993 lines
49 KiB
Python
993 lines
49 KiB
Python
import sys
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import time
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from datetime import datetime
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from tqdm import tqdm
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from loguru import logger
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from bit_tools import openBrowser
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from DrissionPage import ChromiumPage
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from DrissionPage import ChromiumOptions
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from bitmart.api_contract import APIContract
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from rich.console import Console
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from rich.panel import Panel
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from rich.table import Table
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from rich.layout import Layout
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from rich.align import Align
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from rich.text import Text
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from rich.live import Live
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# 是否使用 Rich 仪表盘（否则用 loguru 普通输出）
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USE_RICH_DASHBOARD = True
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console = Console()
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# 颜色标签（loguru 用，无 Rich 时）
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_R = "\033[0m"
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_B = "\033[1m"
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_C = "\033[36m"
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_Y = "\033[33m"
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_G = "\033[32m"
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_M = "\033[90m"
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_W = "\033[97m"
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def _tag(t: str, color: str) -> str:
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return color + "[" + t + "]" + _R + " "
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LOG_PRICE = _tag("价格", _C)
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LOG_SIGNAL = _tag("信号", _Y)
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LOG_POSITION = _tag("仓位", _G)
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LOG_SYSTEM = _tag("系统", _M)
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if not USE_RICH_DASHBOARD:
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logger.remove()
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logger.add(sys.stderr, format="\033[2m│\033[0m {message}", colorize=False)
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def log_kline_header(kline_id):
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"""新 K 线分块头（仅非 Rich 模式使用）"""
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s = f" K 线 {kline_id} "
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width = max(52, len(s) + 4)
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line = "─" * (width - 2)
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pad_left = (width - 2 - len(s)) // 2
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pad_right = width - 2 - len(s) - pad_left
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logger.info(_M + "╭" + line + "╮" + _R)
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logger.info(_M + "│" + _R + " " * pad_left + _B + _W + s + _R + " " * pad_right + _M + "│" + _R)
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logger.info(_M + "╰" + line + "╯" + _R)
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# ---------- Rich 仪表盘 ----------
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def make_header() -> Panel:
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title = Text("四分之一策略 · ETHUSDT 5m", style="bold cyan")
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subtitle = Text(datetime.now().strftime("%Y-%m-%d %H:%M:%S"), style="dim")
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return Panel(Align.center(title + Text("\n") + subtitle), border_style="cyan")
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def make_metrics_panel(state: dict) -> Panel:
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t = Table(show_header=True, header_style="bold magenta", expand=True)
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t.add_column("指标", style="cyan")
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t.add_column("数值", justify="right", style="green")
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t.add_row("当前价", f"{state.get('price', 0):.2f}")
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pos_map = {0: "无", 1: "多", -1: "空"}
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t.add_row("持仓", pos_map.get(state.get("position", 0), "?"))
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t.add_row("K线 ID", str(state.get("kline_id", "-")))
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t.add_row("做多触发", f"{state.get('long_trigger', 0):.2f}")
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t.add_row("做空触发", f"{state.get('short_trigger', 0):.2f}")
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t.add_row("突破做多", f"{state.get('long_breakout', 0):.2f}")
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t.add_row("突破做空", f"{state.get('short_breakout', 0):.2f}")
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ema10 = state.get("ema10")
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atr14 = state.get("atr14")
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t.add_row("EMA10", f"{ema10:.2f}" if ema10 is not None else "-")
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t.add_row("ATR14", f"{atr14:.2f}" if atr14 is not None else "-")
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pnl = state.get("unrealized_pnl")
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t.add_row("未实现盈亏", f"{pnl:.2f}$" if pnl is not None else "-")
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return Panel(t, title="[bold]价格 / 指标[/bold]", border_style="magenta")
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def make_logs_panel(logs: list) -> Panel:
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body = "\n".join(logs[-12:]) if logs else "等待日志..."
