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feat: 远程MT5数据源 + 信号对冲/回撤锁仓模块

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新增:
- core/risk/hedge.py: 对冲管理器
  - 信号对冲: 加权信号反向超阈值→半仓反向
  - 回撤锁仓: 浮亏超-0.3%→全仓锁死
  - 自动解锁: 信号回正/对冲止盈0.5%

改动:
- run/backtest.py: 支持远程数据源回测
- run/realtime.py: 远程/本地双模式
- core/risk/position.py: 集成HedgeManager
- core/risk/controller.py: 传递weighted_signal
- execution/realtime_trader.py: 传入加权信号
- core/data/live.py, utils.py: MetaTrader5懒加载(ARM兼容)
- config.py: HEDGE_CONFIG, REMOTE配置, INITIAL_CAPITAL=1944

今日实盘: 9单, +7.4% (944→088)
This commit is contained in:
songkl
2026-05-11 23:46:49 +08:00
parent 4cb4f4a15e
commit 878e0f4a03
10 changed files with 478 additions and 89 deletions
Download Patch File Download Diff File Expand all files Collapse all files
core/data/__init__.py
+19 -2
View File
@@ -1,6 +1,23 @@
from core.data.abc import DataProvider
from core.data.live import LiveDataProvider
from core.data.dryrun import DryRunDataProvider
from core.data.backtest import BacktestDataProvider
from core.data.multi_tf import MultiTimeframeDataStore
from core.data.remote import RemoteDataProvider
# LiveDataProvider 和 DryRunDataProvider 依赖 MetaTrader5，
# 仅在本地模式需要时延迟导入
_LiveDataProvider = None
_DryRunDataProvider = None
def LiveDataProvider(*args, **kwargs):
global _LiveDataProvider
if _LiveDataProvider is None:
from core.data.live import LiveDataProvider as LDP
_LiveDataProvider = LDP
return _LiveDataProvider(*args, **kwargs)
def DryRunDataProvider(*args, **kwargs):
global _DryRunDataProvider
if _DryRunDataProvider is None:
from core.data.dryrun import DryRunDataProvider as DDP
_DryRunDataProvider = DDP
return _DryRunDataProvider(*args, **kwargs)
core/data/live.py
+42 -34
View File
@@ -1,8 +1,16 @@
import MetaTrader5 as mt5
import pandas as pd
from logger import logger
from core.data.abc import DataProvider
# 惰性导入 — ARM 环境不装 MetaTrader5
_mt5 = None
def _get_mt5():
global _mt5
if _mt5 is None:
import MetaTrader5 as _mt5
return _mt5
class LiveDataProvider(DataProvider):
"""实盘数据提供者 — 封装真实MT5 API调用"""
@@ -12,18 +20,18 @@ class LiveDataProvider(DataProvider):
return True
def initialize(self):
if not mt5.initialize():
if not _get_mt5().initialize():
logger.error("MT5初始化失败")
return False
logger.info("MT5连接成功")
return True
def shutdown(self):
mt5.shutdown()
_get_mt5().shutdown()
logger.info("MT5连接已关闭")
def get_current_price(self, symbol):
tick = mt5.symbol_info_tick(symbol)
tick = _get_mt5().symbol_info_tick(symbol)
if tick:
last_price = tick.last if tick.last != 0 else (tick.bid + tick.ask) / 2
return {
@@ -34,16 +42,16 @@ class LiveDataProvider(DataProvider):
return None
def get_historical_data(self, symbol, timeframe, count, **kwargs):
return mt5.copy_rates_from_pos(symbol, timeframe, 0, count)
return _get_mt5().copy_rates_from_pos(symbol, timeframe, 0, count)
def get_account_info(self):
return mt5.account_info()
return _get_mt5().account_info()
def get_positions(self, symbol):
return mt5.positions_get(symbol=symbol)
return _get_mt5().positions_get(symbol=symbol)
def get_symbol_info(self, symbol):
return mt5.symbol_info(symbol)
return _get_mt5().symbol_info(symbol)
def send_order(self, symbol, order_type, volume):
price_data = self.get_current_price(symbol)
@@ -53,16 +61,16 @@ class LiveDataProvider(DataProvider):
price = price_data['ask'] if order_type == "buy" else price_data['bid']
if not mt5.terminal_info().trade_allowed:
if not _get_mt5().terminal_info().trade_allowed:
logger.error("MT5终端未启用自动交易")
return None
account_info = mt5.account_info()
account_info = _get_mt5().account_info()
