codex_jxs_code/bb_delay_reversal_trade.py

"""
布林带延迟反转策略 - 实盘交易
基于回测策略 bb_backtest_march_2026.py
使用框架的API查询 + 浏览器自动化交易
"""
import time
import numpy as np
from datetime import datetime, timezone
from pathlib import Path
from loguru import logger
from bit_tools import openBrowser
from DrissionPage import ChromiumPage, ChromiumOptions
from bitmart.api_contract import APIContract


class BBDelayReversalConfig:
    """策略配置"""
    # 浏览器ID（从框架获取）
    BIT_ID = "f2320f57e24c45529a009e1541e25961"
    
    # API凭证（从框架获取）
    API_KEY = "a0fb7b98464fd9bcce67e7c519d58ec10d0c38a8"
    SECRET_KEY = "4eaeba78e77aeaab1c2027f846a276d164f264a44c2c1bb1c5f3be50c8de1ca5"
    MEMO = "合约交易"
    
    # 合约
    CONTRACT_SYMBOL = "ETHUSDT"
    TRADE_URL = "https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT"
    
    # 布林带参数
    BB_PERIOD = 10
    BB_STD = 2.5
    
    # 仓位管理（从框架获取）
    LEVERAGE = "50"
    OPEN_TYPE = "isolated"  # 逐仓模式
    MARGIN_PCT = 0.01  # 首次开仓1%
    
    # 运行参数
    POLL_INTERVAL = 5
    KLINE_STEP = 5
    KLINE_HOURS = 2


class BBDelayReversalTrader:
    """布林带延迟反转交易器"""
    
    def __init__(self, bit_id: str = None):
        self.cfg = BBDelayReversalConfig()
        if bit_id:
            self.cfg.BIT_ID = bit_id
        
        # API（使用框架配置）
        self.contractAPI = APIContract(
            self.cfg.API_KEY, 
            self.cfg.SECRET_KEY, 
            self.cfg.MEMO,
            timeout=(5, 15)
        )
        
        # 浏览器
        self.page: ChromiumPage | None = None
        self.page_start = True
        self.last_page_open_time = 0.0
        self.PAGE_REFRESH_INTERVAL = 1800
        
        # 持仓状态
        self.position = 0  # -1空, 0无, 1多
        self.position_count = 0  # 0空仓, 1首次, 2加仓
        self.entry_price = 0
        self.current_amount = 0
        self.total_margin = 0
        
        # 延迟反转状态
        self.delay_reverse_price = None
        self.delay_reverse_type = None  # 'long_to_short' 或 'short_to_long'
        self.delay_reverse_kline_id = None
        
        # 中轨平仓
        self.mid_closed_half = False
        
        # 交易控制
        self.last_trade_time = 0.0
        self.last_kline_id = None
        
        # 日志
        self.log_dir = Path(__file__).resolve().parent
        logger.add(
            self.log_dir / "bb_delay_trade_{time:YYYY-MM-DD}.log",
            rotation="1 day", retention="30 days",
            format="{time:YYYY-MM-DD HH:mm:ss} | {level} | {message}"
        )
    
    # ========== API查询方法 ==========
    
    def get_klines(self) -> list | None:
        """获取5分钟K线（使用框架方法）"""
        try:
            end_time = int(time.time())
            start_time = end_time - 3600 * self.cfg.KLINE_HOURS
            response = self.contractAPI.get_kline(
                contract_symbol=self.cfg.CONTRACT_SYMBOL,
                step=self.cfg.KLINE_STEP,
                start_time=start_time,
                end_time=end_time
            )[0]["data"]
            
            formatted = []
            for k in response:
                formatted.append({
                    'id': int(k["timestamp"]),
                    'open': float(k["open_price"]),
                    'high': float(k["high_price"]),
                    'low': float(k["low_price"]),
                    'close': float(k["close_price"])
                })
            formatted.sort(key=lambda x: x['id'])
            return formatted
        except Exception as e:
            logger.error(f"获取K线异常: {e}")
            return None
    
