From d56d9050aa0267ecb0d58371665e46dbea667959 Mon Sep 17 00:00:00 2001 From: dekun Date: Sun, 7 Jun 2026 17:34:50 +0800 Subject: [PATCH] fix(trend): use money RR, track DCA fills, snapshot before close Align running-plan header and DCA table with risk-budget RR, record actual fill prices after each leg, and save pre-close snapshots on stop/TP/handoff across hub and exchanges. Co-authored-by: Cursor --- crypto_monitor_gate_bot/app.py | 22 ++- manual_trading_hub/static/app.js | 18 ++- strategy_db.py | 1 + strategy_templates/strategy_trend_panel.html | 19 +-- strategy_trend_lib.py | 140 ++++++++++++++++--- strategy_trend_register.py | 88 ++++++------ tests/test_trend_dca_enrich_fills.py | 67 +++++++++ 7 files changed, 268 insertions(+), 87 deletions(-) create mode 100644 tests/test_trend_dca_enrich_fills.py diff --git a/crypto_monitor_gate_bot/app.py b/crypto_monitor_gate_bot/app.py index a4172dc..294a38f 100644 --- a/crypto_monitor_gate_bot/app.py +++ b/crypto_monitor_gate_bot/app.py @@ -3976,9 +3976,21 @@ def enrich_active_trend_plan_row(row): d["floating_mark"] = float(m["mark_price"]) else: d["floating_mark"] = None + try: + d["contract_size"] = float(get_contract_size(ex_sym)) + except (TypeError, ValueError): + pass from strategy_snapshot_lib import attach_trend_dca_levels + from strategy_trend_lib import calc_trend_plan_money_metrics - return attach_trend_dca_levels(d) + d = attach_trend_dca_levels(d) + money = calc_trend_plan_money_metrics(d) + if money.get("money_rr") is not None: + d["money_rr"] = money["money_rr"] + d["planned_rr"] = money["money_rr"] + if money.get("risk_amount_u") is not None: + d["risk_amount_u"] = money["risk_amount_u"] + return d def opened_at_str_to_ms(opened_at_str): @@ -6801,12 +6813,15 @@ def execute_trend_pullback(): trading_day = get_trading_day(now) opened_at = app_now_str() opened_ms = _to_ms_with_fallback(None, opened_at) + from strategy_trend_lib import append_leg_fill_price_json + + fills_json = append_leg_fill_price_json(None, fill1) cur = conn.execute( """INSERT INTO trend_pullback_plans ( status,symbol,exchange_symbol,direction,leverage,stop_loss,initial_stop_loss,add_upper,take_profit,risk_percent, snapshot_available_usdt,snapshot_at,plan_margin_capital,target_order_amount,first_order_amount,remainder_total, - dca_legs,per_leg_amount,grid_prices_json,leg_amounts_json,legs_done,first_order_done,last_mark_price,avg_entry_price,order_amount_open,opened_at,opened_at_ms,session_date,message - ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", + dca_legs,per_leg_amount,grid_prices_json,leg_amounts_json,legs_done,first_order_done,last_mark_price,avg_entry_price,order_amount_open,opened_at,opened_at_ms,session_date,message,leg_fill_prices_json + ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", ( "active", symbol, @@ -6837,6 +6852,7 @@ def execute_trend_pullback(): opened_ms, trading_day, f"预览ID:{pid[:8]}…", + fills_json, ), ) new_plan_id = int(cur.lastrowid) diff --git a/manual_trading_hub/static/app.js b/manual_trading_hub/static/app.js index c32c612..b1a120d 100644 --- a/manual_trading_hub/static/app.js +++ b/manual_trading_hub/static/app.js @@ -1082,6 +1082,10 @@ function resolveTrendPlanRr(trendPlan, side, entry, sl, tp) { const t = trendPlan || {}; + if (t.money_rr != null && t.money_rr !