Dinger
@@ -1,5 +1,8 @@
|
||||
"""
|
||||
实时交易执行服务
|
||||
实时交易执行服务。
|
||||
|
||||
策略线程：拉 K 线/价格、算信号，将订单写入 pending_orders。
|
||||
实盘成交由 PendingOrderWorker + app.services.live_trading（各所直连 REST）完成，不在此模块使用 ccxt 下单。
|
||||
"""
|
||||
import time
|
||||
import threading
|
||||
@@ -15,13 +18,17 @@ import json
|
||||
from decimal import Decimal, ROUND_DOWN, ROUND_UP
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
import ccxt
|
||||
|
||||
from app.utils.logger import get_logger
|
||||
from app.utils.db import get_db_connection
|
||||
from app.data_sources import DataSourceFactory
|
||||
from app.services.kline import KlineService
|
||||
from app.services.indicator_params import IndicatorParamsParser, IndicatorCaller
|
||||
from app.services.strategy_script_runtime import (
|
||||
ScriptBar,
|
||||
StrategyScriptContext,
|
||||
compile_strategy_script_handlers,
|
||||
)
|
||||
|
||||
logger = get_logger(__name__)
|
||||
|
||||
@@ -465,6 +472,212 @@ class TradingExecutor:
|
||||
logger.error(f"Failed to stop strategy {strategy_id}: {str(e)}")
|
||||
logger.error(traceback.format_exc())
|
||||
return False
|
||||
|
||||
def _df_to_script_exec_df(self, df: pd.DataFrame) -> pd.DataFrame:
|
||||
out = df.reset_index()
|
||||
c0 = out.columns[0]
|
||||
if c0 != 'time':
|
||||
out.rename(columns={c0: 'time'}, inplace=True)
|
||||
return out
|
||||
|
||||
def _script_default_position_ratio(self, trading_config: Dict[str, Any]) -> float:
|
||||
try:
|
||||
ep = (trading_config or {}).get('entry_pct')
|
||||
if ep is not None:
|
||||
return float(self._to_ratio(ep, default=0.06))
|
||||
except Exception:
|
||||
pass
|
||||
return 0.06
|
||||
|
||||
def _hydrate_script_ctx_from_positions(self, ctx: StrategyScriptContext, strategy_id: int, symbol: str) -> None:
|
||||
ctx.position.clear_position()
|
||||
pl = self._get_current_positions(strategy_id, symbol)
|
||||
if not pl:
|
||||
return
|
||||
p = pl[0]
|
||||
side = (p.get('side') or 'long').strip().lower()
|
||||
if side not in ('long', 'short'):
|
||||
return
|
||||
size = float(p.get('size') or 0)
|
||||
ep = float(p.get('entry_price') or 0)
|
||||
if size > 0:
|
||||
ctx.position.open_position(side, ep, size)
|
||||
|
||||
def _init_script_strategy_context(
|
||||
self,
|
||||
strategy_id: int,
|
||||
df: pd.DataFrame,
|
||||
trading_config: Dict[str, Any],
|
||||
initial_capital: float,
|
||||
) -> Tuple[StrategyScriptContext, Optional[pd.Timestamp]]:
|
||||
df_exec = self._df_to_script_exec_df(df)
|
||||
ctx = StrategyScriptContext(df_exec, float(initial_capital or 0))
|
||||
raw = (trading_config or {}).get('script_runtime_state') or {}
|
||||
params = raw.get('params') if isinstance(raw, dict) else {}
|
||||
if isinstance(params, dict):
|
||||
ctx._params = dict(params)
|
||||
last_ts = None
|
||||
ts_s = raw.get('last_closed_bar_ts') if isinstance(raw, dict) else None
|
||||
if ts_s:
|
||||
try:
|
||||
last_ts = pd.Timestamp(ts_s)
|
||||
if last_ts.tzinfo is None:
|
||||
last_ts = last_ts.tz_localize('UTC')
|
||||
else:
|
||||
last_ts = last_ts.tz_convert('UTC')
|
||||
except Exception:
|
||||
last_ts = None
|
||||
return ctx, last_ts
