764 lines
30 KiB
Python
764 lines
30 KiB
Python
|
"""
|
|||
|
|
BitMart EMA趋势跟随返佣策略
|
|||
|
|
|
|||
|
|
核心思路：
|
|||
|
|
你有交易所 90% 手续费返佣，因此每笔交易的"真实成本"极低（0.012%/round trip）。
|
|||
|
|
策略使用 EMA 金叉/死叉 捕捉 1 分钟级别的微趋势，配合大级别 EMA 趋势过滤
|
|||
|
|
和 ATR 波动率过滤，只在高波动顺势环境中开仓。
|
|||
|
|
持仓必须 >= 3 分钟，避免被判定为刷量。
|
|||
|
|
|
|||
|
|
回测表现（2025全年 1 分钟 K 线）：
|
|||
|
|
- 参数：EMA(8/21/120) ATR>0.3% SL=0.4% MaxHold=1800s
|
|||
|
|
- Risk=2% → 年化 +10.11%，最大回撤 10.92%
|
|||
|
|
- Risk=3% → 年化 +13.66%，最大回撤 15.96%
|
|||
|
|
- 全年约 227 笔交易，平均 1.6 天 1 笔
|
|||
|
|
- 胜率 ~29%，盈亏比 ~2.7:1（低胜率高赔率模式）
|
|||
|
|
|
|||
|
|
策略规则：
|
|||
|
|
1. 使用 1 分钟 K 线计算 EMA(8)快线、EMA(21)慢线、EMA(120)大趋势线
|
|||
|
|
2. 计算 ATR(14) 波动率，仅在 ATR > 0.3% 时交易（过滤低波动区间）
|
|||
|
|
3. 开仓信号：
|
|||
|
|
- 做多：EMA(8) 上穿 EMA(21) 且 价格 > EMA(120)（顺势金叉）
|
|||
|
|
- 做空：EMA(8) 下穿 EMA(21) 且 价格 < EMA(120)（顺势死叉）
|
|||
|
|
4. 平仓条件：
|
|||
|
|
a) 反向交叉信号（满足最低持仓后，可同时反手开仓）
|
|||
|
|
b) 止损：浮亏 >= 0.4%（硬止损 0.6%，不受持仓时间限制）
|
|||
|
|
c) 超时：持仓 >= 30 分钟强制平仓
|
|||
|
|
5. 平仓后若有反向信号且满足 ATR 过滤，立即反手开仓
|
|||
|
|
"""
|
|||
|
|
|
|||
|
|
import time
|
|||
|
|
import uuid
|
|||
|
|
import datetime
|
|||
|
|
|
|||
|
|
from loguru import logger
|
|||
|
|
|
|||
|
|
from bitmart.api_contract import APIContract
|
|||
|
|
from bitmart.lib.cloud_exceptions import APIException
|
|||
|
|
|
|||
|
|
from 交易.tools import send_dingtalk_message
|
|||
|
|
|
|||
|
|
|
|||
|
|
# ========================= EMA 计算器 =========================
|
|||
|
|
class EMACalculator:
|
|||
|
|
"""指数移动平均线，增量式更新"""
|
|||
|
|
def __init__(self, period: int):
|
|||
|
|
self.period = period
|
|||
|
|
self.k = 2.0 / (period + 1)
|
|||
|
|
self.value = None
|
|||
|
|
|
|||
|
|
def update(self, price: float) -> float:
|
|||
|
|
if self.value is None:
|
|||
|
|
self.value = price
|
|||
|
|
else:
|
|||
|
|
self.value = price * self.k + self.value * (1 - self.k)
|
|||
|
|
return self.value
|
|||
|
|
|
|||
|
|
def reset(self):
|
|||
|
|
self.value = None
|
|||
|
|
|
|||
|
|
|
|||
|
|
class BitmartRebateStrategy:
|
|||
|
|
def __init__(self):
|
|||
|
|
self.api_key = "a0fb7b98464fd9bcce67e7c519d58ec10d0c38a8"
|
|||
|
|
self.secret_key = "4eaeba78e77aeaab1c2027f846a276d164f264a44c2c1bb1c5f3be50c8de1ca5"
|
|||
|
|
self.memo = "合约交易"
|
|||
|
|
|
|||
|
|
self.contract_symbol = "ETHUSDT"
|
|||
|
|
self.contractAPI = APIContract(self.api_key, self.secret_key, self.memo, timeout=(5, 15))
|
|||
|
|
|
|||
|
|
# ========================= 持仓状态 =========================
|
|||
|
|
self.start = 0 # -1 空, 0 无, 1 多
|
|||
|
|
self.open_avg_price = None
|
|||
|
|
self.current_amount = None
|
|||
|
|
self.position_cross = None
|
|||
|
|
self.open_time = None # 开仓时间戳（用于计算持仓时长）
|
|||
|
|
|
|||
|
|
# ========================= 杠杆 & 仓位 =========================
|
|||
|
|
self.leverage = "50" # 杠杆倍数
|
|||
|
|
self.open_type = "cross" # 全仓模式
|
|||
|
|
self.risk_percent = 0.02 # 每次开仓使用可用余额的 2%（回测最优）
|
|||
|
|
|
|||
|
|
# ========================= EMA 参数（回测最优） =========================
|
|||
|
|
self.ema_fast_period = 8 # 快线 EMA 周期
|
|||
|
|
self.ema_slow_period = 21 # 慢线 EMA 周期
|
|||
|
|
self.ema_big_period = 120 # 大趋势 EMA 周期（2小时）
|
|||
|
|
self.atr_period = 14 # ATR 周期
|
|||
|
|
self.atr_min_pct = 0.003 # ATR 最低阈值 0.3%（过滤低波动）
|
|||
|
|
|
|||
|
|
# ========================= 持仓管理参数（回测最优） =========================
|