== "") { + const n = Number(t.money_rr); + if (Number.isFinite(n) && n > 0) return n; + } if (t.planned_rr != null && t.planned_rr !== "") { const n = Number(t.planned_rr); if (Number.isFinite(n) && n > 0) return n; @@ -1839,12 +1843,24 @@ : "—"; const amt = lv.contracts != null && lv.contracts !== "" ? esc(String(lv.contracts)) : "—"; + const avg = + lv.avg_entry != null && lv.avg_entry !== "" + ? fmtSymbolPrice(lv.avg_entry, sym, tickMap) + : "—"; + const profitU = + lv.profit_u != null && lv.profit_u !== "" ? fmt(lv.profit_u, 2) : "—"; + const riskU = lv.risk_u != null && lv.risk_u !== "" ? fmt(lv.risk_u, 2) : "—"; + const rr = lv.rr != null && lv.rr !== "" ? `${fmt(lv.rr, 2)}:1` : "—"; const stCls = lv.status === "done" ? "st-done" : "st-pending"; const label = lv.status_label || (lv.status === "done" ? "已补仓" : "待补仓"); return ` ${esc(lv.label || lv.leg_key || "—")} ${esc(price)} ${amt} + ${esc(avg)} + ${esc(profitU)} + ${esc(riskU)} + ${esc(rr)} ${esc(label)} `; }) @@ -1852,7 +1868,7 @@ return `
补仓计划明细
- + ${rows}
档位触发价张数状态
档位触发价张数加仓后均价止盈盈利(U)止损(U)盈亏比状态
`; diff --git a/strategy_db.py b/strategy_db.py index 7acf013..8aef6a7 100644 --- a/strategy_db.py +++ b/strategy_db.py @@ -153,6 +153,7 @@ def init_strategy_tables(conn) -> None: "ALTER TABLE order_monitors ADD COLUMN trend_plan_id INTEGER", "ALTER TABLE order_monitors ADD COLUMN monitor_type TEXT", "ALTER TABLE order_monitors ADD COLUMN key_signal_type TEXT", + "ALTER TABLE trend_pullback_plans ADD COLUMN leg_fill_prices_json TEXT", ): try: conn.execute(ddl) diff --git a/strategy_templates/strategy_trend_panel.html b/strategy_templates/strategy_trend_panel.html index 4a3f041..9964036 100644 --- a/strategy_templates/strategy_trend_panel.html +++ b/strategy_templates/strategy_trend_panel.html @@ -101,22 +101,7 @@
{% for t in trend_plans %} {% set sym = t.exchange_symbol or t.symbol %} - {% set calc = namespace(rr=None, pnlpct=None) %} - {% if t.avg_entry_price is not none and t.stop_loss is not none and t.take_profit is not none %} - {% set e = t.avg_entry_price|float %} - {% set sl = t.stop_loss|float %} - {% set tp = t.take_profit|float %} - {% if t.direction == 'long' %} - {% set risk = e - sl %} - {% set reward = tp - e %} - {% else %} - {% set risk = sl - e %} - {% set reward = e - tp %} - {% endif %} - {% if risk > 0 %} - {% set calc.rr = reward / risk %} - {% endif %} - {% endif %} + {% set calc = namespace(pnlpct=None) %} {% if t.floating_pnl is not none and t.plan_margin_capital is not none and t.plan_margin_capital|float > 0 %} {% set calc.pnlpct = (t.floating_pnl|float) / (t.plan_margin_capital|float) * 100 %} {% endif %} @@ -148,7 +133,7 @@
盈亏比 - {% if calc.rr is not none %}{{ '%.2f'|format(calc.rr) }}:1{% else %}—{% endif %} + {% if t.money_rr is not none %}{{ '%.2f'|format(t.money_rr) }}:1{% elif t.planned_rr is not none %}{{ '%.2f'|format(t.planned_rr) }}:1{% else %}—{% endif %}
