优化完美代码，优化计算盈亏
This commit is contained in:
27942
@@ -8,6 +8,21 @@ from DrissionPage import ChromiumOptions
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from bitmart.api_contract import APIContract
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# ---------- 策略常量（影线 ATR 自适应 · 趋势/震荡双模式 · 高胜率版）----------
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K_PERIOD = 5
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ATR_LENGTH = 14
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MODE_LOOKBACK = 6
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MIN_BODY = 0.1
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DEFAULT_ORDER_SIZE = 25
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WICK_ORDER_RATIO = 0.3
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WICK_VALID = 0.9 # ≥ 0.9 ATR 才认为是可交易影线
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WICK_EXTREME = 1.2 # ≥ 1.2 ATR 为极端扫单
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TRAIL_RANGE = 0.2 # 震荡模式回撤止盈 = ATR * 0.2
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TRAIL_TREND = 0.35 # 趋势模式回撤止盈 = ATR * 0.35
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TP_ACTIVATION = 0.3 # 启动止盈需浮盈 ≥ ATR * 0.3
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SL_WICK_ATR = 0.3 # 影线单止损：多单 SL = low - ATR*0.3，空单 SL = high + ATR*0.3
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MODE_LOCK_BARS = 3 # 趋势模式锁定 K 根数
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class BitmartFuturesTransaction:
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def __init__(self, bit_id):
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@@ -24,51 +39,58 @@ class BitmartFuturesTransaction:
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self.start = 0 # 持仓状态: -1 空, 0 无, 1 多
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self.pbar = tqdm(total=30, desc="等待K线", ncols=80) # 可选：用于长时间等待时展示进度
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self.pbar = tqdm(total=30, desc="等待K线", ncols=80)
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self.last_kline_time = None # 上一次处理的K线时间戳，用于判断是否是新K线
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self.last_kline_time = None
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self.leverage = "100" # 高杠杆（全仓模式下可开更大仓位）
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self.open_type = "cross" # 全仓模式
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self.risk_percent = 0 # 未使用；若启用则可为每次开仓占可用余额的百分比
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self.leverage = "100"
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self.open_type = "cross"
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self.risk_percent = 0
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self.open_avg_price = None # 开仓价格
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self.current_amount = None # 持仓量
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self.open_avg_price = None
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self.current_amount = None
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self.bit_id = bit_id
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self.default_order_size = 25 # 开仓/反手张数，统一在此修改
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self.default_order_size = DEFAULT_ORDER_SIZE
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# 策略相关变量
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self.prev_kline = None # 上一根K线
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self.current_kline = None # 当前K线
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self.prev_entity = None # 上一根K线实体大小
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self.current_open = None # 当前K线开盘价
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self.prev_kline = None
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self.current_kline = None
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# 趋势/震荡模式状态
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self.mode = "TREND" # TREND | RANGE
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self.mode_lock_remaining = 0 # 趋势模式锁定剩余 K 数
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# 止盈用：入场价、持仓期间最优价（多=最高，空=最低）
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self.entry_price = None
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self.best_price = None
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self.is_wick_position = False # 当前仓位是否为影线单（用于影线单止损）
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def _format_kline_list(self, response_data):
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"""将 API 返回的 K 线转为统一格式列表"""
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formatted = []
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for k in response_data:
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formatted.append({
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'id': int(k["timestamp"]),
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'open': float(k["open_price"]),
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'high': float(k["high_price"]),
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'low': float(k["low_price"]),
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'close': float(k["close_price"])
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})
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formatted.sort(key=lambda x: x['id'])
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return formatted
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def get_klines(self):
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"""获取最近2根K线（当前K线和上一根K线）"""
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"""获取最近 2 根 K 线（当前、上一根）"""
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try:
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end_time = int(time.time())
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# 获取足够多的条目确保有最新的K线
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response = self.contractAPI.get_kline(