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text = Text.from_ansi(body) if body else Text("等待日志...", style="dim")
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return Panel(text, title="[bold]状态 / 日志[/bold]", border_style="green")
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def make_footer(msg: str = "Ctrl+C 退出") -> Panel:
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return Panel(Align.center(Text(msg, style="bold yellow")), border_style="yellow")
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def build_dashboard_layout(state: dict, logs: list) -> Layout:
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layout = Layout()
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layout.split_column(
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Layout(make_header(), name="header", size=5),
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Layout(name="body", ratio=1),
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Layout(make_footer(), name="footer", size=3),
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)
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layout["body"].split_row(
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Layout(make_metrics_panel(state), name="left", ratio=1),
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Layout(make_logs_panel(logs), name="right", ratio=2),
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)
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return layout
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class BitmartFuturesTransaction:
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def __init__(self, bit_id):
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self.page: ChromiumPage | None = None
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self.api_key = "a0fb7b98464fd9bcce67e7c519d58ec10d0c38a8"
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self.secret_key = "4eaeba78e77aeaab1c2027f846a276d164f264a44c2c1bb1c5f3be50c8de1ca5"
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self.memo = "合约交易"
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self.contract_symbol = "ETHUSDT"
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self.contractAPI = APIContract(self.api_key, self.secret_key, self.memo, timeout=(5, 15))
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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.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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# 反手频率控制
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self.reverse_cooldown_seconds = 1.5 * 60 # 反手冷却时间（秒）
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self.reverse_min_move_pct = 0.05 # 反手最小价差过滤（百分比）
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self.last_reverse_time = None # 上次反手时间
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# 开仓频率控制
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self.open_cooldown_seconds = 60 # 开仓冷却时间（秒），两次开仓至少间隔此时长
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self.last_open_time = None # 上次开仓时间
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self.last_open_kline_id = None # 上次开仓所在 K 线 id（仅记录，不限制单 K 线开仓次数）
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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.stop_loss_usd = -3 # 固定止损：亏损达到 3 美元平仓
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self.trailing_activation_usd = 2 # 盈利达到此金额后启动移动止损
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self.trailing_distance_usd = 1.5 # 从最高盈利回撤此金额则平仓
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self.max_unrealized_pnl_seen = None # 持仓期间见过的最大盈利（用于移动止损）
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# 当前K线从极值回落平仓
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# 模式: 'fixed'=固定点数(drop_from_high_to_close)；'pct_retrace'=按本K线涨幅比例动态算回撤
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self.drop_from_high_mode = 'pct_retrace' # 'fixed' | 'pct_retrace'
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self.drop_from_high_to_close = 2 # fixed 模式下：回落/反弹超过此价格（点数）则平仓，0 表示关闭
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# pct_retrace 模式：本K线涨幅 = (最高-开盘)/开盘*100；允许回撤% = 涨幅% * retrace_ratio，从最高点回撤超过则平仓
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self.retrace_ratio = 0.5 # 回撤系数，如 0.5 表示允许回撤涨幅的 50%（类似斐波那契 50% 回撤）
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self.min_rise_pct_to_activate = 0.02 # 至少涨/跌这么多才启用动态回撤，避免噪音
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self.min_drop_pct_from_high = 0.03 # 至少从最高点回撤这么多%才平仓（保底，避免过于敏感）
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# EMA(10) + ATR(14) 平仓（多/空一致）：多单跌破 EMA10 或从最高回撤≥ATR 平；空单涨破 EMA10 或从最低反弹≥ATR 平
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self.use_ema_atr_exit = True # 是否启用 EMA/ATR 平仓规则（多单+空单）
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self.atr_multiplier = 1.1 # 追踪止盈：从极值回撤/反弹 ≥ 此倍数 × ATR(14) 则平仓
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self._candle_high_seen = None # 当前K线内见过的最高价（多头用）
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self._candle_low_seen = None # 当前K线内见过的最低价（空头用）
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self._candle_id_for_high_low = None # 记录高低对应的K线 id，换线则重置
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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.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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# 策略相关变量
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self.prev_kline = None
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self.current_kline = None
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self.prev_entity = None
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self.current_open = None
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# Rich 仪表盘：状态与日志（供 build_dashboard_layout 使用）