|
||||
|
||||
def _persist_script_runtime_state(self, strategy_id: int, closed_ts: Any, params: Dict[str, Any]) -> None:
|
||||
try:
|
||||
safe_params = json.loads(json.dumps(params or {}, default=str))
|
||||
except Exception:
|
||||
safe_params = {}
|
||||
ts_str = ''
|
||||
try:
|
||||
if closed_ts is not None:
|
||||
ts_str = pd.Timestamp(closed_ts).isoformat()
|
||||
except Exception:
|
||||
ts_str = ''
|
||||
state = {'last_closed_bar_ts': ts_str, 'params': safe_params}
|
||||
try:
|
||||
with get_db_connection() as db:
|
||||
cur = db.cursor()
|
||||
cur.execute("SELECT trading_config FROM qd_strategies_trading WHERE id = %s", (strategy_id,))
|
||||
row = cur.fetchone()
|
||||
if not row:
|
||||
cur.close()
|
||||
return
|
||||
tc = row.get('trading_config')
|
||||
if isinstance(tc, str) and tc.strip():
|
||||
try:
|
||||
tc = json.loads(tc)
|
||||
except Exception:
|
||||
tc = {}
|
||||
elif not isinstance(tc, dict):
|
||||
tc = {}
|
||||
tc['script_runtime_state'] = state
|
||||
cur.execute(
|
||||
"UPDATE qd_strategies_trading SET trading_config = %s WHERE id = %s",
|
||||
(json.dumps(tc, ensure_ascii=False), strategy_id),
|
||||
)
|
||||
db.commit()
|
||||
cur.close()
|
||||
except Exception as e:
|
||||
logger.warning(f"Persist script runtime state failed: {e}")
|
||||
|
||||
def _script_orders_to_execution_signals(
|
||||
self,
|
||||
ctx: StrategyScriptContext,
|
||||
trade_direction: str,
|
||||
bar_close: float,
|
||||
closed_ts: pd.Timestamp,
|
||||
trading_config: Dict[str, Any],
|
||||
) -> List[Dict[str, Any]]:
|
||||
td = str(trade_direction or 'both').lower()
|
||||
if td not in ('long', 'short', 'both'):
|
||||
td = 'both'
|
||||
default_ratio = self._script_default_position_ratio(trading_config)
|
||||
try:
|
||||
ts_i = int(closed_ts.timestamp())
|
||||
except Exception:
|
||||
ts_i = int(time.time())
|
||||
out: List[Dict[str, Any]] = []
|
||||
trig = float(bar_close or 0)
|
||||
for order in list(ctx._orders or []):
|
||||
action = str(order.get('action') or '').lower()
|
||||
try:
|
||||
order_price = float(order.get('price') or bar_close or 0)
|
||||
except Exception:
|
||||
order_price = trig
|
||||
raw_amt = order.get('amount')
|
||||
pos_ratio = default_ratio
|
||||
if raw_amt is not None:
|
||||
try:
|
||||
v = float(raw_amt)
|
||||
if v > 0:
|
||||
pos_ratio = v
|
||||
except Exception:
|
||||
pass
|
||||
if action == 'close':
|
||||
if ctx.position > 0:
|
||||
out.append({'type': 'close_long', 'trigger_price': order_price or trig, 'position_size': 0, 'timestamp': ts_i})
|
||||
ctx.position.clear_position()
|
||||
elif ctx.position < 0:
|
||||
out.append({'type': 'close_short', 'trigger_price': order_price or trig, 'position_size': 0, 'timestamp': ts_i})
|
||||
ctx.position.clear_position()
|
||||
continue
|
||||
if action == 'buy':
|
||||
if ctx.position < 0:
|
||||
out.append({'type': 'close_short', 'trigger_price': order_price or trig, 'position_size': 0, 'timestamp': ts_i})
|
||||
ctx.position.clear_position()
|
||||
if td in ('long', 'both'):
|
||||
if ctx.position == 0:
|
||||