|||
|
|
self.min_hold_seconds = 200 # 最低持仓时间（秒），>3分钟
|
|||
|
|
self.max_hold_seconds = 1800 # 最长持仓时间（秒），30分钟
|
|||
|
|
self.stop_loss_pct = 0.004 # 止损百分比 0.4%
|
|||
|
|
self.hard_stop_pct = 0.006 # 硬止损 0.6%（不受时间限制）
|
|||
|
|
|
|||
|
|
# ========================= EMA 状态 =========================
|
|||
|
|
self.ema_fast = EMACalculator(self.ema_fast_period)
|
|||
|
|
self.ema_slow = EMACalculator(self.ema_slow_period)
|
|||
|
|
self.ema_big = EMACalculator(self.ema_big_period)
|
|||
|
|
self.prev_fast = None # 上一根K线的快线值
|
|||
|
|
self.prev_slow = None # 上一根K线的慢线值
|
|||
|
|
self.pending_signal = None # 等待最低持仓后执行的延迟信号
|
|||
|
|
|
|||
|
|
# ========================= K线缓存（用于 ATR 计算） =========================
|
|||
|
|
self.highs = []
|
|||
|
|
self.lows = []
|
|||
|
|
self.closes = []
|
|||
|
|
self.last_kline_time = None # 最新处理过的K线时间戳
|
|||
|
|
|
|||
|
|
# ========================= 运行控制 =========================
|
|||
|
|
self.check_interval = 5 # 主循环检测间隔（秒）
|
|||
|
|
|
|||
|
|
# ========================= 统计 =========================
|
|||
|
|
self.trade_count = 0 # 当日交易次数
|
|||
|
|
self.total_pnl = 0.0 # 当日累计盈亏
|
|||
|
|
self.total_volume = 0.0 # 当日累计交易额（用于估算返佣）
|
|||
|
|
self.start_time = time.time() # 程序启动时间
|
|||
|
|
|
|||
|
|
# ========================= 技术指标计算 =========================
|
|||
|
|
|
|||
|
|
def calculate_atr_pct(self, current_price):
|
|||
|
|
"""计算 ATR 占当前价格的百分比"""
|
|||
|
|
if len(self.highs) < self.atr_period + 1:
|
|||
|
|
return 0.0
|
|||
|
|
|
|||
|
|
trs = []
|
|||
|
|
for i in range(-self.atr_period, 0):
|
|||
|
|
h = self.highs[i]
|
|||
|
|
l = self.lows[i]
|
|||
|
|
pc = self.closes[i - 1]
|
|||
|
|
tr = max(h - l, abs(h - pc), abs(l - pc))
|
|||
|
|
trs.append(tr)
|
|||
|
|
|
|||
|
|
atr = sum(trs) / self.atr_period
|
|||
|
|
return atr / current_price if current_price > 0 else 0.0
|
|||
|
|
|
|||
|
|
def detect_cross(self, fast_val, slow_val):
|
|||
|
|
"""
|
|||
|
|
检测 EMA 金叉/死叉
|
|||
|
|
返回: 'golden' (金叉) / 'death' (死叉) / None
|
|||
|
|
"""
|
|||
|
|
if self.prev_fast is None or self.prev_slow is None:
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
# 金叉：快线从下方穿越慢线
|
|||
|
|
if self.prev_fast <= self.prev_slow and fast_val > slow_val:
|
|||
|
|
return "golden"
|
|||
|
|
|
|||
|
|
# 死叉：快线从上方穿越慢线
|
|||
|
|
if self.prev_fast >= self.prev_slow and fast_val < slow_val:
|
|||
|
|
return "death"
|
|||
|
|
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
def process_new_kline(self, kline):
|
|||
|
|
"""
|
|||
|
|
处理新的 1 分钟 K 线，更新所有指标
|
|||
|
|
返回: (cross_signal, atr_pct, fast, slow, big)
|
|||
|
|
"""
|
|||
|
|
close = kline['close']
|
|||
|
|
high = kline['high']
|
|||
|
|
low = kline['low']
|
|||
|
|
|
|||
|
|
# 缓存 K 线数据
|
|||
|
|
self.highs.append(high)
|
|||
|
|
self.lows.append(low)
|
|||
|
|
self.closes.append(close)
|
|||
|
|
|
|||
|
|
# 只保留最近 200 根（节省内存）
|
|||
|
|
if len(self.highs) > 200:
|
|||
|
|
self.highs = self.highs[-200:]
|
|||
|
|
self.lows = self.lows[-200:]
|
|||
|
|
self.closes = self.closes[-200:]
|
|||
|
|
|
|||
|
|
# 更新 EMA
|
|||
|
|
fast_val = self.ema_fast.update(close)
|
|||
|
|
slow_val = self.ema_slow.update(close)
|
|||
|
|
big_val = self.ema_big.update(close)
|
|||
|
|
|
|||
|
|
# 检测交叉
|
|||
|
|
cross = self.detect_cross(fast_val, slow_val)
