优化前改动

bitmart/保守模式参数优化/四分之一，五分钟，反手条件充足_保守模式.py

@@ -149,6 +149,35 @@ class BitmartFuturesTransactionConservative:
         self.auto_optimize_script_path = Path(__file__).with_name("optimize_params.py")
         self.auto_optimized_this_run = False
 
+        # 方案B：智能动态模式
+        self.enable_smart_mode = os.getenv("BITMART_SMART_MODE_ENABLED", "1").strip().lower() not in {"0", "false", "off", "no"}
+        # 波动率分档阈值（单位：百分比）
+        self.vol_regime_low_threshold_pct = float(os.getenv("BITMART_VOL_REGIME_LOW_PCT", "0.22"))
+        self.vol_regime_high_threshold_pct = float(os.getenv("BITMART_VOL_REGIME_HIGH_PCT", "0.45"))
+        self.mid_vol_order_size_multiplier = float(os.getenv("BITMART_MID_VOL_SIZE_MULT", "0.7"))
+        self.high_vol_order_size_multiplier = float(os.getenv("BITMART_HIGH_VOL_SIZE_MULT", "0.3"))
+        self.high_vol_pause_trading = os.getenv("BITMART_HIGH_VOL_PAUSE", "1").strip().lower() not in {"0", "false", "off", "no"}
+        self.mid_vol_stop_loss_multiplier = float(os.getenv("BITMART_MID_VOL_SL_MULT", "0.85"))
+        self.high_vol_stop_loss_multiplier = float(os.getenv("BITMART_HIGH_VOL_SL_MULT", "0.70"))
+        # 时间过滤：亚洲时段 + 跳过换线小时
+        self.trade_asia_session_only = os.getenv("BITMART_ASIA_SESSION_ONLY", "1").strip().lower() not in {"0", "false", "off", "no"}
+        self.asia_session_start_hour_utc = int(os.getenv("BITMART_ASIA_START_HOUR_UTC", "1"))
+        self.asia_session_end_hour_utc = int(os.getenv("BITMART_ASIA_END_HOUR_UTC", "10"))
+        self.blocked_utc_hours_utc = self._parse_int_set_csv(os.getenv("BITMART_BLOCKED_UTC_HOURS", "0,8,16"), {0, 8, 16})
+        # 日内盈亏管理
+        self.daily_profit_reduce_size_usd = float(os.getenv("BITMART_DAILY_PROFIT_REDUCE_SIZE_USD", "8"))
+        self.daily_reduced_size_multiplier = float(os.getenv("BITMART_DAILY_REDUCED_SIZE_MULT", "0.5"))
+        self.daily_max_loss_usd = float(os.getenv("BITMART_DAILY_MAX_LOSS_USD", "-10"))
+        self.daily_halt_on_loss = os.getenv("BITMART_DAILY_HALT_ON_LOSS", "1").strip().lower() not in {"0", "false", "off", "no"}
+        self.daily_balance_refresh_seconds = float(os.getenv("BITMART_DAILY_BALANCE_REFRESH_SECONDS", "15"))
+        self.daily_stat_day = None
+        self.daily_start_balance = None
+        self.daily_current_balance = None
+        self.daily_pnl_usd = 0.0
+        self.daily_halt = False
+        self.last_daily_balance_refresh_time = 0.0
+        self.last_smart_status_log_time = 0.0
+
         # 启动时尝试读取动态参数（可由优化脚本自动生成）
         self.load_runtime_params()
         self.capture_base_risk_params()
@@ -203,6 +232,22 @@ class BitmartFuturesTransactionConservative:
             "dynamic_vol_target_pct",
             "dynamic_scale_min",
             "dynamic_scale_max",
+            "enable_smart_mode",
+            "vol_regime_low_threshold_pct",
+            "vol_regime_high_threshold_pct",
+            "mid_vol_order_size_multiplier",
+            "high_vol_order_size_multiplier",
+            "high_vol_pause_trading",
+            "mid_vol_stop_loss_multiplier",
+            "high_vol_stop_loss_multiplier",
+            "trade_asia_session_only",
+            "asia_session_start_hour_utc",
+            "asia_session_end_hour_utc",
+            "blocked_utc_hours_utc",
+            "daily_profit_reduce_size_usd",
+            "daily_reduced_size_multiplier",
+            "daily_max_loss_usd",
+            "daily_halt_on_loss",
         }
 
