feat: 一票制并发锁 + MT5硬止损兜底

- 一票制: _pending_long/_pending_short 计数器防同一周期内多信号穿透 - 硬止损: MT5下单时附带sl/tp，倍率1.5x(止损)/1.3x(止盈)，比EA软止损更宽 - config.py: 新增 hard_sl_multiplier/hard_tp_multiplier - 全部 send_order 链路(abc/remote/live/server/dryrun/backtest) 支持 sl/tp 参数 - 对冲模块: 彻底移除 - 日志: 去重+30轮摘要
2026-07-29 03:37:43 +00:00 · 2026-05-14 13:33:23 +08:00
parent cacca80e11
commit 430376eb61
18 changed files with 1089 additions and 120 deletions
@@ -0,0 +1,255 @@
+#!/usr/bin/env python3
+"""每日自动优化 — 遗传算法跑参数 → 写入config → 重启实盘EA
+
+通过 cron 调用: python3 scripts/daily_optimize.py
+"""
+
+import sys, os, json, re, time, signal, shutil
+from datetime import datetime
+from pathlib import Path
+
+PROJECT_DIR = Path(__file__).resolve().parent.parent
+os.chdir(str(PROJECT_DIR))
+sys.path.insert(0, str(PROJECT_DIR))
+
+from logger import setup_logger
+setup_logger("INFO")
+from logger import logger
+
+CONFIG_PATH = PROJECT_DIR / "config.py"
+BACKUP_DIR = PROJECT_DIR / "config_backups"
+RESTART_SIGNAL = PROJECT_DIR / ".restart_signal"
+
+
+def run_optimizer():
+    """运行遗传算法优化，返回 best_params dict"""
+    from execution.optimize import run_optimizer as _run
+    logger.info("🧬 开始遗传算法优化...")
+    best_params, fitness = _run()
+    logger.info(f"✅ 优化完成 适应度={fitness:.2f}")
+    return best_params
+
+
+def backup_config():
+    """备份当前 config.py"""
+    BACKUP_DIR.mkdir(exist_ok=True)
+    ts = datetime.now().strftime("%Y%m%d_%H%M%S")
+    dst = BACKUP_DIR / f"config_{ts}.py"
+    shutil.copy(CONFIG_PATH, dst)
+    logger.info(f"📦 已备份配置: {dst}")
+
+
+def update_config(best_params: dict):
+    """将优化结果写回 config.py"""
+    content = CONFIG_PATH.read_text(encoding="utf-8")
+
+    # ═══ RISK_CONFIG ═══
+    risk_map = {
+        "stop_loss_pct": "stop_loss_pct",
+        "profit_retracement_pct": "profit_retracement_pct",
+        "min_profit_for_trailing": "min_profit_for_trailing",
+        "take_profit_pct": "take_profit_pct",
+        "max_holding_minutes": "max_holding_minutes",
+        "min_profit_for_time_exit": "min_profit_for_time_exit",
+    }
+    for opt_key, cfg_key in risk_map.items():
+        if opt_key in best_params:
+            val = best_params[opt_key]
+            content = re.sub(
+                rf'("{cfg_key}":\s*)[\d.\-e]+',
+                rf'\g<1>{val}',
+                content
+            )
+
+    # ═══ SIGNAL_THRESHOLDS ═══
+    if "buy_threshold" in best_params:
+        content = re.sub(
+            r'("buy_threshold":\s*)[\d.\-e]+',
+            rf'\g<1>{best_params["buy_threshold"]}',
+            content
+        )
+    if "sell_threshold" in best_params:
+        content = re.sub(
+            r'("sell_threshold":\s*)[\d.\-e]+',
+            rf'\g<1>{best_params["sell_threshold"]}',
+            content
+        )
+
+    # ═══ MARKET_STATE_CONFIG ═══
+    market_map = {
+        "market_trend_period": "trend_period",
+        "market_retracement_tolerance": "retracement_tolerance",
+        "market_volume_period": "volume_period",
+        "market_volume_ma_period": "volume_ma_period",
+    }
+    for opt_key, cfg_key in market_map.items():
+        if opt_key in best_params:
+            val = int(best_params[opt_key]) if "period" in opt_key else best_params[opt_key]
+            content = re.sub(
