kroutony
7f03d479c7
- Replace 3-tier LLM SELL thresholds with 5-tier descending confidence (1-2%→0.7, 2-3%→0.6, 3-5%→0.5, ≥5%→0.4), min profit 1% - Allow LLM SELL on losing positions (trust LLM signal for cut-loss) - Fix +-1.90% sign bug: use pnl_pct instead of pnl amount for sign Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
207 lines
8.4 KiB
Python
207 lines
8.4 KiB
Python
import logging
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import config
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logger = logging.getLogger(__name__)
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def check_position_limit(symbol: str, amount_usdt: float, portfolio: dict) -> bool:
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"""Reject if a single position would exceed MAX_POSITION_PCT of total balance."""
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total_balance = portfolio.get("total_balance_usdt", 0)
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if total_balance <= 0:
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return False
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current_exposure = portfolio.get("positions", {}).get(symbol, {}).get("value_usdt", 0)
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new_exposure = current_exposure + amount_usdt
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limit = total_balance * config.MAX_POSITION_PCT
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if new_exposure > limit:
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logger.info(
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"Position limit: %s would be %.2f USDT (limit %.2f)",
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symbol, new_exposure, limit,
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)
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return False
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return True
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def check_total_exposure(portfolio: dict, additional_usdt: float = 0) -> bool:
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"""Reject if total exposure would exceed MAX_TOTAL_EXPOSURE_PCT."""
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total_balance = portfolio.get("total_balance_usdt", 0)
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if total_balance <= 0:
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return False
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current_exposure = sum(
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pos.get("value_usdt", 0) for pos in portfolio.get("positions", {}).values()
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)
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new_total = current_exposure + additional_usdt
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limit = total_balance * config.MAX_TOTAL_EXPOSURE_PCT
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if new_total > limit:
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logger.info(
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"Total exposure would be %.2f USDT (limit %.2f)", new_total, limit,
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)
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return False
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return True
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def apply_stop_loss_take_profit(positions: dict, current_prices: dict) -> list[dict]:
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"""Check positions for take-profit AND software stop-loss safety net.
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Returns SELL signals for:
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- Take-profit hits (pnl >= TAKE_PROFIT_PCT)
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- Stop-loss safety net (pnl <= -STOP_LOSS_PCT) — second line of defence
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in case the exchange stop order was cancelled or failed.
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"""
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signals = []
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for sym, pos in positions.items():
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if pos.get("amount", 0) == 0:
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continue
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entry = pos.get("entry_price", 0)
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if entry <= 0:
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continue
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current = current_prices.get(sym, 0)
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if current <= 0:
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continue
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pnl_pct = (current - entry) / entry
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if pnl_pct >= config.TAKE_PROFIT_PCT:
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signals.append({
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"symbol": sym,
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"action": "SELL",
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"reason": f"停利 ({pnl_pct:+.2%})",
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"confidence": 1.0,
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"suggested_amount_pct": 1.0,
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})
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logger.info("TAKE PROFIT %s: %.6g → %.6g (%+.2f%%)", sym, entry, current, pnl_pct * 100)
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elif pnl_pct <= -config.STOP_LOSS_PCT:
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signals.append({
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"symbol": sym,
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"action": "SELL",
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"reason": f"止損安全網 ({pnl_pct:+.2%})",
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"confidence": 1.0,
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"suggested_amount_pct": 1.0,
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})
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logger.warning(
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"STOP-LOSS SAFETY NET %s: %.6g → %.6g (%+.2f%%) — exchange stop order may have failed",
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sym, entry, current, pnl_pct * 100,
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)
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return signals
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def adjust_size_by_volatility(amount_usdt: float, atr: float, price: float) -> float:
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"""Reduce position size when ATR is high relative to price."""
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if price <= 0 or atr <= 0:
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return amount_usdt
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atr_pct = atr / price
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# If ATR > 2%, scale down linearly (at 4% ATR → half size)
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if atr_pct > 0.02:
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factor = max(0.25, 0.02 / atr_pct)
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adjusted = amount_usdt * factor
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logger.info("Volatility adj: %.2f → %.2f USDT (ATR %.2f%%)", amount_usdt, adjusted, atr_pct * 100)
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return adjusted
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return amount_usdt
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def validate_trade(signal: dict, portfolio: dict, indicators_df=None, current_prices: dict | None = None) -> tuple[dict | None, str]:
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"""Run all risk checks. Returns (signal, "") on success or (None, reason) on rejection."""
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action = signal.get("action", "HOLD")
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if action == "HOLD":
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return None, "HOLD signal"
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symbol = signal["symbol"]
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# 基準 = USDT 餘額 + 所有持倉成本 (entry_price × amount)
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available = portfolio.get("available_usdt", 0)
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positions_cost = sum(
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pos.get("entry_price", 0) * pos.get("amount", 0)
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for pos in portfolio.get("positions", {}).values()
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)
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total_balance = available + positions_cost
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pct = signal.get("suggested_amount_pct", 0.1)
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amount_usdt = total_balance * pct
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if action == "BUY":
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# Check minimum order
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if amount_usdt < config.MIN_ORDER_USDT:
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reason = f"Order too small: {amount_usdt:.2f} < {config.MIN_ORDER_USDT:.2f} USDT"
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logger.info(reason)
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return None, reason
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# Volatility adjustment
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if indicators_df is not None and not indicators_df.empty:
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last = indicators_df.iloc[-1]
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atr = last.get("atr", 0)
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price = last.get("close", 0)
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if atr and price:
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amount_usdt = adjust_size_by_volatility(amount_usdt, atr, price)
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# Available balance check — cap to available (minus small margin for fees/rounding)
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available = portfolio.get("available_usdt", 0) - 1
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if amount_usdt > available:
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if available < config.MIN_ORDER_USDT:
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return None, f"可用餘額不足 ({available:.2f} < {config.MIN_ORDER_USDT:.2f} USDT)"
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logger.info("金額超出餘額，調整: %.2f → %.2f USDT", amount_usdt, available)
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amount_usdt = available
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# Check minimum order amount (exchange-enforced per-symbol minimum)
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min_amt = config.MIN_ORDER_AMOUNT.get(symbol, 0)
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if min_amt > 0:
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# Need price to convert USDT → base currency amount
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if indicators_df is not None and not indicators_df.empty:
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est_price = indicators_df.iloc[-1].get("close", 0)
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else:
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est_price = 0
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if est_price > 0:
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est_amount = amount_usdt / est_price
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if est_amount < min_amt:
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return None, f"低於最低交易量 ({est_amount:.6f} < {min_amt} {symbol})"
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# Position limit — use same total_balance for consistency
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current_exposure = portfolio.get("positions", {}).get(symbol, {}).get("value_usdt", 0)
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limit = total_balance * config.MAX_POSITION_PCT
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if current_exposure + amount_usdt > limit:
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room = limit - current_exposure
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if room < config.MIN_ORDER_USDT:
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return None, f"持倉已達上限 ({current_exposure:.2f} / {limit:.2f} USDT)"
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logger.info("持倉上限調整: %.2f → %.2f USDT", amount_usdt, room)
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amount_usdt = room
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elif action == "SELL":
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# For sells, ensure we actually hold the position
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pos = portfolio.get("positions", {}).get(symbol, {})
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if pos.get("amount", 0) <= 0:
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logger.info("No position to sell for %s", symbol)
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return None, "無持倉，跳過"
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# Profit-tiered LLM SELL filter (止盈/止損由 risk_manager 和交易所處理，這裡只管 LLM 信號)
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entry = pos.get("entry_price", 0)
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current = (current_prices or {}).get(symbol, 0)
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if entry > 0 and current > 0:
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pnl_pct = (current - entry) / entry
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confidence = signal.get("confidence", 0)
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if 0 <= pnl_pct < config.LLM_SELL_MIN_PROFIT_PCT:
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return None, f"獲利不足 {pnl_pct:+.2%}，不執行 LLM SELL"
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if pnl_pct < 0:
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logger.info("LLM SELL %s: 虧損中 (P&L %+.2f%%)，信任 LLM 信號", symbol, pnl_pct * 100)
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else:
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required_conf = config.LLM_SELL_TIERS[-1][1] # default to loosest
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for upper, min_conf in config.LLM_SELL_TIERS:
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if upper is None or pnl_pct < upper:
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required_conf = min_conf
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break
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if confidence < required_conf:
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return None, f"獲利 {pnl_pct:+.2%} 需信心 ≥ {required_conf}，目前 {confidence}"
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logger.info("LLM SELL %s: 通過 (P&L %+.2f%%, conf %.2f ≥ %.2f)",
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symbol, pnl_pct * 100, confidence, required_conf)
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# SELL: 一律全部賣出
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pos_value = pos.get("value_usdt", 0)
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if pos_value <= 0:
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pos_value = pos.get("amount", 0) * pos.get("entry_price", 0)
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amount_usdt = pos_value
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# 傳遞實際持倉量，避免 USDT→amount 反算誤差
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signal = dict(signal)
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signal["sell_amount"] = pos["amount"]
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signal = dict(signal)
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signal["amount_usdt"] = amount_usdt
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return signal, ""
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