|
|||
|
|
|
|||
|
|
# 保存当前值供下次对比
|
|||
|
|
self.prev_fast = fast_val
|
|||
|
|
self.prev_slow = slow_val
|
|||
|
|
|
|||
|
|
# 计算 ATR
|
|||
|
|
atr_pct = self.calculate_atr_pct(close)
|
|||
|
|
|
|||
|
|
return cross, atr_pct, fast_val, slow_val, big_val
|
|||
|
|
|
|||
|
|
# ========================= 数据获取 =========================
|
|||
|
|
|
|||
|
|
def get_1min_klines(self, count=150):
|
|||
|
|
"""获取最近 N 根 1 分钟 K 线"""
|
|||
|
|
try:
|
|||
|
|
end_time = int(time.time())
|
|||
|
|
start_time = end_time - 60 * count * 2 # 多取一些保证够用
|
|||
|
|
response = self.contractAPI.get_kline(
|
|||
|
|
contract_symbol=self.contract_symbol,
|
|||
|
|
step=1, # 1 分钟
|
|||
|
|
start_time=start_time,
|
|||
|
|
end_time=end_time
|
|||
|
|
)[0]
|
|||
|
|
|
|||
|
|
if response['code'] != 1000:
|
|||
|
|
logger.error(f"获取K线失败: {response}")
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
formatted = []
|
|||
|
|
for k in response['data']:
|
|||
|
|
formatted.append({
|
|||
|
|
'timestamp': 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['timestamp'])
|
|||
|
|
|
|||
|
|
# 只保留最近 count 根
|
|||
|
|
return formatted[-count:]
|
|||
|
|
|
|||
|
|
except Exception as e:
|
|||
|
|
logger.error(f"获取1分钟K线异常: {e}")
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
def get_current_price(self):
|
|||
|
|
"""获取当前最新价格"""
|
|||
|
|
try:
|
|||
|
|
end_time = int(time.time())
|
|||
|
|
response = self.contractAPI.get_kline(
|
|||
|
|
contract_symbol=self.contract_symbol,
|
|||
|
|
step=1,
|
|||
|
|
start_time=end_time - 300,
|
|||
|
|
end_time=end_time
|
|||
|
|
)[0]
|
|||
|
|
if response['code'] == 1000 and response['data']:
|
|||
|
|
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_available_balance(self):
|
|||
|
|
"""获取合约账户可用 USDT 余额"""
|
|||
|
|
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):
|
|||
|
|
"""获取当前持仓状态"""
|
|||
|
|
try:
|
|||
|
|
response = self.contractAPI.get_position(contract_symbol=self.contract_symbol)[0]
|
|||
|
|
if response['code'] == 1000:
|
|||
|
|
positions = response['data']
|
|||
|
|
if not positions:
|
|||
|
|
self.start = 0
|
|||
|
|
self.open_avg_price = None
|
|||
|
|
self.current_amount = None
|
|||
|
|
self.position_cross = None
|
|||
|
|
return True
|
|||
|
|
self.start = 1 if positions[0]['position_type'] == 1 else -1
|
|||
|
|
self.open_avg_price = float(positions[0]['open_avg_price'])
|
|||
|
|
self.current_amount = float(positions[0]['current_amount'])
|
|||
|
|
self.position_cross = positions[0].get("position_cross")
|
|||
|
|
return True
|
|||
|
|
return False
|
|||
|
|
except Exception as e:
|
|||
|
|
logger.error(f"持仓查询异常: {e}")
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
# ========================= 交易执行 =========================
|
|||
|
|
|
|||
|
|
def set_leverage(self):
|
|||
|
|
"""设置全仓 + 杠杆"""
|
|||
|
|
try:
|
|||
|
|
response = self.contractAPI.post_submit_leverage(
|
|||
|
|
contract_symbol=self.contract_symbol,
|
|||
|
|
leverage=self.leverage,
|
|||
|
|
open_type=self.open_type
|
|||
|
|
)[0]
|
|||
|
|
if response['code'] == 1000:
|
|||
|
|
logger.success(f"全仓模式 + {self.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
|
|||
|
|
|
|||
|
|
def calculate_size(self, price):
|
|||
|
|
"""计算开仓张数"""
|
|||
|
|
balance = self.get_available_balance()
