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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
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core/utils.py
+42 -34
View File
@@ -1,16 +1,24 @@
import MetaTrader5 as mt5
# 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_module
return _mt5
import pandas as pd
from logger import setup_logger
logger = setup_logger()
def initialize():
if not mt5.initialize():
logger.error("MT5初始化失败，错误代码：%d", mt5.last_error())
if not _get_mt5().initialize():
logger.error("MT5初始化失败，错误代码：%d", _get_mt5().last_error())
return False
return True
def shutdown():
mt5.shutdown()
_get_mt5().shutdown()
def get_rates(symbol, timeframe, count, start_date=None, end_date=None):
"""
@@ -23,21 +31,21 @@ def get_rates(symbol, timeframe, count, start_date=None, end_date=None):
- end_date: 结束日期 (格式: "YYYY-MM-DD" 或 datetime对象)
"""
# 检查MT5连接状态
if not mt5.terminal_info():
if not _get_mt5().terminal_info():
logger.warning("MT5终端未连接，尝试重新连接...")
if not initialize():
logger.error("MT5重新连接失败")
return None
# 检查交易品种是否可用
symbol_info = mt5.symbol_info(symbol)
symbol_info = _get_mt5().symbol_info(symbol)
if symbol_info is None:
logger.error(f"交易品种 {symbol} 不可用")
return None
if not symbol_info.visible:
logger.info(f"交易品种 {symbol} 不可见，尝试启用...")
if not mt5.symbol_select(symbol, True):
if not _get_mt5().symbol_select(symbol, True):
logger.error(f"无法启用交易品种 {symbol}")
return None
if start_date is not None and end_date is not None:
@@ -58,7 +66,7 @@ def get_rates(symbol, timeframe, count, start_date=None, end_date=None):
end_utc = end_date.replace(hour=23, minute=59, second=59, tzinfo=utc_timezone)
try:
rates = mt5.copy_rates_range(symbol, timeframe, start_utc, end_utc)
rates = _get_mt5().copy_rates_range(symbol, timeframe, start_utc, end_utc)
if rates is None:
logger.info(f"获取{symbol}从{start_date.date()}到{end_date.date()}的历史数据失败")
return None
@@ -66,14 +74,14 @@ def get_rates(symbol, timeframe, count, start_date=None, end_date=None):
except Exception as e:
logger.error(f"使用日期范围获取数据失败: {e}")
logger.info("回退到使用数据量获取数据")
rates = mt5.copy_rates_from_pos(symbol, timeframe, 0, count)
rates = _get_mt5().copy_rates_from_pos(symbol, timeframe, 0, count)
if rates is None:
logger.info(f"获取{symbol}历史数据失败")
return None
logger.debug(f"成功获取{symbol}历史数据，共{len(rates)}条")
else:
# 使用数据量获取数据
rates = mt5.copy_rates_from_pos(symbol, timeframe, 0, count)
rates = _get_mt5().copy_rates_from_pos(symbol, timeframe, 0, count)
if rates is None:
logger.info(f"获取{symbol}历史数据失败")
return None
@@ -82,39 +90,39 @@ def get_rates(symbol, timeframe, count, start_date=None, end_date=None):
return rates
def has_open_position(symbol):
positions = mt5.positions_get(symbol=symbol)
positions = _get_mt5().positions_get(symbol=symbol)
return positions is not None and len(positions) > 0
def close_all(symbol):
positions = mt5.positions_get(symbol=symbol)
positions = _get_mt5().positions_get(symbol=symbol)
if positions is None:
return
for pos in positions:
request = {
"action": mt5.TRADE_ACTION_DEAL,
"action": _get_mt5().TRADE_ACTION_DEAL,
"position": pos.ticket,
"symbol": symbol,
"volume": pos.volume,
"type": mt5.ORDER_TYPE_SELL if pos.type == 0 else mt5.ORDER_TYPE_BUY,
"price": mt5.symbol_info_tick(symbol).bid if pos.type == 0 else mt5.symbol_info_tick(symbol).ask,
"type": _get_mt5().ORDER_TYPE_SELL if pos.type == 0 else _get_mt5().ORDER_TYPE_BUY,
