#!/usr/bin/env python3 # -*- coding: utf-8 -*- """ 交易策略数据模型 """ from dataclasses import dataclass, field from datetime import datetime from typing import Dict, List, Optional import json import os import uuid class ConsistencyRequirement: """一致性要求""" ANY = "any" # 任一信号即可 MAJORITY = "majority" # 多数信号一致 ALL = "all" # 所有信号一致 class ConflictResolution: """冲突解决策略""" HIGHEST_CONFIDENCE = "highest_confidence" # 最高置信度 HIGHEST_WEIGHT = "highest_weight" # 最高权重 SKIP = "skip" # 跳过冲突 class VolumeMode: """手数模式""" FIXED = "fixed" # 固定手数 RISK_PERCENT = "risk_percent" # 风险百分比 class StopLossMode: """止损模式""" SIGNAL = "signal" # 使用信号建议 FIXED_POINTS = "fixed_points" # 固定点数 ATR_PERCENT = "atr_percent" # ATR百分比 class TakeProfitMode: """止盈模式""" SIGNAL = "signal" # 使用信号建议 FIXED_POINTS = "fixed_points" # 固定点数 RISK_REWARD = "risk_reward" # 风险回报比 class PositionConflict: """持仓冲突处理""" ALLOW_OPPOSITE = "allow_opposite" # 允许反向 ALLOW_SAME = "allow_same" # 允许同向 ALLOW_BOTH = "allow_both" # 都允许 BLOCK = "block" # 有持仓则阻止 @dataclass class TradingStrategy: """交易策略 - 绑定品种，配置信号权重和决策规则""" # ==================== 基本信息 ==================== symbol: str # 绑定的品种 strategy_name: str = "" # 策略名称 # ==================== 启用状态 ==================== enabled: bool = True # 是否启用 # ==================== 信号源配置（新版：支持周期级别控制）==================== # 信号源配置结构： # { # "pivot": { # "enabled": true, # "periods": {"M1": {"enabled": true, "weight": 15}, "M5": {"enabled": true, "weight": 20}, ...} # }, # "key_level": {"enabled": true, "weight": 40}, # key_level 不区分周期 # "ai_entry": { # "enabled": true, # "periods": {"M5": {"enabled": true, "weight": 20}, ...} # } # } signal_config: Dict = field(default_factory=lambda: { "pivot": { "enabled": True, "periods": { "M1": {"enabled": True, "weight": 15}, "M5": {"enabled": True, "weight": 20}, "M15": {"enabled": False, "weight": 25}, "H1": {"enabled": False, "weight": 20}, "H4": {"enabled": False, "weight": 20} } }, "key_level": { "enabled": True, "weight": 40 }, "ai_entry": { "enabled": True, "periods": { "M1": {"enabled": False, "weight": 15}, "M5": {"enabled": True, "weight": 20}, "M15": {"enabled": True, "weight": 30}, "H1": {"enabled": True, "weight": 25}, "H4": {"enabled": False, "weight": 20} } } }) # ==================== 信号权重配置（兼容旧版，已废弃）=================== signal_weights: Dict[str, int] = field(default_factory=lambda: { "pivot": 30, "key_level": 40, "ai_entry": 30, }) period_weights: Dict[str, int] = field(default_factory=lambda: { "H4": 20, "H1": 20, "M15": 25, "M5": 20, "M1": 15, }) # ==================== 信号过滤规则 ==================== min_confidence: int = 50 consistency_requirement: str = ConsistencyRequirement.MAJORITY conflict_resolution: str = ConflictResolution.HIGHEST_WEIGHT # ==================== 仓位管理 ==================== fixed_volume: float = 0.01 volume_mode: str = VolumeMode.FIXED risk_percent: float = 1.0 max_risk_points: float = 50.0 max_positions: int = 3 max_same_direction: int = 2 # ==================== 止损止盈规则 ==================== sl_mode: str = StopLossMode.SIGNAL sl_fixed_points: float = 20.0 sl_atr_multiplier: float = 1.5 tp_mode: str = TakeProfitMode.SIGNAL tp_fixed_points: float = 40.0 tp_risk_reward: float = 2.0 # ==================== 过滤条件 ==================== min_risk_reward: float = 1.0 max_risk_reward: float = 5.0 min_sl_points: float = 5.0 max_sl_points: float = 100.0 # ==================== 时间过滤 ==================== trading_hours: Dict = field(default_factory=lambda: { "start": "00:00", "end": "23:59", "exclude_hours": [] }) # ==================== 持仓冲突处理 ==================== position_conflict: str = PositionConflict.ALLOW_OPPOSITE # ==================== 自动生成字段 ==================== strategy_id: str = "" created_at: datetime = None updated_at: datetime = None def __post_init__(self): if not self.strategy_id: self.strategy_id = str(uuid.uuid4())[:8] if not self.created_at: self.created_at = datetime.now() if not self.updated_at: self.updated_at = self.created_at if not self.strategy_name: self.strategy_name = f"Strategy_{self.symbol}" def update(self, data: Dict) -> None: """更新配置""" if "enabled" in data: self.enabled = bool(data["enabled"]) if "signal_config" in data: self.signal_config = data["signal_config"] if "signal_weights" in data: self.signal_weights = data["signal_weights"] if "period_weights" in data: self.period_weights = data["period_weights"] if "min_confidence" in data: self.min_confidence = int(data["min_confidence"]) if "consistency_requirement" in data: self.consistency_requirement = data["consistency_requirement"] if "conflict_resolution" in data: self.conflict_resolution = data["conflict_resolution"] if "fixed_volume" in data: self.fixed_volume = float(data["fixed_volume"]) if "volume_mode" in data: self.volume_mode = data["volume_mode"] if "risk_percent" in data: self.risk_percent = float(data["risk_percent"]) if "max_positions" in data: self.max_positions = int(data["max_positions"]) if "max_same_direction" in data: self.max_same_direction = int(data["max_same_direction"]) if "sl_mode" in data: self.sl_mode = data["sl_mode"] if "tp_mode" in data: self.tp_mode = data["tp_mode"] if "min_risk_reward" in data: self.min_risk_reward = float(data["min_risk_reward"]) if "max_risk_reward" in data: self.max_risk_reward = float(data["max_risk_reward"]) if "position_conflict" in data: self.position_conflict = data["position_conflict"] if "trading_hours" in data: self.trading_hours = data["trading_hours"] self.updated_at = datetime.now() def get_signal_weight(self, source: str, period: str = None) -> int: """ 获取信号源权重（支持周期级别） Args: source: 信号源 (pivot/key_level/ai_entry) period: 周期 (M1/M5/M15/H1/H4)，key_level 不需要周期 Returns: 权重值 """ # 优先使用新的 signal_config if self.signal_config and source in self.signal_config: config = self.signal_config[source] if not config.get("enabled", True): return 0 # key_level 不区分周期 if source == "key_level": return config.get("weight", 0) # 其他信号源区分周期 if period and "periods" in config: period_config = config["periods"].get(period, {}) if not period_config.get("enabled", False): return 0 return period_config.get("weight", 0) # 如果没有 period 配置，返回 0 return 0 # 兼容旧版 signal_weights return self.signal_weights.get(source, 0) def is_signal_enabled(self, source: str, period: str = None) -> bool: """ 检查信号源是否启用 Args: source: 信号源 period: 周期（key_level 不需要） Returns: 是否启用 """ if not self.signal_config or source not in self.signal_config: # 兼容旧版：signal_weights 中有配置就认为启用 return source in self.signal_weights and self.signal_weights[source] > 0 config = self.signal_config[source] if not config.get("enabled", True): return False # key_level 不区分周期 if source == "key_level": return True # 其他信号源需要检查周期 if period and "periods" in config: period_config = config["periods"].get(period, {}) return period_config.get("enabled", False) return False def get_period_weight(self, period: str) -> int: """获取周期权重（兼容旧版）""" return self.period_weights.get(period, 0) def to_dict(self) -> Dict: """转换为字典""" return { "strategy_id": self.strategy_id, "strategy_name": self.strategy_name, "symbol": self.symbol, "enabled": self.enabled, "signal_config": self.signal_config, "signal_weights": self.signal_weights, "period_weights": self.period_weights, "min_confidence": self.min_confidence, "consistency_requirement": self.consistency_requirement, "conflict_resolution": self.conflict_resolution, "fixed_volume": self.fixed_volume, "volume_mode": self.volume_mode, "risk_percent": self.risk_percent, "max_risk_points": self.max_risk_points, "max_positions": self.max_positions, "max_same_direction": self.max_same_direction, "sl_mode": self.sl_mode, "sl_fixed_points": self.sl_fixed_points, "sl_atr_multiplier": self.sl_atr_multiplier, "tp_mode": self.tp_mode, "tp_fixed_points": self.tp_fixed_points, "tp_risk_reward": self.tp_risk_reward, "min_risk_reward": self.min_risk_reward, "max_risk_reward": self.max_risk_reward, "min_sl_points": self.min_sl_points, "max_sl_points": self.max_sl_points, "trading_hours": self.trading_hours, "position_conflict": self.position_conflict, "created_at": self.created_at.isoformat() if self.created_at else None, "updated_at": self.updated_at.isoformat() if self.updated_at else None, } @classmethod def from_dict(cls, data: Dict) -> 'TradingStrategy': """从字典创建""" created_at = data.get('created_at') if isinstance(created_at, str): created_at = datetime.fromisoformat(created_at) updated_at = data.get('updated_at') if isinstance(updated_at, str): updated_at = datetime.fromisoformat(updated_at) # 默认 signal_config default_signal_config = { "pivot": { "enabled": True, "periods": { "M1": {"enabled": True, "weight": 15}, "M5": {"enabled": True, "weight": 20}, "M15": {"enabled": False, "weight": 25}, "H1": {"enabled": False, "weight": 20}, "H4": {"enabled": False, "weight": 20} } }, "key_level": { "enabled": True, "weight": 40 }, "ai_entry": { "enabled": True, "periods": { "M1": {"enabled": False, "weight": 15}, "M5": {"enabled": True, "weight": 20}, "M15": {"enabled": True, "weight": 30}, "H1": {"enabled": True, "weight": 25}, "H4": {"enabled": False, "weight": 20} } } } return cls( symbol=data.get('symbol', ''), strategy_name=data.get('strategy_name', ''), enabled=data.get('enabled', True), signal_config=data.get('signal_config', default_signal_config), signal_weights=data.get('signal_weights', {"pivot": 30, "key_level": 40, "ai_entry": 30}), period_weights=data.get('period_weights', {"H4": 20, "H1": 20, "M15": 25, "M5": 20, "M1": 15}), min_confidence=data.get('min_confidence', 50), consistency_requirement=data.get('consistency_requirement', ConsistencyRequirement.MAJORITY), conflict_resolution=data.get('conflict_resolution', ConflictResolution.HIGHEST_WEIGHT), fixed_volume=data.get('fixed_volume', 0.01), volume_mode=data.get('volume_mode', VolumeMode.FIXED), risk_percent=data.get('risk_percent', 1.0), max_risk_points=data.get('max_risk_points', 50.0), max_positions=data.get('max_positions', 3), max_same_direction=data.get('max_same_direction', 2), sl_mode=data.get('sl_mode', StopLossMode.SIGNAL), sl_fixed_points=data.get('sl_fixed_points', 20.0), sl_atr_multiplier=data.get('sl_atr_multiplier', 1.5), tp_mode=data.get('tp_mode', TakeProfitMode.SIGNAL), tp_fixed_points=data.get('tp_fixed_points', 40.0), tp_risk_reward=data.get('tp_risk_reward', 2.0), min_risk_reward=data.get('min_risk_reward', 1.0), max_risk_reward=data.get('max_risk_reward', 5.0), min_sl_points=data.get('min_sl_points', 5.0), max_sl_points=data.get('max_sl_points', 100.0), trading_hours=data.get('trading_hours', {"start": "00:00", "end": "23:59", "exclude_hours": []}), position_conflict=data.get('position_conflict', PositionConflict.ALLOW_OPPOSITE), strategy_id=data.get('strategy_id', ''), created_at=created_at, updated_at=updated_at, ) @dataclass class TradingDecision: """交易决策 - 策略层输出""" # ==================== 基本信息 ==================== symbol: str # 品种 strategy_id: str # 来源策略ID # ==================== 决策结果 ==================== action: str = "" # buy/sell/none decision_type: str = "" # signal_combined / single_signal / manual # ==================== 信号汇总 ==================== signals: List[Dict] = field(default_factory=list) signal_summary: Dict = field(default_factory=dict) # ==================== 执行参数 ==================== entry_price: float = 0.0 sl: float = 0.0 tp: float = 0.0 volume: float = 0.01 risk_points: float = 0.0 reward_points: float = 0.0 risk_reward_ratio: float = 0.0 # ==================== 决策理由 ==================== decision_reason: str = "" confidence_score: float = 0.0 # ==================== 检查结果 ==================== position_check: Dict = field(default_factory=dict) risk_check: Dict = field(default_factory=dict) # ==================== 状态 ==================== decision_id: str = "" status: str = "pending" # pending/confirmed/rejected/expired created_at: datetime = None # ==================== 关联 ==================== order_id: Optional[str] = None def __post_init__(self): if not self.decision_id: self.decision_id = str(uuid.uuid4())[:8] if not self.created_at: self.created_at = datetime.now() def to_dict(self) -> Dict: """转换为字典""" return { "decision_id": self.decision_id, "symbol": self.symbol, "strategy_id": self.strategy_id, "action": self.action, "decision_type": self.decision_type, "signals": self.signals, "signal_summary": self.signal_summary, "entry_price": self.entry_price, "sl": self.sl, "tp": self.tp, "volume": self.volume, "risk_points": self.risk_points, "reward_points": self.reward_points, "risk_reward_ratio": self.risk_reward_ratio, "decision_reason": self.decision_reason, "confidence_score": self.confidence_score, "position_check": self.position_check, "risk_check": self.risk_check, "status": self.status, "created_at": self.created_at.isoformat() if self.created_at else None, "order_id": self.order_id, } @classmethod def from_dict(cls, data: Dict) -> 'TradingDecision': """从字典创建""" created_at = data.get('created_at') if isinstance(created_at, str): created_at = datetime.fromisoformat(created_at) return cls( symbol=data.get('symbol', ''), strategy_id=data.get('strategy_id', ''), action=data.get('action', ''), decision_type=data.get('decision_type', ''), signals=data.get('signals', []), signal_summary=data.get('signal_summary', {}), entry_price=data.get('entry_price', 0.0), sl=data.get('sl', 0.0), tp=data.get('tp', 0.0), volume=data.get('volume', 0.01), risk_points=data.get('risk_points', 0.0), reward_points=data.get('reward_points', 0.0), risk_reward_ratio=data.get('risk_reward_ratio', 0.0), decision_reason=data.get('decision_reason', ''), confidence_score=data.get('confidence_score', 0.0), position_check=data.get('position_check', {}), risk_check=data.get('risk_check', {}), decision_id=data.get('decision_id', ''), status=data.get('status', 'pending'), created_at=created_at, order_id=data.get('order_id'), )