out.append({'type': 'open_long', 'trigger_price': order_price or trig, 'position_size': pos_ratio, 'timestamp': ts_i})
|
||||
ctx.position.open_position('long', order_price or trig, pos_ratio)
|
||||
else:
|
||||
out.append({'type': 'add_long', 'trigger_price': order_price or trig, 'position_size': pos_ratio, 'timestamp': ts_i})
|
||||
ctx.position.add_position(order_price or trig, pos_ratio)
|
||||
continue
|
||||
if action == 'sell':
|
||||
if ctx.position > 0:
|
||||
out.append({'type': 'close_long', 'trigger_price': order_price or trig, 'position_size': 0, 'timestamp': ts_i})
|
||||
ctx.position.clear_position()
|
||||
if td in ('short', 'both'):
|
||||
if ctx.position == 0:
|
||||
out.append({'type': 'open_short', 'trigger_price': order_price or trig, 'position_size': pos_ratio, 'timestamp': ts_i})
|
||||
ctx.position.open_position('short', order_price or trig, pos_ratio)
|
||||
else:
|
||||
out.append({'type': 'add_short', 'trigger_price': order_price or trig, 'position_size': pos_ratio, 'timestamp': ts_i})
|
||||
ctx.position.add_position(order_price or trig, pos_ratio)
|
||||
return out
|
||||
|
||||
def _script_evaluate_new_closed_bar(
|
||||
self,
|
||||
df: pd.DataFrame,
|
||||
ctx: StrategyScriptContext,
|
||||
on_bar,
|
||||
trade_direction: str,
|
||||
last_closed_ts: Optional[pd.Timestamp],
|
||||
strategy_id: int,
|
||||
symbol: str,
|
||||
trading_config: Dict[str, Any],
|
||||
) -> Tuple[List[Dict[str, Any]], Optional[pd.Timestamp]]:
|
||||
if df is None or len(df) < 2:
|
||||
return [], last_closed_ts
|
||||
closed_ts = df.index[-2]
|
||||
try:
|
||||
if last_closed_ts is not None and closed_ts <= last_closed_ts:
|
||||
return [], last_closed_ts
|
||||
except Exception:
|
||||
pass
|
||||
df_exec = self._df_to_script_exec_df(df)
|
||||
ctx._bars_df = df_exec
|
||||
pos = len(df) - 2
|
||||
ctx.current_index = int(pos)
|
||||
row = df_exec.iloc[pos]
|
||||
self._hydrate_script_ctx_from_positions(ctx, strategy_id, symbol)
|
||||
ctx._orders = []
|
||||
bar = ScriptBar(
|
||||
open=float(row.get('open') or 0),
|
||||
high=float(row.get('high') or 0),
|
||||
low=float(row.get('low') or 0),
|
||||
close=float(row.get('close') or 0),
|
||||
volume=float(row.get('volume') or 0),
|
||||
timestamp=row.get('time'),
|
||||
)
|
||||
try:
|
||||
on_bar(ctx, bar)
|
||||
except Exception as e:
|
||||
logger.error(f"Strategy {strategy_id} script on_bar error: {e}")
|
||||
logger.error(traceback.format_exc())
|
||||
return [], last_closed_ts
|
||||
bar_close = float(row.get('close') or 0)
|
||||
pending = self._script_orders_to_execution_signals(ctx, trade_direction, bar_close, closed_ts, trading_config)
|
||||
self._persist_script_runtime_state(strategy_id, closed_ts, ctx._params)
|
||||
logger.info(f"Strategy {strategy_id} script closed bar {closed_ts} -> {len(pending)} signal(s)")
|
||||
return pending, closed_ts
|
||||
|
||||
def _run_strategy_loop(self, strategy_id: int):
|
||||
"""
|
||||
@@ -483,13 +696,15 @@ class TradingExecutor:
|
||||
logger.error(f"Strategy {strategy_id} not found")
|
||||
return
|
||||
|
||||
if strategy['strategy_type'] != 'IndicatorStrategy':
|
||||
logger.error(f"Strategy {strategy_id} has unsupported strategy_type for realtime execution: {strategy['strategy_type']}")
|
||||
stype = strategy.get('strategy_type') or ''
|
||||
if stype not in ('IndicatorStrategy', 'ScriptStrategy'):
|
||||
logger.error(f"Strategy {strategy_id} has unsupported strategy_type for realtime execution: {stype}")
|
||||
return
|
||||
|
||||
is_script = stype == 'ScriptStrategy'
|
||||
|
||||
# 初始化策略状态
|
||||
trading_config = strategy['trading_config']
|
||||
indicator_config = strategy['indicator_config']
|
||||
indicator_config = strategy.get('indicator_config') or {}
|
||||
ai_model_config = strategy.get('ai_model_config') or {}
|
||||
execution_mode = (strategy.get('execution_mode') or 'signal').strip().lower()
|
||||
if execution_mode not in ['signal', 'live']:
|
||||
@@ -545,68 +760,84 @@ class TradingExecutor:
|
||||
market_category = (strategy.get('market_category') or 'Crypto').strip()
|
||||
logger.info(f"Strategy {strategy_id} market_category: {market_category}")
|
||||
|
||||
# Check if this is a cross-sectional strategy
|
||||
cs_strategy_type = trading_config.get('cs_strategy_type', 'single')
|
||||
if cs_strategy_type == 'cross_sectional':
|
||||
# Run cross-sectional strategy loop
|
||||
self._run_cross_sectional_strategy_loop(
|
||||
strategy_id, strategy, trading_config, indicator_config,
|
||||
ai_model_config, execution_mode, notification_config,
|
||||
strategy_name, market_category, market_type, leverage,
|
||||
initial_capital, indicator_code, indicator_id
|
||||
)
|
||||
return
|
||||
|
||||
# 初始化交易所连接（信号模式下无需真实连接）
|
||||
exchange = None
|
||||
|
||||
# 安全获取 initial_capital
|
||||
# 安全获取 initial_capital（横截面分支也需要）
|
||||
try:
|
||||
initial_capital_val = strategy.get('initial_capital', 1000)
|
||||
if isinstance(initial_capital_val, (list, tuple)):
|
||||
initial_capital_val = initial_capital_val[0] if initial_capital_val else 1000
|
||||
initial_capital = float(initial_capital_val)
|
||||
except:
|
||||
except Exception:
|
||||
logger.warning(f"Strategy {strategy_id} invalid initial_capital format, reset to 1000: {strategy.get('initial_capital')}")
|
||||
initial_capital = 1000.0
|
||||
|
||||
# 净值会在首次更新持仓时自动计算和更新
|
||||
|
||||
# 获取指标代码
|
||||
indicator_id = indicator_config.get('indicator_id')
|
||||
indicator_code = indicator_config.get('indicator_code', '')
|
||||
|
||||
# 如果代码为空，尝试从数据库获取
|
||||
if not indicator_code and indicator_id:
|
||||
indicator_code = self._get_indicator_code_from_db(indicator_id)
|
||||
|
||||
if not indicator_code:
|
||||
logger.error(f"Strategy {strategy_id} indicator_code is empty")
|
||||
return
|
||||
|
||||
# 确保 indicator_code 是字符串（处理 JSON 转义问题）
|
||||
if not isinstance(indicator_code, str):
|
||||
indicator_code = str(indicator_code)
|
||||
|
||||
# 处理可能的 JSON 转义问题
|
||||
if '\\n' in indicator_code and '\n' not in indicator_code:
|
||||
|
||||
indicator_id = None
|
||||
indicator_code = ''
|
||||
strategy_code = ''
|
||||
on_init_script = None
|
||||
on_bar_script = None
|
||||
|
||||
if is_script:
|
||||
strategy_code = (strategy.get('strategy_code') or '').strip()
|
||||
if not strategy_code:
|
||||
logger.error(f"Strategy {strategy_id} strategy_code is empty")
