lm_code/open_fifth_strategy/main.py

# -*- coding: utf-8 -*-
"""
BitMart 基于开盘价的五分之一策略交易

策略规则（与 1111 一致）：
1. 触发价格计算（基于前一根有效K线，实体>=0.1）：
   - 做多触发价 = 当前K线开盘价 + 实体/5
   - 做空触发价 = 当前K线开盘价 - 实体/5

2. 信号触发条件：
   - 当前K线最高价 >= 做多触发价 → 做多信号
   - 当前K线最低价 <= 做空触发价 → 做空信号

3. 前1分30秒反手（若已有持仓）：
   - 3分钟K线的前1分30秒内若出现反手信号，则平仓开反手
   - 持空反手做多：价格涨到 开仓价 + 前一根实体/5
   - 持多反手做空：价格跌到 开仓价 - 前一根实体/5

运行方式（在项目根目录 lm_code 下）：
  python open_fifth_strategy/main.py
"""
import sys
from pathlib import Path

# 确保项目根目录在路径中
_root = Path(__file__).resolve().parent.parent
if str(_root) not in sys.path:
    sys.path.insert(0, str(_root))

import random
import time
from concurrent.futures import ThreadPoolExecutor

from loguru import logger
from bit_tools import openBrowser
from DrissionPage import ChromiumPage
from DrissionPage import ChromiumOptions

from bitmart.api_contract import APIContract
from 交易.tools import send_dingtalk_message

from open_fifth_strategy.config import (
    API_KEY,
    SECRET_KEY,
    MEMO,
    CONTRACT_SYMBOL,
    KLINE_STEP,
    MIN_BODY_SIZE,
    CHECK_INTERVAL,
    LEVERAGE,
    OPEN_TYPE,
    RISK_PERCENT,
    REVERSE_PRICE_TOLERANCE,
    REVERSE_WINDOW_1M_BARS,
    BIT_ID,
)

ding_executor = ThreadPoolExecutor(max_workers=2, thread_name_prefix="dingtalk")


class OpenBasedFifthStrategy:
    """基于开盘价的五分之一策略"""

    def __init__(self, bit_id=None):
        self.page = None
        self.api_key = API_KEY
        self.secret_key = SECRET_KEY
        self.memo = MEMO
        self.contract_symbol = CONTRACT_SYMBOL
        self.contractAPI = APIContract(
            self.api_key, self.secret_key, self.memo, timeout=(5, 15)
        )

        self.start = 0  # 持仓: -1空, 0无, 1多
        self.open_avg_price = None
        self.current_amount = None
        self.position_cross = None
        self.bit_id = bit_id or BIT_ID

        self.min_body_size = MIN_BODY_SIZE
        self.kline_step = KLINE_STEP
        self.check_interval = CHECK_INTERVAL
        self.leverage = LEVERAGE
        self.open_type = OPEN_TYPE
        self.risk_percent = RISK_PERCENT
        self.reverse_price_tolerance = REVERSE_PRICE_TOLERANCE
        self.reverse_window_1m_bars = REVERSE_WINDOW_1M_BARS

        self.last_trigger_kline_id = None
        self.last_trigger_direction = None
        self.last_trade_kline_id = None
        self.entry_prev_body = None
        self.entry_price = None
        self.entry_kline_id = None
        self.early_reverse_executed = False

    # ==================== 策略核心（基于开盘价）====================

    def get_body_size(self, candle):
        return abs(float(candle["open"]) - float(candle["close"]))

    def find_valid_prev_bar(self, all_data, current_idx):
        """找前一根有效K线（实体>=min_body_size）"""
        if current_idx <= 0:
            return None, None
        for i in range(current_idx - 1, -1, -1):
            prev = all_data[i]
            if self.get_body_size(prev) >= self.min_body_size:
                return i, prev
        return None, None