    def get_current_price(self) -> float | None:
        """获取当前价格（使用框架方法）"""
        try:
            end_time = int(time.time())
            response = self.contractAPI.get_kline(
                contract_symbol=self.cfg.CONTRACT_SYMBOL,
                step=1,
                start_time=end_time - 3600 * 3,
                end_time=end_time
            )[0]
            if response['code'] == 1000:
                return float(response['data'][-1]["close_price"])
            return None
        except Exception as e:
            logger.error(f"获取价格异常: {e}")
            return None
    
    def get_balance(self) -> float | None:
        """获取可用余额（使用框架方法）"""
        try:
            response = self.contractAPI.get_assets_detail()[0]
            if response['code'] == 1000:
                data = response['data']
                if isinstance(data, dict):
                    return float(data.get('available_balance', 0))
                elif isinstance(data, list):
                    for asset in data:
                        if asset.get('currency') == 'USDT':
                            return float(asset.get('available_balance', 0))
            return None
        except Exception as e:
            logger.error(f"余额查询异常: {e}")
            return None
    
    def get_position_status(self) -> bool:
        """查询持仓状态（使用框架方法）"""
        try:
            response = self.contractAPI.get_position(contract_symbol=self.cfg.CONTRACT_SYMBOL)[0]
            if response['code'] == 1000:
                positions = response['data']
                if not positions:
                    self.position = 0
                    self.position_count = 0
                    self.entry_price = 0
                    self.current_amount = 0
                    return True
                pos = positions[0]
                self.position = 1 if pos['position_type'] == 1 else -1
                self.entry_price = float(pos['open_avg_price'])
                self.current_amount = float(pos['current_amount'])
                logger.debug(f"持仓: {'多' if self.position > 0 else '空'} | "
                            f"价格={self.entry_price:.2f} | 数量={self.current_amount:.4f}")
                return True
            else:
                return False
        except Exception as e:
            logger.error(f"持仓查询异常: {e}")
            return False
    
    def set_leverage(self) -> bool:
        """设置杠杆（使用框架方法）"""
        try:
            response = self.contractAPI.post_submit_leverage(
                contract_symbol=self.cfg.CONTRACT_SYMBOL,
                leverage=self.cfg.LEVERAGE,
                open_type=self.cfg.OPEN_TYPE
            )[0]
            if response['code'] == 1000:
                logger.success(f"{self.cfg.OPEN_TYPE}模式 + {self.cfg.LEVERAGE}x 杠杆设置成功")
                return True
            else:
                logger.error(f"杠杆设置失败: {response}")
                return False
        except Exception as e:
            logger.error(f"设置杠杆异常: {e}")
            return False
    
    # ========== 布林带计算 ==========
    
    def calc_bollinger(self, closes: list):
        """计算布林带"""
        if len(closes) < self.cfg.BB_PERIOD:
            return None
        arr = np.array(closes[-self.cfg.BB_PERIOD:], dtype=float)
        mid = arr.mean()
        std = arr.std(ddof=0)
        upper = mid + self.cfg.BB_STD * std
        lower = mid - self.cfg.BB_STD * std
        return mid, upper, lower
    
    # ========== 浏览器自动化 ==========
    
    def open_browser(self) -> bool:
        """打开浏览器（使用框架方法）"""
        try:
            bit_port = openBrowser(id=self.cfg.BIT_ID)
            co = ChromiumOptions()
            co.set_local_port(port=bit_port)
            self.page = ChromiumPage(addr_or_opts=co)
            self.last_page_open_time = time.time()
            return True
        except:
            return False
    
    def click_safe(self, xpath, sleep=0.5) -> bool:
        """安全点击（使用框架方法）"""
        try:
            ele = self.page.ele(xpath)
            if not ele:
                return False
            ele.scroll.to_see(center=True)
            time.sleep(sleep)
            ele.click()
            return True
        except:
            return False
    
    def browser_open_position(self, direction: str, usdt_amount: float) -> bool:
        """浏览器开仓（使用框架的开单方法）"""
        try:
            logger.info(f"浏览器操作: 开{'多' if direction == 'long' else '空'} {usdt_amount}U")
            