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contract_symbol=self.contract_symbol,
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step=5, # 5分钟
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start_time=end_time - 3600 * 3, # 取最近3小时
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step=K_PERIOD,
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start_time=end_time - 3600 * 3,
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end_time=end_time
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)[0]["data"]
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# 每根: [timestamp, open, high, low, close, volume]
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formatted = []
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for k in response:
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formatted.append({
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'id': int(k["timestamp"]),
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'open': float(k["open_price"]),
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'high': float(k["high_price"]),
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'low': float(k["low_price"]),
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'close': float(k["close_price"])
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})
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formatted.sort(key=lambda x: x['id'])
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# 返回最近2根K线：倒数第二根（上一根）和最后一根（当前）
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formatted = self._format_kline_list(response)
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if len(formatted) >= 2:
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return formatted[-2], formatted[-1]
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return None, None
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@@ -77,6 +99,97 @@ class BitmartFuturesTransaction:
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self.ding(text="获取K线异常", error=True)
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return None, None
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def get_klines_batch(self, count):
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"""获取最近 count 根 5 分钟 K 线，用于 ATR 与模式判定。至少需要 ATR_LENGTH + MODE_LOOKBACK。"""
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try:
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end_time = int(time.time())
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response = self.contractAPI.get_kline(
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contract_symbol=self.contract_symbol,
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step=K_PERIOD,
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start_time=end_time - 3600 * 4,
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end_time=end_time
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)[0]["data"]
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formatted = self._format_kline_list(response)
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if len(formatted) >= count:
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return formatted[-count:]
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return formatted
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except Exception as e:
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logger.error(f"获取K线批量异常: {e}")
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return []
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def compute_atr(self, klines, length=ATR_LENGTH):
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"""ATR(length)，klines 为按时间升序的 K 线列表，每根含 high, low, close。"""
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if not klines or len(klines) < length + 1:
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return None
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tr_list = []
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for i in range(1, len(klines)):
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high, low = klines[i]['high'], klines[i]['low']
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prev_close = klines[i - 1]['close']
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tr = max(high - low, abs(high - prev_close), abs(low - prev_close))
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tr_list.append(tr)
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if len(tr_list) < length:
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return None
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# 前 length 个 TR 的均值作为第一个 ATR，然后平滑（这里用 SMA 简化）
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atr = sum(tr_list[-length:]) / length
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return atr
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def get_prev_kline_struct(self, prev_kline):
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"""上一根 K 线基础结构（与策略文档一致）"""
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body_high = max(prev_kline['open'], prev_kline['close'])
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body_low = min(prev_kline['open'], prev_kline['close'])
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body_size = body_high - body_low
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upper_wick = prev_kline['high'] - body_high
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lower_wick = body_low - prev_kline['low']
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full_range = prev_kline['high'] - prev_kline['low']
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return {
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'body_high': body_high,
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'body_low': body_low,
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'body_size': body_size,
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'upper_wick': upper_wick,
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'lower_wick': lower_wick,