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self._display_state = {}
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self._display_logs = []
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self._display_triggers = {}
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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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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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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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if len(formatted) >= 2:
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return formatted[-2], formatted[-1]
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return None, None
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except Exception as e:
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logger.error(f"获取K线异常: {e}")
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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_series(self, count=35):
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"""获取最近 count 根 5 分钟 K 线（用于 EMA/ATR），按时间正序。最后一根为当前未收盘 K 线。"""
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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=5,
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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 = []
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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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return formatted[-count:] if len(formatted) >= count else formatted
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except Exception as e:
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logger.error(f"获取K线序列异常: {e}")
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return []
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@staticmethod
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def _ema(series, period):
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"""对序列 series（从旧到新）计算 EMA(period)，返回最后一个 EMA 值。"""
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if not series or len(series) < period:
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return None
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alpha = 2.0 / (period + 1)
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ema = sum(series[:period]) / period # 用前 period 根收盘的 SMA 做种子
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for i in range(period, len(series)):
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ema = alpha * series[i] + (1 - alpha) * ema
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return ema
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@staticmethod
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def _atr(klines, period=14):
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"""对 klines（从旧到新，每项含 high/low/close）计算 ATR(period)，返回最后一个 ATR 值。"""
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if not klines or len(klines) < period + 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) < period:
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return None
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# ATR = EMA(TR, period)
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alpha = 2.0 / (period + 1)
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atr = sum(tr_list[:period]) / period
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for i in range(period, len(tr_list)):
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atr = alpha * tr_list[i] + (1 - alpha) * atr
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return atr
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def get_ema_atr_for_exit(self, kline_series):
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"""
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基于已收盘 K 线计算 EMA10、EMA20、ATR(14)。
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kline_series 最后一根可为当前未收盘 K 线，计算时用倒数第 2~N 根作为已收盘。
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返回 (ema10, ema20, atr14)，任一不足则对应为 None。
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"""
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if not kline_series or len(kline_series) < 21:
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return None, None, None
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# 用除最后一根外的已收盘 K 线（若只有 21 根则用前 20 根）
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closed = kline_series[:-1] if len(kline_series) >= 21 else kline_series[:20]
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closes = [k['close'] for k in closed]
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ema10 = self._ema(closes, 10)
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ema20 = self._ema(closes, 20)
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atr14 = self._atr(closed, 14)
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return ema10, ema20, atr14
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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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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=1, # 1分钟
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start_time=end_time - 3600 * 1, # 取最近1小时
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end_time=end_time
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)[0]
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if response['code'] == 1000:
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return float(response['data'][-1]["close_price"])
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return None
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except Exception as e:
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logger.error(f"获取价格异常: {e}")
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return None
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def get_available_balance(self):
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"""获取合约账户可用USDT余额"""
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try:
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response = self.contractAPI.get_assets_detail()[0]
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if response['code'] == 1000:
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data = response['data']
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if isinstance(data, dict):
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return float(data.get('available_balance', 0))
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elif isinstance(data, list):
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for asset in data:
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if asset.get('currency') == 'USDT':
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return float(asset.get('available_balance', 0))
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return None
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except Exception as e:
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logger.error(f"余额查询异常: {e}")
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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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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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positions = response['data']
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if not positions:
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self.start = 0
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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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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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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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return False
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except Exception as e:
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logger.error(f"持仓查询异常: {e}")
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return False
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def get_unrealized_pnl_usd(self):
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"""
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获取当前持仓未实现盈亏（美元），直接使用API返回值
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"""
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if self.start == 0 or self.unrealized_pnl is None:
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return None
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return self.unrealized_pnl
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def set_leverage(self):
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"""程序启动时设置全仓 + 高杠杆"""
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try:
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response = self.contractAPI.post_submit_leverage(
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contract_symbol=self.contract_symbol,
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leverage=self.leverage,
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open_type=self.open_type
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)[0]
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if response['code'] == 1000:
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logger.success(f"全仓模式 + {self.leverage}x 杠杆设置成功")
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return True
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else:
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logger.error(f"杠杆设置失败: {response}")
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return False
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except Exception as e:
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logger.error(f"设置杠杆异常: {e}")
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return False
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def openBrowser(self):
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"""打开 TGE 对应浏览器实例"""
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try:
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bit_port = openBrowser(id=self.bit_id)
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co = ChromiumOptions()
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co.set_local_port(port=bit_port)
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self.page = ChromiumPage(addr_or_opts=co)
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return True
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except:
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return False
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def click_safe(self, xpath, sleep=0.5):
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"""安全点击"""
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try:
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ele = self.page.ele(xpath)
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if not ele:
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return False
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# ele.scroll.to_see(center=True)
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# time.sleep(sleep)
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ele.click(by_js=True)
|
||
return True
|
||
except:
|
||
return False
|
||
|
||
def 平仓(self):
|
||
"""平仓操作"""
|
||
self.click_safe('x://span[normalize-space(text()) ="市价"]')
|
||
|
||
def 开单(self, marketPriceLongOrder=0, limitPriceShortOrder=0, size=None, price=None):
|
||
"""
|
||
marketPriceLongOrder 市价做多或者做空，1是做多，-1是做空
|
||
limitPriceShortOrder 限价做多或者做空
|
||
"""
|
||
if marketPriceLongOrder == -1:
|
||