         try:
@@ -218,8 +263,23 @@ class BitmartFuturesTransactionConservative:
                     continue
                 if key == "leverage":
                     setattr(self, key, str(value))
-                elif key in {"dynamic_risk_enabled", "enable_shadow_reverse", "enable_trend_filter", "enable_ai_filter"}:
+                elif key in {
+                    "dynamic_risk_enabled",
+                    "enable_shadow_reverse",
+                    "enable_trend_filter",
+                    "enable_ai_filter",
+                    "enable_smart_mode",
+                    "high_vol_pause_trading",
+                    "trade_asia_session_only",
+                    "daily_halt_on_loss",
+                }:
                     setattr(self, key, self._to_bool(value))
+                elif key == "blocked_utc_hours_utc":
+                    if isinstance(value, (list, tuple, set)):
+                        parsed = {int(v) for v in value if str(v).strip().isdigit()}
+                        setattr(self, key, {h for h in parsed if 0 <= h <= 23} or {0, 8, 16})
+                    else:
+                        setattr(self, key, self._parse_int_set_csv(str(value), {0, 8, 16}))
                 else:
                     setattr(self, key, value)
 
@@ -232,7 +292,8 @@ class BitmartFuturesTransactionConservative:
                 f"BreakoutBuf={self.open_breakout_buffer_pct}%, "
                 f"OpenCD={self.open_cooldown_seconds}s, ReverseCD={self.reverse_cooldown_seconds}s, "
                 f"ReverseMove={self.reverse_min_move_pct}%, "
-                f"TrendFilter={self.enable_trend_filter}, AIFilter={self.enable_ai_filter}"
+                f"TrendFilter={self.enable_trend_filter}, AIFilter={self.enable_ai_filter}, "
+                f"SmartMode={self.enable_smart_mode}"
             )
         except Exception as e:
             logger.error(f"加载动态参数文件失败: {e} | path={params_path}")
@@ -470,9 +531,155 @@ class BitmartFuturesTransactionConservative:
             return value.strip().lower() in {"1", "true", "yes", "y", "on"}
         return False
 
+    def _parse_int_set_csv(self, text, default):
+        if not text:
+            return set(default)
+        result = set()
+        for item in str(text).split(","):
+            token = item.strip()
+            if not token:
+                continue
+            try:
+                value = int(token)
+            except Exception:
+                continue
+            if 0 <= value <= 23:
+                result.add(value)
+        return result or set(default)
+
     def _clip(self, value, low, high):
         return max(low, min(high, value))
 