|
|||
|
|
if not balance or balance < 10:
|
|||
|
|
logger.warning(f"余额不足: {balance}")
|
|||
|
|
return 0
|
|||
|
|
|
|||
|
|
leverage = int(self.leverage)
|
|||
|
|
margin = balance * self.risk_percent
|
|||
|
|
# ETHUSDT 1张 ≈ 0.001 ETH
|
|||
|
|
size = int((margin * leverage) / (price * 0.001))
|
|||
|
|
size = max(1, size)
|
|||
|
|
|
|||
|
|
logger.info(f"余额 {balance:.2f} USDT → 保证金 {margin:.2f} USDT → 开仓 {size} 张 (价格≈{price:.2f})")
|
|||
|
|
return size
|
|||
|
|
|
|||
|
|
def place_market_order(self, side: int, size: int):
|
|||
|
|
"""
|
|||
|
|
下市价单
|
|||
|
|
side: 1=开多, 2=平空, 3=平多, 4=开空
|
|||
|
|
"""
|
|||
|
|
if size <= 0:
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
client_order_id = f"rebate_{int(time.time())}_{uuid.uuid4().hex[:8]}"
|
|||
|
|
side_names = {1: "开多", 2: "平空", 3: "平多", 4: "开空"}
|
|||
|
|
|
|||
|
|
try:
|
|||
|
|
response = self.contractAPI.post_submit_order(
|
|||
|
|
contract_symbol=self.contract_symbol,
|
|||
|
|
client_order_id=client_order_id,
|
|||
|
|
side=side,
|
|||
|
|
mode=1,
|
|||
|
|
type='market',
|
|||
|
|
leverage=self.leverage,
|
|||
|
|
open_type=self.open_type,
|
|||
|
|
size=size
|
|||
|
|
)[0]
|
|||
|
|
|
|||
|
|
if response['code'] == 1000:
|
|||
|
|
logger.success(f"下单成功: {side_names.get(side, side)} {size} 张")
|
|||
|
|
return True
|
|||
|
|
else:
|
|||
|
|
logger.error(f"下单失败: {response}")
|
|||
|
|
return False
|
|||
|
|
except APIException as e:
|
|||
|
|
logger.error(f"API下单异常: {e}")
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
def open_position(self, direction: str, price: float):
|
|||
|
|
"""开仓"""
|
|||
|
|
size = self.calculate_size(price)
|
|||
|
|
if size == 0:
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
if direction == "long":
|
|||
|
|
if self.place_market_order(1, size):
|
|||
|
|
self.start = 1
|
|||
|
|
self.open_avg_price = price
|
|||
|
|
self.open_time = time.time()
|
|||
|
|
self.current_amount = size
|
|||
|
|
self.pending_signal = None
|
|||
|
|
|
|||
|
|
# 统计交易额
|
|||
|
|
volume = size * 0.001 * price
|
|||
|
|
self.total_volume += volume
|
|||
|
|
self.trade_count += 1
|
|||
|
|
|
|||
|
|
logger.success(f"开多 {size} 张 @ {price:.2f}")
|
|||
|
|
self.ding(f"开多 {size} 张 @ {price:.2f}")
|
|||
|
|
return True
|
|||
|
|
|
|||
|
|
elif direction == "short":
|
|||
|
|
if self.place_market_order(4, size):
|
|||
|
|
self.start = -1
|
|||
|
|
self.open_avg_price = price
|
|||
|
|
self.open_time = time.time()
|
|||
|
|
self.current_amount = size
|
|||
|
|
self.pending_signal = None
|
|||
|
|
|
|||
|
|
volume = size * 0.001 * price
|
|||
|
|
self.total_volume += volume
|
|||
|
|
self.trade_count += 1
|
|||
|
|
|
|||
|
|
logger.success(f"开空 {size} 张 @ {price:.2f}")
|
|||
|
|
self.ding(f"开空 {size} 张 @ {price:.2f}")
|
|||
|
|
return True
|
|||
|
|
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
def close_position(self, reason: str, current_price: float):
|
|||
|
|
"""平仓"""
|
|||
|
|
if self.start == 0:
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
close_side = 3 if self.start == 1 else 2 # 3=平多, 2=平空
|
|||
|
|
direction_str = "多" if self.start == 1 else "空"
|
|||
|
|
|
|||
|
|
if self.place_market_order(close_side, 999999):
|
|||
|
|
# 计算本次盈亏
|
|||
|
|
if self.open_avg_price and self.current_amount:
|
|||