+                rf'("{cfg_key}":\s*)[\d.\-e]+',
+                rf'\g<1>{val}',
+                content
+            )
+
+    # ═══ STRATEGY_CONFIG (strategy params) ═══
+    strategy_param_map = {
+        # MACrossStrategy
+        "ma_cross_short_window": ("ma_cross", "short_window"),
+        "ma_cross_long_window": ("ma_cross", "long_window"),
+        # RSIStrategy
+        "rsi_period": ("rsi", "period"),
+        "rsi_overbought": ("rsi", "overbought"),
+        "rsi_oversold": ("rsi", "oversold"),
+        # BollingerStrategy
+        "bollinger_period": ("bollinger", "period"),
+        "bollinger_std_dev": ("bollinger", "std_dev"),
+        # MACDStrategy
+        "macd_fast_ema": ("macd", "fast_ema"),
+        "macd_slow_ema": ("macd", "slow_ema"),
+        "macd_signal_period": ("macd", "signal_period"),
+        # MeanReversionStrategy
+        "mean_reversion_period": ("mean_reversion", "period"),
+        "mean_reversion_std_dev": ("mean_reversion", "std_dev"),
+        # MomentumBreakoutStrategy
+        "momentum_breakout_period": ("momentum_breakout", "period"),
+        "momentum_breakout_momentum_period": ("momentum_breakout", "momentum_period"),
+        # KDJStrategy
+        "kdj_period": ("kdj", "period"),
+        # TurtleStrategy
+        "turtle_period": ("turtle", "period"),
+        # DailyBreakoutStrategy
+        "daily_breakout_bars_count": ("daily_breakout", "bars_count"),
+        # WaveTheoryStrategy
+        "wave_ema_short": ("wave_theory", "ema_short"),
+        "wave_ema_medium": ("wave_theory", "ema_medium"),
+        "wave_ema_long": ("wave_theory", "ema_long"),
+        "wave_period": ("wave_theory", "wave_period"),
+        "wave_range_period": ("wave_theory", "range_period"),
+        "wave_adx_period": ("wave_theory", "adx_period"),
+        "wave_momentum_period": ("wave_theory", "momentum_period"),
+        "wave_range_threshold": ("wave_theory", "range_threshold"),
+        "wave_adx_threshold": ("wave_theory", "adx_threshold"),
+    }
+    for opt_key, (section, key) in strategy_param_map.items():
+        if opt_key in best_params:
+            val = best_params[opt_key]
+            if isinstance(val, float) and abs(val - round(val)) < 1e-6:
+                val = int(round(val))
+            content = re.sub(
+                rf'("{key}":\s*)[\d.\-e]+',
+                rf'\g<1>{val}',
+                content,
+                count=1,
+            )
+
+    # ═══ DEFAULT_WEIGHTS ═══
+    weight_map = {
+        "weight_MACrossStrategy": "ma_cross",
+        "weight_RSIStrategy": "rsi",
+        "weight_BollingerStrategy": "bollinger",
+        "weight_MeanReversionStrategy": "mean_reversion",
+        "weight_MomentumBreakoutStrategy": "momentum_breakout",
+        "weight_MACDStrategy": "macd",
+        "weight_KDJStrategy": "kdj",
+        "weight_TurtleStrategy": "turtle",
+        "weight_DailyBreakoutStrategy": "daily_breakout",
+        "weight_WaveTheoryStrategy": "wave_theory",
+    }
+    for opt_key, cfg_key in weight_map.items():
+        if opt_key in best_params:
+            val = best_params[opt_key]
+            content = re.sub(
+                rf'("{cfg_key}":\s*)[\d.\-e]+',
+                rf'\g<1>{val}',
+                content