|
||||
return
|
||||
if '\\n' in strategy_code and '\n' not in strategy_code:
|
||||
try:
|
||||
decoded = json.loads(f'"{strategy_code}"')
|
||||
if isinstance(decoded, str):
|
||||
strategy_code = decoded
|
||||
except Exception:
|
||||
strategy_code = (
|
||||
strategy_code.replace('\\n', '\n').replace('\\t', '\t').replace('\\r', '\r')
|
||||
.replace('\\"', '"').replace("\\'", "'").replace('\\\\', '\\')
|
||||
)
|
||||
try:
|
||||
import json
|
||||
decoded = json.loads(f'"{indicator_code}"')
|
||||
if isinstance(decoded, str):
|
||||
indicator_code = decoded
|
||||
logger.info(f"Strategy {strategy_id} decoded escaped indicator_code")
|
||||
on_init_script, on_bar_script = compile_strategy_script_handlers(strategy_code)
|
||||
except Exception as e:
|
||||
logger.warning(f"Strategy {strategy_id} JSON decode failed; falling back to manual unescape: {str(e)}")
|
||||
indicator_code = (
|
||||
indicator_code
|
||||
.replace('\\n', '\n')
|
||||
.replace('\\t', '\t')
|
||||
.replace('\\r', '\r')
|
||||
.replace('\\"', '"')
|
||||
.replace("\\'", "'")
|
||||
.replace('\\\\', '\\')
|
||||
)
|
||||
logger.error(f"Strategy {strategy_id} script compile failed: {e}")
|
||||
logger.error(traceback.format_exc())
|
||||
return
|
||||
else:
|
||||
indicator_config = strategy['indicator_config']
|
||||
indicator_id = indicator_config.get('indicator_id')
|
||||
indicator_code = indicator_config.get('indicator_code', '')
|
||||
if not indicator_code and indicator_id:
|
||||
indicator_code = self._get_indicator_code_from_db(indicator_id)
|
||||
if not indicator_code:
|
||||
logger.error(f"Strategy {strategy_id} indicator_code is empty")
|
||||
return
|
||||
if not isinstance(indicator_code, str):
|
||||
indicator_code = str(indicator_code)
|
||||
if '\\n' in indicator_code and '\n' not in indicator_code:
|
||||
try:
|
||||
decoded = json.loads(f'"{indicator_code}"')
|
||||
if isinstance(decoded, str):
|
||||
indicator_code = decoded
|
||||
logger.info(f"Strategy {strategy_id} decoded escaped indicator_code")
|
||||
except Exception as e:
|
||||
logger.warning(f"Strategy {strategy_id} JSON decode failed; falling back to manual unescape: {str(e)}")
|
||||
indicator_code = (
|
||||
indicator_code.replace('\\n', '\n').replace('\\t', '\t').replace('\\r', '\r')
|
||||
.replace('\\"', '"').replace("\\'", "'").replace('\\\\', '\\')
|
||||
)
|
||||
|
||||
# Check if this is a cross-sectional strategy（仅指标策略支持）
|
||||
cs_strategy_type = trading_config.get('cs_strategy_type', 'single')
|
||||
if (not is_script) and cs_strategy_type == 'cross_sectional':
|
||||
self._run_cross_sectional_strategy_loop(
|
||||
strategy_id, strategy, trading_config, strategy['indicator_config'],
|
||||
ai_model_config, execution_mode, notification_config,
|
||||
strategy_name, market_category, market_type, leverage,
|
||||
initial_capital, indicator_code, indicator_id
|
||||
)
|
||||
return
|
||||
|
||||
if is_script and cs_strategy_type == 'cross_sectional':
|
||||
logger.error(f"Strategy {strategy_id} ScriptStrategy does not support cross_sectional mode")
|
||||
return
|
||||
|
||||
# 初始化交易所连接（信号模式下无需真实连接）
|