"price": _get_mt5().symbol_info_tick(symbol).bid if pos.type == 0 else _get_mt5().symbol_info_tick(symbol).ask,
"deviation": 20,
"magic": 234000,
"comment": "Close position",
"type_filling": mt5.ORDER_FILLING_RETURN,
"type_filling": _get_mt5().ORDER_FILLING_RETURN,
}
mt5.order_send(request)
_get_mt5().order_send(request)
def send_order(symbol, order_type, volume=0.01):
symbol_info_tick = mt5.symbol_info_tick(symbol)
symbol_info_tick = _get_mt5().symbol_info_tick(symbol)
if symbol_info_tick is None:
logger.error(f"无法获取{symbol}行情")
return None
price = symbol_info_tick.ask if order_type == "buy" else symbol_info_tick.bid
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,
@@ -122,11 +130,11 @@ def send_order(symbol, order_type, volume=0.01):
"deviation": 20,
"magic": 234000,
"comment": f"{order_type} order",
"type_filling": mt5.ORDER_FILLING_RETURN,
"type_filling": _get_mt5().ORDER_FILLING_RETURN,
}
result = mt5.order_send(request)
if result.retcode != mt5.TRADE_RETCODE_DONE:
result = _get_mt5().order_send(request)
if result.retcode != _get_mt5().TRADE_RETCODE_DONE:
logger.error(f"下单失败，retcode={result.retcode}")
return None
else:
@@ -137,7 +145,7 @@ def close_position(ticket, symbol, volume):
"""根据ticket平掉一个特定的仓位"""
# In MT5, you close a position by creating an opposite order.
# We need to get the position details first.
positions = mt5.positions_get(ticket=ticket)
positions = _get_mt5().positions_get(ticket=ticket)
if not positions:
logger.error(f"无法找到ticket为 {ticket} 的持仓")
return False
@@ -145,19 +153,19 @@ def close_position(ticket, symbol, volume):
pos = positions[0] # positions_get returns a tuple of objects
request = {
"action": mt5.TRADE_ACTION_DEAL,
"action": _get_mt5().TRADE_ACTION_DEAL,
"position": pos.ticket,
"symbol": symbol,
"volume": volume,
"type": mt5.ORDER_TYPE_SELL if pos.type == 0 else mt5.ORDER_TYPE_BUY, # pos.type == 0 is a BUY position
"price": mt5.symbol_info_tick(symbol).bid if pos.type == 0 else mt5.symbol_info_tick(symbol).ask,
"type": _get_mt5().ORDER_TYPE_SELL if pos.type == 0 else _get_mt5().ORDER_TYPE_BUY, # pos.type == 0 is a BUY position
"price": _get_mt5().symbol_info_tick(symbol).bid if pos.type == 0 else _get_mt5().symbol_info_tick(symbol).ask,
"deviation": 20,
"magic": 234000,
"comment": f"Close position {ticket}",
"type_filling": mt5.ORDER_FILLING_RETURN,
"type_filling": _get_mt5().ORDER_FILLING_RETURN,
}
result = mt5.order_send(request)
if result.retcode != mt5.TRADE_RETCODE_DONE:
result = _get_mt5().order_send(request)
if result.retcode != _get_mt5().TRADE_RETCODE_DONE:
logger.error(f"平仓失败 ticket {ticket}, retcode={result.retcode}")
return False
else:
@@ -168,25 +176,25 @@ def get_current_price(symbol):
"""获取当前价格"""
try:
# 检查MT5连接状态
if not mt5.terminal_info():
if not _get_mt5().terminal_info():
logger.warning("MT5终端未连接，尝试重新连接...")
if not initialize():
logger.error("MT5重新连接失败")
return None
# 检查交易品种是否可用
symbol_info = mt5.symbol_info(symbol)
symbol_info = _get_mt5().symbol_info(symbol)
if symbol_info is None:
logger.error(f"交易品种 {symbol} 不可用")
return None
if not symbol_info.visible:
logger.info(f"交易品种 {symbol} 不可见，尝试启用...")
if not mt5.symbol_select(symbol, True):
if not _get_mt5().symbol_select(symbol, True):
logger.error(f"无法启用交易品种 {symbol}")
return None
tick = mt5.symbol_info_tick(symbol)
tick = _get_mt5().symbol_info_tick(symbol)
if tick is None:
logger.error(f"无法获取 {symbol} 的价格信息")
return None