            # 使用框架的开单方法
            if direction == 'long':
                # 市价做多
                self.click_safe('x://button[normalize-space(text()) ="市价"]')
                self.page.ele('x://*[@id="size_0"]').input(usdt_amount)
                self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
            else:
                # 市价做空
                self.click_safe('x://button[normalize-space(text()) ="市价"]')
                self.page.ele('x://*[@id="size_0"]').input(usdt_amount)
                self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
            
            time.sleep(2)
            return True
        except Exception as e:
            logger.error(f"浏览器开仓失败: {e}")
            return False
    
    def browser_close_position(self, ratio: float = 1.0) -> bool:
        """浏览器平仓（使用框架方法）"""
        try:
            logger.info(f"浏览器操作: 平仓{int(ratio*100)}%")
            
            if ratio >= 0.99:
                # 全平（使用框架的全平仓方法）
                self.click_safe('x://span[normalize-space(text()) ="市价"]')
            else:
                # 平半（使用框架的平一半方法）
                self.click_safe('x://button[normalize-space(text()) ="平仓"]')
                self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]')
                
                if self.position > 0:
                    # 平一半多仓
                    self.click_safe('x://span[normalize-space(text()) ="卖出/平多"]')
                else:
                    # 平一半空仓
                    self.click_safe('x://span[normalize-space(text()) ="买入/平空"]')
            
            time.sleep(2)
            return True
        except Exception as e:
            logger.error(f"浏览器平仓失败: {e}")
            return False
    
    # ========== 延迟反转逻辑 ==========
    
    def mark_delay_reversal(self, reverse_type: str, trigger_price: float, kline_id: int):
        """标记延迟反转"""
        self.delay_reverse_type = reverse_type
        self.delay_reverse_price = trigger_price
        self.delay_reverse_kline_id = kline_id
        logger.info(f"触发延迟反转: {reverse_type} @ {trigger_price:.2f}")
    
    def clear_delay_reversal(self):
        """清除延迟反转状态"""
        self.delay_reverse_price = None
        self.delay_reverse_type = None
        self.delay_reverse_kline_id = None
    
    def check_delay_reversal(self, current_kline, prev_kline, kline_index) -> tuple | None:
        """检查延迟反转确认"""
        if self.position == 0 or self.delay_reverse_price is None:
            return None
        
        if self.delay_reverse_kline_id is None:
            return None
        
        offset = kline_index - self.delay_reverse_kline_id
        if offset <= 0:
            return None
        
        high = current_kline['high']
        low = current_kline['low']
        
        if self.delay_reverse_type == 'long_to_short':
            # 多转空: 回调到记录价格
            if offset == 1 and low <= self.delay_reverse_price:
                return 'short', self.delay_reverse_price, "次K回调确认"
            
            if offset >= 2 and prev_kline:
                prev_body_low = min(prev_kline['open'], prev_kline['close'])
                if low <= prev_body_low:
                    return 'short', prev_body_low, "跌破上一根实体"
        
        elif self.delay_reverse_type == 'short_to_long':
            # 空转多: 反弹到记录价格
            if offset == 1 and high >= self.delay_reverse_price:
                return 'long', self.delay_reverse_price, "次K反弹确认"
            
            if offset >= 2 and prev_kline:
                prev_body_high = max(prev_kline['open'], prev_kline['close'])
                if high >= prev_body_high:
                    return 'long', prev_body_high, "突破上一根实体"
        
        return None
    
    # ========== 主循环 ==========
    
    def run(self):
        """策略主循环"""
        logger.info("=" * 60)
        logger.info(f"布林带延迟反转策略启动")
        logger.info(f"BB({self.cfg.BB_PERIOD}, {self.cfg.BB_STD}) | "
                   f"{self.cfg.LEVERAGE}x {self.cfg.OPEN_TYPE}")
        logger.info("=" * 60)
        