if account_info and not account_info.trade_allowed:
logger.error("当前账户不允许自动交易")
return None
symbol_info = mt5.symbol_info(symbol)
symbol_info = _get_mt5().symbol_info(symbol)
if not symbol_info:
logger.error(f"无法获取 {symbol} 的品种信息")
return None
@@ -71,15 +79,15 @@ class LiveDataProvider(DataProvider):
fm = symbol_info.filling_mode
# MQL5 filling_mode 位图: FOK=1, IOC=2
if fm & 1:
filling_mode = mt5.ORDER_FILLING_FOK
filling_mode = _get_mt5().ORDER_FILLING_FOK
elif fm & 2:
filling_mode = mt5.ORDER_FILLING_IOC
filling_mode = _get_mt5().ORDER_FILLING_IOC
else:
filling_mode = mt5.ORDER_FILLING_RETURN
filling_mode = _get_mt5().ORDER_FILLING_RETURN
order_type_mt5 = mt5.ORDER_TYPE_BUY if order_type == "buy" else mt5.ORDER_TYPE_SELL
order_type_mt5 = _get_mt5().ORDER_TYPE_BUY if order_type == "buy" else _get_mt5().ORDER_TYPE_SELL
request = {
"action": mt5.TRADE_ACTION_DEAL,
"action": _get_mt5().TRADE_ACTION_DEAL,
"symbol": symbol,
"volume": volume,
"type": order_type_mt5,
@@ -89,18 +97,18 @@ class LiveDataProvider(DataProvider):
"comment": f"{order_type} order",
"type_filling": filling_mode,
}
result = mt5.order_send(request)
result = _get_mt5().order_send(request)
if result and hasattr(result, 'retcode'):
if result.retcode == 10027:
logger.error("自动交易被禁用")
elif result.retcode == 10030:
if filling_mode != mt5.ORDER_FILLING_IOC:
request["type_filling"] = mt5.ORDER_FILLING_IOC
result = mt5.order_send(request)
if result and result.retcode == 10030 and filling_mode != mt5.ORDER_FILLING_FOK:
request["type_filling"] = mt5.ORDER_FILLING_FOK
result = mt5.order_send(request)
if filling_mode != _get_mt5().ORDER_FILLING_IOC:
request["type_filling"] = _get_mt5().ORDER_FILLING_IOC
result = _get_mt5().order_send(request)
if result and result.retcode == 10030 and filling_mode != _get_mt5().ORDER_FILLING_FOK:
request["type_filling"] = _get_mt5().ORDER_FILLING_FOK
result = _get_mt5().order_send(request)
elif result.retcode != 10009:
logger.error(f"下单失败，错误代码: {result.retcode}")
@@ -122,33 +130,33 @@ class LiveDataProvider(DataProvider):
logger.error(f"未找到ticket为 {ticket} 的持仓")
return False
tick = mt5.symbol_info_tick(symbol)
tick = _get_mt5().symbol_info_tick(symbol)
if not tick:
logger.error(f"无法获取 {symbol} 的当前价格")
return False
if target_position.type == mt5.POSITION_TYPE_BUY:
if target_position.type == _get_mt5().POSITION_TYPE_BUY:
close_price = tick.bid
order_type = mt5.ORDER_TYPE_SELL
order_type = _get_mt5().ORDER_TYPE_SELL
else:
close_price = tick.ask
order_type = mt5.ORDER_TYPE_BUY
order_type = _get_mt5().ORDER_TYPE_BUY
symbol_info = mt5.symbol_info(symbol)
symbol_info = _get_mt5().symbol_info(symbol)
if not symbol_info:
return False
fm = symbol_info.filling_mode
# MQL5 filling_mode 位图: FOK=1, IOC=2
if fm & 1:
filling_mode = mt5.ORDER_FILLING_FOK
filling_mode = _get_mt5().ORDER_FILLING_FOK
elif fm & 2:
filling_mode = mt5.ORDER_FILLING_IOC
filling_mode = _get_mt5().ORDER_FILLING_IOC
else:
filling_mode = mt5.ORDER_FILLING_IOC
filling_mode = _get_mt5().ORDER_FILLING_IOC
request = {
"action": mt5.TRADE_ACTION_DEAL,
"action": _get_mt5().TRADE_ACTION_DEAL,
"position": target_position.ticket,
"symbol": symbol,
"volume": volume,
@@ -160,11 +168,11 @@ class LiveDataProvider(DataProvider):
"type_filling": filling_mode,
}
result = mt5.order_send(request)
result = _get_mt5().order_send(request)
if result is None:
logger.error(f"平仓请求返回None: Ticket={ticket}")
return False
if result.retcode == mt5.TRADE_RETCODE_DONE:
if result.retcode == _get_mt5().TRADE_RETCODE_DONE:
logger.info(f"平仓成功: Ticket {ticket}")
return True
else: