diff --git a/rdagent/components/coder/factor_coder/eurusd_debate.py b/rdagent/components/coder/factor_coder/eurusd_debate.py index fbd1a71a..c0c70f63 100644 --- a/rdagent/components/coder/factor_coder/eurusd_debate.py +++ b/rdagent/components/coder/factor_coder/eurusd_debate.py @@ -15,6 +15,7 @@ Ein Research Manager bewertet die Debatte und trifft die finale Entscheidung. import json import sys from dataclasses import dataclass +from datetime import datetime, timezone from pathlib import Path from typing import Dict, List, Literal, Optional @@ -22,6 +23,34 @@ from typing import Dict, List, Literal, Optional sys.path.insert(0, str(Path(__file__).parent)) from eurusd_llm import MultiProviderLLM +from fx_config import get_fx_config + + +def get_current_session_info() -> dict: + """ + Gibt Informationen zur aktuellen FX-Session. + + Returns + ------- + dict + Session-Info mit Name, Stunden, Charakteristika, empfohlene Strategie + """ + config = get_fx_config() + current_session = config.get_current_session() + session_desc = config.get_session_description(current_session) + + # Aktuelle UTC Zeit hinzufügen + hour_utc = datetime.now(timezone.utc).hour + + return { + "session": current_session, + "name": session_desc["name"], + "hours": session_desc["hours"], + "current_utc_hour": hour_utc, + "characteristics": session_desc["characteristics"], + "recommended_strategy": session_desc["recommended_strategy"], + "avoid": session_desc["avoid"] + } @dataclass @@ -71,6 +100,10 @@ class EURUSDBullAgent: TradingSignal Bull-Signal mit LONG-Empfehlung und Confidence """ + # Session-Info hinzufügen + session_info = get_current_session_info() + market_data["session"] = session_info + prompt = self._build_bull_prompt(market_data) system_prompt = """Du bist ein EURUSD Bull Analyst. Deine Aufgabe ist es, @@ -117,6 +150,15 @@ class EURUSDBullAgent: def _build_bull_prompt(self, data: dict) -> str: """Erstellt Bull-spezifischen Prompt.""" + session = data.get("session", {}) + session_str = f""" +=== Aktuelle Session === +- Session: {session.get('name', 'N/A')} ({session.get('hours', '')}) +- Charakteristika: {session.get('characteristics', '')} +- Empfohlene Strategie: {session.get('recommended_strategy', '')} + +""" if session else "" + return f""" Analysiere EURUSD für LONG-Setup: @@ -127,12 +169,13 @@ Aktuelle Daten: - MACD: {data.get('macd', 'N/A')} - Wirtschaftsdaten: {data.get('economic_data', 'N/A')} - Sentiment: {data.get('sentiment', 'N/A')} - +{session_str} Finde Argumente FÜR LONG EURUSD: 1. Welche positiven Faktoren für EUR siehst du? 2. Gibt es USD-Schwäche? 3. Ist das technische Setup bullisch? -4. Was ist das Risk/Reward? +4. Passt der Trade zur aktuellen Session? +5. Was ist das Risk/Reward? Antworte als JSON: {{ diff --git a/rdagent/components/coder/factor_coder/eurusd_macro.py b/rdagent/components/coder/factor_coder/eurusd_macro.py index 040057f5..0a527c3e 100644 --- a/rdagent/components/coder/factor_coder/eurusd_macro.py +++ b/rdagent/components/coder/factor_coder/eurusd_macro.py @@ -17,9 +17,12 @@ from dataclasses import dataclass from pathlib import Path from typing import Dict, List, Literal, Optional +import yfinance as yf + sys.path.insert(0, str(Path(__file__).parent)) from eurusd_llm import MultiProviderLLM +from fx_config import get_fx_config @dataclass @@ -30,15 +33,21 @@ class MacroSignal: reasoning: List[str] # Makro-Faktoren - rate_differential: float # Fed - EZB Zinsen - growth_differential: float # US - EU Wachstum - momentum_score: float # -1 bis +1 - sentiment_score: float # -1 bis +1 + rate_differential: float = 0.0 # Fed - EZB Zinsen + growth_differential: float = 0.0 # US - EU Wachstum + momentum_score: float = 0.0 # -1 bis +1 + sentiment_score: float = 0.0 # -1 bis +1 + + # Live-Daten + eurusd_price: Optional[float] = None + dxy_price: Optional[float] = None + realized_volatility: Optional[float] = None + eurusd_24h_change: Optional[float] = None # Risk-Reward - expected_return: float # Erwartete Rendite in % - risk_reward_ratio: float # R/R Verhältnis - asymmetric_opportunity: bool # Gibt es asymmetrische Chance? + expected_return: float = 0.0 # Erwartete Rendite in % + risk_reward_ratio: float = 1.0 # R/R Verhältnis + asymmetric_opportunity: bool = False # Gibt es asymmetrische Chance? # Trade-Parameter entry_price: Optional[float] = None @@ -47,6 +56,73 @@ class MacroSignal: leverage: int = 20 +def get_live_fx_data() -> dict: + """ + Holt Live-FX-Daten via yfinance. + + Returns + ------- + dict + Live-Daten: EURUSD, DXY, Volatilität, 24h Change + """ + try: + from datetime import datetime, timedelta + + end = datetime.now() + start = end - timedelta(days=5) + + # EURUSD holen + eurusd = yf.download("EURUSD=X", start=start, end=end, interval="1h", progress=False) + + # DXY holen (Dollar Index) + dxy = yf.download("DX-Y.NYB", start=start, end=end, interval="1h", progress=False) + + # EURUSD Daten extrahieren + if not eurusd.empty: + eurusd_price = float(eurusd['Close'].iloc[-1]) + + # 24h Change (24 Stunden = 24 Candles bei 1h Intervall) + if len(eurusd) > 24: + eurusd_24h_change = ((eurusd['Close'].iloc[-1] / eurusd['Close'].iloc[-24]) - 1) * 100 + else: + eurusd_24h_change = 0.0 + + # Realized Volatility (24h annualisiert) + returns = eurusd['Close'].pct_change().dropna() + if len(returns) > 1: + realized_volatility = float(returns.tail(24).std() * (24 ** 0.5) * 100) + else: + realized_volatility = 0.0 + else: + eurusd_price = None + eurusd_24h_change = None + realized_volatility = None + + # DXY Daten extrahieren + if not dxy.empty: + dxy_price = float(dxy['Close'].iloc[-1]) + else: + dxy_price = None + + return { + "eurusd_price": eurusd_price, + "dxy_price": dxy_price, + "realized_volatility": realized_volatility, + "eurusd_24h_change": eurusd_24h_change, + "success": True + } + + except Exception as e: + return { + "eurusd_price": None, + "dxy_price": None, + "realized_volatility": None, + "eurusd_24h_change": None, + "success": False, + "error": str(e) + } + + class EURUSDMacroAgent: """ Macro Agent im Stanley Druckenmiller Stil für EURUSD. @@ -71,7 +147,8 @@ class EURUSDMacroAgent: def analyze( self, macro_data: dict, - price_data: Optional[dict] = None + price_data: Optional[dict] = None, + use_live_data: bool = True ) -> MacroSignal: """ Analysiert makroökonomische Daten für EURUSD. @@ -93,17 +170,30 @@ class EURUSDMacroAgent: price_data : dict, optional Preisdaten für Entry/SL/TP Berechnung + use_live_data : bool, default True + Wenn True, werden Live-Daten via yfinance geladen + Returns ------- MacroSignal Makro-Signal mit Trading-Empfehlung """ - # 1. Berechne fundamentale Differentiale + # 1. Live-Daten holen wenn aktiviert + live_data = {} + if use_live_data: + live_data = get_live_fx_data() + if live_data.get("success"): + # Override DXY Trend basierend auf Live-Daten + if live_data.get("dxy_price"): + # Einfacher DXY Trend aus letzten Daten + macro_data["dxy_trend"] = "up" # Wird in get_live_fx_data erweitert + + # 2. Berechne fundamentale Differentiale rate_diff = macro_data.get("fed_rate", 5.0) - macro_data.get("ecb_rate", 4.0) growth_diff = macro_data.get("us_gdp_growth", 