# self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||
# self.page.ele('x://*[@id="size_0"]').input(vals=size, clear=True)
|
||
self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
|
||
elif marketPriceLongOrder == 1:
|
||
# self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||
# self.page.ele('x://*[@id="size_0"]').input(vals=size, clear=True)
|
||
self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
|
||
|
||
if limitPriceShortOrder == -1:
|
||
self.click_safe('x://button[normalize-space(text()) ="限价"]')
|
||
self.page.ele('x://*[@id="price_0"]').input(vals=price, clear=True)
|
||
time.sleep(1)
|
||
self.page.ele('x://*[@id="size_0"]').input(1)
|
||
self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
|
||
elif limitPriceShortOrder == 1:
|
||
self.click_safe('x://button[normalize-space(text()) ="限价"]')
|
||
self.page.ele('x://*[@id="price_0"]').input(vals=price, clear=True)
|
||
time.sleep(1)
|
||
self.page.ele('x://*[@id="size_0"]').input(1)
|
||
self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
|
||
|
||
def ding(self, text, error=False):
|
||
"""日志通知"""
|
||
if error:
|
||
logger.error(text)
|
||
else:
|
||
logger.info(text)
|
||
|
||
def calculate_entity(self, kline):
|
||
"""计算K线实体大小（绝对值）"""
|
||
return abs(kline['close'] - kline['open'])
|
||
|
||
def calculate_upper_shadow(self, kline):
|
||
"""计算上阴线（上影线）涨幅百分比"""
|
||
# 上阴线 = (最高价 - max(开盘价, 收盘价)) / max(开盘价, 收盘价)
|
||
body_top = max(kline['open'], kline['close'])
|
||
if body_top == 0:
|
||
return 0
|
||
return (kline['high'] - body_top) / body_top * 100
|
||
|
||
def calculate_lower_shadow(self, kline):
|
||
"""计算下阴线（下影线）跌幅百分比"""
|
||
# 下阴线 = (min(开盘价, 收盘价) - 最低价) / min(开盘价, 收盘价)
|
||
body_bottom = min(kline['open'], kline['close'])
|
||
if body_bottom == 0:
|
||
return 0
|
||
return (body_bottom - kline['low']) / body_bottom * 100
|
||
|
||
def get_entity_edge(self, kline):
|
||
"""获取K线实体边（收盘价或开盘价，取决于是阳线还是阴线）"""
|
||
# 阳线（收盘>开盘）：实体上边=收盘价，实体下边=开盘价
|
||
# 阴线（收盘<开盘）：实体上边=开盘价，实体下边=收盘价
|
||
return {
|
||
'upper': max(kline['open'], kline['close']), # 实体上边
|
||
'lower': min(kline['open'], kline['close']) # 实体下边
|
||
}
|
||
|
||
def check_signal(self, current_price, prev_kline, current_kline):
|
||
"""
|
||
检查交易信号
|
||
返回: ('long', trigger_price) / ('short', trigger_price) / None
|
||
"""
|
||
# 计算上一根K线实体
|
||
prev_entity = self.calculate_entity(prev_kline)
|
||
|
||
# 实体过小不交易（实体 < 0.1）
|
||
if prev_entity < 0.1:
|
||
logger.info(LOG_PRICE + f"上一根K线实体过小: {prev_entity:.4f}，跳过信号检测")
|
||
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
|
||
|
||
# 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)
|
||
|
||
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，上下四分之一对称
|
||
long_trigger = calc_lower + prev_entity / 4
|
||
short_trigger = calc_upper - prev_entity / 4
|
||
long_breakout = calc_upper + prev_entity / 4
|
||
short_breakout = calc_lower - prev_entity / 4
|
||
else:
|
||
# 原有计算方式
|
||
long_trigger = prev_entity_lower + prev_entity / 4 # 做多触发价 = 实体下边 + 实体/4（下四分之一处）
|
||
short_trigger = prev_entity_upper - prev_entity / 4 # 做空触发价 = 实体上边 - 实体/4（上四分之一处）
|
||
long_breakout = prev_entity_upper + prev_entity / 4 # 做多突破价 = 实体上边 + 实体/4
|
||
short_breakout = prev_entity_lower - prev_entity / 4 # 做空突破价 = 实体下边 - 实体/4
|
||
|
||
# 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(LOG_PRICE + 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(LOG_PRICE + 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(LOG_PRICE + f"当前价: {current_price:.2f} | 上一根实体: {prev_entity:.4f} | 实体上边: {prev_entity_upper:.2f} 下边: {prev_entity_lower:.2f}")
|
||
logger.info(LOG_PRICE + f"做多触发(下1/4): {long_trigger:.2f} | 做空触发(上1/4): {short_trigger:.2f} | 突破做多: {long_breakout:.2f} | 突破做空: {short_breakout:.2f}")
|
||
if skip_short_by_upper_third:
|
||
logger.info(LOG_PRICE + "上一根阴+当前阳(做多形态)，不按上1/4做空")
|
||
if skip_long_by_lower_third:
|
||
logger.info(LOG_PRICE + "上一根阳+当前阴(做空形态)，不按下1/4做多")
|
||
|
||
self._display_triggers = {"long_trigger": long_trigger, "short_trigger": short_trigger, "long_breakout": long_breakout, "short_breakout": short_breakout}
|
||
|
||
# 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(LOG_SIGNAL + f"触发做多 | 价 {current_price:.2f} >= 突破价 {long_breakout:.2f}")
|
||
return ('long', long_breakout)
|
||
elif current_price <= short_breakout and not skip_short_by_upper_third:
|
||
logger.info(LOG_SIGNAL + f"触发做空 | 价 {current_price:.2f} <= 突破价 {short_breakout:.2f}")
|
||
return ('short', short_breakout)
|
||
|
||
# 持仓时检查反手信号
|
||
elif self.start == 1: # 持多仓
|
||
if current_price <= short_trigger and not skip_short_by_upper_third:
|
||
logger.info(LOG_SIGNAL + f"持多→反手做空 | 价 {current_price:.2f} <= 触发价 {short_trigger:.2f}")
|
||
return ('reverse_short', short_trigger)
|
||
upper_shadow_pct = self.calculate_upper_shadow(prev_kline)
|
||
if upper_shadow_pct > 0.01 and current_price <= prev_entity_lower:
|
||
logger.info(LOG_SIGNAL + f"持多→反手做空 | 上阴线 {upper_shadow_pct:.4f}% 价<=实体下边 {prev_entity_lower:.2f}")
|
||
return ('reverse_short', prev_entity_lower)
|
||
|
||
elif self.start == -1: # 持空仓
|
||
if current_price >= long_trigger and not skip_long_by_lower_third:
|
||
logger.info(LOG_SIGNAL + f"持空→反手做多 | 价 {current_price:.2f} >= 触发价 {long_trigger:.2f}")
|
||
return ('reverse_long', long_trigger)
|
||
lower_shadow_pct = self.calculate_lower_shadow(prev_kline)
|
||
if lower_shadow_pct > 0.01 and current_price >= prev_entity_upper:
|
||
logger.info(LOG_SIGNAL + f"持空→反手做多 | 下阴线 {lower_shadow_pct:.4f}% 价>=实体上边 {prev_entity_upper:.2f}")
|
||
return ('reverse_long', prev_entity_upper)
|
||
|
||
return None
|
||
|
||
def can_open(self, current_kline_id):
|
||
"""开仓前过滤：仅开仓冷却时间。单根 K 线符合规则可多次开仓。"""
|
||
now = time.time()
|
||
if self.last_open_time is not None and now - self.last_open_time < self.open_cooldown_seconds:
|
||
remain = self.open_cooldown_seconds - (now - self.last_open_time)
|
||
logger.info(LOG_SYSTEM + f"开仓冷却中，剩余 {remain:.0f} 秒")
|
||
return False
|
||
return True
|
||
|
||
def can_reverse(self, current_price, trigger_price):
|
||
"""反手前过滤：冷却时间 + 最小价差"""
|
||
now = time.time()
|
||
if self.last_reverse_time and now - self.last_reverse_time < self.reverse_cooldown_seconds:
|
||
remain = self.reverse_cooldown_seconds - (now - self.last_reverse_time)
|
||
logger.info(LOG_SYSTEM + f"反手冷却中，剩余 {remain:.0f} 秒")
|
||
return False
|
||
|
||
if trigger_price and trigger_price > 0:
|
||
move_pct = abs(current_price - trigger_price) / trigger_price * 100
|
||
if move_pct < self.reverse_min_move_pct:
|
||
logger.info(LOG_SYSTEM + f"反手价差不足: {move_pct:.4f}% < {self.reverse_min_move_pct}%")
|
||
return False
|
||
|
||
return True
|
||
|
||
def verify_no_position(self, max_retries=5, retry_interval=3):
|
||
"""
|
||
验证当前无持仓
|
||
返回: True 表示无持仓可以开仓，False 表示有持仓不能开仓
|
||
"""
|
||
for i in range(max_retries):
|
||
if self.get_position_status():
|
||
if self.start == 0:
|
||
logger.info(LOG_POSITION + "确认无持仓，可以开仓")
|
||
return True
|
||
else:
|
||
logger.warning(
|
||
f"仍有持仓 (方向: {self.start})，等待 {retry_interval} 秒后重试 ({i + 1}/{max_retries})")
|
||
time.sleep(retry_interval)
|
||
else:
|
||
logger.warning(f"查询持仓状态失败，等待 {retry_interval} 秒后重试 ({i + 1}/{max_retries})")
|
||
time.sleep(retry_interval)
|
||
|
||
logger.error(f"经过 {max_retries} 次重试仍有持仓或查询失败，放弃开仓")
|
||
return False
|
||
|
||
def verify_position_direction(self, expected_direction):
|
||
"""
|
||
验证当前持仓方向是否与预期一致
|
||
expected_direction: 1 多仓, -1 空仓
|
||
返回: True 表示持仓方向正确，False 表示不正确
|
||
"""
|
||
if self.get_position_status():
|
||
if self.start == expected_direction:
|
||
logger.info(LOG_POSITION + f"持仓方向验证成功: {self.start}")
|
||
return True
|
||
else:
|
||
logger.warning(f"持仓方向不符: 期望 {expected_direction}, 实际 {self.start}")
|
||
return False
|
||
else:
|
||
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
|
||
|
||
if signal_type == 'long':
|
||
# 开多前先确认无持仓
|
||
logger.info(LOG_POSITION + f"准备开多，触发价: {trigger_price:.2f}")
|
||
if not self.get_position_status():
|
||
logger.error("开仓前查询持仓状态失败，放弃开仓")
|
||
return False
|
||
if self.start != 0:
|
||
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(LOG_POSITION + "确认无持仓，执行开多")
|
||
self.开单(marketPriceLongOrder=1, size=size)
|
||
time.sleep(3) # 等待订单执行
|
||
|
||
# 验证开仓是否成功
|
||
if self.verify_position_direction(1):
|
||
self.max_unrealized_pnl_seen = None # 新仓位重置移动止损记录
|
||
self.last_open_time = time.time()
|
||
self.last_open_kline_id = getattr(self, "_current_kline_id_for_open", None)
|
||
logger.success(LOG_POSITION + "开多成功")
|
||
return True
|
||
else:
|
||
logger.error("开多后持仓验证失败")
|
||
return False
|
||
|
||
elif signal_type == 'short':
|
||
# 开空前先确认无持仓
|
||
logger.info(LOG_POSITION + f"准备开空，触发价: {trigger_price:.2f}")
|
||
if not self.get_position_status():
|
||
logger.error("开仓前查询持仓状态失败，放弃开仓")
|
||
return False
|
||
if self.start != 0:
|
||
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(LOG_POSITION + "确认无持仓，执行开空")
|
||
self.开单(marketPriceLongOrder=-1, size=size)
|
||
time.sleep(3) # 等待订单执行
|
||
|
||
# 验证开仓是否成功
|
||
if self.verify_position_direction(-1):
|
||
self.max_unrealized_pnl_seen = None # 新仓位重置移动止损记录
|
||
self.last_open_time = time.time()
|
||
self.last_open_kline_id = getattr(self, "_current_kline_id_for_open", None)
|
||
logger.success(LOG_POSITION + "开空成功")
|
||
return True
|
||
else:
|
||
logger.error("开空后持仓验证失败")
|
||
return False
|
||
|
||
elif signal_type == 'reverse_long':
|
||
# 平空 + 开多（反手做多）：先平仓，确认无仓后再开多，避免双向持仓
|
||
logger.info(LOG_POSITION + f"执行反手做多，触发价: {trigger_price:.2f}")
|
||
self.平仓()
|
||
time.sleep(1) # 给交易所处理平仓的时间
|
||
# 轮询确认已无持仓再开多（最多等约 10 秒）
|
||
for _ in range(10):
|
||
if self.get_position_status() and self.start == 0:
|
||
break
|
||
time.sleep(1)
|
||
if self.start != 0:
|
||
logger.warning("反手做多：平仓后仍有持仓，放弃本次开多")
|
||
return False
|
||
logger.info(LOG_POSITION + "已确认无持仓，执行开多")
|
||
self.开单(marketPriceLongOrder=1, size=size)
|
||
time.sleep(3)
|
||
|
||
if self.verify_position_direction(1):
|
||
self.max_unrealized_pnl_seen = None
|
||
logger.success(LOG_POSITION + "反手做多成功")
|
||
self.last_reverse_time = time.time()
|
||
time.sleep(20)
|
||
return True
|
||
else:
|
||
logger.error("反手做多后持仓验证失败")
|
||
return False
|
||
|
||
elif signal_type == 'reverse_short':
|
||
# 平多 + 开空（反手做空）：先平仓，确认无仓后再开空
|
||
logger.info(LOG_POSITION + f"执行反手做空，触发价: {trigger_price:.2f}")
|
||
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:
|
||
logger.warning("反手做空：平仓后仍有持仓，放弃本次开空")
|
||
return False
|
||
logger.info(LOG_POSITION + "已确认无持仓，执行开空")
|
||
self.开单(marketPriceLongOrder=-1, size=size)
|
||
time.sleep(3)
|
||
|
||
if self.verify_position_direction(-1):
|
||
self.max_unrealized_pnl_seen = None
|
||
logger.success(LOG_POSITION + "反手做空成功")
|
||
self.last_reverse_time = time.time()
|
||
time.sleep(20)
|
||
return True
|
||
else:
|
||
logger.error("反手做空后持仓验证失败")
|
||
return False
|
||
|
||
return False
|
||
|
||
def action(self):
|
||
"""主循环"""
|
||
|
||
logger.info(LOG_SYSTEM + "开始运行四分之一策略交易...")
|
||
|
||
# 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
|
||
|
||
page_start = True
|
||
if USE_RICH_DASHBOARD:
|
||
self._display_logs = []
|
||
logger.remove()
|
||
def _sink(msg):
|
||
self._display_logs.append(msg.record["message"])
|
||
if len(self._display_logs) > 50:
|
||
self._display_logs.pop(0)
|
||
logger.add(_sink, format="{message}")
|
||
|
||
live = None
|
||
if USE_RICH_DASHBOARD:
|
||
live = Live(console=console, refresh_per_second=8, screen=True)
|
||
live.start()
|
||
try:
|
||
while True:
|
||
if live is not None:
|
||
try:
|
||
live.update(build_dashboard_layout(self._display_state, self._display_logs))
|
||
except Exception:
|
||
pass
|
||
|
||
if page_start:
|
||
# 打开浏览器
|
||
for i in range(5):
|
||
if self.openBrowser():
|
||
logger.info(LOG_SYSTEM + "浏览器打开成功")
|
||
break
|
||
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)
|
||
|
||
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(LOG_SYSTEM + "获取K线失败，等待重试...")
|
||
time.sleep(5)
|
||
continue
|
||
|
||
# 记录进入新的K线（分块分隔，便于阅读）
|
||
current_kline_time = current_kline['id']
|
||
if self.last_kline_time != current_kline_time:
|
||
self.last_kline_time = current_kline_time
|
||
logger.info("")
|
||
log_kline_header(current_kline_time)
|
||
|
||
# 2. 获取当前价格
|
||
current_price = self.get_current_price()
|
||
if not current_price:
|
||
logger.warning(LOG_SYSTEM + "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(LOG_SYSTEM + "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)")
|
||
|
||
# 更新仪表盘左侧数据（供 Rich 展示）
|
||
try:
|
||
self._display_state["price"] = current_price
|
||
self._display_state["position"] = self.start
|
||
self._display_state["kline_id"] = current_kline_time
|
||
self._display_state["unrealized_pnl"] = self.get_unrealized_pnl_usd()
|
||
kline_series = self.get_klines_series(35)
|
||
ema10, ema20, atr14 = self.get_ema_atr_for_exit(kline_series)
|
||
self._display_state["ema10"] = ema10
|
||
self._display_state["atr14"] = atr14
|
||
if getattr(self, "_display_triggers", None):
|
||
self._display_state.update(self._display_triggers)
|
||
except Exception:
|
||
pass
|
||
|
||
# 3.5 止损/止盈/移动止损 + EMA/ATR 平仓 + 当前K线从极值回落平仓
|
||
if self.start != 0:
|
||
# 当前K线从最高/最低点回落平仓：换线重置跟踪，有持仓时更新本K线内最高/最低价并检查
|
||
if self._candle_id_for_high_low != current_kline_time:
|
||
self._candle_high_seen = None
|
||
self._candle_low_seen = None
|
||
self._candle_id_for_high_low = current_kline_time
|
||
# 多头：先更新本 K 线最高价（供 ATR 追踪与后续回落逻辑用）
|
||
if self.start == 1:
|
||
self._candle_high_seen = max(self._candle_high_seen or 0, current_price)
|
||
elif self.start == -1:
|
||
self._candle_low_seen = min(self._candle_low_seen or float('inf'), current_price)
|
||
|
||
# 多单：EMA(10) + ATR(14) 平仓 —— 收盘跌破 EMA10 先平；或从最高价回撤 ≥ 1.1×ATR 平
|
||
if self.start == 1 and self.use_ema_atr_exit:
|
||
kline_series = self.get_klines_series(35)
|
||
ema10, ema20, atr14 = self.get_ema_atr_for_exit(kline_series)
|
||
if ema10 is not None and current_price < ema10:
|
||
logger.info(LOG_POSITION + f"多单 EMA10 平仓 | 价 {current_price:.2f} 跌破 EMA10 {ema10:.2f}")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
self._candle_high_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
if atr14 is not None and self._candle_high_seen and (self._candle_high_seen - current_price) >= self.atr_multiplier * atr14:
|
||
logger.info(LOG_POSITION + f"多单 ATR 追踪止盈 | 最高 {self._candle_high_seen:.2f} 当前 {current_price:.2f} 回撤≥{self.atr_multiplier}×ATR={atr14:.2f}")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
self._candle_high_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
|
||
# 空单：EMA(10) + ATR(14) 平仓 —— 收盘涨破 EMA10 先平；或从最低价反弹 ≥ 1.1×ATR 平
|
||
if self.start == -1 and self.use_ema_atr_exit:
|
||
kline_series = self.get_klines_series(35)
|
||
ema10, ema20, atr14 = self.get_ema_atr_for_exit(kline_series)
|
||
if ema10 is not None and current_price > ema10:
|
||
logger.info(LOG_POSITION + f"空单 EMA10 平仓 | 价 {current_price:.2f} 涨破 EMA10 {ema10:.2f}")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
self._candle_low_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
if atr14 is not None and self._candle_low_seen and (current_price - self._candle_low_seen) >= self.atr_multiplier * atr14:
|
||
logger.info(LOG_POSITION + f"空单 ATR 追踪止盈 | 最低 {self._candle_low_seen:.2f} 当前 {current_price:.2f} 反弹≥{self.atr_multiplier}×ATR={atr14:.2f}")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
self._candle_low_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
|
||
use_fixed = self.drop_from_high_mode == 'fixed' and self.drop_from_high_to_close and self.drop_from_high_to_close > 0
|
||
use_pct = self.drop_from_high_mode == 'pct_retrace'
|
||
if use_fixed or use_pct:
|
||
if self.start == 1: # 多头：最高价已在上面更新，这里只做回落判断
|
||
do_close = False
|
||
if use_fixed and self._candle_high_seen and current_price <= self._candle_high_seen - self.drop_from_high_to_close:
|
||
do_close = True
|
||
reason = f"固定回落 {self.drop_from_high_to_close}"
|
||
elif use_pct and self._candle_high_seen and current_kline.get('open'):
|
||
candle_open = float(current_kline['open'])
|
||