        # 设置杠杆
        if not self.set_leverage():
            logger.error("杠杆设置失败，退出")
            return
        
        # 初始持仓
        if not self.get_position_status():
            logger.error("初始持仓查询失败，退出")
            return
        
        logger.info(f"初始持仓: {self.position}")
        
        page_start = True
        kline_history = []
        
        while True:
            try:
                # ===== 浏览器管理 =====
                if page_start:
                    for i in range(5):
                        if self.open_browser():
                            logger.info("浏览器打开成功")
                            break
                    else:
                        logger.error("打开浏览器失败")
                        return
                    
                    self.page.get(self.cfg.TRADE_URL)
                    time.sleep(2)
                    self.click_safe('x://button[normalize-space(text()) ="市价"]')
                    page_start = False
                
                # 定期刷新浏览器
                if time.time() - self.last_page_open_time >= self.PAGE_REFRESH_INTERVAL:
                    logger.info("浏览器刷新")
                    try:
                        self.page.close()
                    except:
                        pass
                    page_start = True
                    time.sleep(3)
                    continue
                
                # ===== 获取K线 =====
                klines = self.get_klines()
                if not klines or len(klines) < self.cfg.BB_PERIOD + 1:
                    logger.warning(f"K线数据不足: {len(klines) if klines else 0}")
                    time.sleep(self.cfg.POLL_INTERVAL)
                    continue
                
                # 使用已收盘K线计算BB
                closed_klines = klines[:-1]
                current_kline = klines[-1]
                
                if len(closed_klines) < self.cfg.BB_PERIOD:
                    time.sleep(self.cfg.POLL_INTERVAL)
                    continue
                
                # 计算布林带
                closes = [k['close'] for k in closed_klines]
                bb = self.calc_bollinger(closes)
                if bb is None:
                    time.sleep(self.cfg.POLL_INTERVAL)
                    continue
                
                bb_mid, bb_upper, bb_lower = bb
                
                # 获取当前价格
                current_price = self.get_current_price()
                if current_price is None:
                    time.sleep(self.cfg.POLL_INTERVAL)
                    continue
                
                cur_high = current_kline['high']
                cur_low = current_kline['low']
                kline_id = current_kline['id']
                
                # 触轨判断
                touched_upper = cur_high >= bb_upper
                touched_lower = cur_low <= bb_lower
                touched_middle = cur_low <= bb_mid <= cur_high
                
                logger.info(
                    f"价格={current_price:.2f} | "
                    f"BB: {bb_lower:.2f}/{bb_mid:.2f}/{bb_upper:.2f} | "
                    f"触上={touched_upper} 触下={touched_lower} 触中={touched_middle} | "
                    f"仓位={self.position}"
                )
                
                # 同步持仓
                if not self.get_position_status():
                    time.sleep(self.cfg.POLL_INTERVAL)
                    continue
                
                # 避免同一K线重复触发
                if kline_id == self.last_kline_id:
                    time.sleep(self.cfg.POLL_INTERVAL)
                    continue
                
                # ===== 延迟反转确认 =====
                if self.delay_reverse_price is not None and len(kline_history) > 0:
                    prev_kline = kline_history[-1] if len(kline_history) > 0 else None
                    reversal = self.check_delay_reversal(
                        current_kline, prev_kline, len(kline_history)
                    )
                    
                    if reversal:
                        new_direction, reversal_price, reason = reversal
                        logger.info(f"延迟反转确认: {reason} @ {reversal_price:.2f}")
                        
                        # 平仓
                        self.browser_close_position(1.0)
                        time.sleep(2)
                        self.get_position_status()
                        
                        if self.position == 0:
                            # 反向开仓
                            balance = self.get_balance()
                            if balance:
                                usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
                                self.browser_open_position(new_direction, usdt_amount)
                                time.sleep(2)
                                self.get_position_status()
                                
                                if self.position != 0:
                                    self.position_count = 1
                                    self.mid_closed_half = False
                                    self.clear_delay_reversal()
                                    self.last_kline_id = kline_id
                        