||||
exchange = None
|
||||
|
||||
# ============================================
|
||||
# 初始化阶段：获取历史K线并计算指标
|
||||
@@ -658,29 +889,47 @@ class TradingExecutor:
|
||||
initial_position_count = 1 # 简化处理，假设是单笔持仓
|
||||
initial_last_add_price = initial_avg_entry_price
|
||||
|
||||
# 关键诊断日志：确认指标是否拿到了持仓状态
|
||||
logger.info(
|
||||
f"策略 {strategy_id} 指标注入持仓状态: count={len(current_pos_list)}, "
|
||||
f"策略 {strategy_id} 持仓快照: count={len(current_pos_list)}, "
|
||||
f"position={initial_position}, entry_price={initial_avg_entry_price}, highest={initial_highest}"
|
||||
)
|
||||
|
||||
# 执行指标代码，获取信号和触发价格
|
||||
indicator_result = self._execute_indicator_with_prices(
|
||||
indicator_code, df, trading_config,
|
||||
initial_highest_price=initial_highest,
|
||||
initial_position=initial_position,
|
||||
initial_avg_entry_price=initial_avg_entry_price,
|
||||
initial_position_count=initial_position_count,
|
||||
initial_last_add_price=initial_last_add_price
|
||||
)
|
||||
if indicator_result is None:
|
||||
logger.error(f"Strategy {strategy_id} indicator execution failed")
|
||||
return
|
||||
|
||||
# 提取信号和触发价格
|
||||
pending_signals = indicator_result.get('pending_signals', []) # 待触发的信号列表
|
||||
last_kline_time = indicator_result.get('last_kline_time', 0) # 最后一根K线的时间
|
||||
|
||||
script_ctx = None
|
||||
last_script_closed_ts = None
|
||||
if is_script:
|
||||
script_ctx, last_script_closed_ts = self._init_script_strategy_context(
|
||||
strategy_id, df, trading_config, initial_capital
|
||||
)
|
||||
if on_init_script:
|
||||
self._hydrate_script_ctx_from_positions(script_ctx, strategy_id, symbol)
|
||||
try:
|
||||
on_init_script(script_ctx)
|
||||
except Exception as e:
|
||||
logger.error(f"Strategy {strategy_id} on_init error: {e}")
|
||||
logger.error(traceback.format_exc())
|
||||
pending_signals, last_script_closed_ts = self._script_evaluate_new_closed_bar(
|
||||
df, script_ctx, on_bar_script, trade_direction,
|
||||
last_script_closed_ts, strategy_id, symbol, trading_config,
|
||||
)
|
||||
try:
|
||||
last_kline_time = int(df.index[-1].timestamp())
|
||||
except Exception:
|
||||
last_kline_time = int(time.time())
|
||||
else:
|
||||
indicator_result = self._execute_indicator_with_prices(
|
||||
indicator_code, df, trading_config,
|
||||
initial_highest_price=initial_highest,
|
||||
initial_position=initial_position,
|
||||
initial_avg_entry_price=initial_avg_entry_price,
|
||||
initial_position_count=initial_position_count,
|
||||
initial_last_add_price=initial_last_add_price
|
||||
)
|
||||
if indicator_result is None:
|
||||
logger.error(f"Strategy {strategy_id} indicator execution failed")
|
||||
return
|
||||
pending_signals = indicator_result.get('pending_signals', [])
|
||||
last_kline_time = indicator_result.get('last_kline_time', 0)
|
||||
|
||||
logger.info(f"Strategy {strategy_id} initialized; pending_signals={len(pending_signals)}")
|
||||
if pending_signals:
|
||||
logger.info(f"Initial signals: {pending_signals}")
|
||||
@@ -744,52 +993,63 @@ class TradingExecutor:
|
||||
if klines and len(klines) >= 2:
|
||||
df = self._klines_to_dataframe(klines)
|
||||