|
|
if self.start == 1:
|
|||
|
|
pnl = self.current_amount * 0.001 * (current_price - self.open_avg_price)
|
|||
|
|
else:
|
|||
|
|
pnl = self.current_amount * 0.001 * (self.open_avg_price - current_price)
|
|||
|
|
self.total_pnl += pnl
|
|||
|
|
|
|||
|
|
# 统计平仓交易额
|
|||
|
|
volume = self.current_amount * 0.001 * current_price
|
|||
|
|
self.total_volume += volume
|
|||
|
|
|
|||
|
|
hold_seconds = time.time() - self.open_time if self.open_time else 0
|
|||
|
|
logger.success(
|
|||
|
|
f"平{direction_str} @ {current_price:.2f} | "
|
|||
|
|
f"原因: {reason} | 持仓 {hold_seconds:.0f}s | "
|
|||
|
|
f"本次盈亏: {pnl:+.4f} USDT"
|
|||
|
|
)
|
|||
|
|
self.ding(
|
|||
|
|
f"平{direction_str} @ {current_price:.2f}\n"
|
|||
|
|
f"原因: {reason}\n持仓 {hold_seconds:.0f}s\n"
|
|||
|
|
f"本次盈亏: {pnl:+.4f} USDT"
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
self.start = 0
|
|||
|
|
self.open_avg_price = None
|
|||
|
|
self.open_time = None
|
|||
|
|
self.current_amount = None
|
|||
|
|
self.pending_signal = None
|
|||
|
|
self.trade_count += 1
|
|||
|
|
return True
|
|||
|
|
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
# ========================= 信号检测 =========================
|
|||
|
|
|
|||
|
|
def check_open_signal(self, current_price, cross, atr_pct, big_val):
|
|||
|
|
"""
|
|||
|
|
检查开仓信号
|
|||
|
|
返回: 'long' / 'short' / None
|
|||
|
|
"""
|
|||
|
|
# ATR 过滤：波动率不足时不开仓
|
|||
|
|
if atr_pct < self.atr_min_pct:
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
# 金叉 + 价格在大EMA上方 → 做多
|
|||
|
|
if cross == "golden" and current_price > big_val:
|
|||
|
|
logger.info(
|
|||
|
|
f"做多信号 | 金叉 + 价格 {current_price:.2f} > EMA120 {big_val:.2f} | ATR {atr_pct*100:.3f}%"
|
|||
|
|
)
|
|||
|
|
return "long"
|
|||
|
|
|
|||
|
|
# 死叉 + 价格在大EMA下方 → 做空
|
|||
|
|
if cross == "death" and current_price < big_val:
|
|||
|
|
logger.info(
|
|||
|
|
f"做空信号 | 死叉 + 价格 {current_price:.2f} < EMA120 {big_val:.2f} | ATR {atr_pct*100:.3f}%"
|
|||
|
|
)
|
|||
|
|
return "short"
|
|||
|
|
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
def check_close_signal(self, current_price, cross, atr_pct, fast_val, slow_val, big_val):
|
|||
|
|
"""
|
|||
|
|
检查平仓信号
|
|||
|
|
返回: (should_close: bool, reason: str, reverse_direction: str or None)
|
|||
|
|
reverse_direction: 平仓后是否反手 ('long'/'short'/None)
|
|||
|
|
"""
|
|||
|
|
if self.start == 0 or not self.open_avg_price or not self.open_time:
|
|||
|
|
return False, "", None
|
|||
|
|
|
|||
|
|
hold_seconds = time.time() - self.open_time
|
|||
|
|
|
|||
|
|
# 计算浮动盈亏
|
|||
|
|
if self.start == 1:
|
|||
|
|
loss_pct = (self.open_avg_price - current_price) / self.open_avg_price
|
|||
|
|
else:
|
|||
|
|
loss_pct = (current_price - self.open_avg_price) / self.open_avg_price
|
|||
|
|
|
|||
|
|
# ① 硬止损：不受持仓时间限制
|
|||
|
|
if loss_pct >= self.hard_stop_pct:
|
|||
|
|
return True, f"硬止损 (亏损 {loss_pct*100:.3f}%)", None
|
|||
|
|
|
|||
|
|
# ② 未满足最低持仓时间
|
|||
|
|
if hold_seconds < self.min_hold_seconds:
|
|||
|
|
# 记录延迟信号（等持仓时间到了再处理）
|
|||
|
|
if self.start == 1 and cross == "death":
|
|||
|
|
self.pending_signal = "close_long"
|
|||
|
|
logger.info(f"检测到死叉但持仓时间不足，记录延迟信号 | 还需 {self.min_hold_seconds - hold_seconds:.0f}s")
|
|||
|
|
elif self.start == -1 and cross == "golden":
|
|||
|
|
self.pending_signal = "close_short"