                        continue
                
                # ===== 中轨平仓 =====
                if self.position != 0 and touched_middle:
                    if not self.mid_closed_half:
                        logger.info("触中轨，平50%")
                        self.browser_close_position(0.5)
                        time.sleep(2)
                        self.mid_closed_half = True
                        self.last_kline_id = kline_id
                        continue
                    
                    elif self.mid_closed_half:
                        # 回到开仓价全平+反手
                        if (self.position > 0 and cur_low <= self.entry_price) or \
                           (self.position < 0 and cur_high >= self.entry_price):
                            logger.info("回到开仓价，全平+反手")
                            
                            old_direction = 'long' if self.position > 0 else 'short'
                            new_direction = 'short' if old_direction == 'long' else 'long'
                            
                            self.browser_close_position(1.0)
                            time.sleep(2)
                            self.get_position_status()
                            
                            if self.position == 0:
                                balance = self.get_balance()
                                if balance:
                                    usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
                                    self.browser_open_position(new_direction, usdt_amount)
                                    time.sleep(2)
                                    self.get_position_status()
                                    
                                    if self.position != 0:
                                        self.position_count = 1
                                        self.mid_closed_half = False
                                        self.last_kline_id = kline_id
                            
                            continue
                
                # ===== 开仓与加仓 =====
                if self.position == 0:
                    self.clear_delay_reversal()
                    
                    balance = self.get_balance()
                    if not balance:
                        time.sleep(self.cfg.POLL_INTERVAL)
                        continue
                    
                    usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
                    
                    if touched_upper:
                        logger.info(f"空仓触上轨，开空 {usdt_amount}U")
                        self.browser_open_position('short', usdt_amount)
                        time.sleep(2)
                        self.get_position_status()
                        if self.position == -1:
                            self.position_count = 1
                            self.last_kline_id = kline_id
                    
                    elif touched_lower:
                        logger.info(f"空仓触下轨，开多 {usdt_amount}U")
                        self.browser_open_position('long', usdt_amount)
                        time.sleep(2)
                        self.get_position_status()
                        if self.position == 1:
                            self.position_count = 1
                            self.last_kline_id = kline_id
                
                # ===== 延迟反转触发 =====
                elif self.position > 0 and touched_upper:
                    logger.info("多仓触上轨，标记延迟反转")
                    self.mark_delay_reversal('long_to_short', bb_upper, len(kline_history))
                    self.last_kline_id = kline_id
                
                elif self.position < 0 and touched_lower:
                    logger.info("空仓触下轨，标记延迟反转")
                    self.mark_delay_reversal('short_to_long', bb_lower, len(kline_history))
                    self.last_kline_id = kline_id
                
                # ===== 加仓 =====
                elif self.position_count == 1 and self.delay_reverse_price is None:
                    balance = self.get_balance()
                    if balance:
                        usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
                        
                        if self.position > 0 and touched_lower:
                            logger.info(f"多仓触下轨，加仓 {usdt_amount}U")
                            self.browser_open_position('long', usdt_amount)
                            time.sleep(2)
                            self.get_position_status()
                            if self.position == 1:
                                self.position_count = 2
                                self.last_kline_id = kline_id
                        
                        elif self.position < 0 and touched_upper:
                            logger.info(f"空仓触上轨，加仓 {usdt_amount}U")
                            self.browser_open_position('short', usdt_amount)
                            time.sleep(2)
                            self.get_position_status()
                            if self.position == -1:
                                self.position_count = 2
                                self.last_kline_id = kline_id
                
                # 更新K线历史
                kline_history.append(current_kline)
                if len(kline_history) > 100:
                    kline_history = kline_history[-100:]
                
                time.sleep(self.cfg.POLL_INTERVAL)
            
            except KeyboardInterrupt:
                logger.info("用户中断")
                break
            except Exception as e:
                logger.error(f"主循环异常: {e}")
                page_start = True
                time.sleep(10)


if __name__ == "__main__":
    # 使用框架的浏览器ID
    trader = BBDelayReversalTrader(bit_id="f2320f57e24c45529a009e1541e25961")
    trader.run()