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'full_range': full_range if full_range > 0 else 1e-8,
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}
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def detect_mode(self, klines):
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"""基于最近 MODE_LOOKBACK 根 K 线判定趋势/震荡，并更新 self.mode 与锁定。"""
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if not klines or len(klines) < MODE_LOOKBACK:
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return
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lookback = klines[-MODE_LOOKBACK:]
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body_sizes = []
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full_ranges = []
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upper_wicks = []
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lower_wicks = []
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bullish_count = sum(1 for k in lookback if k['close'] > k['open'])
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bearish_count = len(lookback) - bullish_count
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direction_consistency = max(bullish_count, bearish_count) / MODE_LOOKBACK
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for k in lookback:
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s = self.get_prev_kline_struct(k)
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body_sizes.append(s['body_size'])
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full_ranges.append(s['full_range'])
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upper_wicks.append(s['upper_wick'])
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lower_wicks.append(s['lower_wick'])
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avg_body = sum(body_sizes) / len(body_sizes)
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avg_range = sum(full_ranges) / len(full_ranges)
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avg_wick = sum(upper_wicks) / len(upper_wicks) + sum(lower_wicks) / len(lower_wicks)
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body_ratio = avg_body / avg_range if avg_range > 0 else 0
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wick_ratio = avg_wick / avg_range if avg_range > 0 else 0
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trend_score = sum([body_ratio >= 0.6, wick_ratio <= 0.35, direction_consistency >= 0.67])
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range_score = sum([body_ratio <= 0.4, wick_ratio >= 0.5, direction_consistency <= 0.5])
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if self.mode_lock_remaining > 0:
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return
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if trend_score >= 2:
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self.mode = "TREND"
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self.mode_lock_remaining = MODE_LOCK_BARS
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logger.info(f"模式切换为 TREND，锁定 {MODE_LOCK_BARS} 根K线")
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elif range_score >= 2:
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self.mode = "RANGE"
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self.mode_lock_remaining = 0
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logger.info("模式切换为 RANGE")
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# 其他情况沿用上一模式
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def get_current_price(self):
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"""获取当前最新价格"""
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try:
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@@ -112,7 +225,7 @@ class BitmartFuturesTransaction:
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return None
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def get_position_status(self):
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"""获取当前持仓方向"""
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"""获取当前持仓方向，并维护 entry_price / best_price（无仓时清空）"""
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try:
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response = self.contractAPI.get_position(contract_symbol=self.contract_symbol)[0]
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if response['code'] == 1000:
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@@ -122,15 +235,21 @@ class BitmartFuturesTransaction:
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self.open_avg_price = None
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self.current_amount = None
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self.unrealized_pnl = None
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self.entry_price = None
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self.best_price = None
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self.is_wick_position = False
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return True
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pos = positions[0]
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self.start = 1 if pos['position_type'] == 1 else -1
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self.open_avg_price = float(pos['open_avg_price'])
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self.current_amount = float(pos['current_amount'])
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self.position_cross = pos["position_cross"]
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# 直接从API获取未实现盈亏（Bitmart返回的是 unrealized_value 字段）
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self.unrealized_pnl = float(pos.get('unrealized_value', 0))
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logger.debug(f"持仓详情: 方向={self.start}, 开仓均价={self.open_avg_price}, "
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if self.entry_price is None:
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self.entry_price = self.open_avg_price