|
|||
|
|
logger.info(f"检测到金叉但持仓时间不足，记录延迟信号 | 还需 {self.min_hold_seconds - hold_seconds:.0f}s")
|
|||
|
|
|
|||
|
|
remaining = self.min_hold_seconds - hold_seconds
|
|||
|
|
if int(hold_seconds) % 30 == 0:
|
|||
|
|
logger.info(f"持仓中... 还需等待 {remaining:.0f}s")
|
|||
|
|
return False, "", None
|
|||
|
|
|
|||
|
|
# ③ 满足持仓时间后的平仓检查
|
|||
|
|
reverse = None
|
|||
|
|
|
|||
|
|
# 止损
|
|||
|
|
if loss_pct >= self.stop_loss_pct:
|
|||
|
|
return True, f"止损 (亏损 {loss_pct*100:.3f}%)", None
|
|||
|
|
|
|||
|
|
# 超时
|
|||
|
|
if hold_seconds >= self.max_hold_seconds:
|
|||
|
|
return True, f"超时平仓 (持仓 {hold_seconds:.0f}s)", None
|
|||
|
|
|
|||
|
|
# 反向交叉 → 平仓 + 可能反手
|
|||
|
|
if self.start == 1 and cross == "death":
|
|||
|
|
# 判断是否满足反手条件
|
|||
|
|
if current_price < big_val and atr_pct >= self.atr_min_pct:
|
|||
|
|
reverse = "short"
|
|||
|
|
return True, "EMA死叉反转", reverse
|
|||
|
|
|
|||
|
|
if self.start == -1 and cross == "golden":
|
|||
|
|
if current_price > big_val and atr_pct >= self.atr_min_pct:
|
|||
|
|
reverse = "long"
|
|||
|
|
return True, "EMA金叉反转", reverse
|
|||
|
|
|
|||
|
|
# 处理延迟信号（之前因持仓时间不足未执行）
|
|||
|
|
if self.pending_signal == "close_long" and self.start == 1:
|
|||
|
|
if fast_val < slow_val and current_price < big_val and atr_pct >= self.atr_min_pct:
|
|||
|
|
reverse = "short"
|
|||
|
|
self.pending_signal = None
|
|||
|
|
return True, "延迟死叉平仓", reverse
|
|||
|
|
|
|||
|
|
if self.pending_signal == "close_short" and self.start == -1:
|
|||
|
|
if fast_val > slow_val and current_price > big_val and atr_pct >= self.atr_min_pct:
|
|||
|
|
reverse = "long"
|
|||
|
|
self.pending_signal = None
|
|||
|
|
return True, "延迟金叉平仓", reverse
|
|||
|
|
|
|||
|
|
return False, "", None
|
|||
|
|
|
|||
|
|
# ========================= 通知 =========================
|
|||
|
|
|
|||
|
|
def ding(self, msg, error=False):
|
|||
|
|
"""发送通知"""
|
|||
|
|
prefix = "返佣策略(ERR): " if error else "返佣策略: "
|
|||
|
|
try:
|
|||
|
|
if error:
|
|||
|
|
for _ in range(3):
|
|||
|
|
send_dingtalk_message(f"{prefix}{msg}")
|
|||
|
|
else:
|
|||
|
|
send_dingtalk_message(f"{prefix}{msg}")
|
|||
|
|
except Exception as e:
|
|||
|
|
logger.warning(f"通知发送失败: {e}")
|
|||
|
|
|
|||
|
|
def print_daily_stats(self):
|
|||
|
|
"""打印当日统计"""
|
|||
|
|
elapsed = time.time() - self.start_time
|
|||
|
|
hours = elapsed / 3600
|
|||
|
|
|
|||
|
|
# 预估返佣（90% 的手续费）
|
|||
|
|
fee_rate = 0.0006 # taker 0.06%
|
|||
|
|
total_fee = self.total_volume * fee_rate
|
|||
|
|
rebate = total_fee * 0.9 # 90% 返佣
|
|||
|
|
|
|||
|
|
now = datetime.datetime.now().strftime("%H:%M:%S")
|
|||
|
|
stats = (
|
|||
|
|
f"\n{'='*50}\n"
|
|||
|
|
f"[{now}] EMA趋势返佣策略统计\n"
|
|||
|
|
f"运行时长: {hours:.1f} 小时\n"
|
|||
|
|
f"交易次数: {self.trade_count} 次\n"
|
|||
|
|
f"交易总额: {self.total_volume:.2f} USDT\n"
|
|||
|
|
f"交易盈亏: {self.total_pnl:+.4f} USDT\n"
|
|||
|
|
f"预估手续费: {total_fee:.4f} USDT\n"
|
|||
|
|
f"预估返佣收入: {rebate:.4f} USDT\n"
|
|||
|
|
f"预估净收益: {self.total_pnl + rebate:.4f} USDT\n"
|
|||
|
|
f"{'='*50}"
|
|||
|
|
)
|
|||
|
|
logger.info(stats)
|
|||
|
|
|
|||
|
|
# ========================= 初始化指标 =========================
|
|||
|
|
|
|||
|
|
def init_indicators(self):
|
|||
|
|
"""用历史K线初始化 EMA 和 ATR，避免冷启动"""
|
|||
|
|
logger.info("正在加载历史K线初始化指标...")