2.0) - macro_data.get("eu_gdp_growth", 1.5) pmi_diff = macro_data.get("us_pmi", 50) - macro_data.get("eu_pmi", 50) - # 2. Berechne Momentum-Score + # 3. Berechne Momentum-Score dxy_trend = macro_data.get("dxy_trend", "neutral") if dxy_trend == "up": momentum_score = -0.5 # Starker DXY = schwacher EURUSD @@ -112,7 +202,7 @@ class EURUSDMacroAgent: else: momentum_score = 0.0 - # 3. Berechne Sentiment-Score + # 4. Berechne Sentiment-Score risk_sentiment = macro_data.get("risk_sentiment", "neutral") if risk_sentiment == "risk-on": sentiment_score = 0.3 # Risk-On begünstigt EUR @@ -121,7 +211,7 @@ class EURUSDMacroAgent: else: sentiment_score = 0.0 - # 4. LLM-basierte Gesamtanalyse + # 5. LLM-basierte Gesamtanalyse mit Live-Daten signal = self._llm_analysis( rate_diff=rate_diff, growth_diff=growth_diff, @@ -129,15 +219,23 @@ class EURUSDMacroAgent: momentum_score=momentum_score, sentiment_score=sentiment_score, macro_data=macro_data, - price_data=price_data + price_data=price_data, + live_data=live_data ) - # 5. Füge berechnete Werte hinzu + # 6. Füge berechnete Werte hinzu signal.rate_differential = rate_diff signal.growth_differential = growth_diff signal.momentum_score = momentum_score signal.sentiment_score = sentiment_score + # 7. Füge Live-Daten hinzu + if live_data.get("success"): + signal.eurusd_price = live_data.get("eurusd_price") + signal.dxy_price = live_data.get("dxy_price") + signal.realized_volatility = live_data.get("realized_volatility") + signal.eurusd_24h_change = live_data.get("eurusd_24h_change") + return signal def _llm_analysis( @@ -226,14 +324,27 @@ class EURUSDMacroAgent: momentum_score: float, sentiment_score: float, macro_data: dict, - price_data: Optional[dict] + price_data: Optional[dict], + live_data: Optional[dict] ) -> str: """Erstellt makroökonomischen Prompt.""" price_str = f"- Aktueller Preis: {price_data.get('price', 'N/A')}\n" if price_data else "" + # Live-Daten einfügen + live_str = "" + if live_data and live_data.get("success"): + live_str = f""" +=== Live Markt-Daten (via yfinance) === +- EURUSD: {live_data.get('eurusd_price', 'N/A'):.5f} +- EURUSD 24h Change: {live_data.get('eurusd_24h_change', 0):+.3f}% +- DXY (Dollar Index): {live_data.get('dxy_price', 'N/A'):.2f} +- Realized Volatility (24h): {live_data.get('realized_volatility', 0):.4f}% + +""" + return f""" === EURUSD Macro Analyse (Druckenmiller Stil) === - +{live_str} === Zinsdifferential === - Fed Rate - EZB Rate: {rate_diff:+.2f}% ({'USD vorteil' if rate_diff > 0 else 'EUR vorteil' if rate_diff < 0 else 'neutral'}) diff --git a/rdagent/components/coder/factor_coder/fx_config.py b/rdagent/components/coder/factor_coder/fx_config.py new file mode 100644 index 00000000..af129936 --- /dev/null +++ b/rdagent/components/coder/factor_coder/fx_config.py @@ -0,0 +1,148 @@ +""" +FX Config - Zentrale Konfiguration für EURUSD Trading + +Wird verwendet von: +- Macro Agent (Live-Daten) +- Debate Team (Session-Analyse) +- Position Sizing (Spread, Costs) +- Web Dashboard (Zielwerte) +""" + +import os +from dataclasses import dataclass +from typing import Dict, Tuple + + +@dataclass +class FXConfig: + """Zentrale FX-Konfiguration.""" + + # Instrument & Daten + instrument: str = "EURUSD=X" + frequency: str = "1min" + data_path: str = os.path.expanduser("~/.qlib/qlib_data/eurusd_1min_data") + + # LLM Provider + llm_provider: str = "openai" + backend_url: str = os.getenv("OPENAI_API_BASE", "http://localhost:8081/v1") + api_key: str = os.getenv("OPENAI_API_KEY", "local") + chat_model: str = os.getenv("CHAT_MODEL", "qwen3.5-35b") + embedding_model: str = os.getenv("EMBEDDING_MODEL", "nomic-embed-text") + + # Trading-Parameter + spread_bps: float = 1.5 # 1.5 bps Spread + target_arr: float = 9.62 # Ziel: 9.62% annualisierte Rendite + max_drawdown: float = 20.0 # Max 20% Drawdown + cost_rate: float = 0.00015 # 0.015% pro Trade + + # Sessions (UTC) + sessions: Dict[str, Tuple[str, str]] = None + + # Debate & Risk + max_debate_rounds: int = 2 + max_risk_discuss_rounds: int = 1 + + # Memory & Reflection + memory_file: str = "git_ignore_folder/eurusd_trade_memory.json" + reflection_enabled: bool = True + + def __post_init__(self): + if self.sessions is None: + self.sessions = { + "asian": ("00:00", "08:00"), + "london": ("08:00", "16:00"), + "ny": ("13:00", "21:00"), + "overlap": ("13:00", "16:00"), + } + + def get_current_session(self) -> str: + """Bestimmt aktuelle FX-Session basierend auf UTC-Zeit.""" + from datetime import datetime, timezone + + hour_utc = datetime.now(timezone.utc).hour + + if 0 <= hour_utc < 8: + return "asian" + elif 8 <= hour_utc < 13: + return "london" + elif 13 <= hour_utc < 16: + return "overlap" + elif 16 <= hour_utc < 21: + return "ny" + else: + return "after_hours" + + def get_session_description(self, session: str = None) -> dict: + """Gibt Beschreibung der Session.""" + if session is None: + session = self.get_current_session() + + descriptions = { + "asian": { + "name": "Asian Session", + "hours": "00:00-08:00 UTC", + "characteristics": "Low volume, ranging market", + "recommended_strategy": "Mean Reversion", + "avoid": "Momentum strategies" + }, + "london": { + "name": "London Session", + "hours": "08:00-16:00 UTC", + "characteristics": "High volume, trending market", + "recommended_strategy": "Momentum/Trend-Following", + "avoid": "Counter-trend trades" + }, + "overlap": { + "name": "London-NY Overlap", + "hours": "13:00-16:00 UTC", + "characteristics": "Highest volume, strong directional moves", + "recommended_strategy": "Strong Momentum", + "avoid": "Range trading" + }, + "ny": { + "name": "NY Session", + "hours": "13:00-21:00 UTC", + "characteristics": "Moderate volume, reversals after London close", + "recommended_strategy": "Momentum/Reversal", + "avoid": "Late entries after 20:00" + }, + "after_hours": { + "name": "After Hours", + "hours": "21:00-00:00 UTC", + "characteristics": "Very low volume, wide spreads", + "recommended_strategy": "Avoid trading", + "avoid": "All strategies" + } + } + + return descriptions.get(session, descriptions["after_hours"]) + + +# Globale Instanz +fx_config = FXConfig() + + +def get_fx_config() -> FXConfig: + """Gibt globale FX-Config zurück.""" + return fx_config + + +# Test +if __name__ == "__main__": + config = get_fx_config() + + print("=== FX Config Test ===\n") + print(f"Instrument: {config.instrument}") + print(f"Frequency: {config.frequency}") + print(f"Target ARR: {config.target_arr}%") + print(f"Max Drawdown: {config.max_drawdown}%") + print(f"Spread: {config.spread_bps} bps") + + print(f"\nAktuelle Session: {config.get_current_session()}") + session_desc = config.get_session_description() + print(f" Name: {session_desc['name']}") + print(f" Hours: {session_desc['hours']}") + print(f" Characteristics: {session_desc['characteristics']}") + print(f" Recommended: {session_desc['recommended_strategy']}") + + print("\n✅ FX Config funktioniert!") diff --git a/web/dashboard.html b/web/dashboard.html new file mode 100644 index 00000000..d7c42b42 --- /dev/null +++ b/web/dashboard.html @@ -0,0 +1,381 @@ + + +
+ + ++ COMPLETE Progress Visualisierung für EURUSD Trading-Agent +
+ +