+    def _normalize_hour(self, hour):
+        return int(hour) % 24
+
+    def _utc_hour(self, ts=None):
+        return int(time.strftime("%H", time.gmtime(ts if ts is not None else time.time())))
+
+    def _utc_day(self, ts=None):
+        return time.strftime("%Y-%m-%d", time.gmtime(ts if ts is not None else time.time()))
+
+    def _is_hour_in_range(self, hour, start, end):
+        hour = self._normalize_hour(hour)
+        start = self._normalize_hour(start)
+        end = self._normalize_hour(end)
+        if start <= end:
+            return start <= hour <= end
+        return hour >= start or hour <= end
+
+    def infer_volatility_regime(self):
+        vol_pct = self.get_recent_volatility_pct_from_cache(20)
+        if vol_pct is None:
+            return "unknown", None
+
+        low_th = max(0.0, float(self.vol_regime_low_threshold_pct))
+        high_th = max(low_th, float(self.vol_regime_high_threshold_pct))
+        if vol_pct >= high_th:
+            return "high", vol_pct
+        if vol_pct <= low_th:
+            return "low", vol_pct
+        return "mid", vol_pct
+
+    def refresh_daily_pnl_state(self, force=False):
+        now = time.time()
+        day = self._utc_day(now)
+
+        if self.daily_stat_day != day:
+            self.daily_stat_day = day
+            self.daily_start_balance = None
+            self.daily_current_balance = None
+            self.daily_pnl_usd = 0.0
+            self.daily_halt = False
+            self.last_daily_balance_refresh_time = 0.0
+            logger.info(f"日内风控重置: day={day}")
+
+        if not force and (now - self.last_daily_balance_refresh_time) < self.daily_balance_refresh_seconds:
+            return
+
+        balance = self.get_available_balance()
+        self.last_daily_balance_refresh_time = now
+        if balance is None:
+            return
+
+        self.daily_current_balance = float(balance)
+        if self.daily_start_balance is None:
+            self.daily_start_balance = float(balance)
+            logger.info(f"日内风控基准余额: {self.daily_start_balance:.4f} USDT")
+
+        self.daily_pnl_usd = float(self.daily_current_balance - self.daily_start_balance)
+        if self.daily_halt_on_loss and self.daily_pnl_usd <= float(self.daily_max_loss_usd):
+            if not self.daily_halt:
+                logger.warning(
+                    f"触发日内亏损熔断: DailyPnL={self.daily_pnl_usd:.2f} <= {self.daily_max_loss_usd:.2f}"
+                )
+            self.daily_halt = True
+
+    def get_smart_trade_controls(self):
+        controls = {
+            "vol_regime": "unknown",
+            "vol_pct": None,
+            "size_multiplier": 1.0,
+            "stop_loss_multiplier": 1.0,
+            "allow_new_trade": True,
+            "block_reason": "",
+            "daily_pnl_usd": self.daily_pnl_usd,
+            "daily_halt": self.daily_halt,
+        }
+        if not self.enable_smart_mode:
+            return controls
+
+        # 1) 波动率分档
+        vol_regime, vol_pct = self.infer_volatility_regime()
+        controls["vol_regime"] = vol_regime
+        controls["vol_pct"] = vol_pct
+        if vol_regime == "mid":
+            controls["size_multiplier"] *= max(0.05, float(self.mid_vol_order_size_multiplier))
+            controls["stop_loss_multiplier"] *= max(0.05, float(self.mid_vol_stop_loss_multiplier))
+        elif vol_regime == "high":
+            controls["size_multiplier"] *= max(0.05, float(self.high_vol_order_size_multiplier))
+            controls["stop_loss_multiplier"] *= max(0.05, float(self.high_vol_stop_loss_multiplier))
+            if self.high_vol_pause_trading:
+                controls["allow_new_trade"] = False
+                controls["block_reason"] = "高波动暂停开新仓"
+
+        # 2) 时间段过滤
+        hour = self._utc_hour()
+        if hour in self.blocked_utc_hours_utc:
+            controls["allow_new_trade"] = False
+            controls["block_reason"] = f"UTC {hour}:00 属于换线禁交易时段"
+        elif self.trade_asia_session_only:
+            if not self._is_hour_in_range(hour, self.asia_session_start_hour_utc, self.asia_session_end_hour_utc):
+                controls["allow_new_trade"] = False
+                controls["block_reason"] = (
+                    f"非亚洲交易时段(UTC {hour}:00，不在 {self.asia_session_start_hour_utc}-{self.asia_session_end_hour_utc})"
+                )
+
+        # 3) 日内盈亏管理
+        self.refresh_daily_pnl_state(force=False)
+        controls["daily_pnl_usd"] = self.daily_pnl_usd
+        controls["daily_halt"] = self.daily_halt
+        if self.daily_pnl_usd >= float(self.daily_profit_reduce_size_usd):
+            controls["size_multiplier"] *= max(0.05, float(self.daily_reduced_size_multiplier))
+        if self.daily_halt:
+            controls["allow_new_trade"] = False
+            controls["block_reason"] = f"日内亏损达到阈值 {self.daily_max_loss_usd:.2f}，暂停开新仓"
+
+        return controls
+
+    def log_smart_trade_controls(self, controls):
+        now = time.time()
+        if now - self.last_smart_status_log_time < 30:
+            return
+        self.last_smart_status_log_time = now
+        vol_text = "n/a" if controls["vol_pct"] is None else f"{controls['vol_pct']:.4f}%"
+        logger.info(
+            "智能模式状态: "
+            f"regime={controls['vol_regime']} vol={vol_text} "
+            f"sizeMult={controls['size_multiplier']:.3f} slMult={controls['stop_loss_multiplier']:.3f} "
+            f"dailyPnL={controls['daily_pnl_usd']:.2f} allowNew={controls['allow_new_trade']} "
+            f"reason={controls['block_reason'] or '-'}"
+        )
+
     def _ema_series(self, closes, period):
         period = max(1, int(period))
         if not closes:
@@ -1339,6 +1546,9 @@ class BitmartFuturesTransactionConservative:
             logger.error("杠杆设置失败，程序继续运行但可能下单失败")
             return
 