|
|||
|
|
klines = self.get_1min_klines(count=150)
|
|||
|
|
if not klines or len(klines) < self.ema_big_period:
|
|||
|
|
logger.warning(f"历史K线不足 {self.ema_big_period} 根，指标将在运行中逐步初始化")
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
# 除最后一根（当前未完成的K线）外，全部用于初始化
|
|||
|
|
for kline in klines[:-1]:
|
|||
|
|
self.process_new_kline(kline)
|
|||
|
|
self.last_kline_time = kline['timestamp']
|
|||
|
|
|
|||
|
|
logger.info(
|
|||
|
|
f"指标初始化完成 | {len(klines)-1} 根K线 | "
|
|||
|
|
f"EMA8={self.ema_fast.value:.2f} EMA21={self.ema_slow.value:.2f} "
|
|||
|
|
f"EMA120={self.ema_big.value:.2f}"
|
|||
|
|
)
|
|||
|
|
return True
|
|||
|
|
|
|||
|
|
# ========================= 主循环 =========================
|
|||
|
|
|
|||
|
|
def action(self):
|
|||
|
|
"""主循环"""
|
|||
|
|
# 设置杠杆
|
|||
|
|
if not self.set_leverage():
|
|||
|
|
logger.error("杠杆设置失败，退出")
|
|||
|
|
self.ding("杠杆设置失败", error=True)
|
|||
|
|
return
|
|||
|
|
|
|||
|
|
# 启动时获取持仓状态
|
|||
|
|
if not self.get_position_status():
|
|||
|
|
logger.warning("初始持仓状态获取失败，假设无仓位")
|
|||
|
|
else:
|
|||
|
|
if self.start != 0:
|
|||
|
|
self.open_time = time.time() # 如果已有仓位，设置开仓时间为当前
|
|||
|
|
logger.info(f"检测到已有持仓: {'多' if self.start == 1 else '空'}")
|
|||
|
|
|
|||
|
|
# 初始化技术指标
|
|||
|
|
self.init_indicators()
|
|||
|
|
|
|||
|
|
logger.info(
|
|||
|
|
f"EMA趋势返佣策略启动\n"
|
|||
|
|
f" 交易对: {self.contract_symbol}\n"
|
|||
|
|
f" 杠杆: {self.leverage}x 全仓\n"
|
|||
|
|
f" EMA: 快{self.ema_fast_period} / 慢{self.ema_slow_period} / 大{self.ema_big_period}\n"
|
|||
|
|
f" ATR过滤: > {self.atr_min_pct*100:.1f}% | 止损: {self.stop_loss_pct*100:.1f}%\n"
|
|||
|
|
f" 最低持仓: {self.min_hold_seconds}s | 最长持仓: {self.max_hold_seconds}s\n"
|
|||
|
|
f" 仓位比例: {self.risk_percent*100:.1f}%\n"
|
|||
|
|
)
|
|||
|
|
self.ding(
|
|||
|
|
f"策略启动 | {self.contract_symbol} | {self.leverage}x\n"
|
|||
|
|
f"EMA({self.ema_fast_period}/{self.ema_slow_period}/{self.ema_big_period}) "
|
|||
|
|
f"ATR>{self.atr_min_pct*100:.1f}%"
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
stats_timer = time.time()
|
|||
|
|
|
|||
|
|
while True:
|
|||
|
|
try:
|
|||
|
|
# ① 获取最新 K 线
|
|||
|
|
klines = self.get_1min_klines(count=5)
|
|||
|
|
if not klines:
|
|||
|
|
logger.warning("K线数据获取失败，等待...")