+            )
+
+    # ═══ TREND_INDICATOR_WEIGHTS ═══
+    trend_weight_map = {
+        "trend_price_breakout_weight": "price_breakout",
+        "trend_volume_confirmation_weight": "volume_confirmation",
+        "trend_momentum_oscillator_weight": "momentum_oscillator",
+        "trend_moving_average_weight": "moving_average",
+    }
+    for opt_key, cfg_key in trend_weight_map.items():
+        if opt_key in best_params:
+            val = best_params[opt_key]
+            content = re.sub(
+                rf'("{cfg_key}":\s*)[\d.\-e]+',
+                rf'\g<1>{val}',
+                content
+            )
+
+    # ═══ TREND_THRESHOLDS ═══
+    trend_thresh_map = {
+        "trend_strong_threshold": "strong_trend",
+        "trend_weak_threshold": "weak_trend",
+        "trend_volume_spike": "volume_spike",
+        "trend_oversold": "oversold",
+        "trend_overbought": "overbought",
+    }
+    for opt_key, cfg_key in trend_thresh_map.items():
+        if opt_key in best_params:
+            val = best_params[opt_key]
+            if "sold" in opt_key or "bought" in opt_key:
+                val = int(round(val))
+            content = re.sub(
+                rf'("{cfg_key}":\s*)[\d.\-e]+',
+                rf'\g<1>{val}',
+                content
+            )
+
+    # ═══ CONFIDENCE_THRESHOLDS ═══
+    conf_map = {
+        "confidence_high": "high_confidence",
+        "confidence_medium": "medium_confidence",
+    }
+    for opt_key, cfg_key in conf_map.items():
+        if opt_key in best_params:
+            val = best_params[opt_key]
+            content = re.sub(
+                rf'("{cfg_key}":\s*)[\d.\-e]+',
+                rf'\g<1>{val}',
+                content
+            )
+
+    CONFIG_PATH.write_text(content, encoding="utf-8")
+    logger.info("✏️  配置已更新")
+
+
+def restart_ea():
+    """通过信号文件通知 restart_ea.sh 重启"""
+    RESTART_SIGNAL.write_text(datetime.now().isoformat())
+    logger.info("📡 已发送重启信号")
+
+
+def main():
+    logger.info("=" * 60)
+    logger.info("📅 每日自动优化启动")
+    logger.info(f"时间: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
+    logger.info("=" * 60)
+
+    # 1. 备份当前配置
+    backup_config()
+
+    # 2. 运行优化
+    try:
+        best_params = run_optimizer()
+    except Exception as e:
+        logger.error(f"优化失败: {e}")
+        import traceback
+        traceback.print_exc()
+        return 1
+
+    # 3. 写入 config.py
+    update_config(best_params)
+
+    # 4. 触发重启
+    restart_ea()
+
+    logger.info("✅ 每日优化流程完成")
+    return 0
+
+
+if __name__ == "__main__":
+    sys.exit(main())
@@ -0,0 +1,30 @@
+#!/bin/bash
+# 重启 EA：杀旧进程 → 应用新配置 → 启动新进程
+# 由 daily_optimize.py 或 cron 调用
+
+set -e
+PROJECT_DIR="/home/songkl/mt5_python_ea_suite"
+cd "$PROJECT_DIR"
+
+echo "[$(date '+%Y-%m-%d %H:%M:%S')] 重启 EA..."
+
+# 1. 杀掉所有 realtime.py 进程
+pkill -f "python.*run/realtime.py" 2>/dev/null || true
+sleep 2
+
+# 强制清理残留
+pkill -9 -f "python.*run/realtime.py" 2>/dev/null || true
+sleep 1
+
+# 2. 清空旧交易记录（新配置从零开始）
+rm -f realtime_trades_*.json realtime_trades_*.csv
+
+# 3. 清空日志
+> logs/strategy.log
+
+# 4. 启动新 EA
+nohup python3 run/realtime.py >> /dev/null 2>&1 &
+NEW_PID=$!
+echo $NEW_PID > .ea_pid
+
+echo "[$(date '+%Y-%m-%d %H:%M:%S')] EA 已重启 PID=$NEW_PID"