    def get_open_based_levels(self, prev, curr_open):
        """
        基于当前K线开盘价计算触发价（与1111一致）
        做多触发 = 当前K线开盘价 + 实体/5
        做空触发 = 当前K线开盘价 - 实体/5
        """
        body = self.get_body_size(prev)
        if body < 0.001:
            return None, None
        curr_o = float(curr_open)
        long_trigger = curr_o + body / 5
        short_trigger = curr_o - body / 5
        return long_trigger, short_trigger

    def get_1m_bars_for_3m_bar(self, bar_3m):
        """获取当前3分钟K线对应的3根1分钟K线"""
        try:
            start_ts = int(bar_3m["id"])
            end_ts = start_ts + 3 * 60
            response = self.contractAPI.get_kline(
                contract_symbol=self.contract_symbol,
                step=1,
                start_time=start_ts,
                end_time=end_ts,
            )[0]
            if response.get("code") != 1000:
                return []
            data = response.get("data", [])
            out = []
            for k in data:
                out.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"]),
                    }
                )
            out.sort(key=lambda x: x["id"])
            return out
        except Exception as e:
            logger.warning(f"获取1分钟K线失败: {e}")
            return []

    def determine_trigger_order_by_1m(self, bars_1m, long_trigger, short_trigger):
        """用1分钟K线判断先触发做多还是做空"""
        if not bars_1m:
            return None
        for bar in bars_1m:
            high = float(bar["high"])
            low = float(bar["low"])
            open_price = float(bar["open"])
            long_ok = high >= long_trigger
            short_ok = low <= short_trigger
            if long_ok and not short_ok:
                return "long"
            if short_ok and not long_ok:
                return "short"
            if long_ok and short_ok:
                d_long = abs(long_trigger - open_price)
                d_short = abs(short_trigger - open_price)
                return "short" if d_short < d_long else "long"
        return None

    def check_early_reverse_signal(self, curr_kline, kline_data):
        """
        前1分30秒反手检测（与1111一致）：
        - 3分钟K线的「前1分30秒」内若出现反手信号 → 平仓开反手
        - 持空反手做多：价格涨到 开仓价 + 前一根实体/5
        - 持多反手做空：价格跌到 开仓价 - 前一根实体/5
        - 使用前 N 根1分钟K线近似（REVERSE_WINDOW_1M_BARS=2 覆盖约 0:00~1:30）
        """
        if self.start == 0:
            return None, None

        curr_kline_id = curr_kline["id"]
        if self.entry_kline_id != curr_kline_id:
            self.early_reverse_executed = False
            self.entry_kline_id = curr_kline_id

        if self.early_reverse_executed:
            return None, None

        entry_price = self.entry_price
        if entry_price is None and self.open_avg_price:
            entry_price = float(self.open_avg_price)
        if entry_price is None:
            return None, None

        _, valid_prev = self.find_valid_prev_bar(
            kline_data, len(kline_data) - 1
        )
        if valid_prev is None:
            return None, None
        prev_body = self.get_body_size(valid_prev)
        reverse_offset = prev_body / 5

        bars_1m = self.get_1m_bars_for_3m_bar(curr_kline)
        n_bars = min(self.reverse_window_1m_bars, len(bars_1m))
        if n_bars < 1:
            return None, None

        # 遍历前 N 根1分钟K线（覆盖前1分30秒），任一出现反手信号则触发
        for i in range(n_bars):
            bar = bars_1m[i]
            bar_high = float(bar["high"])
            bar_low = float(bar["low"])
            bar_close = float(bar["close"])

            if self.start == -1:
                reverse_long_trigger = entry_price + reverse_offset
                if bar_high >= reverse_long_trigger:
                    if bar_close >= reverse_long_trigger - self.reverse_price_tolerance:
                        return "long", reverse_long_trigger

            elif self.start == 1:
                reverse_short_trigger = entry_price - reverse_offset
                if bar_low <= reverse_short_trigger:
                    if bar_close <= reverse_short_trigger + self.reverse_price_tolerance:
                        return "short", reverse_short_trigger

        return None, None

    def check_realtime_trigger(self, kline_data, current_position=0):
        """
        实时检测信号（基于当前K线开盘价计算触发价）
        返回：(方向, 触发价, 有效前一根, 当前K线) 或 (None,...)
        """
        if len(kline_data) < 2:
            return None, None, None, None

        curr = kline_data[-1]
        curr_kline_id = curr["id"]
        curr_open = curr["open"]
        valid_prev_idx, prev = self.find_valid_prev_bar(
            kline_data, len(kline_data) - 1
        )
        if prev is None:
            return None, None, None, None

        long_trigger, short_trigger = self.get_open_based_levels(prev, curr_open)
        if long_trigger is None:
            return None, None, None, None

        c_high = float(curr["high"])
        c_low = float(curr["low"])
        c_close = float(curr["close"])
        long_triggered = c_high >= long_trigger
        short_triggered = c_low <= short_trigger

        direction = None
        trigger_price = None

        if current_position == 1:
            if short_triggered and c_close <= short_trigger + self.reverse_price_tolerance:
                direction = "short"
                trigger_price = short_trigger
        elif current_position == -1:
            if long_triggered and c_close >= long_trigger - self.reverse_price_tolerance:
                direction = "long"
                trigger_price = long_trigger
        else:
            if long_triggered and short_triggered:
                bars_1m = self.get_1m_bars_for_3m_bar(curr)
                if bars_1m:
                    direction = self.determine_trigger_order_by_1m(
                        bars_1m, long_trigger, short_trigger
                    )
                    trigger_price = (
                        long_trigger if direction == "long" else short_trigger
                    )
                if direction is None:
                    c_open_f = float(curr["open"])
                    d_long = abs(long_trigger - c_open_f)
                    d_short = abs(short_trigger - c_open_f)
                    direction = "short" if d_short <= d_long else "long"
                    trigger_price = (
                        long_trigger if direction == "long" else short_trigger
                    )
            elif short_triggered:
                direction = "short"
                trigger_price = short_trigger
            elif long_triggered:
                direction = "long"
                trigger_price = long_trigger

        if direction is None:
            return None, None, None, None
        if (
            self.last_trigger_kline_id == curr_kline_id
            and self.last_trigger_direction == direction
        ):
            return None, None, None, None

        return direction, trigger_price, prev, curr

    # ==================== BitMart API ====================

    def get_klines(self):
        try:
            end_time = int(time.time())
            response = self.contractAPI.get_kline(
                contract_symbol=self.contract_symbol,
                step=self.kline_step,
                start_time=end_time - 3600 * 3,
                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:
            if "429" in str(e) or "too many requests" in str(e).lower():
                logger.warning(f"API限流，等待60秒: {e}")
                time.sleep(60)
            else:
                logger.error(f"获取K线异常: {e}")
                self.ding("获取K线异常", error=True)
            return None

    def get_available_balance(self):
        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))
                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):
        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 = positions[0]["open_avg_price"]
                self.current_amount = positions[0]["current_amount"]
                self.position_cross = positions[0]["position_cross"]
                return True
            return False
        except Exception as e:
            logger.error(f"持仓查询异常: {e}")
            return False

    def set_leverage(self):
        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 {self.leverage}x 杠杆设置成功")
                return True
            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

    # ==================== 浏览器 ====================

    def _open_browser(self):
        try:
            bit_port = openBrowser(id=self.bit_id)
            co = ChromiumOptions()
            co.set_local_port(port=bit_port)
            self.page = ChromiumPage(addr_or_opts=co)
            return True
        except Exception:
            return False

    def close_extra_tabs(self):
        try:
            for idx, tab in enumerate(self.page.get_tabs()):
                if idx > 0:
                    tab.close()
            return True
        except Exception:
            return False

    def click_safe(self, xpath, sleep=0.5):
        try:
            ele = self.page.ele(xpath)
            if not ele:
                return False
            ele.scroll.to_see(center=True)
            time.sleep(sleep)
            ele.click(by_js=True)
            return True
        except Exception:
            return False

    def 平仓(self):
        logger.info("执行平仓...")
        self.click_safe('x://span[normalize-space(text()) ="市价"]')
        time.sleep(0.5)
        self.ding("执行平仓操作")

    def 开单(self, marketPriceLongOrder=0, size=None):
        if size is None or size <= 0:
            logger.warning("开单金额无效")
            return False
        direction_str = "做多" if marketPriceLongOrder == 1 else "做空"
        logger.info(f"执行{direction_str}，金额: {size}")
        size = max(1, min(25, int(size)))  # 限制单次下单金额 1~25
        try:
            self.click_safe('x://button[normalize-space(text()) ="市价"]')
            self.page.ele('x://*[@id="size_0"]').input(str(size))
            if marketPriceLongOrder == -1:
                self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
            else:
                self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
            self.ding(f"执行{direction_str}，金额: {size}")
            return True
        except Exception as e:
            logger.error(f"开单异常: {e}")
            return False

    def ding(self, msg, error=False):
        prefix = "❌开盘价五分之一：" if error else "🔔开盘价五分之一："
        full_msg = f"{prefix}{msg}"
        if error:
            logger.error(msg)
            for _ in range(3):
                ding_executor.submit(self._send_ding_safe, full_msg)
        else:
            logger.info(msg)
            ding_executor.submit(self._send_ding_safe, full_msg)

    def _send_ding_safe(self, msg):
        try:
            send_dingtalk_message(msg)
        except Exception as e:
            logger.warning(f"消息发送失败: {e}")

    def _send_position_message(self, latest_kline):
        current_price = float(latest_kline["close"])
        balance = self.get_available_balance()
        self.balance = balance if balance is not None else 0.0
        if self.start != 0:
            open_avg_price = float(self.open_avg_price)
            current_amount = float(self.current_amount)
            position_cross = float(
                getattr(self, "position_cross", 0) or 0
            )
            if self.start == 1:
                unrealized_pnl = current_amount * 0.001 * (
                    current_price - open_avg_price
                )
            else:
                unrealized_pnl = current_amount * 0.001 * (
                    open_avg_price - current_price
                )
            pnl_rate = (
                (current_price - open_avg_price)
                / open_avg_price
                * 100
                if self.start == 1
                else (open_avg_price - current_price)
                / open_avg_price
                * 100
            )
            direction_str = "空" if self.start == -1 else "多"
            msg = (
                f"【开盘价五分之一 {self.contract_symbol}】\n"
                f"方向：{direction_str}\n"
                f"现价：{current_price:.2f}\n"
                f"开仓均价：{open_avg_price:.2f}\n"
                f"浮动盈亏：{unrealized_pnl:+.2f} USDT ({pnl_rate:+.2f}%)\n"
                f"余额：{self.balance:.2f}"
            )
        else:
            msg = (
                f"【开盘价五分之一 {self.contract_symbol}】\n"
                f"方向：无\n"
                f"现价：{current_price:.2f}\n"
                f"余额：{self.balance:.2f}"
            )
        self.ding(msg)

    # ==================== 主循环 ====================

    def action(self):
        if not self.set_leverage():
            logger.error("杠杆设置失败")
            return
        if not self._open_browser():
            self.ding("打开浏览器失败！", error=True)
            return
        logger.info("浏览器打开成功")
        self.close_extra_tabs()
        self.page.get("https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT")
        time.sleep(2)
        self.click_safe('x://button[normalize-space(text()) ="市价"]')
        logger.info(
            f"开盘价五分之一策略（3分钟K线）开始监测，间隔: {self.check_interval}秒"
        )

        last_report_time = 0
        report_interval = 300

        while True:
            for _ in range(5):
                if self._open_browser():
                    break
                time.sleep(5)
            else:
                self.ding("打开浏览器失败！", error=True)
                return
            self.close_extra_tabs()
            self.page.get("https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT")
            time.sleep(2)
            self.click_safe('x://button[normalize-space(text()) ="市价"]')

            try:
                kline_data = self.get_klines()
                if not kline_data or len(kline_data) < 3:
                    logger.warning("K线数据不足...")
                    time.sleep(self.check_interval)
                    continue

                curr = kline_data[-1]
                if not self.get_position_status():
                    logger.warning("获取仓位失败，使用缓存")

