Fix TP/SL exit classification when exchange fill slips past the tight band.

Co-authored-by: Cursor <cursoragent@cursor.com>

crypto_monitor_binance/app.py

@@ -257,6 +257,7 @@ from lib.common.history_window_lib import (
     utc_window_to_utc_sql_strings,
 )
 from lib.trade.trade_result_lib import (
+    classify_exit_by_levels,
     count_winning_trades,
     filter_trade_records_excluding_miss,
     normalize_result_with_pnl,
@@ -4261,29 +4262,6 @@ def ms_to_app_local_str(ms):
         return app_now_str()
 
 
-def classify_exit_by_levels(direction, trigger_price, stop_loss, take_profit, exit_price):
-    """根据成交价相对止盈/止损位归类;无法可靠归类时返回 None."""
-    try:
-        tp = float(take_profit)
-        sl = float(stop_loss)
-        ex = float(exit_price)
-        trig = float(trigger_price)
-    except (TypeError, ValueError):
-        return None
-    band = max(abs(trig) * 0.0008, abs(tp - sl) * 0.003, 1e-12)
-    if direction == "long":
-        if ex >= tp - band:
-            return "止盈"
-        if ex <= sl + band:
-            return "止损"
-    else:
-        if ex <= tp + band:
-            return "止盈"
-        if ex >= sl - band:
-            return "止损"
-    return None
-
-
 def fetch_latest_closing_fill(exchange_symbol, direction, opened_at_str, opened_at_ms=None):
     """取开仓以来最近一笔减仓成交(与方向一致);失败返回 None."""
     if not (BINANCE_API_KEY and BINANCE_API_SECRET):

crypto_monitor_gate/app.py

@@ -260,6 +260,7 @@ from lib.common.history_window_lib import (
     utc_window_to_utc_sql_strings,
 )
 from lib.trade.trade_result_lib import (
+    classify_exit_by_levels,
     count_winning_trades,
     filter_trade_records_excluding_miss,
     normalize_result_with_pnl,
@@ -3892,29 +3893,6 @@ def ms_to_app_local_str(ms):
         return app_now_str()
 
 
-def classify_exit_by_levels(direction, trigger_price, stop_loss, take_profit, exit_price):
-    """根据成交价相对止盈/止损位归类;无法可靠归类时返回 None."""
-    try:
-        tp = float(take_profit)
-        sl = float(stop_loss)
-        ex = float(exit_price)
-        trig = float(trigger_price)
-    except (TypeError, ValueError):
-        return None
-    band = max(abs(trig) * 0.0008, abs(tp - sl) * 0.003, 1e-12)
-    if direction == "long":
-        if ex >= tp - band:
-            return "止盈"
-        if ex <= sl + band:
-            return "止损"
-    else:
-        if ex <= tp + band:
-            return "止盈"
-        if ex >= sl - band:
-            return "止损"
-    return None
-
-
 def fetch_latest_closing_fill(exchange_symbol, direction, opened_at_str, opened_at_ms=None):
     """取开仓以来最近一笔减仓成交(与方向一致);失败返回 None."""
     if not (GATE_API_KEY and GATE_API_SECRET):

crypto_monitor_okx/app.py

@@ -256,6 +256,7 @@ from lib.common.history_window_lib import (
     utc_window_to_utc_sql_strings,
 )
 from lib.trade.trade_result_lib import (
+    classify_exit_by_levels,
     count_winning_trades,
     filter_trade_records_excluding_miss,
     normalize_result_with_pnl,
@@ -3381,29 +3382,6 @@ def ms_to_app_local_str(ms):
         return app_now_str()
 