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self.best_price = self.open_avg_price
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self.is_wick_position = False
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logger.debug(f"持仓: 方向={self.start}, 开仓均价={self.open_avg_price}, "
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f"持仓量={self.current_amount}, 未实现盈亏={self.unrealized_pnl:.2f}")
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return True
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else:
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@@ -187,16 +306,18 @@ class BitmartFuturesTransaction:
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def 开单(self, marketPriceLongOrder=0, limitPriceShortOrder=0, size=None, price=None):
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"""
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marketPriceLongOrder 市价做多或者做空，1是做多，-1是做空
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limitPriceShortOrder 限价做多或者做空
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marketPriceLongOrder 市价做多或做空，1=多，-1=空
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limitPriceShortOrder 限价
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size 市价单张数，不传则用 default_order_size
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"""
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order_size = size if size is not None else self.default_order_size
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if marketPriceLongOrder == -1:
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# self.click_safe('x://button[normalize-space(text()) ="市价"]')
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# self.page.ele('x://*[@id="size_0"]').input(vals=size, clear=True)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.page.ele('x://*[@id="size_0"]').input(vals=order_size, clear=True)
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self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
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elif marketPriceLongOrder == 1:
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# self.click_safe('x://button[normalize-space(text()) ="市价"]')
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# self.page.ele('x://*[@id="size_0"]').input(vals=size, clear=True)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.page.ele('x://*[@id="size_0"]').input(vals=order_size, clear=True)
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self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
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if limitPriceShortOrder == -1:
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@@ -219,135 +340,142 @@ class BitmartFuturesTransaction:
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else:
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logger.info(text)
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def calculate_entity(self, kline):
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"""计算K线实体大小（绝对值）"""
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return abs(kline['close'] - kline['open'])
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def compute_third_prices(self, prev_kline, current_kline):
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"""
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三分之一关键价位与形态过滤（与策略文档一致）。
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返回: dict(long_trigger, short_trigger, break_long, break_short,
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skip_long_by_lower_third, skip_short_by_upper_third, body_size, prev_struct)
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"""
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s = self.get_prev_kline_struct(prev_kline)
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body_high, body_low, body_size = s['body_high'], s['body_low'], s['body_size']
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def calculate_upper_shadow(self, kline):
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"""计算上阴线（上影线）涨幅百分比"""
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# 上阴线 = (最高价 - max(开盘价, 收盘价)) / max(开盘价, 收盘价)
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body_top = max(kline['open'], kline['close'])
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if body_top == 0:
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return 0
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return (kline['high'] - body_top) / body_top * 100
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prev_bull = prev_kline['close'] > prev_kline['open']
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prev_bear = prev_kline['close'] < prev_kline['open']
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curr_open_above = current_kline['open'] > prev_kline['close']
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curr_open_below = current_kline['open'] < prev_kline['close']
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use_curr_open = (prev_bull and curr_open_above) or (prev_bear and curr_open_below)
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def calculate_lower_shadow(self, kline):
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"""计算下阴线（下影线）跌幅百分比"""
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# 下阴线 = (min(开盘价, 收盘价) - 最低价) / min(开盘价, 收盘价)
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body_bottom = min(kline['open'], kline['close'])
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if body_bottom == 0:
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return 0
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return (body_bottom - kline['low']) / body_bottom * 100
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if use_curr_open:
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co = current_kline['open']
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long_trigger = co - body_size / 3
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short_trigger = co + body_size / 3