                # 第一分钟反手
                if self.start != 0:
                    first_dir, first_trigger = self.check_early_reverse_signal(
                        curr, kline_data
                    )
                    if first_dir:
                        curr_kline_id = curr["id"]
                        if self.last_trade_kline_id != curr_kline_id:
                            balance = self.get_available_balance()
                            trade_size = (balance or 0) * self.risk_percent
                            if first_dir == "long" and self.start == -1:
                                self.平仓()
                                time.sleep(1)
                                self.开单(marketPriceLongOrder=1, size=trade_size)
                            elif first_dir == "short" and self.start == 1:
                                self.平仓()
                                time.sleep(1)
                                self.开单(marketPriceLongOrder=-1, size=trade_size)
                            self.early_reverse_executed = True
                            self.last_trade_kline_id = curr_kline_id
                            _, valid_prev = self.find_valid_prev_bar(
                                kline_data, len(kline_data) - 1
                            )
                            if valid_prev:
                                self.entry_prev_body = self.get_body_size(valid_prev)
                            self.entry_price = float(curr["close"])
                            self.entry_kline_id = curr_kline_id
                            self.get_position_status()
                            self._send_position_message(curr)
                        time.sleep(self.check_interval)
                        continue

                # 常规信号检测
                direction, trigger_price, valid_prev, curr_kline = (
                    self.check_realtime_trigger(kline_data, self.start)
                )

                if direction:
                    curr_kline_id = curr_kline["id"]
                    if self.last_trade_kline_id == curr_kline_id:
                        self.last_trigger_kline_id = curr_kline_id
                        self.last_trigger_direction = direction
                        time.sleep(self.check_interval)
                        continue

                    if (direction == "long" and self.start == 1) or (
                        direction == "short" and self.start == -1
                    ):
                        self.last_trigger_kline_id = curr_kline_id
                        self.last_trigger_direction = direction
                        time.sleep(self.check_interval)
                        continue

                    balance = self.get_available_balance()
                    trade_size = (balance or 0) * self.risk_percent
                    executed = False

                    if direction == "long":
                        if self.start == -1:
                            self.平仓()
                            time.sleep(1)
                            self.开单(marketPriceLongOrder=1, size=trade_size)
                            executed = True
                        elif self.start == 0:
                            self.开单(marketPriceLongOrder=1, size=trade_size)
                            executed = True
                    elif direction == "short":
                        if self.start == 1:
                            self.平仓()
                            time.sleep(1)
                            self.开单(marketPriceLongOrder=-1, size=trade_size)
                            executed = True
                        elif self.start == 0:
                            self.开单(marketPriceLongOrder=-1, size=trade_size)
                            executed = True

                    self.last_trigger_kline_id = curr_kline_id
                    self.last_trigger_direction = direction
                    if executed:
                        self.last_trade_kline_id = curr_kline_id
                        self.entry_price = trigger_price
                        self.entry_prev_body = self.get_body_size(valid_prev)
                        self.entry_kline_id = curr_kline_id
                        self.early_reverse_executed = False
                        self.get_position_status()
                        self._send_position_message(curr_kline)
                        last_report_time = time.time()

                if time.time() - last_report_time >= report_interval:
                    if self.get_position_status():
                        self._send_position_message(kline_data[-1])
                    last_report_time = time.time()

                time.sleep(self.check_interval)

            except Exception as e:
                logger.error(f"主循环异常: {e}")
                time.sleep(self.check_interval)
            time.sleep(3)
            if random.randint(1, 10) > 7:
                self.page.close()
                time.sleep(15)


if __name__ == "__main__":
    try:
        OpenBasedFifthStrategy(bit_id=BIT_ID).action()
    except KeyboardInterrupt:
        logger.info("程序被用户中断")
    finally:
        ding_executor.shutdown(wait=True)
        logger.info("已退出")