|
|||
|
|
time.sleep(self.check_interval)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ② 检查是否有新的完成K线需要处理
|
|||
|
|
latest_completed = klines[-2] if len(klines) >= 2 else None
|
|||
|
|
current_bar = klines[-1]
|
|||
|
|
current_price = current_bar['close']
|
|||
|
|
|
|||
|
|
new_bar_processed = False
|
|||
|
|
if latest_completed and latest_completed['timestamp'] != self.last_kline_time:
|
|||
|
|
# 新K线完成，处理信号
|
|||
|
|
cross, atr_pct, fast_val, slow_val, big_val = self.process_new_kline(latest_completed)
|
|||
|
|
self.last_kline_time = latest_completed['timestamp']
|
|||
|
|
new_bar_processed = True
|
|||
|
|
|
|||
|
|
# ③ 有持仓 → 检查平仓
|
|||
|
|
if self.start != 0:
|
|||
|
|
should_close, reason, reverse = self.check_close_signal(
|
|||
|
|
current_price, cross, atr_pct, fast_val, slow_val, big_val
|
|||
|
|
)
|
|||
|
|
if should_close:
|
|||
|
|
self.close_position(reason, current_price)
|
|||
|
|
# 反手开仓
|
|||
|
|
if reverse:
|
|||
|
|
time.sleep(1)
|
|||
|
|
self.open_position(reverse, current_price)
|
|||
|
|
time.sleep(1)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ④ 无持仓 → 检查开仓
|
|||
|
|
if self.start == 0:
|
|||
|
|
signal = self.check_open_signal(current_price, cross, atr_pct, big_val)
|
|||
|
|
if signal:
|
|||
|
|
self.open_position(signal, current_price)
|
|||
|
|
time.sleep(1)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ⑤ 未收到新K线时，仅检查止损/硬止损（实时保护）
|
|||
|
|
if not new_bar_processed and self.start != 0 and self.open_avg_price:
|
|||
|
|
if self.start == 1:
|
|||
|
|
loss_pct = (self.open_avg_price - current_price) / self.open_avg_price
|
|||
|
|
else:
|
|||
|
|
loss_pct = (current_price - self.open_avg_price) / self.open_avg_price
|
|||
|
|
|
|||
|
|
# 硬止损实时检查
|
|||
|
|
if loss_pct >= self.hard_stop_pct:
|
|||
|
|
self.close_position(f"硬止损 (亏损 {loss_pct*100:.3f}%)", current_price)
|
|||
|
|
time.sleep(1)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 满足持仓时间后的止损检查
|
|||
|
|
if self.open_time and (time.time() - self.open_time) >= self.min_hold_seconds:
|
|||
|
|
if loss_pct >= self.stop_loss_pct:
|
|||
|
|
self.close_position(f"止损 (亏损 {loss_pct*100:.3f}%)", current_price)
|
|||
|
|
time.sleep(1)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 超时检查
|
|||
|
|
hold_sec = time.time() - self.open_time
|
|||
|
|
if hold_sec >= self.max_hold_seconds:
|
|||
|
|
self.close_position(f"超时平仓 ({hold_sec:.0f}s)", current_price)
|
|||
|
|
time.sleep(1)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 延迟信号处理
|
|||
|
|
if self.pending_signal and self.open_time and \
|
|||
|
|
(time.time() - self.open_time) >= self.min_hold_seconds:
|
|||
|
|
atr_pct = self.calculate_atr_pct(current_price)
|
|||
|
|
fast_val = self.ema_fast.value
|
|||
|
|
slow_val = self.ema_slow.value
|
|||
|
|
big_val = self.ema_big.value
|
|||
|
|
should_close, reason, reverse = self.check_close_signal(
|
|||
|
|
current_price, None, atr_pct, fast_val, slow_val, big_val
|
|||
|
|
)
|
|||
|
|
if should_close:
|
|||
|
|
self.close_position(reason, current_price)
|
|||
|
|
if reverse:
|
|||
|
|
time.sleep(1)
|
|||
|
|
self.open_position(reverse, current_price)
|
|||
|
|
time.sleep(1)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ⑥ 定期打印统计（每 10 分钟）
|
|||
|
|
if time.time() - stats_timer >= 600:
|
|||
|
|
self.print_daily_stats()
|
|||
|
|
stats_timer = time.time()
|
|||
|
|
|
|||
|
|
# ⑦ 每轮日志
|
|||
|
|
hold_info = ""
|
|||
|
|
if self.start != 0 and self.open_time:
|
|||
|
|
hold_seconds = time.time() - self.open_time
|
|||
|
|
direction = "多" if self.start == 1 else "空"
|
|||
|
|
if self.open_avg_price:
|
|||
|
|
if self.start == 1:
|
|||
|
|
pnl_pct = (current_price - self.open_avg_price) / self.open_avg_price * 100
|
|||
|
|
else:
|
|||
|
|
pnl_pct = (self.open_avg_price - current_price) / self.open_avg_price * 100
|
|||
|
|
hold_info = f" | 持{direction} {hold_seconds:.0f}s PnL:{pnl_pct:+.3f}%"
|
|||
|
|
|
|||
|
|
if self.ema_fast.value and self.ema_slow.value and self.ema_big.value:
|
|||
|
|
logger.debug(
|
|||
|
|
f"价格 {current_price:.2f} | "
|
|||
|
|
f"EMA [{self.ema_fast.value:.2f}/{self.ema_slow.value:.2f}/{self.ema_big.value:.2f}] | "
|
|||
|
|
f"ATR {self.calculate_atr_pct(current_price)*100:.3f}%{hold_info}"
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
time.sleep(self.check_interval)
|
|||
|
|
|
|||
|
|
except KeyboardInterrupt:
|
|||
|
|
logger.info("用户中断")
|
|||
|
|
self.print_daily_stats()
|
|||
|
|
# 中断时如果有仓位，提示手动处理
|
|||
|
|
if self.start != 0:
|
|||
|
|
logger.warning("当前仍有持仓，请手动处理！")
|
|||
|
|
break
|
|||
|
|
except Exception as e:
|
|||
|
|
logger.error(f"主循环异常: {e}")
|
|||
|
|
time.sleep(10)
|
|||
|
|
|
|||
|
|
|
|||
|
|
if __name__ == '__main__':
|
|||
|
|
BitmartRebateStrategy().action()
|