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break_long = co + body_size / 3
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break_short = co - body_size / 3
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else:
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long_trigger = body_low + body_size / 3
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short_trigger = body_high - body_size / 3
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break_long = body_high + body_size / 3
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break_short = body_low - body_size / 3
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prev_bear_curr_bull = prev_bear and (current_kline['close'] > current_kline['open'])
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prev_bull_curr_bear = prev_bull and (current_kline['close'] < current_kline['open'])
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skip_short_by_upper_third = prev_bear_curr_bull
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skip_long_by_lower_third = prev_bull_curr_bear
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def get_entity_edge(self, kline):
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"""获取K线实体边（收盘价或开盘价，取决于是阳线还是阴线）"""
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# 阳线（收盘>开盘）：实体上边=收盘价，实体下边=开盘价
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# 阴线（收盘<开盘）：实体上边=开盘价，实体下边=收盘价
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return {
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'upper': max(kline['open'], kline['close']), # 实体上边
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'lower': min(kline['open'], kline['close']) # 实体下边
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'long_trigger': long_trigger,
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'short_trigger': short_trigger,
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'break_long': break_long,
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'break_short': break_short,
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'skip_long_by_lower_third': skip_long_by_lower_third,
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'skip_short_by_upper_third': skip_short_by_upper_third,
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'body_size': body_size,
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'prev_struct': s,
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}
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def check_signal(self, current_price, prev_kline, current_kline):
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"""
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检查交易信号
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返回: ('long', trigger_price) / ('short', trigger_price) / None
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"""
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# 计算上一根K线实体
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prev_entity = self.calculate_entity(prev_kline)
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def check_sl(self, current_price, prev_kline, atr):
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"""影线单止损（优先级 1）。仅对 is_wick_position 生效。返回 'close' 或 None。"""
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if atr is None or atr <= 0 or not self.is_wick_position:
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return None
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if self.start == 1:
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sl = prev_kline['low'] - atr * SL_WICK_ATR
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if current_price <= sl:
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logger.info(f"影线多单止损: 价格 {current_price:.2f} <= SL {sl:.2f} (low - ATR*{SL_WICK_ATR})")
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return 'close'
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elif self.start == -1:
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sl = prev_kline['high'] + atr * SL_WICK_ATR
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if current_price >= sl:
|
||||
logger.info(f"影线空单止损: 价格 {current_price:.2f} >= SL {sl:.2f} (high + ATR*{SL_WICK_ATR})")
|
||||
return 'close'
|
||||
return None
|
||||
|
||||
# 实体过小不交易（实体 < 0.1）
|
||||
if prev_entity < 0.1:
|
||||
logger.info(f"上一根K线实体过小: {prev_entity:.4f}，跳过信号检测")
|
||||
def check_tp(self, current_price, atr):
|
||||
"""回撤止盈（优先级 2）。返回 'close' 或 None。"""
|
||||
if atr is None or atr <= 0 or self.entry_price is None or self.best_price is None:
|
||||
return None
|
||||
if abs(self.best_price - self.entry_price) < atr * TP_ACTIVATION:
|
||||
return None
|
||||
trail = TRAIL_RANGE * atr if self.mode == "RANGE" else TRAIL_TREND * atr
|
||||
if self.start == 1:
|
||||
if current_price <= self.best_price - trail:
|
||||
logger.info(f"多单止盈: 价格 {current_price:.2f} <= best_price - TRAIL ({self.best_price:.2f} - {trail:.2f})")
|
||||
return 'close'
|
||||
elif self.start == -1:
|
||||
if current_price >= self.best_price + trail:
|
||||
logger.info(f"空单止盈: 价格 {current_price:.2f} >= best_price + TRAIL ({self.best_price:.2f} + {trail:.2f})")
|
||||
return 'close'
|
||||
return None
|
||||
|
||||
def check_reversal(self, current_price, prev_kline, atr, third):
|
||||
"""反手信号（优先级 3），仅趋势模式。返回 (reverse_long/reverse_short, trigger_price) 或 None。"""
|
||||
if self.mode != "TREND" or atr is None or atr <= 0:
|
||||
return None
|
||||
s = third['prev_struct']
|
||||
body_high, body_low = s['body_high'], s['body_low']
|
||||
upper_wick_strength = s['upper_wick'] / atr
|
||||
lower_wick_strength = s['lower_wick'] / atr
|
||||
|
||||
if self.start == 1:
|
||||
if current_price <= third['short_trigger'] and not third['skip_short_by_upper_third']:
|
||||
logger.info(f"持多反手做空(1/3): 价格 {current_price:.2f} <= short_trigger {third['short_trigger']:.2f}")
|
||||
return ('reverse_short', third['short_trigger'])
|
||||
if upper_wick_strength >= WICK_EXTREME and current_price <= body_low:
|
||||
logger.info(f"持多反手做空(影线失败): upper_wick_strength={upper_wick_strength:.2f}, 价格<=body_low {body_low:.2f}")
|
||||
return ('reverse_short', body_low)
|
||||
elif self.start == -1:
|
||||
if current_price >= third['long_trigger'] and not third['skip_long_by_lower_third']:
|
||||
logger.info(f"持空反手做多(1/3): 价格 {current_price:.2f} >= long_trigger {third['long_trigger']:.2f}")
|
||||
return ('reverse_long', third['long_trigger'])
|
||||
if lower_wick_strength >= WICK_EXTREME and current_price >= body_high:
|
||||
logger.info(f"持空反手做多(影线失败): lower_wick_strength={lower_wick_strength:.2f}, 价格>=body_high {body_high:.2f}")
|
||||
return ('reverse_long', body_high)
|
||||
return None
|
||||
|
||||
def check_open(self, current_price, prev_kline, current_kline, atr, third):
|
||||
"""
|
||||
新开仓（优先级 4）。趋势模式只吃实体突破；震荡模式只吃影线回撤。
|
||||
返回: (signal_type, trigger_price, size, is_wick) 或 None。
|
||||
"""
|
||||
if self.start != 0:
|
||||
return None
|
||||
s = third['prev_struct']
|
||||
body_high, body_low = s['body_high'], s['body_low']
|
||||
body_size = third['body_size']
|
||||
if body_size < MIN_BODY:
|
||||
return None
|
||||
|
||||
# 获取上一根K线的实体上下边
|
||||
prev_entity_edge = self.get_entity_edge(prev_kline)
|
||||
prev_entity_upper = prev_entity_edge['upper'] # 实体上边
|
||||
prev_entity_lower = prev_entity_edge['lower'] # 实体下边
|
||||
if self.mode == "TREND":
|
||||
if current_price >= third['break_long'] and not third['skip_long_by_lower_third']:
|
||||
logger.info(f"趋势开多: 价格 {current_price:.2f} >= break_long {third['break_long']:.2f}")
|
||||
return ('long', third['break_long'], self.default_order_size, False)
|
||||
if current_price <= third['break_short'] and not third['skip_short_by_upper_third']:
|
||||
logger.info(f"趋势开空: 价格 {current_price:.2f} <= break_short {third['break_short']:.2f}")
|
||||
return ('short', third['break_short'], self.default_order_size, False)
|
||||
|
||||
# 优化：以下两种情况以当前这根的开盘价作为计算基准
|
||||
# 1) 上一根阳线 且 当前开盘价 > 上一根收盘价（跳空高开）
|
||||
# 2) 上一根阴线 且 当前开盘价 < 上一根收盘价（跳空低开）
|
||||
prev_is_bullish_for_calc = prev_kline['close'] > prev_kline['open']
|
||||
prev_is_bearish_for_calc = prev_kline['close'] < prev_kline['open']
|
||||
current_open_above_prev_close = current_kline['open'] > prev_kline['close']
|
||||
current_open_below_prev_close = current_kline['open'] < prev_kline['close']
|
||||
use_current_open_as_base = (prev_is_bullish_for_calc and current_open_above_prev_close) or (prev_is_bearish_for_calc and current_open_below_prev_close)
|
||||
elif self.mode == "RANGE" and atr and atr > 0:
|
||||
upper_wick_strength = s['upper_wick'] / atr
|
||||
lower_wick_strength = s['lower_wick'] / atr
|
||||
low, high = prev_kline['low'], prev_kline['high']
|
||||
wick_long_level = low + min(s['lower_wick'] * 0.5, atr * 0.6)
|
||||
wick_short_level = high - min(s['upper_wick'] * 0.5, atr * 0.6)
|
||||
size_wick = max(1, int(self.default_order_size * WICK_ORDER_RATIO))
|
||||
|
||||
if use_current_open_as_base:
|
||||
# 以当前K线开盘价为基准计算（跳空时用当前开盘价参与计算）
|
||||
calc_lower = current_kline['open']
|
||||
calc_upper = current_kline['open'] # 同一基准，上下三分之一对称
|
||||
long_trigger = calc_lower + prev_entity / 3
|
||||
short_trigger = calc_upper - prev_entity / 3
|
||||
long_breakout = calc_upper + prev_entity / 3
|
||||
short_breakout = calc_lower - prev_entity / 3
|
||||
else:
|
||||
# 原有计算方式
|
||||
long_trigger = prev_entity_lower + prev_entity / 3 # 做多触发价 = 实体下边 + 实体/3（下三分之一处）
|
||||
short_trigger = prev_entity_upper - prev_entity / 3 # 做空触发价 = 实体上边 - 实体/3（上三分之一处）
|
||||
long_breakout = prev_entity_upper + prev_entity / 3 # 做多突破价 = 实体上边 + 实体/3
|
||||
short_breakout = prev_entity_lower - prev_entity / 3 # 做空突破价 = 实体下边 - 实体/3
|
||||
|
||||
# 上一根阴线 + 当前阳线：做多形态，不按上一根K线上三分之一做空
|
||||
prev_is_bearish = prev_kline['close'] < prev_kline['open']
|
||||
current_is_bullish = current_kline['close'] > current_kline['open']
|
||||
skip_short_by_upper_third = prev_is_bearish and current_is_bullish
|
||||
# 上一根阳线 + 当前阴线：做空形态，不按上一根K线下三分之一做多
|
||||
prev_is_bullish = prev_kline['close'] > prev_kline['open']
|
||||
current_is_bearish = current_kline['close'] < current_kline['open']
|
||||
skip_long_by_lower_third = prev_is_bullish and current_is_bearish
|
||||
|
||||
if use_current_open_as_base:
|
||||
if prev_is_bullish_for_calc and current_open_above_prev_close:
|
||||
logger.info(f"上一根阳线且当前开盘价({current_kline['open']:.2f})>上一根收盘价({prev_kline['close']:.2f})，以当前开盘价为基准计算")
|
||||
else:
|
||||
logger.info(f"上一根阴线且当前开盘价({current_kline['open']:.2f})<上一根收盘价({prev_kline['close']:.2f})，以当前开盘价为基准计算")
|
||||
logger.info(f"当前价格: {current_price:.2f}, 上一根实体: {prev_entity:.4f}")
|
||||
logger.info(f"上一根实体上边: {prev_entity_upper:.2f}, 下边: {prev_entity_lower:.2f}")
|
||||
logger.info(f"做多触发价(下1/3): {long_trigger:.2f}, 做空触发价(上1/3): {short_trigger:.2f}")
|
||||
logger.info(f"突破做多价(上1/3外): {long_breakout:.2f}, 突破做空价(下1/3外): {short_breakout:.2f}")
|
||||
if skip_short_by_upper_third:
|
||||
logger.info("上一根阴线+当前阳线(做多形态)，不按上三分之一做空")
|
||||
if skip_long_by_lower_third:
|
||||
logger.info("上一根阳线+当前阴线(做空形态)，不按下三分之一做多")
|
||||
|
||||
# 无持仓时检查开仓信号
|
||||
if self.start == 0:
|
||||
if current_price >= long_breakout and not skip_long_by_lower_third:
|
||||
logger.info(f"触发做多信号！价格 {current_price:.2f} >= 突破价(上1/3外) {long_breakout:.2f}")
|
||||
return ('long', long_breakout)
|
||||
elif current_price <= short_breakout and not skip_short_by_upper_third:
|
||||
logger.info(f"触发做空信号！价格 {current_price:.2f} <= 突破价(下1/3外) {short_breakout:.2f}")
|
||||
return ('short', short_breakout)
|
||||
|
||||
# 持仓时检查反手信号
|
||||
elif self.start == 1: # 持多仓
|
||||
# 反手条件1: 价格跌到上一根K线的上三分之一处（做空触发价）；上一根阴线+当前阳线做多时跳过
|
||||
if current_price <= short_trigger and not skip_short_by_upper_third:
|
||||
logger.info(f"持多反手做空！价格 {current_price:.2f} <= 触发价(上1/3) {short_trigger:.2f}")
|
||||
return ('reverse_short', short_trigger)
|
||||
|
||||
# 反手条件2: 上一根K线上阴线涨幅>0.01%，当前跌到上一根实体下边
|
||||
upper_shadow_pct = self.calculate_upper_shadow(prev_kline)
|
||||
if upper_shadow_pct > 0.01 and current_price <= prev_entity_lower:
|
||||
logger.info(f"持多反手做空！上阴线涨幅 {upper_shadow_pct:.4f}% > 0.01%，"
|
||||
f"价格 {current_price:.2f} <= 实体下边 {prev_entity_lower:.2f}")
|
||||
return ('reverse_short', prev_entity_lower)
|
||||
|
||||
elif self.start == -1: # 持空仓
|
||||
# 反手条件1: 价格涨到上一根K线的下三分之一处（做多触发价）；上一根阳线+当前阴线做空时跳过
|
||||
if current_price >= long_trigger and not skip_long_by_lower_third:
|
||||
logger.info(f"持空反手做多！价格 {current_price:.2f} >= 触发价(下1/3) {long_trigger:.2f}")
|
||||
return ('reverse_long', long_trigger)
|
||||
|
||||
# 反手条件2: 上一根K线下阴线跌幅>0.01%，当前涨到上一根实体上边
|
||||
lower_shadow_pct = self.calculate_lower_shadow(prev_kline)
|
||||
if lower_shadow_pct > 0.01 and current_price >= prev_entity_upper:
|
||||
logger.info(f"持空反手做多！下阴线跌幅 {lower_shadow_pct:.4f}% > 0.01%，"
|
||||
f"价格 {current_price:.2f} >= 实体上边 {prev_entity_upper:.2f}")
|
||||
return ('reverse_long', prev_entity_upper)
|
||||
if lower_wick_strength >= WICK_VALID and current_price >= wick_long_level and current_price > body_low:
|
||||
logger.info(f"震荡影线开多: lower_wick_strength={lower_wick_strength:.2f}, 价格>={wick_long_level:.2f}")
|
||||
return ('long', wick_long_level, size_wick, True)
|
||||
if upper_wick_strength >= WICK_VALID and current_price <= wick_short_level and current_price < body_high:
|
||||
logger.info(f"震荡影线开空: upper_wick_strength={upper_wick_strength:.2f}, 价格<={wick_short_level:.2f}")
|
||||
return ('short', wick_short_level, size_wick, True)
|
||||
|
||||
return None
|
||||
|
||||
@@ -389,10 +517,35 @@ class BitmartFuturesTransaction:
|
||||
logger.error("查询持仓状态失败")
|
||||
return False
|
||||
|
||||
def execute_trade(self, signal, size=None):
|
||||
"""执行交易。size 不传或为 None 时使用 default_order_size。"""
|
||||
signal_type, trigger_price = signal
|
||||
size = self.default_order_size if size is None else size
|
||||
def execute_close(self):
|
||||
"""执行平仓（用于止盈/止损）。"""
|
||||
self.平仓()
|
||||
time.sleep(1)
|
||||
for _ in range(10):
|
||||
if self.get_position_status() and self.start == 0:
|
||||
break
|
||||
time.sleep(1)
|
||||
if self.start == 0:
|
||||
self.entry_price = None
|
||||
self.best_price = None
|
||||
self.is_wick_position = False
|
||||
logger.success("平仓成功")
|
||||
return True
|
||||
logger.warning("平仓后仍有持仓")
|
||||
return False
|
||||
|
||||
def execute_trade(self, signal, size=None, is_wick=False):
|
||||
"""
|
||||
执行交易。signal = (type, trigger_price) 或 (type, trigger_price, size, is_wick)。
|
||||
size 不传或 None 时使用 default_order_size；开仓成功后设置 self.is_wick_position = is_wick。
|
||||
"""
|
||||
signal_type = signal[0]
|
||||
trigger_price = signal[1]
|
||||
if len(signal) >= 4:
|
||||
size = signal[2]
|
||||
is_wick = signal[3]
|
||||
else:
|
||||
size = size if size is not None else self.default_order_size
|
||||
|
||||
if signal_type == 'long':
|
||||
# 开多前先确认无持仓
|
||||
@@ -404,12 +557,13 @@ class BitmartFuturesTransaction:
|
||||
logger.warning(f"开多前发现已有持仓 (方向: {self.start})，放弃开仓避免双向持仓")
|
||||
return False
|
||||
|
||||
logger.info(f"确认无持仓，执行开多")
|
||||
logger.info(f"确认无持仓，执行开多 (size={size}, is_wick={is_wick})")
|
||||
self.开单(marketPriceLongOrder=1, size=size)
|
||||
time.sleep(3) # 等待订单执行
|
||||
|
||||
# 验证开仓是否成功
|
||||
time.sleep(3)
|
||||
if self.verify_position_direction(1):
|
||||
self.is_wick_position = is_wick
|
||||
self.entry_price = self.open_avg_price
|
||||
self.best_price = self.open_avg_price
|
||||
logger.success("开多成功")
|
||||
return True
|
||||
else:
|
||||
@@ -426,12 +580,13 @@ class BitmartFuturesTransaction:
|
||||
logger.warning(f"开空前发现已有持仓 (方向: {self.start})，放弃开仓避免双向持仓")
|
||||
return False
|
||||
|
||||
logger.info(f"确认无持仓，执行开空")
|
||||
logger.info(f"确认无持仓，执行开空 (size={size}, is_wick={is_wick})")
|
||||
self.开单(marketPriceLongOrder=-1, size=size)
|
||||
time.sleep(3) # 等待订单执行
|
||||
|
||||
# 验证开仓是否成功
|
||||
time.sleep(3)
|
||||
if self.verify_position_direction(-1):
|
||||
self.is_wick_position = is_wick
|
||||
self.entry_price = self.open_avg_price
|
||||
self.best_price = self.open_avg_price
|
||||
logger.success("开空成功")
|
||||
return True
|
||||
else:
|
||||
@@ -456,6 +611,9 @@ class BitmartFuturesTransaction:
|
||||
time.sleep(3)
|
||||
|
||||
if self.verify_position_direction(1):
|
||||
self.is_wick_position = False
|
||||
self.entry_price = self.open_avg_price
|
||||
self.best_price = self.open_avg_price
|
||||
logger.success("反手做多成功")
|
||||
time.sleep(20)
|
||||
return True
|
||||
@@ -480,6 +638,9 @@ class BitmartFuturesTransaction:
|
||||
time.sleep(3)
|
||||
|
||||
if self.verify_position_direction(-1):
|
||||
self.is_wick_position = False
|
||||
self.entry_price = self.open_avg_price
|
||||
self.best_price = self.open_avg_price
|
||||
logger.success("反手做空成功")
|
||||
time.sleep(20)
|
||||
return True
|
||||
@@ -490,11 +651,10 @@ class BitmartFuturesTransaction:
|
||||
return False
|
||||
|
||||
def action(self):
|
||||
"""主循环"""
|
||||
"""主循环：优先级 1 止损 -> 2 止盈 -> 3 反手 -> 4 新开仓"""
|
||||
|
||||
logger.info("开始运行三分之一策略交易...")
|
||||
logger.info("开始运行：三分之一 + 五分钟 + 反手（影线 ATR 自适应 · 趋势/震荡双模式 · 高胜率版）")
|
||||
|
||||
# 启动时设置全仓高杠杆
|
||||
if not self.set_leverage():
|
||||
logger.error("杠杆设置失败，程序继续运行但可能下单失败")
|
||||
return
|
||||
@@ -504,7 +664,6 @@ class BitmartFuturesTransaction:
|
||||
while True:
|
||||
|
||||
if page_start:
|
||||
# 打开浏览器
|
||||
for i in range(5):
|
||||
if self.openBrowser():
|
||||
logger.info("浏览器打开成功")
|
||||
@@ -512,59 +671,92 @@ class BitmartFuturesTransaction:
|
||||
else:
|
||||
self.ding("打开浏览器失败！", error=True)
|
||||
return
|
||||
|
||||
# 进入交易页面
|
||||
self.page.get("https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT")
|
||||
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||||
|
||||
self.page.ele('x://*[@id="size_0"]').input(vals=25, clear=True)
|
||||
|
||||
self.page.ele('x://*[@id="size_0"]').input(vals=self.default_order_size, clear=True)
|
||||
page_start = False
|
||||
|
||||
try:
|
||||
# 1. 获取K线数据（当前K线和上一根K线）
|
||||
prev_kline, current_kline = self.get_klines()
|
||||
if not prev_kline or not current_kline:
|
||||
logger.warning("获取K线失败，等待重试...")
