assert filled == levels
def test_trend_dca_short_not_before_first_level():
direction = "short"
assert not trend_dca_level_reached(direction, 0.336, 0.3413)
assert trend_dca_level_reached(direction, 0.3413, 0.3413)
def test_trend_effective_margin_first_leg_only():
plan = {
"plan_margin_capital": 12.11,
"target_order_amount": 359.0,
"order_amount_open": 179.0,
"first_order_amount": 179.0,
}
m = trend_effective_margin_capital(plan)
assert abs(m - 12.11 * 179 / 359) < 0.01
def test_trend_effective_margin_full_position():
plan = {
"plan_margin_capital": 12.11,
"target_order_amount": 359.0,
"order_amount_open": 359.0,
}
assert trend_effective_margin_capital(plan) == 12.11