+        # 初始化日内风控状态（方案B）
+        self.refresh_daily_pnl_state(force=True)
+
         if self.start_price_stream():
             logger.success("实时价格流已启动（WebSocket 优先）")
         else:
@@ -1395,14 +1605,20 @@ class BitmartFuturesTransactionConservative:
                         continue
 
                     logger.debug(f"当前持仓状态: {self.start} (0=无, 1=多, -1=空)")
+                    smart_controls = self.get_smart_trade_controls()
+                    self.log_smart_trade_controls(smart_controls)
+                    effective_stop_loss = self.stop_loss_usd
+                    sl_mult = max(0.05, float(smart_controls.get("stop_loss_multiplier", 1.0)))
+                    if effective_stop_loss < 0:
+                        effective_stop_loss = -abs(float(effective_stop_loss)) * sl_mult
 
                     # 3.5 止损/止盈/保本锁盈/移动止损
                     if self.start != 0:
                         pnl_usd = self.get_unrealized_pnl_usd()
                         if pnl_usd is not None:
                             # 固定止损：亏损达到 stop_loss_usd 平仓
-                            if pnl_usd <= self.stop_loss_usd:
-                                logger.info(f"仓位亏损 {pnl_usd:.2f} 美元 <= 止损 {self.stop_loss_usd} 美元，执行止损平仓")
+                            if pnl_usd <= effective_stop_loss:
+                                logger.info(f"仓位亏损 {pnl_usd:.2f} 美元 <= 止损 {effective_stop_loss:.2f} 美元，执行止损平仓")
                                 self.平仓()
                                 self.max_unrealized_pnl_seen = None
                                 time.sleep(3)
@@ -1441,6 +1657,11 @@ class BitmartFuturesTransactionConservative:
                     # 4. 检查信号
                     signal = self.check_signal(current_price, prev_kline, current_kline)
 
+                    # 4.5 智能模式拦截：高波动暂停/时间过滤/日内亏损熔断
+                    if signal and not smart_controls["allow_new_trade"]:
+                        logger.info(f"智能模式阻止交易: {signal[0]} | {smart_controls['block_reason']}")
+                        signal = None
+
                     # 5. 反手过滤：冷却时间 + 最小价差
                     if signal and signal[0].startswith('reverse_'):
                         if not self.can_reverse(current_price, signal[1]):
@@ -1455,9 +1676,13 @@ class BitmartFuturesTransactionConservative:
 
                     # 6. 有信号则执行交易
                     if signal:
-                        trade_success = self.execute_trade(signal)
+                        dynamic_size = max(1.0, float(self.default_order_size) * float(smart_controls["size_multiplier"]))
+                        dynamic_size = round(dynamic_size, 4)
+                        trade_success = self.execute_trade(signal, size=dynamic_size)
                         if trade_success:
-                            logger.success(f"交易执行完成: {signal[0]}, 当前持仓状态: {self.start}")
+                            logger.success(
+                                f"交易执行完成: {signal[0]}, 下单数量={dynamic_size}, 当前持仓状态: {self.start}"
+                            )
                             page_start = True
                         else:
                             logger.warning(f"交易执行失败或被阻止: {signal[0]}")