|
||||
time.sleep(5)
|
||||
continue
|
||||
|
||||
# 记录进入新的K线
|
||||
current_kline_time = current_kline['id']
|
||||
if self.last_kline_time != current_kline_time:
|
||||
self.last_kline_time = current_kline_time
|
||||
if self.mode_lock_remaining > 0:
|
||||
self.mode_lock_remaining -= 1
|
||||
logger.info(f"进入新K线: {current_kline_time}")
|
||||
|
||||
# 2. 获取当前价格
|
||||
current_price = self.get_current_price()
|
||||
if not current_price:
|
||||
logger.warning("获取价格失败，等待重试...")
|
||||
time.sleep(2)
|
||||
continue
|
||||
|
||||
# 3. 每次循环都通过SDK获取真实持仓状态（避免状态不同步导致双向持仓）
|
||||
if not self.get_position_status():
|
||||
logger.warning("获取持仓状态失败，等待重试...")
|
||||
time.sleep(2)
|
||||
continue
|
||||
|
||||
logger.debug(f"当前持仓状态: {self.start} (0=无, 1=多, -1=空)")
|
||||
# 批量 K 线用于 ATR 与模式判定
|
||||
batch_count = ATR_LENGTH + MODE_LOOKBACK + 2
|
||||
klines_batch = self.get_klines_batch(batch_count)
|
||||
atr = self.compute_atr(klines_batch, ATR_LENGTH) if len(klines_batch) >= ATR_LENGTH + 1 else None
|
||||
if len(klines_batch) >= MODE_LOOKBACK:
|
||||
self.detect_mode(klines_batch)
|
||||
|
||||
# 4. 检查信号
|
||||
signal = self.check_signal(current_price, prev_kline, current_kline)
|
||||
third = self.compute_third_prices(prev_kline, current_kline)
|
||||
|
||||
# 5. 有信号则执行交易
|
||||
if signal:
|
||||
trade_success = self.execute_trade(signal)
|
||||
if trade_success:
|
||||
logger.success(f"交易执行完成: {signal[0]}, 当前持仓状态: {self.start}")
|
||||
# 持仓时更新 best_price（多=最高价，空=最低价）
|
||||
if self.start == 1 and self.best_price is not None:
|
||||
self.best_price = max(self.best_price, current_price)
|
||||
elif self.start == -1 and self.best_price is not None:
|
||||
self.best_price = min(self.best_price, current_price)
|
||||
|
||||
logger.debug(f"持仓: {self.start}, 模式: {self.mode}, ATR: {f'{atr:.4f}' if atr else 'N/A'}")
|
||||
|
||||
acted = False
|
||||
|
||||
# 1. 止损（仅影线单）
|
||||
if self.start != 0:
|
||||
sl_action = self.check_sl(current_price, prev_kline, atr)
|
||||
if sl_action == 'close':
|
||||
self.execute_close()
|
||||
acted = True
|
||||
page_start = True
|
||||
else:
|
||||
logger.warning(f"交易执行失败或被阻止: {signal[0]}")
|
||||
|
||||
# 短暂等待后继续循环（同一根K线遇到信号就操作）
|
||||
# 2. 止盈
|
||||
if not acted and self.start != 0:
|
||||
tp_action = self.check_tp(current_price, atr)
|
||||
if tp_action == 'close':
|
||||
self.execute_close()
|
||||
acted = True
|
||||
page_start = True
|
||||
|
||||
# 3. 反手（仅趋势模式）
|
||||
if not acted and self.start != 0:
|
||||
rev_signal = self.check_reversal(current_price, prev_kline, atr, third)
|
||||
if rev_signal:
|
||||
if self.execute_trade(rev_signal):
|
||||
acted = True
|
||||
page_start = True
|
||||
else:
|
||||
logger.warning(f"反手执行失败: {rev_signal[0]}")
|
||||
|
||||
# 4. 新开仓（趋势=实体突破，震荡=影线回撤）
|
||||
if not acted and self.start == 0:
|
||||
open_signal = self.check_open(current_price, prev_kline, current_kline, atr, third)
|
||||
if open_signal:
|
||||
if self.execute_trade(open_signal):
|
||||
acted = True
|
||||
page_start = True
|
||||
else:
|
||||
logger.warning(f"开仓执行失败: {open_signal[0]}")
|
||||
|
||||
time.sleep(0.1)
|
||||
|
||||
if page_start:
|
||||
self.page.close()
|
||||
time.sleep(5)
|
||||
|
||||
Reference in New Issue
Block a user