 
-def classify_exit_by_levels(direction, trigger_price, stop_loss, take_profit, exit_price):
-    """根据成交价相对止盈/止损位归类;无法可靠归类时返回 None."""
-    try:
-        tp = float(take_profit)
-        sl = float(stop_loss)
-        ex = float(exit_price)
-        trig = float(trigger_price)
-    except (TypeError, ValueError):
-        return None
-    band = max(abs(trig) * 0.0008, abs(tp - sl) * 0.003, 1e-12)
-    if direction == "long":
-        if ex >= tp - band:
-            return "止盈"
-        if ex <= sl + band:
-            return "止损"
-    else:
-        if ex <= tp + band:
-            return "止盈"
-        if ex >= sl - band:
-            return "止损"
-    return None
-
-
 def fetch_latest_closing_fill(exchange_symbol, direction, opened_at_str, opened_at_ms=None):
     """取开仓以来最近一笔减仓成交(与方向一致);失败返回 None."""
     if not (OKX_API_KEY and OKX_API_SECRET and OKX_API_PASSPHRASE):

lib/trade/trade_result_lib.py

@@ -1,8 +1,67 @@
 """交易结果展示与入库时的语义归一化."""
 
+from __future__ import annotations
+
+from typing import Optional
+
 _WIN_EPS = 1e-9
 
 
+def classify_exit_by_levels(
+    direction,
+    trigger_price,
+    stop_loss,
+    take_profit,
+    exit_price,
+) -> Optional[str]:
+    """根据成交价相对止盈/止损位归类;无法可靠归类时返回 None.
+
+    交易所条件止盈常按标记价触发、市价成交,成交价可能偏离计划止盈数个 tick.
+    因此先用窄带,失败后再用宽带;仍失败则看是否落在入场→止盈/止损的「盈利/亏损侧」。
+    """
+    try:
+        tp = float(take_profit)
+        sl = float(stop_loss)
+        ex = float(exit_price)
+        trig = float(trigger_price)
+    except (TypeError, ValueError):
+        return None
+    d = (direction or "").strip().lower()
+    if d not in ("long", "short"):
+        return None
+    band = max(abs(trig) * 0.0008, abs(tp - sl) * 0.003, 1e-12)
+    # 宽带:覆盖 BTC 等高价币种条件单滑点(实测 Gate 止盈成交可偏出窄带 ~100U)
+    band_loose = max(abs(trig) * 0.003, abs(tp - sl) * 0.05, band * 4.0, 1e-12)
+
+    def _is_tp(b: float) -> bool:
+        return ex >= tp - b if d == "long" else ex <= tp + b
+
+    def _is_sl(b: float) -> bool:
+        return ex <= sl + b if d == "long" else ex >= sl - b
+
+    if _is_tp(band):
+        return "止盈"
+    if _is_sl(band):
+        return "止损"
+    if _is_tp(band_loose):
+        return "止盈"
+    if _is_sl(band_loose):
+        return "止损"
+
+    # 盈利侧且更靠近止盈 → 止盈; 亏损侧且更靠近止损 → 止损
+    if d == "long":
+        if ex > trig and abs(ex - tp) <= abs(ex - trig):
+            return "止盈"
+        if ex < trig and abs(ex - sl) <= abs(ex - trig):
+            return "止损"
+    else:
+        if ex < trig and abs(ex - tp) <= abs(ex - trig):
+            return "止盈"
+        if ex > trig and abs(ex - sl) <= abs(ex - trig):
+            return "止损"
+    return None
+
+
 def normalize_display_result(result):
     """展示用:外部平仓一律视为手动平仓."""
     res = (result or "").strip()

tests/test_trade_result_lib.py

@@ -1,4 +1,21 @@
-from lib.trade.trade_result_lib import normalize_result_with_pnl, normalize_display_result, is_winning_pnl
+from lib.trade.trade_result_lib import (
+    classify_exit_by_levels,
+    normalize_result_with_pnl,
+    normalize_display_result,
+    is_winning_pnl,
+)
+
+
+def test_classify_short_tp_with_slippage_past_tight_band():
+    # Gate BTC 空单:计划止盈 62600,实际成交约 62738(条件单滑点),旧窄带会误判为外部平仓
+    assert (
+        classify_exit_by_levels("short", 64256.2, 65400, 62600, 62738.0) == "止盈"
+    )
+
+
+def test_classify_long_sl_and_tp_basic():
+    assert classify_exit_by_levels("long", 100, 95, 110, 110.05) == "止盈"
+    assert classify_exit_by_levels("long", 100, 95, 110, 94.9) == "止损"
 
 
 def test_stop_loss_with_profit_becomes_trailing_tp():