标记价 diff --git a/strategy_trend_lib.py b/strategy_trend_lib.py index fc72675..a26b4ce 100644 --- a/strategy_trend_lib.py +++ b/strategy_trend_lib.py @@ -336,6 +336,59 @@ def weighted_avg_entry(legs: list[tuple[float, float]]) -> Optional[float]: return cost / total +def parse_leg_fill_prices(plan: dict) -> list[float]: + """首仓 + 各档补仓实际成交价列表。""" + try: + raw = json.loads((plan or {}).get("leg_fill_prices_json") or "[]") + if not isinstance(raw, list): + return [] + out: list[float] = [] + for item in raw: + try: + out.append(float(item)) + except (TypeError, ValueError): + continue + return out + except Exception: + return [] + + +def append_leg_fill_price_json(existing_json: str | None, fill_px: float) -> str: + fills = parse_leg_fill_prices({"leg_fill_prices_json": existing_json}) + fills.append(float(fill_px)) + return json.dumps(fills, ensure_ascii=False, separators=(",", ":")) + + +def calc_trend_plan_money_metrics(plan: dict) -> dict: + """运行中计划头部：按快照风险金额计算盈亏比（止盈盈利 U / 风险 U）。""" + out = {"money_rr": None, "risk_amount_u": None} + p = plan or {} + try: + direction = (p.get("direction") or "long").strip().lower() + user_tp = float(p.get("take_profit")) + avg = float(p.get("avg_entry_price")) + open_amt = float(p.get("order_amount_open") or p.get("first_order_amount") or 0) + snapshot = float(p.get("snapshot_available_usdt")) + risk_percent = float(p.get("risk_percent")) + except (TypeError, ValueError): + return out + if avg <= 0 or open_amt <= 0: + return out + risk_u = calc_risk_budget_usdt(snapshot, risk_percent) + if risk_u is None or risk_u <= 0: + return out + out["risk_amount_u"] = risk_u + try: + contract_size = float(p.get("contract_size") or 1.0) + if contract_size <= 0: + contract_size = 1.0 + except (TypeError, ValueError): + contract_size = 1.0 + profit_u = calc_tp_profit_usdt(direction, avg, user_tp, open_amt, contract_size) + out["money_rr"] = calc_money_reward_risk_ratio(profit_u, risk_u) + return out + + def build_trend_preview_level_rows(preview: dict) -> tuple[dict, list[dict]]: """ 预览：表单止盈价下每档累计持仓的盈利 U；止损金额 = 快照×风险；盈亏比按金额对比。 @@ -455,7 +508,7 @@ def build_trend_preview_level_rows(preview: dict) -> tuple[dict, list[dict]]: def enrich_trend_dca_levels_with_tp(plan: dict, levels: list[dict]) -> list[dict]: - """运行中计划：为 dca_levels 补充加仓后均价、止盈盈利 U、止损金额 U、金额盈亏比。""" + """运行中计划：补仓表按实际成交价重算触发价/均价/金额盈亏比；未补档仍用计划触发价预估。""" if not levels: return levels p = plan or {} @@ -473,6 +526,13 @@ def enrich_trend_dca_levels_with_tp(plan: dict, levels: list[dict]) -> list[dict if risk_u is None or risk_u <= 0: return levels + fills = parse_leg_fill_prices(p) + try: + legs_done = int(p.get("legs_done") or 0) + except (TypeError, ValueError): + legs_done = 0 + first_done = int(p.get("first_order_done") or 0) != 0 + ref_raw = p.get("live_price_ref") if ref_raw in (None, ""): ref_raw = p.get("avg_entry_price") @@ -494,32 +554,72 @@ def enrich_trend_dca_levels_with_tp(plan: dict, levels: list[dict]) -> list[dict for lv in levels: row = dict(lv) is_first = row.get("leg_key") == "first" or row.get("label") == "首仓" or row.get("i") == 0 + row_cum = cum_contracts if is_first: - amt = row.get("contracts") try: - amt_f = float(amt if amt is not None else first_amt) + amt_f = float(row.get("contracts") if row.get("contracts") is not None else first_amt) except (TypeError, ValueError): amt_f = first_amt - accumulated = [(ref, amt_f)] - cum_contracts = amt_f - row["avg_entry"] = ref + if first_done: + fill_px = fills[0] if fills else None + if fill_px is None: + try: + fill_px = float(p.get("avg_entry_price") or ref) + except (TypeError, ValueError): + fill_px = ref + accumulated = [(float(fill_px), amt_f)] + cum_contracts = amt_f + row_cum = cum_contracts + row["avg_entry"] = float(fill_px) + else: + accumulated = [(ref, amt_f)] + cum_contracts = amt_f + row_cum = cum_contracts + row["avg_entry"] = ref else: - price = row.get("price") - contracts = row.get("contracts") - if price is not None and contracts is not None: - try: - leg_contracts = float(contracts) - accumulated.append((float(price), leg_contracts)) - avg = weighted_avg_entry(accumulated) - if avg is not None: - row["avg_entry"] = avg - cum_contracts += leg_contracts - except (TypeError, ValueError): - pass + try: + leg_num = int(row.get("i") or 0) + except (TypeError, ValueError): + leg_num = 0 + grid_trigger = row.get("price") + try: + grid_trigger_f = float(grid_trigger) if grid_trigger is not None else None + except (TypeError, ValueError): + grid_trigger_f = None + try: + leg_contracts = float(row.get("contracts") or 0) + except (TypeError, ValueError): + leg_contracts = 0.0 + done = row.get("status") == "done" or (leg_num > 0 and leg_num <= legs_done) + if done and leg_contracts > 0: + fill_idx = leg_num + if len(fills) > fill_idx: + fill_px = float(fills[fill_idx]) + elif grid_trigger_f is not None: + fill_px = grid_trigger_f + else: + fill_px = ref + row["price"] = fill_px + accumulated.append((fill_px, leg_contracts)) + cum_contracts += leg_contracts + row_cum = cum_contracts + avg = weighted_avg_entry(accumulated) + if avg is not None: + row["avg_entry"] = avg + elif grid_trigger_f is not None and leg_contracts > 0: + row["price"] = grid_trigger_f + projected = accumulated + [(grid_trigger_f, leg_contracts)] + avg = weighted_avg_entry(projected) + if avg is not None: + row["avg_entry"] = avg + row_cum = cum_contracts + leg_contracts + elif grid_trigger_f is not None: + row["price"] = grid_trigger_f + avg_entry = row.get("avg_entry") - if avg_entry is not None: + if avg_entry is not None and row_cum > 0: profit_u = calc_tp_profit_usdt( - direction, float(avg_entry), user_tp, cum_contracts, contract_size + direction, float(avg_entry), user_tp, row_cum, contract_size ) row["take_profit_price"] = user_tp row["profit_u"] = profit_u diff --git a/strategy_trend_register.py b/strategy_trend_register.py index ec6c7dd..f2f70c5 100644 --- a/strategy_trend_register.py +++ b/strategy_trend_register.py @@ -374,18 +374,6 @@ def enrich_trend_plan_for_hub(cfg: dict, raw: dict) -> dict: d = enrich_trend_plan(cfg, dict(raw or {})) d["monitor_source"] = "趋势回调计划" m = _m(cfg) - direction = (d.get("direction") or "long").lower() - try: - avg_e = float(d["avg_entry_price"]) - sl = float(d["stop_loss"]) - tp = float(d["take_profit"]) - rr_fn = getattr(m, "calc_rr_ratio", None) - if callable(rr_fn): - rr = rr_fn(direction, avg_e, sl, tp) - if rr is not None: - d["planned_rr"] = float(rr) - except (TypeError, ValueError, KeyError): - pass try: snap = float(d.get("snapshot_available_usdt") or 0) margin = float(d.get("plan_margin_capital") or 0) @@ -497,8 +485,15 @@ def enrich_trend_plan(cfg: dict, row) -> dict: except (TypeError, ValueError): pass from strategy_snapshot_lib import attach_trend_dca_levels + from strategy_trend_lib import calc_trend_plan_money_metrics d = attach_trend_dca_levels(d) + money = calc_trend_plan_money_metrics(d) + if money.get("money_rr") is not None: + d["money_rr"] = money["money_rr"] + d["planned_rr"] = money["money_rr"] + if money.get("risk_amount_u") is not None: + d["risk_amount_u"] = money["risk_amount_u"] try: d["breakeven_default_offset_pct"] = float(cfg.get("breakeven_offset_pct", 0.3)) except (TypeError, ValueError): @@ -567,6 +562,19 @@ def _finalize_plan(cfg: dict, conn, row, result_label: str, exit_price: float) - except (TypeError, ValueError): pass planned_rr = m.calc_rr_ratio(direction, avg_e, float(row["stop_loss"]), float(row["take_profit"])) + try: + from strategy_snapshot_lib import save_trend_plan_snapshot + + save_trend_plan_snapshot( + cfg, + conn, + row, + result_label=result_label, + 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: cancel_symbol_orders(cfg, ex_sym) except Exception: @@ -594,24 +602,6 @@ def _finalize_plan(cfg: dict, conn, row, result_label: str, exit_price: float) - ) except Exception: pass - try: - 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 m.get_trading_day() @@ -808,10 +798,16 @@ def check_trend_pullback_plans(cfg: dict) -> None: old_open = float(row["order_amount_open"] or 0) new_avg = _weighted_avg(old_avg, old_open, fill_px, amt) legs_done += 1 + from strategy_trend_lib import append_leg_fill_price_json + + fills_json = append_leg_fill_price_json( + row["leg_fill_prices_json"] if "leg_fill_prices_json" in row.keys() else None, + fill_px, + ) conn.execute( "UPDATE trend_pullback_plans SET legs_done=?, avg_entry_price=?, " - "order_amount_open=?, last_mark_price=? WHERE id=?", - (legs_done, new_avg, old_open + amt, pf, row["id"]), + "order_amount_open=?, last_mark_price=?, leg_fill_prices_json=? WHERE id=?", + (legs_done, new_avg, old_open + amt, pf, fills_json, row["id"]), ) row = conn.execute( "SELECT * FROM trend_pullback_plans WHERE id=?", (row["id"],) @@ -991,6 +987,14 @@ def apply_manual_breakeven(cfg: dict, conn, row, offset_pct=None) -> tuple[bool, if not ok_live: return False, live_reason or "实盘未就绪" plan_id = int(row["id"]) + try: + from strategy_snapshot_lib import save_trend_plan_snapshot + + save_trend_plan_snapshot( + cfg, conn, row, result_label="保本移交", exit_price=None, pnl_amount=None + ) + except Exception: + pass handoff_row = { "symbol": sym, "exchange_symbol": ex_sym, @@ -1060,18 +1064,6 @@ def apply_manual_breakeven(cfg: dict, conn, row, offset_pct=None) -> tuple[bool, if callable(wl): lines.insert(1, f"**账户：{wl()}**") send("\n".join(lines)) - try: - handoff = conn.execute( - "SELECT * FROM trend_pullback_plans WHERE id=?", (plan_id,) - ).fetchone() - if handoff: - from strategy_snapshot_lib import save_trend_plan_snapshot - - save_trend_plan_snapshot( - cfg, conn, handoff, result_label="保本移交", exit_price=None, pnl_amount=None - ) - except Exception: - pass return True, None @@ -1275,12 +1267,15 @@ def register_trend_routes(app: Flask, cfg: dict) -> None: trading_day = m.get_trading_day(m.app_now()) opened_at = m.app_now_str() opened_ms = getattr(m, "_to_ms_with_fallback", lambda a, b: None)(None, opened_at) + from strategy_trend_lib import