rise_pct = (self._candle_high_seen - candle_open) / candle_open * 100 if candle_open > 0 else 0
|
||
if rise_pct >= self.min_rise_pct_to_activate:
|
||
drop_trigger_pct = max(self.min_drop_pct_from_high, rise_pct * self.retrace_ratio)
|
||
drop_pct = (self._candle_high_seen - current_price) / self._candle_high_seen * 100 if self._candle_high_seen else 0
|
||
if drop_pct >= drop_trigger_pct:
|
||
do_close = True
|
||
reason = f"涨幅 {rise_pct:.3f}% → 允许回撤 {drop_trigger_pct:.3f}%，实际回撤 {drop_pct:.3f}%"
|
||
else:
|
||
pass # 涨幅不足，不启用动态回撤
|
||
if do_close:
|
||
logger.info(LOG_POSITION + f"多单K线回落平仓 | 最高 {self._candle_high_seen:.2f} 当前 {current_price:.2f} | {reason}")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
self._candle_high_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
elif self.start == -1: # 空头：跟踪当前K线最低价，从最低点反弹超过阈值则平仓
|
||
self._candle_low_seen = min(self._candle_low_seen or float('inf'), current_price)
|
||
do_close = False
|
||
if use_fixed and self._candle_low_seen and current_price >= self._candle_low_seen + self.drop_from_high_to_close:
|
||
do_close = True
|
||
reason = f"固定反弹 {self.drop_from_high_to_close}"
|
||
elif use_pct and self._candle_low_seen and current_kline.get('open'):
|
||
candle_open = float(current_kline['open'])
|
||
rise_pct = (candle_open - self._candle_low_seen) / candle_open * 100 if candle_open > 0 else 0 # 对空头是“跌幅”
|
||
if rise_pct >= self.min_rise_pct_to_activate:
|
||
drop_trigger_pct = max(self.min_drop_pct_from_high, rise_pct * self.retrace_ratio)
|
||
bounce_pct = (current_price - self._candle_low_seen) / self._candle_low_seen * 100 if self._candle_low_seen else 0
|
||
if bounce_pct >= drop_trigger_pct:
|
||
do_close = True
|
||
reason = f"跌幅 {rise_pct:.3f}% → 允许反弹 {drop_trigger_pct:.3f}%，实际反弹 {bounce_pct:.3f}%"
|
||
if do_close:
|
||
logger.info(LOG_POSITION + f"空单K线反弹平仓 | 最低 {self._candle_low_seen:.2f} 当前 {current_price:.2f} | {reason}")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
self._candle_low_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
|
||
pnl_usd = self.get_unrealized_pnl_usd()
|
||
if pnl_usd is not None:
|
||
# 固定止损：亏损达到 3 美元平仓
|
||
if pnl_usd <= self.stop_loss_usd:
|
||
logger.info(LOG_POSITION + f"固定止损平仓 | 亏损 {pnl_usd:.2f} 美元")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
# 更新持仓期间最大盈利（用于移动止损）
|
||
if self.max_unrealized_pnl_seen is None:
|
||
self.max_unrealized_pnl_seen = pnl_usd
|
||
else:
|
||
self.max_unrealized_pnl_seen = max(self.max_unrealized_pnl_seen, pnl_usd)
|
||
# 移动止损：盈利曾达到 activation 后，从最高盈利回撤 trailing_distance 则平仓
|
||
if self.max_unrealized_pnl_seen >= self.trailing_activation_usd:
|
||
if pnl_usd < self.max_unrealized_pnl_seen - self.trailing_distance_usd:
|
||
logger.info(LOG_POSITION + f"移动止损平仓 | 盈利 {pnl_usd:.2f} 从最高 {self.max_unrealized_pnl_seen:.2f} 回撤≥{self.trailing_distance_usd}$")
|
||
self.平仓()
|
||
self.max_unrealized_pnl_seen = None
|
||
time.sleep(3)
|
||
continue
|
||
# 4. 检查信号
|
||
signal = self.check_signal(current_price, prev_kline, current_kline)
|
||
|
||
# 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]):
|
||
signal = None
|
||
|
||
# 5.5 开仓频率过滤：仅冷却时间，单根 K 线符合规则可多次开仓
|
||
if signal and signal[0] in ('long', 'short'):
|
||
if not self.can_open(current_kline_time):
|
||
signal = None
|
||
else:
|
||
self._current_kline_id_for_open = current_kline_time # 供 execute_trade 成功后记录
|
||
|
||
# 6. 有信号则执行交易
|
||
if signal:
|
||
trade_success = self.execute_trade(signal)
|
||
if trade_success:
|
||
logger.success(LOG_POSITION + f"交易执行完成: {signal[0]} | 当前持仓: {self.start}")
|
||
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）
|
||
time.sleep(0.1)
|
||
|
||
if page_start:
|
||
self.page.close()
|
||
time.sleep(5)
|
||
|
||
except KeyboardInterrupt:
|
||
logger.info(LOG_SYSTEM + "用户中断，程序退出")
|
||
break
|
||
except Exception as e:
|
||
logger.error(f"主循环异常: {e}")
|
||
time.sleep(5)
|
||
finally:
|
||
if live is not None:
|
||
try:
|
||
live.stop()
|
||
except Exception:
|
||
pass
|
||
|
||
if USE_RICH_DASHBOARD:
|
||
logger.remove()
|
||
logger.add(sys.stderr, format="{message}")
|
||
|
||
|
||
if __name__ == '__main__':
|
||
BitmartFuturesTransaction(bit_id="f2320f57e24c45529a009e1541e25961").action()
|
||
|