if len(df) > 0:
|
||||
current_pos_list = self._get_current_positions(strategy_id, symbol)
|
||||
initial_highest = 0.0
|
||||
initial_position = 0
|
||||
initial_avg_entry_price = 0.0
|
||||
initial_position_count = 0
|
||||
initial_last_add_price = 0.0
|
||||
|
||||
if current_pos_list:
|
||||
pos = current_pos_list[0]
|
||||
initial_highest = float(pos.get('highest_price', 0) or 0)
|
||||
pos_side = pos.get('side', 'long')
|
||||
initial_position = 1 if pos_side == 'long' else -1
|
||||
initial_avg_entry_price = float(pos.get('entry_price', 0) or 0)
|
||||
initial_position_count = 1
|
||||
initial_last_add_price = initial_avg_entry_price
|
||||
|
||||
indicator_result = self._execute_indicator_with_prices(
|
||||
indicator_code, df, trading_config,
|
||||
initial_highest_price=initial_highest,
|
||||
initial_position=initial_position,
|
||||
initial_avg_entry_price=initial_avg_entry_price,
|
||||
initial_position_count=initial_position_count,
|
||||
initial_last_add_price=initial_last_add_price
|
||||
)
|
||||
if indicator_result:
|
||||
pending_signals = indicator_result.get('pending_signals', [])
|
||||
last_kline_time = indicator_result.get('last_kline_time', 0)
|
||||
new_hp = indicator_result.get('new_highest_price', 0)
|
||||
|
||||
if is_script:
|
||||
new_sig, last_script_closed_ts = self._script_evaluate_new_closed_bar(
|
||||
df, script_ctx, on_bar_script, trade_direction,
|
||||
last_script_closed_ts, strategy_id, symbol, trading_config,
|
||||
)
|
||||
pending_signals = new_sig
|
||||
try:
|
||||
last_kline_time = int(df.index[-1].timestamp())
|
||||
except Exception:
|
||||
last_kline_time = int(time.time())
|
||||
last_kline_update_time = current_time
|
||||
else:
|
||||
current_pos_list = self._get_current_positions(strategy_id, symbol)
|
||||
initial_highest = 0.0
|
||||
initial_position = 0
|
||||
initial_avg_entry_price = 0.0
|
||||
initial_position_count = 0
|
||||
initial_last_add_price = 0.0
|
||||
|
||||
# 更新 highest_price（使用最新 close 作为 current_price 的近似）
|
||||
if new_hp > 0 and current_pos_list:
|
||||
current_close = float(df['close'].iloc[-1])
|
||||
for p in current_pos_list:
|
||||
self._update_position(
|
||||
strategy_id, p['symbol'], p['side'],
|
||||
float(p['size']), float(p['entry_price']),
|
||||
current_close,
|
||||
highest_price=new_hp
|
||||
)
|
||||
if current_pos_list:
|
||||
pos = current_pos_list[0]
|
||||
initial_highest = float(pos.get('highest_price', 0) or 0)
|
||||
pos_side = pos.get('side', 'long')
|
||||
initial_position = 1 if pos_side == 'long' else -1
|
||||
initial_avg_entry_price = float(pos.get('entry_price', 0) or 0)
|
||||
initial_position_count = 1
|
||||
initial_last_add_price = initial_avg_entry_price
|
||||
|
||||
indicator_result = self._execute_indicator_with_prices(
|
||||
indicator_code, df, trading_config,
|
||||
initial_highest_price=initial_highest,
|
||||
initial_position=initial_position,
|
||||
initial_avg_entry_price=initial_avg_entry_price,
|
||||
initial_position_count=initial_position_count,
|
||||
initial_last_add_price=initial_last_add_price
|
||||
)
|
||||
if indicator_result:
|
||||
pending_signals = indicator_result.get('pending_signals', [])
|
||||
last_kline_time = indicator_result.get('last_kline_time', 0)
|
||||
new_hp = indicator_result.get('new_highest_price', 0)
|
||||
|
||||
last_kline_update_time = current_time
|
||||
|
||||
if new_hp > 0 and current_pos_list:
|
||||
current_close = float(df['close'].iloc[-1])
|
||||
for p in current_pos_list:
|
||||
self._update_position(
|
||||
strategy_id, p['symbol'], p['side'],
|
||||
float(p['size']), float(p['entry_price']),
|
||||
current_close,
|
||||
highest_price=new_hp
|
||||
)
|
||||
else:
|
||||
# ============================================
|
||||
# 3. 非K线更新tick：用当前价更新最后一根K线并重算指标（统一tick节奏）
|
||||
# 3. 非K线更新 tick：脚本策略不在这里重算（仅在新 K 收盘时 on_bar）
|
||||
# ============================================
|
||||
if 'df' in locals() and df is not None and len(df) > 0:
|
||||
if (not is_script) and 'df' in locals() and df is not None and len(df) > 0:
|
||||
try:
|
||||
realtime_df = df.copy()
|
||||
realtime_df = self._update_dataframe_with_current_price(realtime_df, current_price, timeframe)
|
||||
@@ -1055,7 +1315,7 @@ class TradingExecutor:
|
||||
initial_capital, leverage, decide_interval,
|
||||
execution_mode, notification_config,
|
||||
indicator_config, exchange_config, trading_config, ai_model_config,
|
||||
market_category
|
||||
market_category, strategy_code
|
||||
FROM qd_strategies_trading
|
||||
WHERE id = %s
|
||||
"""
|
||||
@@ -1144,8 +1404,14 @@ class TradingExecutor:
|
||||
market_type: str = None,
|
||||
leverage: float = None,
|
||||
strategy_id: int = None
|
||||
) -> Optional[ccxt.Exchange]:
|
||||
"""(Mock) 信号模式不需要真实交易所连接"""
|
||||
) -> Any:
|
||||
"""
|
||||
占位：策略线程内不创建交易所 SDK 实例。
|
||||
|
||||
实盘下单不经过本方法。信号经 _execute_exchange_order 写入 pending_orders，
|
||||
由 PendingOrderWorker 使用 app.services.live_trading 下的直连 REST 客户端执行。
|
||||
K 线/现价由 KlineService、DataSourceFactory 等数据层提供（该层可能使用 ccxt 拉行情，与下单解耦）。
|
||||
"""
|
||||
return None
|
||||
|
||||
def _fetch_latest_kline(self, symbol: str, timeframe: str, limit: int = 500, market_category: str = 'Crypto') -> List[Dict[str, Any]]:
|
||||
@@ -2434,14 +2700,13 @@ class TradingExecutor:
|
||||
signal_ts: int = 0,
|
||||
) -> Optional[Dict[str, Any]]:
|
||||
"""
|
||||
Convert a signal into a concrete pending order and enqueue it into DB.
|
||||
将信号转为 pending_orders 队列记录（本方法不直连交易所、不使用 ccxt）。
|
||||
|
||||
A separate worker will poll `pending_orders` and dispatch:
|
||||
- execution_mode='signal': dispatch notifications (no real trading).
|
||||
- execution_mode='live': reserved for future live trading execution (not implemented).
|
||||
PendingOrderWorker 轮询执行：
|
||||
- execution_mode='signal'：仅通知/模拟路径。
|
||||
- execution_mode='live'：通过 live_trading 包内的各交易所 REST 客户端下单（非 ccxt）。
|
||||
|
||||
Note: Order execution settings (order_mode, maker_wait_sec, maker_offset_bps) are now
|
||||
configured via environment variables and not passed from strategy config.
|
||||
行情/K 线不在此处拉取；order_mode 等由环境变量配置。
|
||||
"""
|
||||
try:
|
||||
# Reference price at enqueue time: use current tick price if provided to avoid extra fetch.
|
||||
|
||||
Reference in New Issue
Block a user