append_leg_fill_price_json + + fills_json = append_leg_fill_price_json(None, fill1) cur = conn.execute( """INSERT INTO trend_pullback_plans ( status,symbol,exchange_symbol,direction,leverage,stop_loss,initial_stop_loss,add_upper,take_profit,risk_percent, snapshot_available_usdt,snapshot_at,plan_margin_capital,target_order_amount,first_order_amount,remainder_total, - dca_legs,per_leg_amount,grid_prices_json,leg_amounts_json,legs_done,first_order_done,last_mark_price,avg_entry_price,order_amount_open,opened_at,opened_at_ms,session_date,message - ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", + dca_legs,per_leg_amount,grid_prices_json,leg_amounts_json,legs_done,first_order_done,last_mark_price,avg_entry_price,order_amount_open,opened_at,opened_at_ms,session_date,message,leg_fill_prices_json + ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", ( "active", symbol, @@ -1311,6 +1306,7 @@ def register_trend_routes(app: Flask, cfg: dict) -> None: opened_ms, trading_day, f"预览ID:{pid[:8]}…", + fills_json, ), ) new_id = int(cur.lastrowid) diff --git a/tests/test_trend_dca_enrich_fills.py b/tests/test_trend_dca_enrich_fills.py new file mode 100644 index 0000000..3fdc8a5 --- /dev/null +++ b/tests/test_trend_dca_enrich_fills.py @@ -0,0 +1,67 @@ +"""趋势回调运行中计划：实际成交价重算补仓表与金额盈亏比。""" +from __future__ import annotations + +import json +import sys +import unittest +from pathlib import Path + +ROOT = Path(__file__).resolve().parents[1] +sys.path.insert(0, str(ROOT)) + +from strategy_snapshot_lib import attach_trend_dca_levels # noqa: E402 +from strategy_trend_lib import calc_trend_plan_money_metrics # noqa: E402 + + +class TestTrendDcaEnrichFills(unittest.TestCase): + def _base_plan(self, **overrides): + plan = { + "direction": "long", + "stop_loss": 0.329, + "take_profit": 0.476, + "first_order_amount": 115, + "snapshot_available_usdt": 97.98, + "risk_percent": 5, + "contract_size": 1.0, + "grid_prices_json": json.dumps([0.3465, 0.343, 0.3395, 0.336, 0.3325]), + "leg_amounts_json": json.dumps([23, 23, 23, 23, 23]), + "dca_legs": 5, + "first_order_done": 1, + "legs_done": 0, + "avg_entry_price": 0.3537, + "order_amount_open": 115, + "target_order_amount": 230, + "leg_fill_prices_json": json.dumps([0.3537]), + } + plan.update(overrides) + return plan + + def test_header_money_rr_not_price_rr(self): + plan = self._base_plan() + metrics = calc_trend_plan_money_metrics(plan) + self.assertAlmostEqual(metrics["risk_amount_u"], 4.899, places=2) + self.assertIsNotNone(metrics["money_rr"]) + self.assertLess(metrics["money_rr"], 4.0) + + def test_done_dca_uses_actual_fill_price(self): + plan = self._base_plan( + legs_done=1, + avg_entry_price=0.3512, + order_amount_open=138, + leg_fill_prices_json=json.dumps([0.3537, 0.3458]), + ) + enriched = attach_trend_dca_levels(plan) + levels = enriched["dca_levels"] + self.assertEqual(len(levels), 6) + dca1 = levels[1] + self.assertEqual(dca1["status"], "done") + self.assertAlmostEqual(dca1["price"], 0.3458, places=4) + self.assertIsNotNone(dca1["avg_entry"]) + self.assertIsNotNone(dca1["rr"]) + dca2 = levels[2] + self.assertEqual(dca2["status"], "pending") + self.assertAlmostEqual(dca2["price"], 0.343, places=4) + + +if __name__ == "__main__": + unittest.main()